NPORT-P false 0000822977 XXXXXXXX S000036259 C000202046 C000110986 C000110987 C000161296 C000110983 C000110985 C000110984 GOLDMAN SACHS TRUST 811-05349 0000822977 S2FHCT8U6D2VORP0J605 71 SOUTH WACKER DRIVE C/O GOLDMAN SACHS & CO CHICAGO 60606 312-655-4400 Goldman Sachs Short Duration Income Fund S000036259 5K6BNCLRUJN03ZJ21072 2021-03-31 2020-06-30 N 1444388838.05 221613346.41 1222775491.64 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 49800810.07000000 0.00000000 0.00000000 37590283.04000000 USD NOK SEK ILS ZAR CNY TWD THB AUD INR JPY PLN IDR EUR CLP KRW NZD MXN HUF SGD TRY GBP CZK RUB CAD COP BRL CHF N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1724.19000000 -0.00014100626 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 366200.00000000 USD 3507159.29000000 NOK 2020-09-16 -1724.19000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2586.59000000 -0.00021153433 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 498373.42000000 USD 468650.43000000 CHF 2020-09-16 -2586.59000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6741.33000000 -0.00055131379 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 661354.30000000 USD 581655.82000000 EUR 2020-09-16 -6741.33000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1785.01000000 0.000145980191 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1191957.62000000 USD 8476436.16000000 CNY 2020-09-16 1785.01000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6677.54000000 -0.00054609697 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 396401.00000000 USD 3750104.09000000 NOK 2020-09-16 -6677.54000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7382.03000000 -0.00060371098 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4317695.17000000 TRY 609241.59000000 USD 2020-09-16 -7382.03000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20484.77000000 -0.00167526828 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 561664.73000000 USD 38741386.42000000 RUB 2020-08-17 -20484.77000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -17969.97000000 -0.00146960501 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 649588.16000000 USD 518761105.00000000 CLP 2020-07-03 -17969.97000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4648.61000000 -0.00038016872 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1246220.05000000 USD 1173615.27000000 CHF 2020-09-16 -4648.61000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAF1 8475000.00000000 PA USD 8693316.00000000 0.710949480050 Long DBT CORP US N 2 2025-02-15 Fixed 2.24000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -3042.92000000 -0.00024885353 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 5397705.27000000 SEK 512490.65000000 EUR 2020-09-16 -3042.92000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -17375.92000000 -0.00142102292 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 570542.68000000 USD 39599484.63000000 RUB 2020-08-17 -17375.92000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -6548.27000000 -0.00053552512 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 609806.45000000 CHF 567399.05000000 EUR 2020-09-16 -6548.27000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZJ5 250000.00000000 PA USD 243575.75000000 0.019919907756 Long DBT CORP US N 2 2025-06-09 Fixed 4.69000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -7000000.00000000 NC USD -49771.40000000 -0.00407036290 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 N/A 7000000.00000000 OU Notional Amount N/A -49771.40000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2026-05-20 0.00000000 N/A 0.00000000 N/A 7000000.00000000 USD 1.00000000 0.49000000 USD 2021-05-18 XXXX 20928.60000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4309.14000000 0.000352406474 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1812935.00000000 USD 12724628.18000000 TRY 2020-09-16 4309.14000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379VUJ1 309714.91000000 PA USD 28649.37000000 0.002342978755 Long ABS-MBS USGA US N 2 2045-06-20 Fixed 4.00000000 N N N N N N Time Warner Cable LLC 549300U5NFR7S6E3GM41 88732JBA5 1448000.00000000 PA USD 1486487.84000000 0.121566702159 Long DBT CORP US N 2 2021-09-01 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8039.51000000 -0.00065748046 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 586478945.97000000 COP 147264.02000000 USD 2020-08-25 -8039.51000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAF2 1500000.00000000 PA USD 1466160.00000000 0.119904267792 Long DBT CORP IE N 2 2023-07-03 Fixed 4.13000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H022671 15000000.00000000 PA USD 15782044.50000000 1.290673930570 Long ABS-MBS USGA US N 2 2050-07-21 Fixed 2.50000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LM1 3750000.00000000 PA USD 3900825.00000000 0.319013999435 Long DBT CORP US N 2 2023-07-24 Fixed 2.88000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 1600000.00000000 PA USD 1690144.00000000 0.138221939477 Long DBT CORP NL N 2 2022-09-01 Fixed 3.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 10010000.00000000 OU Notional Amount 396617.92000000 0.032435874182 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2030-09-16 404914.57000000 AUD 0.00000000 AUD 10010000.00000000 AUD 114675.99000000 N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404119BR9 1330000.00000000 PA USD 1426425.00000000 0.116654693339 Long DBT CORP US N 2 2025-02-01 Fixed 5.38000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CG2 320000.00000000 PA USD 339129.60000000 0.027734412598 Long DBT CORP US N 2 2024-07-30 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 520000.00000000 OU Notional Amount USD 32453.93000000 0.002654120091 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-06-20 24808.12000000 USD 0.00000000 USD 520000.00000000 USD 7645.81000000 N N N Fannie Mae N/A 3136A9EA2 18851.25000000 PA USD 23317.70000000 0.001906948590 Long ABS-MBS USGSE US N 2 2042-10-25 Fixed 7.00000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 120000.00000000 OU Notional Amount USD -347.92000000 -0.00002845330 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Indonesia Government International Bond Indonesia Government International Bond Y sell protection 2024-06-20 0.00000000 USD -216.58000000 USD 120000.00000000 USD -131.34000000 N N N CSC Holdings LLC 3HG2WD2W22M120IUNG49 126307AF4 1150000.00000000 PA USD 1204625.00000000 0.098515631711 Long DBT CORP US N 2 2021-11-15 Fixed 6.75000000 N N N N N N FORTUNE BRANDS HOME & SE 54930032LHW54PQUJD44 34964CAC0 1650000.00000000 PA USD 1799770.50000000 0.147187321982 Long DBT CORP US N 2 2023-09-21 Fixed 4.00000000 N N N N N N T-Mobile USA Inc 549300V2JRLO5DIFGE82 87264AAQ8 1120000.00000000 PA USD 1143800.00000000 0.093541292561 Long DBT CORP US N 2 2024-04-15 Fixed 6.00000000 N N N N N N ROPER TECHNOLOGIES INC 54930003T4SXCIWVXY35 776743AH9 975000.00000000 PA USD 1031686.50000000 0.084372520307 Long DBT CORP US N 2 2024-09-15 Fixed 2.35000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAA9 3925000.00000000 PA USD 3670856.25000000 0.300206887944 Long DBT CORP KY N 2 2023-01-15 Fixed 5.50000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBH2 1600000.00000000 PA USD 1576160.00000000 0.128900195561 Long DBT CORP US N 2 2022-09-09 Floating 1.41000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -16217.57000000 -0.00132629171 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4002133.57000000 TRY 564834.32000000 USD 2020-07-20 -16217.57000000 N N N State of Connecticut 5493007GRO6CU0IKP741 20772KAF6 3000000.00000000 PA USD 3209580.00000000 0.262483180432 Long DBT MUN US N 2 2024-01-15 Fixed 3.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -540000.00000000 NC -5197.69000000 -0.00042507312 N/A DIR DE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 540000.00000000 OU Notional Amount N/A -5197.69000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 540000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX 3218.81000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -30244.02000000 -0.00247339108 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 63987449.07000000 INR 814296.88000000 USD 2020-07-28 -30244.02000000 N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AF7 1080000.00000000 PA USD 1172512.80000000 0.095889458695 Long DBT CORP US N 2 2023-07-15 Fixed 3.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3281.40000000 -0.00026835670 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4046480.57000000 TRY 583000.00000000 USD 2020-07-27 -3281.40000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -1030000.00000000 NC -21071.54000000 -0.00172325501 N/A DIR DE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 1030000.00000000 OU Notional Amount N/A -21071.54000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 1030000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX -5067.21000000 N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBR4 6700000.00000000 PA USD 7640881.00000000 0.624880123312 Long DBT CORP US N 2 2023-09-15 Fixed 5.15000000 N N N N N N Navient Student Loan Trust N/A 63940GAA3 794286.50000000 PA USD 775324.42000000 0.063406931632 Long ABS-O CORP US N 2 2066-03-25 Floating 1.33000000 N N N N N N SUMMIT MATERIALS LLC/FIN N/A 86614RAM9 115000.00000000 PA USD 117300.00000000 0.009592930247 Long DBT CORP US N 2 2027-03-15 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -11229.60000000 -0.00091836973 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 36439382.33000000 TWD 1232726.06000000 USD 2020-07-20 -11229.60000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381VAF7 2073067.90000000 PA USD 282474.37000000 0.023101082081 Long ABS-MBS USGA US N 2 2049-04-20 Floating 5.86000000 N N N N N N AIMCO CLO Series 2017-A 549300MMTPNJGGRMPB33 00900CAA2 3150000.00000000 PA USD 3108375.90000000 0.254206591582 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 2.40000000 N N N N N N Staples Inc XQM2JINI1UL7642TU573 855030AP7 120000.00000000 PA USD 70500.00000000 0.005765571888 Long DBT CORP US N 2 2027-04-15 Fixed 10.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7274.31000000 -0.00059490152 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1844009.35000000 AUD 1265610.00000000 USD 2020-09-16 -7274.31000000 N N N ARCHER-DANIELS-MIDLAND C 549300LO13MQ9HYSTR83 039482AA2 1250000.00000000 PA USD 1357087.50000000 0.110984192051 Long DBT CORP US N 2 2025-03-27 Fixed 2.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9034.39000000 -0.00073884290 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 664168.14000000 USD 2463306647.72000000 COP 2020-07-06 -9034.39000000 N N N Nordstrom Inc 549300S3IZB5P35KNV16 655664AP5 2650000.00000000 PA USD 2650927.50000000 0.216795930088 Long DBT CORP US N 2 2021-10-15 Fixed 4.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828ZN3 610000.00000000 PA USD 610762.50000000 0.049948866670 Long DBT UST US N 1 2027-04-30 Fixed 0.50000000 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BK4 1250000.00000000 PA USD 1249162.50000000 0.102157960193 Long DBT CORP US N 2 2025-10-15 Fixed 4.88000000 N N N N N N RELIANCE STAND LIFE II N/A 75951AAM0 1025000.00000000 PA USD 1046976.00000000 0.085622913376 Long DBT CORP US N 2 2023-01-21 Fixed 2.15000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6929.71000000 -0.00056671973 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 651150.12000000 USD 529111565.00000000 CLP 2020-07-03 -6929.71000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2760000.00000000 OU Notional Amount 20464.43000000 0.001673604855 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2040-05-21 10559.16000000 EUR 0.00000000 EUR 2760000.00000000 EUR 8449.35000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13750.19000000 -0.00112450650 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 730385089.00000000 KRW 595192.96000000 USD 2020-09-02 -13750.19000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PBB1 2050000.00000000 PA USD 2133332.50000000 0.174466409785 Long DBT CORP US N 2 2023-04-01 Fixed 3.21000000 N N N N N N Republic of Colombia 549300MHDRBVRF6B9117 195325BQ7 1510000.00000000 PA USD 1591162.50000000 0.130127117437 Long DBT NUSS CO N 2 2024-02-26 Fixed 4.00000000 N N N N N N Hill-Rom Holdings Inc JLZ01A0E2071OH26RE45 431475AB8 2050000.00000000 PA USD 2111500.00000000 0.172680922576 Long DBT CORP US N 2 2025-02-15 Fixed 5.00000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBF5 700000.00000000 PA USD 785855.00000000 0.064268134696 Long DBT CORP US N 2 2024-10-01 Fixed 4.65000000 N N N N N N SYSCO CORPORATION 5RGWIFLMGH3YS7KWI652 871829BP1 1000000.00000000 PA USD 1170670.00000000 0.095738752371 Long DBT CORP US N 2 2025-04-01 Fixed 5.65000000 N N N N N N CIGNA CORP 549300VIWYMSIGT1U456 125523AB6 1550000.00000000 PA USD 1549829.50000000 0.126746856687 Long DBT CORP US N 2 2021-09-17 Floating 0.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2070000.00000000 OU Notional Amount -160977.58000000 -0.01316493347 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2030-09-16 0.00000000 GBP -120429.92000000 GBP 2070000.00000000 GBP 12919.16000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 1300000.00000000 OU Notional Amount USD -265538.00000000 -0.02171600607 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 -249073.45000000 USD 1300000.00000000 USD -16464.55000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -980000.00000000 NC -9432.85000000 -0.00077142942 N/A DIR DE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 980000.00000000 OU Notional Amount N/A -9432.85000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 980000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX 5841.53000000 N N N BANQUE FED CRED MUTUEL VBHFXSYT7OG62HNT8T76 06675FAR8 2800000.00000000 PA USD 3028900.00000000 0.247706960166 Long DBT CORP FR N 2 2023-07-20 Fixed 3.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20682.87000000 -0.00169146913 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 36449184.91000000 TWD 1223607.42000000 USD 2020-07-20 -20682.87000000 N N N BIO-RAD LABS 549300ZC1GPV35XYDK53 090572AP3 3576000.00000000 PA USD 3633394.80000000 0.297143247050 Long DBT CORP US N 2 2020-12-15 Fixed 4.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5526.52000000 -0.00045196522 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 681406.92000000 USD 545213.21000000 GBP 2020-09-16 -5526.52000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6946.45000000 -0.00056808874 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 997152.14000000 USD 106805962.00000000 JPY 2020-09-16 -6946.45000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RCM2 975000.00000000 PA USD 1018904.25000000 0.083327173055 Long DBT CORP US N 2 2022-06-30 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -73596.53000000 -0.00601880970 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1488188.43000000 USD 7693338.89000000 BRL 2020-07-02 -73596.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7796.42000000 0.000637600283 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 43612284.30000000 MXN 1885699.00000000 USD 2020-09-17 7796.42000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1603.39000000 -0.00013112709 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 799058725.00000000 KRW 664497.90000000 USD 2020-07-15 -1603.39000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9960.61000000 -0.00081459025 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2517264.66000000 CAD 1844531.00000000 USD 2020-09-16 -9960.61000000 N N N Fannie Mae N/A 31396VGA0 16571.87000000 PA USD 16555.10000000 0.001353895307 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 0.53000000 N N N N N N Barclays Bank PLC G5GSEF7VJP5I7OUK5573 06739GBP3 1100000.00000000 PA USD 1112001.00000000 0.090940733405 Long DBT CORP GB N 2 2020-10-14 Fixed 5.14000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 28.00000000 NC USD 28093.13000000 0.002297488802 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US Treasury Ultra Long Bond WNU0 Comdty 2020-09-21 6076781.87000000 USD 28093.13000000 N N N Acadia Healthcare Co Inc 5493005CW985Y9D0NC11 00404AAM1 120000.00000000 PA USD 122100.00000000 0.009985479823 Long DBT CORP US N 2 2024-03-01 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -293.63000000 -0.00002401340 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 629394.29000000 USD 594667.46000000 CHF 2020-09-16 -293.63000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2012.21000000 0.000164560871 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1762929.28000000 USD 1568237.32000000 EUR 2020-09-16 2012.21000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2549.45000000 -0.00020849698 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 594130.22000000 USD 42349423.84000000 RUB 2020-08-17 -2549.45000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -15260000.00000000 NC -53050.55000000 -0.00433853559 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 N/A 15260000.00000000 OU Notional Amount N/A -53050.55000000 0.00000000 DIR US Euribor 6 Month EUR006M Index 2025-09-30 0.00000000 N/A 0.00000000 N/A 15260000.00000000 EUR 1.00000000 -0.35000000 EUR 2020-09-28 XXXX -20825.83000000 N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAA5 4343000.00000000 PA USD 4661732.77000000 0.381241920685 Long DBT CORP BM N 2 2022-11-01 Fixed 5.00000000 N N N N N N UKRAINE GOVERNMENT 6354001WLTJXOMEXPY07 000000000 1500000.00000000 PA USD 1550250.00000000 0.126781245666 Long DBT NUSS UA N 2 2021-09-01 Fixed 7.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USV5 5376179.72000000 PA USD 5745839.92000000 0.469901462638 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 4.50000000 N N N N N N ITC Holdings Corp 549300HTO5U9D3SLE207 465685AM7 4050000.00000000 PA USD 4223299.50000000 0.345386338610 Long DBT CORP US N 2 2022-11-15 Fixed 2.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 27750000.00000000 OU Notional Amount -46005.28000000 -0.00376236523 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Norwegian Interbank Offer Rate 6 Months NIBOR6M Index Y 2030-09-16 0.00000000 NOK -322402.15000000 NOK 27750000.00000000 NOK 38240.35000000 N N N PACIFIC GAS & ELECTRIC 1HNPXZSMMB7HMBMVBS46 694308JE8 5575000.00000000 PA USD 5583585.50000000 0.456632107706 Long DBT CORP US N 2 2022-06-16 Fixed 1.75000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378UYN1 203146.46000000 PA USD 39899.20000000 0.003263002920 Long ABS-MBS USGA US N 2 2043-06-20 Floating 5.91000000 N N N N N N COMMSCOPE INC 549300Z6K4JXMFE8QY54 000000000 750000.00000000 PA USD 759360.00000000 0.062101342821 Long DBT CORP US N 2 2024-03-01 Fixed 5.50000000 N N N N N N DISH DBS Corp N/A 25470XAE5 2565000.00000000 PA USD 2613093.75000000 0.213701842068 Long DBT CORP US N 2 2021-06-01 Fixed 6.75000000 N N N N N N SUMITOMO MITSUI FINL GRP 35380028MYWPB6AUO129 86562MCA6 1925000.00000000 PA USD 1926405.25000000 0.157543658927 Long DBT CORP JP N 2 2025-07-08 Fixed 1.47000000 N N N N N N TELECOM ITALIA SPA 549300W384M3RI3VXU42 87927YAA0 1125000.00000000 PA USD 1175625.00000000 0.096143978026 Long DBT CORP IT N 2 2024-05-30 Fixed 5.30000000 N N N N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAA1 1075000.00000000 PA USD 1079902.00000000 0.088315639901 Long DBT CORP US N 2 2025-07-15 Fixed 1.75000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAF0 2125000.00000000 PA USD 2165290.00000000 0.177079931255 Long DBT CORP US N 2 2023-06-01 Fixed 1.35000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -12481.18000000 -0.00102072539 N/A DFE ZA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 623193.74000000 USD 10682593.90000000 ZAR 2020-09-16 -12481.18000000 N N N GLOBAL AIR LEASE CO LTD N/A 37960JAA6 1550000.00000000 PA USD 1092750.00000000 0.089366364264 Long DBT CORP KY N 2 2024-09-15 Fixed 6.50000000 N N Y N N N AutoZone Inc GA3JGKJ41LJKXDN23E90 053332AX0 1700000.00000000 PA USD 1830152.00000000 0.149671956341 Long DBT CORP US N 2 2024-04-18 Fixed 3.13000000 N N N N N N FISERV INC GI7UBEJLXYLGR2C7GV83 337738AS7 2975000.00000000 PA USD 3174622.50000000 0.259624315477 Long DBT CORP US N 2 2024-07-01 Fixed 2.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2486.23000000 0.000203326777 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 656315.77000000 USD 894249.93000000 CAD 2020-09-16 2486.23000000 N N N Fiserv Inc GI7UBEJLXYLGR2C7GV83 337738AQ1 1950000.00000000 PA USD 2130141.00000000 0.174205405208 Long DBT CORP US N 2 2023-10-01 Fixed 3.80000000 N N N N N N Parallel Ltd 549300IVH7GEF68EFD31 69915VAN0 844754.01000000 PA USD 833352.37000000 0.068152524784 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.99000000 N N N N N N Prestige Brands Inc 549300JBVP4J6D42I235 74112BAK1 1900000.00000000 PA USD 1957000.00000000 0.160045733119 Long DBT CORP US N 2 2024-03-01 Fixed 6.38000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 61744YAQ1 5175000.00000000 PA USD 5578080.75000000 0.456181922858 Long DBT CORP US N 2 2024-04-24 Fixed 3.74000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3970000.00000000 OU Notional Amount 9205.43000000 0.000752830757 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor CHF 6 Months SF0006M Index Y 2030-09-17 0.00000000 CHF -4965.06000000 CHF 3970000.00000000 CHF 14352.17000000 N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAF1 410000.00000000 PA USD 451061.50000000 0.036888333392 Long DBT CORP US N 2 2027-08-15 Fixed 4.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19456.31000000 -0.00159115963 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1728553.73000000 AUD 1173731.20000000 USD 2020-09-16 -19456.31000000 N N N Educational Services of America Inc N/A 281380AA3 27775.66000000 PA USD 27332.89000000 0.002235315492 Long ABS-O CORP US N 2 2040-09-25 Floating 1.33000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 190.00000000 NC USD 103829.97000000 0.008491335548 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 10 Year US Treasury Note TYU0 Comdty 2020-09-21 26332888.78000000 USD 103829.97000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAF8 1075000.00000000 PA USD 941560.25000000 0.077001890897 Long DBT CORP KY N 2 2024-07-01 Fixed 3.95000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6158.59000000 -0.00050365664 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 47572056.63000000 INR 622426.49000000 USD 2020-07-15 -6158.59000000 N N N Waste Management Inc 549300YX8JIID70NFS41 94106LBF5 1500000.00000000 PA USD 1532940.00000000 0.125365613759 Long DBT CORP US N 2 2024-06-15 Fixed 2.95000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19872.39000000 -0.00162518713 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2576099.27000000 TRY 354912.83000000 USD 2020-07-13 -19872.39000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AD8 225000.00000000 PA USD 245907.00000000 0.020110560089 Long DBT CORP US N 2 2023-04-15 Fixed 5.63000000 N N N N N N ELANCO ANIMAL HEALTH INC 549300SHPNDCE059M934 28414HAE3 500000.00000000 PA USD 525018.00000000 0.042936581865 Long DBT CORP US N 2 2023-08-28 Fixed 5.02000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFH7 4345000.00000000 PA USD 4820690.60000000 0.394241676657 Long DBT CORP US N 2 2024-08-26 Fixed 4.20000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -10144.99000000 -0.00082966906 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 567444.21000000 EUR 506971.68000000 GBP 2020-09-16 -10144.99000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 19801.93000000 0.001619424835 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 38176370.87000000 RUB 553089.16000000 USD 2020-08-17 19801.93000000 N N N HLF FIN SARL LLC/HERBALI N/A 40390DAA3 120000.00000000 PA USD 120600.00000000 0.009862808080 Long DBT CORP US N 2 2026-08-15 Fixed 7.25000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175AY0 6600000.00000000 PA USD 7562610.00000000 0.618479030018 Long DBT CORP US N 2 2025-07-23 Fixed 4.91000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1344.08000000 -0.00010992042 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2231773.81000000 ILS 644283.20000000 USD 2020-09-16 -1344.08000000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAA0 2425000.00000000 PA USD 2506746.75000000 0.205004660883 Long DBT CORP FR N 2 2022-05-22 Fixed 3.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 44880000.00000000 OU Notional Amount USD -364039.63000000 -0.02977158378 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2023-09-16 0.00000000 USD -286066.39000000 USD 44880000.00000000 USD -77973.24000000 N N N Dominican Republic 254900EHU7Q8FGVPI369 000000000 403333.34000000 PA USD 416315.63000000 0.034046775785 Long DBT NUSS DO N 2 2021-05-06 Fixed 7.50000000 N N N N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAD9 4000000.00000000 PA USD 4193960.00000000 0.342986920221 Long DBT CORP US N 2 2025-04-05 Fixed 2.06000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NBC3 1300000.00000000 PA USD 1352754.00000000 0.110629793387 Long DBT CORP US N 2 2022-05-19 Fixed 4.63000000 N N N N N N CREDIT SUISSE NEW YORK ANGGYXNX0JLX3X63JN86 22550L2C4 675000.00000000 PA USD 729762.75000000 0.059680845338 Long DBT CORP CH N 2 2025-04-09 Fixed 2.95000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9651.83000000 -0.00078933786 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1182062.54000000 USD 6376222.65000000 BRL 2020-07-02 -9651.83000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379MTQ7 4730438.99000000 PA USD 775332.20000000 0.063407567889 Long ABS-MBS USGA US N 2 2045-08-20 Floating 5.52000000 N N N N N N South Texas Higher Education Authority Inc N/A 840555CZ7 207176.84000000 PA USD 203288.15000000 0.016625141032 Long ABS-O CORP US N 2 2024-10-01 Floating 2.28000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -67979.30000000 -0.00555942611 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13708221.80000000 BRL 2452582.94000000 USD 2020-07-02 -67979.30000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381YXT6 1019358.70000000 PA USD 144531.10000000 0.011819921235 Long ABS-MBS USGA US N 2 2049-09-20 Floating 5.91000000 N N N N N N ANHEUSER-BUSCH INBEV WOR 549300CRGMZK3K53BF92 035240AK6 2725000.00000000 PA USD 2716416.25000000 0.222151676131 Long DBT CORP US N 2 2024-01-12 Floating 2.05000000 N N N N N N Bowman Park CLO Ltd 549300RY1CYH5GR2HE67 10302VBA2 481109.71000000 PA USD 480968.26000000 0.039334142963 Long ABS-CBDO CORP KY N 2 2025-11-23 Floating 1.54000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18360000.00000000 OU Notional Amount 30767.14000000 0.002516172446 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2028-04-26 0.00000000 AUD -53812.60000000 AUD 18360000.00000000 AUD 732795.65000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7398.93000000 -0.00060509308 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4229112.59000000 TRY 596573.93000000 USD 2020-09-16 -7398.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2150.98000000 -0.00017590964 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4385865.37000000 USD 3597725362.00000000 CLP 2020-08-27 -2150.98000000 N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAH4 2075000.00000000 PA USD 1747627.25000000 0.142922986431 Long DBT CORP KY N 2 2025-02-15 Fixed 2.88000000 N N N N N N Elanco Animal Health Inc 549300SHPNDCE059M934 28414HAF0 1375000.00000000 PA USD 1409368.13000000 0.115259762698 Long DBT CORP US N 2 2021-08-27 Fixed 4.66000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3215.12000000 0.000262936248 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 11210109.68000000 ZAR 644085.20000000 USD 2020-09-16 3215.12000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAU5 4625000.00000000 PA USD 4777995.00000000 0.390749980897 Long DBT CORP US N 2 2023-11-15 Fixed 2.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -12605.07000000 -0.00103085726 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2397817.74000000 TRY 335523.37000000 USD 2020-07-20 -12605.07000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 14635.44000000 0.001196903282 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 582295.61000000 USD 3246443.60000000 BRL 2020-07-02 14635.44000000 N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 228227BD5 5211000.00000000 PA USD 5777065.72000000 0.472455144832 Long DBT US N 2 2023-01-15 Fixed 5.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1354.13000000 -0.00011074232 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 638452.68000000 USD 922955.59000000 AUD 2020-09-16 -1354.13000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GXD4 743420.72000000 PA USD 138965.40000000 0.011364751824 Long ABS-MBS USGA US N 2 2044-10-16 Floating 5.40000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DQ7 2000000.00000000 PA USD 2115840.00000000 0.173035852817 Long DBT CORP US N 2 2025-06-30 Fixed 2.50000000 N N N N N N Fannie Mae N/A 3136ABDT7 67224.65000000 PA USD 84993.21000000 0.006950843436 Long ABS-MBS USGSE US N 2 2042-07-25 Fixed 7.00000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331BB2 650000.00000000 PA USD 671944.00000000 0.054952360804 Long DBT CORP US N 2 2022-06-15 Fixed 2.60000000 N N N N N N The Bancorp Commercial Mortgage Trust 5493007HKNHP2VEB5M24 05972LAA4 601295.14000000 PA USD 578529.08000000 0.047312780142 Long ABS-MBS CORP US N 2 2035-09-15 Floating 1.08000000 N N N N N N BANCO DO BRASIL (CAYMAN) QE0Q0253K88YAGNPE356 000000000 350000.00000000 PA USD 362468.75000000 0.029643115394 Long DBT CORP BR N 2 2024-03-20 Fixed 4.75000000 N N N N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63861VAD9 2075000.00000000 PA USD 2156568.25000000 0.176366656409 Long DBT CORP GB N 2 2023-04-26 Fixed 3.62000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 671.00000000 NC USD 65234.19000000 0.005334927829 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 5 Year US Treasury Note FVU0 Comdty 2020-09-30 84302531.44000000 USD 65234.19000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -39232.24000000 -0.00320845815 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1020922.35000000 USD 9446288.23000000 NOK 2020-09-16 -39232.24000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5306.92000000 0.000434006081 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2277511.44000000 ILS 664165.58000000 USD 2020-09-16 5306.92000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5093.10000000 0.000416519633 N/A DFE IN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 682425.62000000 USD 52032223.50000000 INR 2020-07-15 5093.10000000 N N N WELLS FARGO BANK NA KB1H1DSPRFMYMCUFXT09 94988J6A0 2000000.00000000 PA USD 2031360.00000000 0.166126980291 Long DBT CORP US N 2 2022-09-09 Fixed 2.08000000 N N N N N N Freddie Mac N/A 3137FTLA3 20597766.40000000 PA USD 2470866.86000000 0.202070361803 Long ABS-MBS USGSE US N 2 2050-06-25 Fixed 4.50000000 N N N N N N KREF 2018--FL1 Ltd. 549300N45646UZ8P3S07 48275PAA9 2400000.00000000 PA USD 2368051.44000000 0.193661997332 Long ABS-CBDO CORP KY N 2 2036-06-15 Floating 1.29000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2095.31000000 0.000171356885 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1299787.46000000 USD 9244309.38000000 CNY 2020-09-16 2095.31000000 N N N UMBS, TBA N/A 01F022675 60000000.00000000 PA USD 62526564.00000000 5.113495030566 Long ABS-MBS USGSE US N 2 2050-07-15 Fixed 2.50000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BC5 2325000.00000000 PA USD 2400004.50000000 0.196275155693 Long DBT CORP US N 2 2022-05-13 Fixed 2.90000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2848.61000000 0.000232962634 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 518880.74000000 EUR 586812.61000000 USD 2020-09-16 2848.61000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -11009.87000000 -0.00090039995 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 592748.74000000 USD 3163820.11000000 BRL 2020-07-02 -11009.87000000 N N N CITIZENS BANK NA/RI DRMSV1Q0EKMEXLAU1P80 17401QAS0 3200000.00000000 PA USD 3318752.00000000 0.271411393398 Long DBT CORP US N 2 2022-02-14 Fixed 3.25000000 N N N N N N MACQUARIE BANK LTD 4ZHCHI4KYZG2WVRT8631 55608PBC7 1825000.00000000 PA USD 1871519.25000000 0.153055018095 Long DBT CORP AU N 2 2022-10-17 Fixed 2.10000000 N N N N N N INGERSOLL-RAND GL HLD CO 549300UCF0D858BIOV83 45687AAM4 1875000.00000000 PA USD 1898700.00000000 0.155277891402 Long DBT CORP US N 2 2021-02-21 Fixed 2.90000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UGE6 2130506.26000000 PA USD 2319126.80000000 0.189660883445 Long ABS-MBS USGA US N 2 2048-11-20 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6867.41000000 -0.00056162476 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4220805.10000000 TRY 595919.03000000 USD 2020-09-16 -6867.41000000 N N N CLARIOS GLOBAL LP/US FIN N/A 69867DAC2 120000.00000000 PA USD 120900.00000000 0.009887342429 Long DBT CORP XX N 2 2027-05-15 Fixed 8.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381YEC4 1452635.51000000 PA USD 212568.08000000 0.017384064487 Long ABS-MBS USGA US N 2 2049-08-20 Floating 5.86000000 N N N N N N UNIVISION COMMUNICATIONS 549300YQDE2JSGTL8V47 914906AR3 125000.00000000 PA USD 126137.50000000 0.010315671262 Long DBT CORP US N 2 2023-05-15 Fixed 5.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12270000.00000000 OU Notional Amount 344623.36000000 0.028183698672 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2027-09-16 478013.30000000 AUD 0.00000000 AUD 12270000.00000000 AUD 13909.85000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1949.01000000 -0.00015939230 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 586545.37000000 USD 552599.06000000 CHF 2020-09-16 -1949.01000000 N N N DELL INT LLC / EMC CORP N/A 25272KAG8 6625000.00000000 PA USD 7249075.00000000 0.592837773537 Long DBT CORP US N 2 2023-06-15 Fixed 5.45000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 926.23000000 0.000075748165 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 870047.66000000 CAD 570358.12000000 EUR 2020-09-16 926.23000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3664.43000000 -0.00029968134 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 595284.15000000 USD 2224493528.77000000 COP 2020-07-06 -3664.43000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9397.00000000 -0.00076849757 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3477753885.07000000 IDR 229301.95000000 USD 2020-07-20 -9397.00000000 N N N CHARTER COMM OPT LLC/CAP N/A 161175BQ6 2900000.00000000 PA USD 3207603.00000000 0.262321499075 Long DBT CORP US N 2 2024-02-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5059.49000000 0.000413770968 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 743780.48000000 USD 1084833.78000000 AUD 2020-09-16 5059.49000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBW5 1100000.00000000 PA USD 1136113.00000000 0.092912640772 Long DBT CORP US N 2 2024-04-13 Fixed 3.95000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CZ1 1550000.00000000 PA USD 1587324.00000000 0.129813200448 Long DBT CORP US N 2 2023-05-05 Fixed 1.63000000 N N N N N N WP Carey Inc 54930042CRNE713E3Q67 92936UAC3 230000.00000000 PA USD 240016.50000000 0.019628828157 Long DBT US N 2 2025-02-01 Fixed 4.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11040000.00000000 OU Notional Amount -12057.27000000 -0.00098605754 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2030-03-10 129645.38000000 GBP 0.00000000 GBP 11040000.00000000 GBP 361319.19000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -127962.71000000 -0.01046493905 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1234016.68000000 USD 6015337.71000000 BRL 2020-07-02 -127962.71000000 N N N STATE OF QATAR 52990074F6OJOAXK4P65 74727PBC4 690000.00000000 PA USD 752100.00000000 0.061507611588 Long DBT NUSS QA N 2 2025-04-16 Fixed 3.40000000 N N N N N N UniCredit SpA 549300TRUWO2CD2G5692 904678AJ8 1000000.00000000 PA USD 1056980.00000000 0.086441052116 Long DBT CORP IT N 2 2022-01-14 Fixed 6.57000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2150000.00000000 OU Notional Amount -248690.58000000 -0.02033820449 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2040-06-19 0.00000000 GBP -211359.26000000 GBP 2150000.00000000 GBP 31259.43000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBG4 1100000.00000000 PA USD 1089583.00000000 0.089107363326 Long DBT CORP US N 2 2021-09-09 Floating 1.21000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -5420000.00000000 NC -68297.60000000 -0.00558545705 N/A DIR GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 5420000.00000000 OU Notional Amount N/A -68297.60000000 -0.01000000 DIR GB London Interbank Offer Rate 6 Months BP0006M Index 2030-10-02 0.00000000 N/A 0.00000000 N/A 5420000.00000000 GBP 1.00000000 0.35000000 GBP 2020-10-02 XXXX -7493.99000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1317.93000000 0.000107781846 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 284316.09000000 GBP 353773.94000000 USD 2020-09-16 1317.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -23764.43000000 -0.00194348268 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1920573.40000000 AUD 140433671.00000000 JPY 2020-09-16 -23764.43000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1731.53000000 -0.00014160653 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2455881675.00000000 COP 651427.50000000 USD 2020-07-06 -1731.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -38440.83000000 -0.00314373572 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 597679.53000000 USD 459314328.00000000 CLP 2020-07-03 -38440.83000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381AHF6 2059621.90000000 PA USD 355256.56000000 0.029053294118 Long ABS-MBS USGA US N 2 2048-10-20 Floating 6.01000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1589.76000000 -0.00013001241 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 651600.56000000 USD 6051179.82000000 SEK 2020-09-16 -1589.76000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1860000.00000000 OU Notional Amount -133899.12000000 -0.01095042556 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2050-06-20 0.00000000 GBP -130489.64000000 GBP 1860000.00000000 GBP 101262.06000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381Y7J7 2912016.84000000 PA USD 362500.38000000 0.029645702132 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1371.65000000 0.000112175130 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 42265299.79000000 RUB 591777.29000000 USD 2020-08-17 1371.65000000 N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XAZ3 1150000.00000000 PA USD 1208328.00000000 0.098818467352 Long DBT US N 2 2025-03-15 Fixed 2.40000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPC0 1733669.92000000 PA USD 1881062.38000000 0.153835466351 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 5.00000000 N N N N N N HalseyPoint CLO II, Ltd. 549300RT6H1EOIYTDV62 40638TAA0 5250000.00000000 PA USD 5197500.00000000 0.425057587066 Long ABS-CBDO CORP KY N 2 2031-07-20 Variable 2.20000000 N N N N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YBE8 3875000.00000000 PA USD 4014810.00000000 0.328335825132 Long DBT CORP US N 2 2021-11-14 Fixed 3.38000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDB2 525000.00000000 PA USD 564306.75000000 0.046149661475 Long DBT CORP US N 2 2024-08-15 Variable 3.07000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UPB2 4807764.87000000 PA USD 5141346.35000000 0.420465276344 Long ABS-MBS USGA US N 2 2049-03-20 Fixed 4.50000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAA6 2375000.00000000 PA USD 2425373.75000000 0.198349882425 Long DBT CORP GB N 2 2023-05-21 Fixed 2.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11540000.00000000 OU Notional Amount -263542.02000000 -0.02155277250 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2027-09-16 0.00000000 EUR -237171.52000000 EUR 11540000.00000000 EUR 2955.71000000 N N N Acadia Healthcare Co Inc 5493005CW985Y9D0NC11 00404AAJ8 1950000.00000000 PA USD 1950000.00000000 0.159473264988 Long DBT CORP US N 2 2023-02-15 Fixed 5.63000000 N N N N N N GLOBAL PAYMENTS INC 549300NOMHGVQBX6S778 891906AB5 3800000.00000000 PA USD 4091194.00000000 0.334582597375 Long DBT CORP US N 2 2023-06-01 Fixed 3.75000000 N N N N N N PARK AEROSPACE HOLDINGS 635400CPI3EOIFF6OC33 70014LAA8 900000.00000000 PA USD 843192.00000000 0.068957221155 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -5626.03000000 -0.00046010326 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 572880.95000000 EUR 515552.75000000 GBP 2020-09-16 -5626.03000000 N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874CY1 1875000.00000000 PA USD 2090400.00000000 0.170955340067 Long DBT CORP US N 2 2024-02-15 Fixed 4.13000000 N N N N N N State of Qatar 52990074F6OJOAXK4P65 74727PAZ4 1840000.00000000 PA USD 1969950.00000000 0.161104799161 Long DBT NUSS QA N 2 2024-03-14 Fixed 3.38000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBB5 1400000.00000000 PA USD 1404424.00000000 0.114855426004 Long DBT US N 2 2025-09-15 Fixed 1.30000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10476.43000000 -0.00085677461 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 372772.36000000 USD 1973687.99000000 BRL 2020-08-04 -10476.43000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4072.83000000 0.000333080768 N/A DFE IN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 560454.86000000 USD 42724118.50000000 INR 2020-07-15 4072.83000000 N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAB9 2075000.00000000 PA USD 2147728.75000000 0.175643751832 Long DBT CORP US N 2 2022-09-26 Fixed 2.20000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -9212.75000000 -0.00075342939 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 38059394.03000000 TWD 1289034.70000000 USD 2020-07-15 -9212.75000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4971.06000000 -0.00040653906 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 41024054.27000000 INR 536486.56000000 USD 2020-07-28 -4971.06000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6131.93000000 -0.00050147635 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 788908601.00000000 KRW 651508.14000000 USD 2020-07-15 -6131.93000000 N N N WESTERN UNION CO/THE 28ID94QU1140NC23S047 959802AY5 1025000.00000000 PA USD 1067937.25000000 0.087337148749 Long DBT CORP US N 2 2025-01-10 Fixed 2.85000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GQY6 503242.88000000 PA USD 91914.95000000 0.007516911373 Long ABS-MBS USGA US N 2 2044-09-20 Floating 5.41000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -25654.63000000 -0.00209806544 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1864401.13000000 USD 2495892.44000000 CAD 2020-09-16 -25654.63000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -907.49000000 -0.00007421558 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 7620895.81000000 TRY 1087456.59000000 USD 2020-09-16 -907.49000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380YR64 862375.88000000 PA USD 164185.93000000 0.013427316062 Long ABS-MBS USGA US N 2 2048-09-20 Floating 6.01000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -55261.37000000 -0.00451933902 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 617183.98000000 USD 3056048.20000000 BRL 2020-07-02 -55261.37000000 N N N ADT SEC CORP 5493009JEEDYLVRA0J13 00101JAH9 2050000.00000000 PA USD 2044875.00000000 0.167232252689 Long DBT CORP US N 2 2023-06-15 Fixed 4.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2293.70000000 -0.00018758145 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 639392.25000000 USD 922955.59000000 AUD 2020-09-16 -2293.70000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1290.10000000 -0.00010550587 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 602027.62000000 USD 533784.83000000 EUR 2020-09-16 -1290.10000000 N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDA4 2125000.00000000 PA USD 2169433.75000000 0.177418811943 Long DBT CORP US N 2 2021-08-15 Variable 2.72000000 N N N N N N ALBERTSONS COS/SAFEWAY N/A 013093AB5 2431000.00000000 PA USD 2491775.00000000 0.203780253778 Long DBT CORP US N 2 2024-06-15 Fixed 6.63000000 N N N N N N Calpine Corp 43R4VPJBXTU2O15HEF41 131347CF1 2560000.00000000 PA USD 2585600.00000000 0.211453371258 Long DBT CORP US N 2 2025-01-15 Fixed 5.75000000 N N N N N N TURKIYE VAKIFLAR BANKASI 789000KAIHOLSQKQ9858 90015WAJ2 380000.00000000 PA USD 348412.50000000 0.028493578942 Long DBT CORP TR N 2 2025-02-05 Fixed 5.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -17488.34000000 -0.00143021675 N/A DFE MX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1410563.10000000 USD 32352675.26000000 MXN 2020-09-17 -17488.34000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -11218.44000000 -0.00091745705 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1916838.00000000 USD 7165140444.00000000 COP 2020-07-06 -11218.44000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2E3 1650000.00000000 PA USD 1746937.50000000 0.142866577874 Long DBT CORP FR N 2 2023-03-01 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -3877.79000000 -0.00031713017 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2441997.09000000 PLN 545137.31000000 EUR 2020-09-16 -3877.79000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -16117.12000000 -0.00131807679 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1295750.01000000 USD 1853785.92000000 AUD 2020-09-16 -16117.12000000 N N N ReadyCap Commercial Mortgage Trust N/A 75574WAA5 35349.20000000 PA USD 33880.51000000 0.002770787461 Long ABS-CBDO CORP US N 2 2035-06-25 Floating 1.03000000 N N N N N N SPDR Portfolio Short Term Corporate Bond ETF 549300D2BO7L1J2SO973 78464A474 600013.00000000 NS USD 18804407.42000000 1.537846280741 Long EC RF US N 1 N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAF8 250000.00000000 PA USD 251462.50000000 0.020564895331 Long DBT CORP IE N 2 2021-05-15 Fixed 4.50000000 N N N N N N USA COM PART/USA COM FIN N/A 91740PAC2 120000.00000000 PA USD 116550.00000000 0.009531594376 Long DBT CORP US N 2 2026-04-01 Fixed 6.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1175.77000000 0.000096155836 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2438034282.11000000 COP 649588.16000000 USD 2020-07-06 1175.77000000 N N N GENESIS ENERGY LP/GENESI N/A 37185LAG7 1285000.00000000 PA USD 1156500.00000000 0.094579913312 Long DBT CORP US N 2 2023-05-15 Fixed 6.00000000 N N N N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAF2 640000.00000000 PA USD 720000.00000000 0.058882436303 Long DBT CORP US N 2 2023-09-15 Fixed 7.88000000 N N N N N N SSM HEALTH CARE 5493000QP6H63JFPC580 784710AB1 2335000.00000000 PA USD 2507159.55000000 0.205038420146 Long DBT CORP US N 2 2023-06-01 Fixed 3.69000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -6535.68000000 -0.00053449550 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 586968.47000000 EUR 527608.35000000 GBP 2020-09-16 -6535.68000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 3268.68000000 0.000267316447 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 553209.70000000 EUR 591611.30000000 CHF 2020-09-16 3268.68000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -64802.13000000 -0.00529959346 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6324370.57000000 CHF 6625770.23000000 USD 2020-09-16 -64802.13000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -151773.54000000 -0.01241221639 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 14837700.75000000 USD 13049168.65000000 EUR 2020-09-16 -151773.54000000 N N N Educational Funding of the South, Inc. N/A 28148WAD5 1844127.21000000 PA USD 1787399.09000000 0.146175573702 Long ABS-O CORP US N 2 2036-03-25 Floating 1.23000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9625.64000000 0.000787196019 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3219050.88000000 USD 22925938.73000000 CNY 2020-09-16 9625.64000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3895.97000000 -0.00031861695 N/A DFE IN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 764806.76000000 USD 57651133.57000000 INR 2020-07-28 -3895.97000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -187932.12000000 -0.01536930706 N/A DFE MX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3903048.67000000 USD 86279619.01000000 MXN 2020-09-17 -187932.12000000 N N N Energizer Holdings Inc 5493000D6NN0V57UME20 29272WAB5 110000.00000000 PA USD 117425.00000000 0.009603152892 Long DBT CORP US N 2 2027-01-15 Fixed 7.75000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBE8 475000.00000000 PA USD 489482.75000000 0.040030467845 Long DBT CORP US N 2 2023-04-01 Fixed 2.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2511.94000000 0.000205429370 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3597725362.00000000 CLP 4382926.68000000 USD 2020-07-03 2511.94000000 N N N ING Groep NV 549300NYKK9MWM7GGW15 456837AK9 1525000.00000000 PA USD 1670988.25000000 0.136655359992 Long DBT CORP NL N 2 2023-10-02 Fixed 4.10000000 N N N N N N Jeld-Wen Inc 549300XWE6NM0N1HFW16 475795AD2 125000.00000000 PA USD 120000.00000000 0.009813739383 Long DBT CORP US N 2 2027-12-15 Fixed 4.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2527.29000000 0.000206684711 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 371799.64000000 GBP 463433.38000000 USD 2020-09-16 2527.29000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10742.14000000 -0.00087850468 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1246220.05000000 USD 133261612.00000000 JPY 2020-09-16 -10742.14000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13460.31000000 -0.00110079978 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 606261.32000000 USD 42436776.75000000 RUB 2020-08-17 -13460.31000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1562.69000000 0.000127798603 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4303994.93000000 TRY 616229.73000000 USD 2020-09-16 1562.69000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11290.22000000 0.000923327305 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 478440176.00000000 CLP 594254.42000000 USD 2020-08-27 11290.22000000 N N N Sprint Corp 549300ZTTY7CXOLJ6539 85207UAE5 1000000.00000000 PA USD 1046250.00000000 0.085563540253 Long DBT CORP US N 2 2021-09-15 Fixed 7.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12560000.00000000 OU Notional Amount -75810.72000000 -0.00619988873 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor CHF 6 Months SF0006M Index Y 2027-09-16 0.00000000 CHF -69021.88000000 CHF 12560000.00000000 CHF -3270.65000000 N N N KRATON POLYMERS LLC/CAP N/A 50077DAE4 120000.00000000 PA USD 120000.00000000 0.009813739383 Long DBT CORP US N 2 2025-04-15 Fixed 7.00000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBK1 846000.00000000 PA USD 870677.82000000 0.071205043440 Long DBT CORP US N 2 2023-05-09 Fixed 3.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -4548.79000000 -0.00037200532 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 740517.33000000 CAD 480702.46000000 EUR 2020-09-16 -4548.79000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1591.63000000 -0.00013016535 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 619655.55000000 EUR 561271.60000000 GBP 2020-09-16 -1591.63000000 N N N American Express Co R4PP93JZOLY261QX3811 025816BL2 646000.00000000 PA USD 551522.50000000 0.045104150661 Long DBT CORP US N 2 2020-09-15 Fixed 3.60000000 N N N N N N XPO Logistics Inc 54930096DB9LCLPN7H13 983793AD2 2100000.00000000 PA USD 2102625.00000000 0.171955114767 Long DBT CORP US N 2 2022-06-15 Fixed 6.50000000 N N N N N N American Express Co R4PP93JZOLY261QX3811 025816BW8 1525000.00000000 PA USD 1659383.00000000 0.135706269167 Long DBT CORP US N 2 2023-08-03 Fixed 3.70000000 N N N N N N WPX Energy Inc ZXZE9GCS2BB547GJW219 98212BAE3 120000.00000000 PA USD 118500.00000000 0.009691067641 Long DBT CORP US N 2 2024-09-15 Fixed 5.25000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 21975000.00000000 OU Notional Amount USD 68887.23000000 0.005633677684 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S28.V1 2I65BYDN2 Y sell protection 2022-06-20 299521.31000000 USD 0.00000000 USD 21975000.00000000 USD -230634.08000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3807.00000000 0.000311340881 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 68968600.00000000 JPY 643219.81000000 USD 2020-09-16 3807.00000000 N N N NATIONWIDE BLDG SOCIETY 549300XFX12G42QIKN82 63859UBE2 2725000.00000000 PA USD 2804352.00000000 0.229343163906 Long DBT CORP GB N 2 2023-01-27 Fixed 2.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -24605.20000000 -0.00201224183 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 648835.02000000 USD 6006635.62000000 NOK 2020-09-16 -24605.20000000 N N N Student Loan Consolidation Center Student Loan 5493008KMDJ3GC7JUA63 86386MAY0 2643308.42000000 PA USD 2631225.06000000 0.215184641660 Long ABS-O CORP US N 2 2027-10-25 Floating 1.40000000 N N N N N N Cutwater Ltd 254900Z407FNBKBWKE10 23222TAL4 1112000.87000000 PA USD 1100398.25000000 0.089991847033 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 2.47000000 N N N N N N Bank of America, National Association B4TYDEB6GKMZO031MB27 000000000 -5180000.00000000 NC -18477.05000000 -0.00151107461 N/A DIR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A 5180000.00000000 OU Notional Amount N/A -18477.05000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-09-01 0.00000000 N/A 0.00000000 N/A 5180000.00000000 EUR 1.00000000 0.25600000 EUR 2020-08-27 XXXX 74581.59000000 N N N Tyson Foods Inc WD6L6041MNRW1JE49D58 902494BG7 875000.00000000 PA USD 954458.75000000 0.078056745210 Long DBT CORP US N 2 2023-09-28 Fixed 3.90000000 N N N N N N ENRGY TRANS PT/REG FIN N/A 75886AAJ7 150000.00000000 PA USD 160603.50000000 0.013134340776 Long DBT CORP US N 2 2023-11-01 Fixed 4.50000000 N N N N N N UBER TECHNOLOGIES INC 549300B2FTG34FILDR98 90353TAF7 2030000.00000000 PA USD 2042687.50000000 0.167053356398 Long DBT CORP US N 2 2025-05-15 Fixed 7.50000000 N N N N N N NGPL PipeCo LLC 549300K3NT1HSQFEM073 62912XAE4 215000.00000000 PA USD 221606.95000000 0.018123273774 Long DBT CORP US N 2 2022-08-15 Fixed 4.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H042679 12000000.00000000 PA USD 12814022.40000000 1.047945635777 Long ABS-MBS USGA US N 2 2050-07-21 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13807.10000000 0.001129160675 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 8915867488.62000000 IDR 625756.15000000 USD 2020-07-20 13807.10000000 N N N MUFG UNION BANK NA OX3PU53ZLPQKJ4700D47 90520EAK7 1400000.00000000 PA USD 1444002.00000000 0.118092160815 Long DBT CORP US N 2 2022-12-09 Fixed 2.10000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1585.95000000 -0.00012970083 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 664168.14000000 USD 544192475.00000000 CLP 2020-07-03 -1585.95000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7916.22000000 0.000647397666 N/A DFE KR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1167987.03000000 USD 1410414422.00000000 KRW 2020-09-02 7916.22000000 N N N New Hampshire Higher Education Loan Corp 254900HSRKF2XFNCHT93 644617AC6 1484683.24000000 PA USD 1403186.45000000 0.114754217727 Long DBT MUN US N 2 2037-10-25 Variable 1.84000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380ABR7 1933089.59000000 PA USD 217175.66000000 0.017760877731 Long ABS-MBS USGA US N 2 2045-10-20 Fixed 4.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 -980000.00000000 NC -20048.65000000 -0.00163960188 N/A DIR DE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Call Written Citibank, National Association E57ODZWZ7FF32TWEFA76 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A 980000.00000000 OU Notional Amount N/A -20048.65000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 980000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX -4774.27000000 N N N REPUBLIC OF TURKEY 5493000PCHOG3B6S3Q85 900123CX6 200000.00000000 PA USD 186375.00000000 0.015241963980 Long DBT NUSS TR N 2 2025-03-13 Fixed 4.25000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380YR23 934059.72000000 PA USD 143329.78000000 0.011721675890 Long ABS-MBS USGA US N 2 2048-09-20 Floating 6.01000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -6522.31000000 -0.00053340208 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 615942.03000000 EUR 553922.83000000 GBP 2020-09-16 -6522.31000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7090000.00000000 OU Notional Amount -433693.96000000 -0.03546799579 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2027-09-16 0.00000000 GBP -273246.65000000 GBP 7090000.00000000 GBP -84853.61000000 N N N Newark BSL CLO 1 Ltd. 549300R0C043JWD1XY94 65023TAJ1 3000000.00000000 PA USD 2946810.00000000 0.240993544616 Long ABS-CBDO CORP KY N 2 2029-12-21 Floating 2.09000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12720000.00000000 OU Notional Amount 190584.28000000 0.015586203788 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2030-03-19 253582.33000000 AUD 0.00000000 AUD 12720000.00000000 AUD 370071.70000000 N N N SUNCOR ENERGY INC 549300W70ZOQDVLCHY06 867224AC1 3375000.00000000 PA USD 3523871.25000000 0.288186283916 Long DBT CORP CA N 2 2023-05-15 Fixed 2.80000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VAE0 2530000.00000000 PA USD 2720913.80000000 0.222519490994 Long DBT CORP US N 2 2023-07-15 Fixed 4.50000000 N N N N N N DaVita Inc M2XHYMU3TZNEZURC6H66 23918KAR9 1925000.00000000 PA USD 1968312.50000000 0.160970882509 Long DBT CORP US N 2 2025-05-01 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 4115.57000000 0.000336576094 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6340197.35000000 NOK 589117.22000000 EUR 2020-09-16 4115.57000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5124.30000000 -0.00041907120 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 19808858.46000000 TWD 670577.47000000 USD 2020-07-15 -5124.30000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 4695.87000000 0.000384033703 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 573285.80000000 EUR 6050045.57000000 SEK 2020-09-16 4695.87000000 N N N CenturyLink Inc 8M3THTGWLTYZVE6BBY25 156700AR7 1810000.00000000 PA USD 1848462.50000000 0.151169410299 Long DBT CORP US N 2 2021-06-15 Fixed 6.45000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -17379.71000000 -0.00142133287 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 596643.51000000 USD 2178035200.38000000 COP 2020-07-06 -17379.71000000 N N N TRONOX INC 549300EPZ4YXC7E5P181 897051AB4 1985000.00000000 PA USD 1982518.75000000 0.162132686135 Long DBT CORP US N 2 2025-05-01 Fixed 6.50000000 N N N N N N CITIZENS BANK NA/RI DRMSV1Q0EKMEXLAU1P80 75524KNH3 2075000.00000000 PA USD 2197425.00000000 0.179707968880 Long DBT CORP US N 2 2025-04-28 Fixed 2.25000000 N N N N N N MONDELEZ INTL HLDINGS NE 549300CW356R8I7N8D33 60920LAE4 1225000.00000000 PA USD 1262423.75000000 0.103242480621 Long DBT CORP NL N 2 2022-09-19 Fixed 2.13000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 11029500.00000000 OU Notional Amount USD -68366.36000000 -0.00559108033 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.HY.S34.V1 2I65BRTL4 Y sell protection 2025-06-20 0.00000000 USD -632709.20000000 USD 11029500.00000000 USD 564342.84000000 N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBG4 2625000.00000000 PA USD 2850461.25000000 0.233114031928 Long DBT CORP US N 2 2024-04-01 Fixed 3.15000000 N N N N N N Utah State Board of Regents 549300SAYC054T80UK17 917546HX4 292146.74000000 PA USD 288795.55000000 0.023618035524 Long DBT MUN US N 2 2029-05-01 Floating 1.54000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 22826.17000000 0.001866750695 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3123379.35000000 BRL 597129.11000000 USD 2020-07-02 22826.17000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -23046.16000000 -0.00188474173 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1243444.68000000 USD 1656554.31000000 CAD 2020-09-16 -23046.16000000 N N N Whitehorse Ltd 549300GKZTMG24SVKU49 96524WAS3 195317.12000000 PA USD 192506.51000000 0.015743405990 Long ABS-CBDO CORP KY N 2 2026-05-01 Floating 1.59000000 N N N N N N LIONS GATE CAPITAL HOLD 549300MWJHNLR35C0837 53627NAA9 125000.00000000 PA USD 118125.00000000 0.009660399706 Long DBT CORP US N 2 2024-11-01 Fixed 5.88000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LZ2 1045000.00000000 PA USD 1135099.90000000 0.092829788277 Long DBT CORP US N 2 2024-06-01 Fixed 4.04000000 N N N N N N Energizer Holdings Inc 5493000D6NN0V57UME20 29273AAA4 1925000.00000000 PA USD 1982750.00000000 0.162151598028 Long DBT CORP US N 2 2025-06-15 Fixed 5.50000000 N N N N N N Smithfield Foods Inc CVTIPZRZJC0JQEZLL598 832248BA5 2350000.00000000 PA USD 2321753.00000000 0.189875657131 Long DBT CORP US N 2 2021-10-03 Fixed 2.65000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -17600000.00000000 NC -41730.19000000 -0.00341274340 N/A DIR DE N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 17600000.00000000 OU Notional Amount N/A -41730.19000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2025-08-17 0.00000000 N/A 0.00000000 N/A 17600000.00000000 EUR 1.00000000 -0.35000000 EUR 2020-08-13 XXXX 4064.29000000 N N N ABU DHABI GOVT INT'L 213800FER4348CINTA77 000000000 870000.00000000 PA USD 900450.00000000 0.073639846902 Long DBT NUSS AE N 2 2022-10-11 Fixed 2.50000000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GCN8 500000.00000000 PA USD 495000.00000000 0.040481674958 Long DBT CORP US N 2 2023-06-15 Fixed 6.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3268.04000000 -0.00026726410 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2206727154.39000000 COP 583626.59000000 USD 2020-07-06 -3268.04000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HKK5 1230000.00000000 PA USD 1157479.20000000 0.094659993425 Long DBT CORP US N 2 2020-08-01 Fixed 4.49000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BP8 1275000.00000000 PA USD 1278544.50000000 0.104560854281 Long DBT CORP US N 2 2024-02-01 Variable 2.34000000 N N N N N N PUBLIC SERVICE ENTERPRIS PUSS41EMO3E6XXNV3U28 744573AN6 975000.00000000 PA USD 1042070.25000000 0.085221715443 Long DBT CORP US N 2 2024-06-15 Fixed 2.88000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MK4 1275000.00000000 PA USD 1131562.50000000 0.092540495596 Long DBT CORP US N 2 2025-01-30 Fixed 4.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -37036.72000000 -0.00302890598 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 608433.74000000 USD 3107575.33000000 BRL 2020-07-02 -37036.72000000 N N N Freddie Mac N/A 3137BSYA5 1065038.34000000 PA USD 1159396.80000000 0.094816816981 Long ABS-MBS USGSE US N 2 2054-08-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8503.79000000 -0.00069544982 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 663865.30000000 USD 538261985.00000000 CLP 2020-07-03 -8503.79000000 N N N Enbridge Inc 98TPTUM4IVMFCZBCUR27 29250NAQ8 2725000.00000000 PA USD 2826860.50000000 0.231183935180 Long DBT CORP CA N 2 2022-07-15 Fixed 2.90000000 N N N N N N Freddie Mac N/A 3137BPDJ5 593150.21000000 PA USD 117876.33000000 0.009640063184 Long ABS-MBS USGSE US N 2 2046-05-15 Floating 5.82000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -4282.53000000 -0.00035023027 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 12407097.89000000 SEK 1180414.23000000 EUR 2020-09-16 -4282.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -26694.48000000 -0.00218310558 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 487086.06000000 USD 2503865.89000000 BRL 2020-07-02 -26694.48000000 N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAX6 800000.00000000 PA USD 847344.00000000 0.069296776537 Long DBT CORP US N 2 2023-02-15 Fixed 3.20000000 N N N N N N Entercom Media Corp 549300S5JUSXRHNCHD80 124847AC8 120000.00000000 PA USD 103800.00000000 0.008488884567 Long DBT CORP US N 2 2024-11-01 Fixed 7.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6297.38000000 0.000515007051 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13308240.53000000 MXN 579337.28000000 USD 2020-09-17 6297.38000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -10390000.00000000 NC -146605.58000000 -0.01198957461 N/A DIR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 10390000.00000000 OU Notional Amount N/A -146605.58000000 -0.01000000 DIR GB London Interbank Offer Rate 6 Months BP0006M Index 2030-10-21 0.00000000 N/A 0.00000000 N/A 10390000.00000000 GBP 1.00000000 0.35000000 GBP 2020-10-21 XXXX -38945.54000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38377DKS4 133246.95000000 PA USD 25722.54000000 0.002103619198 Long ABS-MBS USGA US N 2 2040-08-20 Floating 5.81000000 N N N N N N Fannie Mae B1V7KEBTPIMZEU4LTD58 3140HHSY2 32867.53000000 PA USD 36054.23000000 0.002948556807 Long ABS-MBS USGSE US N 2 2048-11-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 8506.21000000 0.000695647734 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1832814.82000000 USD 2667495.51000000 AUD 2020-09-16 8506.21000000 N N N AT&T Inc 549300Z40J86GGSTL398 00206RCE0 2400000.00000000 PA USD 2638488.00000000 0.215778613330 Long DBT CORP US N 2 2024-03-11 Fixed 3.90000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2450000.00000000 OU Notional Amount -115729.41000000 -0.00946448557 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2025-09-16 0.00000000 GBP -92095.67000000 GBP 2450000.00000000 GBP -1328.12000000 N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650DE7 365000.00000000 PA USD 388119.10000000 0.031740830811 Long DBT CORP US N 2 2024-08-15 Fixed 2.63000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 2770000.00000000 OU Notional Amount USD 151407.09000000 0.012382247684 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2040-06-19 130612.34000000 USD 0.00000000 USD 2770000.00000000 USD 20794.75000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBG3 4998000.00000000 PA USD 5462364.18000000 0.446718487354 Long DBT CORP US N 2 2023-10-02 Fixed 4.45000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 10355.86000000 0.000846914259 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 140112750.00000000 JPY 1309351.15000000 USD 2020-09-16 10355.86000000 N N N DELL INT LLC / EMC CORP N/A 25272KAD5 5925000.00000000 PA USD 6084797.25000000 0.497621786795 Long DBT CORP US N 2 2021-06-15 Fixed 4.42000000 N N N N N N Educational Services of America Inc N/A 28138JAA2 433945.17000000 PA USD 427444.28000000 0.034956889708 Long ABS-O CORP US N 2 2056-12-25 Floating 1.18000000 N N N N N N Freddie Mac N/A 3137BSCT8 1532522.33000000 PA USD 1645618.19000000 0.134580567017 Long ABS-MBS USGSE US N 2 2044-03-15 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2937.86000000 0.000240261603 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 674506.52000000 CAD 499852.91000000 USD 2020-09-16 2937.86000000 N N N SLC Student Loan Trust N/A 784420AP6 714326.21000000 PA USD 695988.74000000 0.056918767570 Long ABS-O CORP US N 2 2029-06-15 Floating 0.43000000 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AU7 4750000.00000000 PA USD 4763205.00000000 0.389540437518 Long DBT CORP NL N 2 2026-07-01 Fixed 1.40000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -8730.26000000 -0.00071397080 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 597476.75000000 EUR 535378.00000000 GBP 2020-09-16 -8730.26000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2186.06000000 0.000178778525 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 612450.60000000 USD 580995.14000000 CHF 2020-09-16 2186.06000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 994.17000000 0.000081304377 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 624519.30000000 EUR 703846.99000000 USD 2020-09-16 994.17000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20445.44000000 -0.00167205183 N/A DFE ZA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 494258.25000000 USD 8287941.33000000 ZAR 2020-09-16 -20445.44000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -143.66000000 -0.00001174868 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 628697.22000000 USD 594150.31000000 CHF 2020-09-16 -143.66000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4245.90000000 0.000347234633 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1408743.00000000 USD 1335650.37000000 CHF 2020-09-16 4245.90000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 4471.98000000 0.000365723718 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 572846.56000000 EUR 6043359.35000000 SEK 2020-09-16 4471.98000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 52103.22000000 0.004261061851 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 5442415.21000000 CAD 4061579.66000000 USD 2020-09-16 52103.22000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -51758.61000000 -0.00423287924 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 624835.38000000 USD 3116710.74000000 BRL 2020-07-02 -51758.61000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2B8 4375000.00000000 PA USD 4551618.75000000 0.372236668228 Long DBT CORP US N 2 2022-07-22 Fixed 2.63000000 N N N N N N PERUSAHAAN PENERBIT SBSN 254900G208H6Q0L5B953 71567PAN0 3530000.00000000 PA USD 3534412.50000000 0.289048359585 Long DBT NUSS ID N 2 2025-06-23 Fixed 2.30000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 822.73000000 0.000067283815 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 287426.27000000 EUR 261604.18000000 GBP 2020-09-16 822.73000000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBL8 3600000.00000000 PA USD 3751560.00000000 0.306806934359 Long DBT CORP GB N 2 2026-05-07 Fixed 2.85000000 N N N N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967LQ2 975000.00000000 PA USD 1016661.75000000 0.083143778800 Long DBT CORP US N 2 2022-10-27 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11062.75000000 0.000904724544 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 917115340.00000000 CLP 1128896.28000000 USD 2020-09-16 11062.75000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 3560.03000000 0.000291143388 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 312386.94000000 EUR 286472.88000000 GBP 2020-09-16 3560.03000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5162.46000000 0.000422191975 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 546604552.00000000 CLP 671182.79000000 USD 2020-08-27 5162.46000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAG8 4150000.00000000 PA USD 4145186.00000000 0.338998125848 Long DBT CORP US N 2 2023-12-15 Floating 1.32000000 N N N N N N SPRINT COMMUNICATIONS 549300JKU50UT08ZWD77 852061AS9 770000.00000000 PA USD 812350.00000000 0.066434926571 Long DBT CORP US N 2 2022-11-15 Fixed 6.00000000 N N N N N N FORD MOTOR COMPANY 20S05OYHG0MQM4VUIC57 345370CW8 56000.00000000 PA USD 60547.93000000 0.004951680043 Long DBT CORP US N 2 2025-04-22 Fixed 9.00000000 N N N N N N Fannie Mae N/A 3136AWKF3 942288.05000000 PA USD 186576.14000000 0.015258413443 Long ABS-MBS USGSE US N 2 2047-05-25 Floating 5.92000000 N N N N N N ARAB REPUBLIC OF EGYPT 529900GFIVH4086NMH82 03846JW97 550000.00000000 PA USD 544500.00000000 0.044529842454 Long DBT NUSS EG N 2 2023-11-20 Fixed 4.55000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912828W55 100000.00000000 PA USD 102835.94000000 0.008410042620 Long DBT UST US N 1 2022-02-28 Fixed 1.88000000 N N N N N N ZAIS CLO 15 Ltd 549300BTYXZYFTGVBO58 98888DAA0 2625000.00000000 PA USD 2638374.38000000 0.215769321354 Long ABS-CBDO CORP KY N 2 2030-07-28 Floating 2.92000000 N N N N N N AVANGRID INC 549300OX0Q38NLSKPB49 05351WAC7 1375000.00000000 PA USD 1502476.25000000 0.122874252900 Long DBT CORP US N 2 2025-04-15 Fixed 3.20000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12500000.00000000 OU Notional Amount 209598.05000000 0.017141171983 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Sterling Overnight Index Average SONIA Index Y 2025-06-17 0.00000000 GBP -543.02000000 GBP 12500000.00000000 GBP 1258503.34000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 15214.76000000 0.001244280745 N/A DFE KR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1329372.37000000 USD 1612974025.00000000 KRW 2020-07-15 15214.76000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -6400000.00000000 NC USD -28696.96000000 -0.00234687072 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 N/A 6400000.00000000 OU Notional Amount N/A -28696.96000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2025-11-25 0.00000000 N/A 0.00000000 N/A 6400000.00000000 USD 1.00000000 0.41000000 USD 2020-11-23 XXXX 16423.04000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CQ6 2350000.00000000 PA USD 2136338.00000000 0.174712203066 Long DBT CORP US N 2 2022-08-15 Floating 1.84000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAE9 1929000.00000000 PA USD 1919355.00000000 0.156967081293 Long DBT CORP CA N 2 2025-10-15 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4196.00000000 -0.00034315375 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 652071.57000000 USD 575669.31000000 EUR 2020-09-16 -4196.00000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1929.02000000 -0.00015775749 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3481464.50000000 SEK 330581.09000000 EUR 2020-09-16 -1929.02000000 N N N Citigroup Inc 6SHGI4ZSSLCXXQSBB395 172967GT2 5065000.00000000 PA USD 5399999.10000000 0.441618198673 Long DBT CORP US N 2 2023-05-15 Fixed 3.50000000 N N N N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AH9 4275000.00000000 PA USD 4554456.75000000 0.372468763165 Long DBT CORP US N 2 2022-03-15 Fixed 6.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 38660000.00000000 OU Notional Amount 7478.20000000 0.000611575882 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2025-05-16 2196.57000000 AUD 0.00000000 AUD 38660000.00000000 AUD 1015715.57000000 N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BJ9 2525000.00000000 PA USD 2743362.00000000 0.224355330864 Long DBT CORP GB N 2 2024-06-25 Fixed 4.52000000 N N N N N N TARGA RESOURCES PARTNERS N/A 87612BBB7 1950000.00000000 PA USD 1872000.00000000 0.153094334389 Long DBT CORP US N 2 2025-02-01 Fixed 5.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 74308.88000000 0.006077066518 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 7693338.89000000 BRL 1486520.63000000 USD 2020-08-04 74308.88000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1816.95000000 -0.00014859228 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 19337701.70000000 TWD 658327.15000000 USD 2020-07-20 -1816.95000000 N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AV4 4000000.00000000 PA USD 4001680.00000000 0.327262038482 Long DBT CORP US N 2 2020-11-13 Floating 1.20000000 N N N N N N NatWest Markets PLC RR3QWICWWIPCS8A4S074 63906AAA8 4125000.00000000 PA USD 4321515.00000000 0.353418516280 Long DBT CORP GB N 2 2022-09-29 Fixed 3.63000000 N N N N N N Nabors Industries Inc 549300VFQWRKICUFNU92 629568AX4 14000.00000000 PA USD 10605.00000000 0.000867289218 Long DBT CORP US N 2 2021-09-15 Fixed 4.63000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1183.11000000 -0.00009675611 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 432304787.00000000 CLP 525566.58000000 USD 2020-08-27 -1183.11000000 N N N PETROBRAS GLOBAL FINANCE 549300FNENFFSMO3GT38 71647NAM1 1130000.00000000 PA USD 1196740.63000000 0.097870838774 Long DBT CORP NL N 2 2024-03-17 Fixed 6.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 19599.57000000 0.001602875600 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 5151305.31000000 USD 36717164.91000000 CNY 2020-09-16 19599.57000000 N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46625HJH4 6000000.00000000 PA USD 6376860.00000000 0.521507017731 Long DBT CORP US N 2 2023-01-25 Fixed 3.20000000 N N N N N N AMERICAN AXLE & MFG INC RY5TAKFOBLDUGX31MS24 02406PAR1 1635000.00000000 PA USD 1606387.50000000 0.131372235621 Long DBT CORP US N 2 2025-04-01 Fixed 6.25000000 N N N N N N NETAPP INC QTX3D84DZDD5JYOCYH15 64110DAL8 1300000.00000000 PA USD 1317914.00000000 0.107780537720 Long DBT CORP US N 2 2025-06-22 Fixed 1.88000000 N N N N N N JM SMUCKER CO 5493000WDH6A0LHDJD55 832696AH1 275000.00000000 PA USD 285070.50000000 0.023313396608 Long DBT CORP US N 2 2022-03-15 Fixed 3.00000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AU9 2325000.00000000 PA USD 2368826.25000000 0.193725362194 Long DBT CORP US N 2 2025-05-04 Fixed 1.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1856.46000000 -0.00015182345 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 45155500.87000000 INR 594130.22000000 USD 2020-07-28 -1856.46000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4330000.00000000 OU Notional Amount -210871.00000000 -0.01724527531 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2040-06-19 0.00000000 EUR -203172.00000000 EUR 4330000.00000000 EUR 69573.25000000 N N N American Express Co R4PP93JZOLY261QX3811 025816BM0 395000.00000000 PA USD 409409.60000000 0.033481992630 Long DBT CORP US N 2 2022-08-01 Fixed 2.50000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4150000.00000000 OU Notional Amount 12652.49000000 0.001034735328 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2027-04-21 1201.95000000 AUD 0.00000000 AUD 4150000.00000000 AUD 11892.92000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 18270000.00000000 OU Notional Amount -262507.22000000 -0.02146814536 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2030-06-18 0.00000000 EUR -184242.70000000 EUR 18270000.00000000 EUR 400502.96000000 N N N City of Chicago IL T5UYO5SYLC8K73MJQX30 167486C98 2753000.00000000 PA USD 3609127.94000000 0.295158675053 Long DBT MUN US N 2 2042-01-01 Fixed 7.75000000 N N N N N N San Francisco City & County Airport Comm-San Francisco International Airport 54930055TIDYHNDP4F84 79766DLS6 380000.00000000 PA USD 393680.00000000 0.032195607672 Long DBT MUN US N 2 2023-05-01 Fixed 3.15000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382BDB6 4053211.67000000 PA USD 364883.08000000 0.029840562106 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 3.50000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BT5 4375000.00000000 PA USD 4529437.50000000 0.370422659839 Long DBT CORP US N 2 2022-06-06 Fixed 2.89000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7151.81000000 -0.00058488332 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 328166.86000000 USD 1748801.20000000 BRL 2020-08-04 -7151.81000000 N N N COMMSCOPE TECH LLC M4TWC4QDOKW45N7T6Y12 20337YAA5 130000.00000000 PA USD 124800.00000000 0.010206288959 Long DBT CORP US N 2 2025-06-15 Fixed 6.00000000 N N N N N N Celanese US Holdings LLC CD30XVRLT4QO00B1C706 15089QAJ3 900000.00000000 PA USD 951597.00000000 0.077822707971 Long DBT CORP US N 2 2024-05-08 Fixed 3.50000000 N N N N N N UNITED PARCEL SERVICE D01LMJZU09ULLNCY6Z23 911312BX3 1925000.00000000 PA USD 2185548.75000000 0.178736715361 Long DBT CORP US N 2 2025-04-01 Fixed 3.90000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 10813.67000000 0.000884354493 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 575715.17000000 USD 2205351801.66000000 COP 2020-07-06 10813.67000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 959.77000000 0.000078491105 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 597731.27000000 USD 4192128.49000000 TRY 2020-09-16 959.77000000 N N N Wells Fargo Bank NA KB1H1DSPRFMYMCUFXT09 94988J5R4 1400000.00000000 PA USD 1518202.00000000 0.124160323001 Long DBT CORP US N 2 2023-08-14 Fixed 3.55000000 N N N N N N DIAMOND SPORTS GR/DIAMON N/A 25277LAC0 125000.00000000 PA USD 66875.00000000 0.005469115177 Long DBT CORP US N 2 2027-08-15 Fixed 6.63000000 N N N N N N Spectrum Brands Inc 549300VU3EH2E73C1Q04 84762LAU9 1900000.00000000 PA USD 1949875.00000000 0.159463042343 Long DBT CORP US N 2 2025-07-15 Fixed 5.75000000 N N N N N N NATIONAL RETAIL PROP INC 5493008JKH5SOTI0JS97 637417AG1 435000.00000000 PA USD 460443.15000000 0.037655575626 Long DBT US N 2 2024-06-15 Fixed 3.90000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -133923.13000000 -0.01095238912 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6721590704.09000000 COP 1653731.26000000 USD 2020-07-06 -133923.13000000 N N N China Evergrande Group 549300CUF7B1LAB15T90 000000000 230000.00000000 PA USD 211743.75000000 0.017316649822 Long DBT CORP KY N 2 2022-03-23 Fixed 8.25000000 N N N N N N Tenet Healthcare Corp 0W9AIBT6U6ADJ2I8HK17 88033GCU2 1952000.00000000 PA USD 1883680.00000000 0.154049538355 Long DBT CORP US N 2 2025-05-01 Fixed 5.13000000 N N N N N N ALIMENTATION COUCHE-TARD 549300OSW32RVX8CCZ87 01626PAJ5 425000.00000000 PA USD 435837.50000000 0.035643296989 Long DBT CORP CA N 2 2022-07-26 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9782.19000000 0.000799998860 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1290883392.04000000 COP 353101.72000000 USD 2020-07-06 9782.19000000 N N N MARRIOTT INTERNATIONAL 225YDZ14ZO8E1TXUSU86 571900BB4 1650000.00000000 PA USD 1654009.50000000 0.135266818096 Long DBT CORP US N 2 2024-04-15 Fixed 3.60000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7080.16000000 0.000579023708 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 233083.36000000 USD 903016214.98000000 COP 2020-07-06 7080.16000000 N N N Acadia Healthcare Co Inc 5493005CW985Y9D0NC11 00404AAE9 500000.00000000 PA USD 500000.00000000 0.040890580766 Long DBT CORP US N 2 2021-03-15 Fixed 6.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -976.93000000 -0.00007989447 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 46025445.92000000 INR 606491.75000000 USD 2020-07-28 -976.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3894.70000000 -0.00031851308 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1267047.63000000 AUD 870724.00000000 USD 2020-09-16 -3894.70000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CV0 9155000.00000000 PA USD 9824871.35000000 0.803489390912 Long DBT CORP US N 2 2023-03-09 Fixed 3.70000000 N N N N N N Fannie Mae N/A 3136AN2A4 1585978.25000000 PA USD 316230.11000000 0.025861665707 Long ABS-MBS USGSE US N 2 2045-06-25 Floating 5.92000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAP1 7490000.00000000 PA USD 8019243.40000000 0.655823039865 Long DBT CORP US N 2 2024-04-23 Fixed 3.56000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDC3 1850000.00000000 PA USD 2072666.00000000 0.169505032949 Long DBT CORP US N 2 2024-04-01 Fixed 4.45000000 N N N N N N General Mills Inc 2TGYMUGI08PO8X8L6150 370334CC6 2175000.00000000 PA USD 2185788.00000000 0.178756281504 Long DBT CORP US N 2 2023-10-17 Floating 2.14000000 N N N N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAF8 2550000.00000000 PA USD 2871325.50000000 0.234820334528 Long DBT CORP US N 2 2025-04-15 Fixed 4.70000000 N N N N N N INTL LEASE FINANCE CORP N/A 459745GK5 2125000.00000000 PA USD 2283270.00000000 0.186728472692 Long DBT CORP US N 2 2022-01-15 Fixed 8.63000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13692.38000000 -0.00111977874 N/A DFE ID N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 624148.61000000 USD 8894117692.50000000 IDR 2020-07-20 -13692.38000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 35619.28000000 0.002912986091 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 477093785.00000000 CLP 616505.38000000 USD 2020-07-03 35619.28000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3074.17000000 0.000251409193 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2575170.32000000 USD 18307400.84000000 CNY 2020-09-16 3074.17000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382BBF9 4172355.58000000 PA USD 491719.20000000 0.040213367323 Long ABS-MBS USGA US N 2 2049-12-20 Fixed 3.50000000 N N N N N N UMBS, TBA N/A 01F050676 18000000.00000000 PA USD 19658475.00000000 1.607692919460 Long ABS-MBS USGSE US N 2 2050-07-15 Fixed 5.00000000 N N N N N N ANHEUSER-BUSCH INBEV FIN 5493000EYEKDT0FBSQ91 035242AL0 2359000.00000000 PA USD 2510848.83000000 0.205340133750 Long DBT CORP US N 2 2023-02-01 Fixed 3.30000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GGP8 1475000.00000000 PA USD 1476357.00000000 0.120738190296 Long DBT CORP US N 2 2021-07-21 Fixed 2.37000000 N N N N N N BOEING CO RVHJWBXLJ1RFUBSY1F30 097023CT0 5000000.00000000 PA USD 5453400.00000000 0.445985386302 Long DBT CORP US N 2 2025-05-01 Fixed 4.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -82007.88000000 -0.00670669968 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1194626.10000000 USD 913816393.00000000 CLP 2020-07-03 -82007.88000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3140.24000000 -0.00025681247 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 32063277.80000000 TWD 1093910.34000000 USD 2020-08-06 -3140.24000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2664.63000000 0.000217916536 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 651712.26000000 USD 947986.47000000 AUD 2020-09-16 2664.63000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3109.76000000 -0.00025431978 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3074000.00000000 USD 21805541.96000000 CNY 2020-09-16 -3109.76000000 N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAC5 5375000.00000000 PA USD 5597901.25000000 0.457802866370 Long DBT CORP US N 2 2022-10-15 Fixed 3.13000000 N N N N N N Cenovus Energy Inc 549300EIRQ0Z2B9C1W06 15135UAG4 2185000.00000000 PA USD 2121591.30000000 0.173506200811 Long DBT CORP CA N 2 2022-08-15 Fixed 3.00000000 N N N N N N Cedar Funding Ltd 254900Q56WTD2BRLBE32 15032TAS5 3100000.00000000 PA USD 3055143.00000000 0.249853143188 Long ABS-CBDO CORP KY N 2 2030-06-09 Floating 1.54000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 36337.07000000 0.002971687791 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 443080590.00000000 CLP 575810.36000000 USD 2020-07-03 36337.07000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 1600000.00000000 PA USD 1654560.00000000 0.135311838625 Long DBT CORP ES N 2 2025-05-28 Fixed 2.75000000 N N N N N N OCP CLO Ltd 5493006T10144GM16690 67091RAK5 1247555.35000000 PA USD 1240702.53000000 0.101466094019 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.98000000 N N N N N N Level 3 Financing Inc N/A 527298BH5 1925000.00000000 PA USD 1970718.75000000 0.161167668429 Long DBT CORP US N 2 2025-05-01 Fixed 5.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -6800000.00000000 NC USD -49977.28000000 -0.00408720000 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 N/A 6800000.00000000 OU Notional Amount N/A -49977.28000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2026-05-21 0.00000000 N/A 0.00000000 N/A 6800000.00000000 USD 1.00000000 0.48000000 USD 2021-05-19 XXXX 19161.72000000 N N N CommScope Inc 549300Z6K4JXMFE8QY54 20338QAB9 1110000.00000000 PA USD 1122487.50000000 0.091798331555 Long DBT CORP US N 2 2024-03-01 Fixed 5.50000000 N N N N N N Freddie Mac N/A 3137FQJA2 358532.79000000 PA USD 46298.16000000 0.003786317301 Long ABS-MBS USGSE US N 2 2049-12-25 Floating 5.82000000 N N N N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CG4 805000.00000000 PA USD 795943.75000000 0.065093204389 Long DBT CORP US N 2 2025-05-01 Fixed 6.75000000 N N N N N N RALPH LAUREN CORP HO1QNWM0IXBZ0QSMMO20 731572AA1 1450000.00000000 PA USD 1473838.00000000 0.120532183550 Long DBT CORP US N 2 2022-06-15 Fixed 1.70000000 N N N N N N VISTRA OPERATIONS CO LLC 549300ZH5GKBTJZ7NM23 92840VAD4 3325000.00000000 PA USD 3408125.00000000 0.278720421148 Long DBT CORP US N 2 2024-07-15 Fixed 3.55000000 N N N N N N Freddie Mac N/A 3137BTYZ8 7772671.31000000 PA USD 8600586.72000000 0.703365971824 Long ABS-MBS USGSE US N 2 2054-11-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13327.02000000 0.001089899175 N/A DFE TW N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 591457.83000000 USD 17716054.67000000 TWD 2020-07-20 13327.02000000 N N N CARGILL INC QXZYQNMR4JZ5RIRN4T31 141781BL7 1175000.00000000 PA USD 1193976.25000000 0.097644764567 Long DBT CORP US N 2 2023-07-23 Fixed 1.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 470000.00000000 OU Notional Amount 7987.30000000 0.000653210671 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2031-04-07 5737.30000000 EUR 0.00000000 EUR 470000.00000000 EUR 1502.03000000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAD1 2600000.00000000 PA USD 2735356.00000000 0.223700590885 Long DBT CORP ES N 2 2024-06-27 Fixed 2.71000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAS0 1750000.00000000 PA USD 1759957.50000000 0.143931368598 Long DBT US N 2 2025-07-15 Fixed 1.35000000 N N N N N N Goldman Sachs Financial Square Government Fund 549300BRJMXN4GUWZ402 38141W273 138707885.01000000 NS USD 138707885.01000000 11.34369194985 Long EC RF US N 1 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38376VHU4 97419.74000000 PA USD 19829.69000000 0.001621695081 Long ABS-MBS USGA US N 2 2040-02-20 Floating 6.06000000 N N N N N N HUARONG FINANCE II 549300BHVD63HE2GHX17 000000000 270000.00000000 PA USD 296315.63000000 0.024233036401 Long DBT CORP VG N 2 2025-01-16 Fixed 5.50000000 N N N N N N Pennsylvania Higher Education Assistance Agency N/A 69343FAA5 1260246.09000000 PA USD 1232795.91000000 0.100819481452 Long ABS-O CORP US N 2 2065-09-25 Floating 1.33000000 N N N N N N NRG Energy Inc 5E2UPK5SW04M13XY7I38 629377CK6 4525000.00000000 PA USD 4789033.75000000 0.391652742694 Long DBT CORP US N 2 2024-06-15 Fixed 3.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9972.41000000 0.000815555273 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 70458915.00000000 JPY 663202.03000000 USD 2020-09-16 9972.41000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 30235.16000000 0.002472666503 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13707652.15000000 MXN 620473.34000000 USD 2020-09-17 30235.16000000 N N N SASOL Financing USA LLC 549300XRB1PFMESFEL85 80386WAA3 450000.00000000 PA USD 403875.00000000 0.033029366614 Long DBT CORP US N 2 2024-03-27 Fixed 5.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379NPC0 402602.14000000 PA USD 73513.18000000 0.006011993248 Long ABS-MBS USGA US N 2 2045-07-16 Fixed 4.50000000 N N N N N N SCRIPPS ESCROW INC N/A 81104PAA7 120000.00000000 PA USD 113700.00000000 0.009298518066 Long DBT CORP US N 2 2027-07-15 Fixed 5.88000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CAN9 800000.00000000 PA USD 856312.00000000 0.070030189994 Long DBT CORP US N 2 2022-10-15 Fixed 4.40000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2N2 4350000.00000000 PA USD 4494246.00000000 0.367544658093 Long DBT CORP US N 2 2026-04-30 Fixed 2.19000000 N N N N N N DOW CHEMICAL CO/THE ZQUIP1CSZO8LXRBSOU78 260543CT8 1125000.00000000 PA USD 1200195.00000000 0.098153341165 Long DBT CORP US N 2 2024-05-15 Fixed 3.15000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -25192.40000000 -0.00206026373 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 629084.61000000 USD 495989179.00000000 CLP 2020-07-03 -25192.40000000 N N N FREDDIEMAC STRIP S6XOOCT0IEG5ABCC6L87 31325UP26 192900.96000000 PA USD 11349.54000000 0.000928178564 Long ABS-MBS USGSE US N 2 2027-12-15 Fixed 3.00000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GFZ7 3075000.00000000 PA USD 3147723.75000000 0.257424504458 Long DBT CORP US N 2 2022-10-21 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19110.50000000 -0.00156287888 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 42255324.78000000 CNY 5931737.43000000 USD 2020-09-16 -19110.50000000 N N N Oasis Petroleum Inc 529900FA4V2YNIKZ0M71 674215AG3 900000.00000000 PA USD 157500.00000000 0.012880532941 Long DBT CORP US N 2 2022-03-15 Fixed 6.88000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 37100000.00000000 OU Notional Amount USD 414544.27000000 0.033901911907 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S34.V1 2I65BYDW2 Y sell protection 2023-06-20 471556.00000000 USD 0.00000000 USD 37100000.00000000 USD -57011.73000000 N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AQ7 1800000.00000000 PA USD 1852182.00000000 0.151473595329 Long DBT CORP US N 2 2023-09-01 Fixed 2.67000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 17200000.00000000 OU Notional Amount USD 1967.68000000 0.000160919155 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2024-07-25 283.85000000 USD 0.00000000 USD 17200000.00000000 USD 1683.83000000 N N N Banco Santander SA 5493006QMFDDMYWIAM13 05964HAG0 1800000.00000000 PA USD 1913994.00000000 0.156528652486 Long DBT CORP ES N 2 2023-04-12 Fixed 3.85000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -8345.38000000 -0.00068249486 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 597827.85000000 USD 4127648.59000000 TRY 2020-09-16 -8345.38000000 N N N YUZHOU PROPERTIES CO LTD 213800MP59KHGJSPHE82 000000000 200000.00000000 PA USD 195000.00000000 0.015947326498 Long DBT CORP KY N 2 2025-02-20 Fixed 7.70000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 680000.00000000 OU Notional Amount -108715.23000000 -0.00889085778 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2050-09-16 0.00000000 EUR -92473.39000000 EUR 680000.00000000 EUR -4819.87000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 42391.10000000 0.003466793396 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 466204550.00000000 CLP 610019.00000000 USD 2020-07-03 42391.10000000 N N N OCCIDENTAL PETROLEUM COR IM7X0T3ECJW4C1T7ON55 674599CP8 1275000.00000000 PA USD 1187343.75000000 0.097102351013 Long DBT CORP US N 2 2022-08-15 Fixed 2.70000000 N N N N N N PROTECTIVE LIFE GLOBAL 635400EVYITCJYWL2I50 74368CAR5 1725000.00000000 PA USD 1735194.75000000 0.141906242140 Long DBT CORP US N 2 2023-06-09 Fixed 1.08000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -1040000.00000000 NC -10010.37000000 -0.00081865968 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 N/A 1040000.00000000 OU Notional Amount N/A -10010.37000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 1040000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX 6155.21000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380WG86 331460.92000000 PA USD 41287.20000000 0.003376515172 Long ABS-MBS USGA US N 2 2046-04-20 Fixed 4.00000000 N N N N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAG8 1875000.00000000 PA USD 1939106.25000000 0.158582361460 Long DBT CORP US N 2 2025-06-01 Fixed 1.65000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5764.03000000 0.000471389068 N/A DFE IL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 644017.64000000 USD 2246134.53000000 ILS 2020-09-16 5764.03000000 N N N FIRST HORIZON NATIONAL TF3RXI1ZB1TQ30H9JV10 320517AD7 1500000.00000000 PA USD 1555800.00000000 0.127235131112 Long DBT CORP US N 2 2025-05-26 Fixed 4.00000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAK9 1375000.00000000 PA USD 1416511.25000000 0.115843935349 Long DBT CORP GB N 2 2023-03-17 Fixed 2.86000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 27500000.00000000 OU Notional Amount -24684.22000000 -0.00201870418 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Norwegian Interbank Offer Rate 6 Months NIBOR6M Index Y 2025-09-16 0.00000000 NOK -259436.22000000 NOK 27500000.00000000 NOK 2196.06000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -23.00000000 NC USD -7231.20000000 -0.00059137593 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short US Treasury Long Bond USU0 Comdty 2020-09-21 -4097550.05000000 USD -7231.20000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 989.31000000 0.000080906920 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 529640.13000000 EUR 597062.26000000 USD 2020-09-16 989.31000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XBM7 5475000.00000000 PA USD 5535936.75000000 0.452735337586 Long DBT CORP US N 2 2021-07-06 Fixed 3.20000000 N N N N N N STRYKER CORP 5493002F0SC4JTBU5137 863667BA8 1275000.00000000 PA USD 1282599.00000000 0.104892436000 Long DBT CORP US N 2 2025-06-15 Fixed 1.15000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 28300000.00000000 OU Notional Amount -32946.02000000 -0.00269436378 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2025-05-18 3353.44000000 EUR 0.00000000 EUR 28300000.00000000 EUR 618312.56000000 N N N YUM! BRANDS INC 549300JE8XHZZ7OHN517 988498AM3 1875000.00000000 PA USD 2022656.25000000 0.165415177506 Long DBT CORP US N 2 2025-04-01 Fixed 7.75000000 N N N N N N Fannie Mae N/A 3136B06N1 2595622.31000000 PA USD 157452.01000000 0.012876608263 Long ABS-MBS USGSE US N 2 2048-03-25 Floating 2.50000000 N N N N N N CNAC HK Finbridge Co Ltd 549300US1UQ7R7WABI28 000000000 240000.00000000 PA USD 254775.00000000 0.020835795429 Long DBT CORP HK N 2 2023-03-14 Fixed 4.63000000 N N N N N N Cantor Commercial Real Estate Lending N/A 12528YAV5 1200000.00000000 PA USD 776995.28000000 0.063543576503 Long ABS-MBS CORP US N 2 2052-11-15 Fixed 2.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -7000000.00000000 NC USD -77557.90000000 -0.00634277514 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 N/A 7000000.00000000 OU Notional Amount N/A -77557.90000000 -0.01000000 DIR US ICE Libor USD 3 Months US0003M Index 2026-05-20 0.00000000 N/A 0.00000000 N/A 7000000.00000000 USD 1.00000000 0.49000000 USD 2021-05-18 XXXX -6857.90000000 N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90351DAH0 1275000.00000000 PA USD 1312370.25000000 0.107327163405 Long DBT CORP CH N 2 2022-02-01 Fixed 2.65000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1557.38000000 0.000127364345 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 628001.81000000 EUR 708329.52000000 USD 2020-09-16 1557.38000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2C6 2080000.00000000 PA USD 2272774.40000000 0.185870130333 Long DBT CORP US N 2 2024-01-24 Fixed 3.75000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBD6 600000.00000000 PA USD 643086.00000000 0.052592320045 Long DBT CORP US N 2 2023-06-15 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 39.34000000 0.000003217270 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 326175.81000000 USD 308360.09000000 CHF 2020-09-16 39.34000000 N N N Simon Property Group LP MR92GTD0MJTTTTQDVG45 828807DD6 726000.00000000 PA USD 754807.68000000 0.061729048804 Long DBT US N 2 2023-06-01 Fixed 2.75000000 N N N N N N CommScope Inc 549300Z6K4JXMFE8QY54 203372AL1 63000.00000000 PA USD 63000.00000000 0.005152213176 Long DBT CORP US N 2 2021-06-15 Fixed 5.00000000 N N N N N N Montana Higher Education Student Assistance Corp N/A 61205PAK5 1194949.69000000 PA USD 1178904.26000000 0.096412159718 Long ABS-O CORP US N 2 2030-05-20 Floating 1.19000000 N N N N N N SLM Student Loan Trust N/A 78447AAA2 884506.01000000 PA USD 844491.84000000 0.069063523580 Long ABS-O CORP US N 2 2038-12-27 Floating 0.83000000 N N N N N N GOODYEAR TIRE & RUBBER 5493002BI0S2ZQUY3437 382550BE0 2140000.00000000 PA USD 2043700.00000000 0.167136159824 Long DBT CORP US N 2 2023-11-15 Fixed 5.13000000 N N N N N N Exantas Capital Corp N/A 299670AA7 122400.97000000 PA USD 121178.51000000 0.009910119300 Long ABS-CBDO CORP KY N 2 2035-06-15 Floating 1.02000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 7762.41000000 0.000634818906 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 961835.43000000 EUR 1479879.99000000 CAD 2020-09-16 7762.41000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 16226.58000000 0.001327028560 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 45968779.59000000 RUB 658366.28000000 USD 2020-08-17 16226.58000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5328.07000000 0.000435735753 N/A DFE IN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 742011.64000000 USD 56622907.89000000 INR 2020-07-28 5328.07000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -658.35000000 -0.00005384062 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 664252.71000000 EUR 746911.65000000 USD 2020-09-16 -658.35000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -17600000.00000000 NC -41730.19000000 -0.00341274340 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 N/A 17600000.00000000 OU Notional Amount N/A -41730.19000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2025-08-17 0.00000000 N/A 0.00000000 N/A 17600000.00000000 EUR 1.00000000 -0.35000000 EUR 2020-08-13 XXXX 4636.72000000 N N N Sempra Energy PBBKGKLRK5S5C0Y4T545 816851BD0 1350000.00000000 PA USD 1349932.50000000 0.110399047840 Long DBT CORP US N 2 2021-01-15 Floating 1.72000000 N N N N N N PERFORMANCE FOOD GROUP I 549300OMUOGBYK0FFO76 71376LAD2 1970000.00000000 PA USD 2048800.00000000 0.167553243748 Long DBT CORP US N 2 2025-05-01 Fixed 6.88000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAH5 1100000.00000000 PA USD 1098999.00000000 0.089877414743 Long DBT CORP US N 2 2025-07-01 Fixed 3.38000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 6174824M3 4600000.00000000 PA USD 5002454.00000000 0.409106498633 Long DBT CORP US N 2 2022-11-01 Fixed 4.88000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379MNK6 720056.97000000 PA USD 80995.18000000 0.006623879898 Long ABS-MBS USGA US N 2 2045-08-20 Fixed 4.00000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QMS4 1675000.00000000 PA USD 1685569.25000000 0.137847811108 Long DBT CORP IE N 2 2020-11-15 Fixed 2.34000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379EW73 561970.18000000 PA USD 79302.65000000 0.006485462829 Long ABS-MBS USGA US N 2 2043-10-20 Floating 5.91000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4488.44000000 -0.00036706983 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 50597467.63000000 INR 664072.38000000 USD 2020-07-15 -4488.44000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378WUZ4 554915.65000000 PA USD 113975.24000000 0.009321027513 Long ABS-MBS USGA US N 2 2043-08-20 Floating 5.86000000 N N N N N N Freddie Mac N/A 3137ABF48 684374.12000000 PA USD 117938.53000000 0.009645149972 Long ABS-MBS USGSE US N 2 2041-05-15 Floating 5.82000000 N N N N N N Whitehorse Ltd 5493006SRQWF2ZFME608 965249AF2 836870.63000000 PA USD 833407.66000000 0.068157046465 Long ABS-CBDO CORP KY N 2 2026-07-17 Floating 2.29000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6694.52000000 -0.00054748562 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1036583.27000000 NZD 662164.21000000 USD 2020-09-16 -6694.52000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3000000.00000000 OU Notional Amount -153387.65000000 -0.01254422018 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Sterling Overnight Index Average SONIA Index Y 2040-06-17 0.00000000 GBP -125492.34000000 GBP 3000000.00000000 GBP 75513.12000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13959.47000000 -0.00114162167 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 970995.79000000 USD 5204896.70000000 BRL 2020-07-02 -13959.47000000 N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAA9 1600000.00000000 PA USD 1633872.00000000 0.133619949955 Long DBT CORP US N 2 2021-02-15 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -42915.74000000 -0.00350969906 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3549880.49000000 USD 5080489.82000000 AUD 2020-09-16 -42915.74000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2154.39000000 -0.00017618851 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3334321.12000000 NOK 344359.50000000 USD 2020-09-16 -2154.39000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 11900000.00000000 OU Notional Amount 23891.81000000 0.001953899972 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Sterling Overnight Index Average SONIA Index Y 2025-06-17 0.00000000 GBP -12760.23000000 GBP 11900000.00000000 GBP 275716.36000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5267.78000000 0.000430805167 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 588717.51000000 EUR 667828.19000000 USD 2020-09-16 5267.78000000 N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29273RAS8 10075000.00000000 PA USD 10448883.25000000 0.854521808904 Long DBT CORP US N 2 2023-02-01 Fixed 3.60000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4190000.00000000 OU Notional Amount 6931.67000000 0.000566880023 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor CHF 12 Months SF00012M Index Y 2027-04-28 1459.77000000 CHF 0.00000000 CHF 4190000.00000000 CHF 96865.40000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 162023.99000000 0.013250510098 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6080281.77000000 GBP 7699521.61000000 USD 2020-09-16 162023.99000000 N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 74977RDF8 2700000.00000000 PA USD 2865456.00000000 0.234340320000 Long DBT CORP NL N 2 2024-07-22 Fixed 2.63000000 N N N N N N AIG GLOBAL FUNDING 54930057MDZ7KOVOTV71 00138CAM0 1125000.00000000 PA USD 1125045.00000000 0.092007486876 Long DBT CORP US N 2 2023-07-07 Fixed 0.80000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 465.68000000 0.000038083851 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 547435.86000000 EUR 836919.94000000 CAD 2020-09-16 465.68000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 14223.91000000 0.001163247881 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1835603.48000000 EUR 2080067.32000000 USD 2020-09-16 14223.91000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1104.79000000 0.000090351009 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4188375.04000000 TRY 607944.82000000 USD 2020-07-27 1104.79000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2602.35000000 -0.00021282320 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 610317.87000000 USD 4255319.29000000 TRY 2020-09-16 -2602.35000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6818.18000000 0.000557598679 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6319335.26000000 NOK 663544.80000000 USD 2020-09-16 6818.18000000 N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AM1 375000.00000000 PA USD 414416.25000000 0.033891442283 Long DBT US N 2 2024-01-15 Fixed 4.00000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -4490000.00000000 NC -35654.64000000 -0.00291587787 N/A DIR GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 4490000.00000000 OU Notional Amount N/A -35654.64000000 0.00000000 DIR US London Interbank Offer Rate 6 Months BP0006M Index 2030-08-13 0.00000000 N/A 0.00000000 N/A 4490000.00000000 GBP 1.00000000 0.34000000 GBP 2020-08-13 XXXX -8219.61000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -25921.21000000 -0.00211986666 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 522563.96000000 USD 407902976.00000000 CLP 2020-07-03 -25921.21000000 N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBK5 2050000.00000000 PA USD 2135218.50000000 0.174620649056 Long DBT CORP US N 2 2022-12-01 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382ET31 8781287.65000000 PA USD 822147.18000000 0.067236151331 Long ABS-MBS USGA US N 2 2050-05-20 Fixed 5.00000000 N N N N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 250000.00000000 PA 289564.46000000 0.023680917877 Long DBT NUSS ID N 2 2024-07-18 Fixed 2.15000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 969457BU3 3250000.00000000 PA USD 3436517.50000000 0.281042392777 Long DBT CORP US N 2 2023-01-15 Fixed 3.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379LKS4 867748.85000000 PA USD 147039.09000000 0.012025027570 Long ABS-MBS USGA US N 2 2045-04-20 Floating 5.41000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38382AES0 1645637.90000000 PA USD 196047.48000000 0.016032990629 Long ABS-MBS USGA US N 2 2049-10-20 Fixed 4.00000000 N N N N N N Altria Group Inc XSGZFLO9YTNO9VCQV219 02209SBB8 2350000.00000000 PA USD 2571652.00000000 0.210312687617 Long DBT CORP US N 2 2024-02-14 Fixed 3.80000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 48128BAG6 1700000.00000000 PA USD 1515125.00000000 0.123908682367 Long DBT CORP US N 2 2025-02-01 Fixed 4.60000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -12609.32000000 -0.00103120483 N/A DFE AU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 668267.57000000 USD 949842.76000000 AUD 2020-09-16 -12609.32000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAR2 1125000.00000000 PA USD 1123323.75000000 0.091866721052 Long DBT CORP IE N 2 2022-02-01 Fixed 3.95000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5140000.00000000 OU Notional Amount USD 40403.48000000 0.003304243524 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2025-09-16 41133.48000000 USD 0.00000000 USD 5140000.00000000 USD -730.00000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4850.40000000 -0.00039667134 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 572685.49000000 USD 536755.20000000 CHF 2020-09-16 -4850.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 8680000.00000000 OU Notional Amount -270442.19000000 -0.02211707642 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 6 Months BP0006M Index Y 2030-06-18 0.00000000 GBP -166819.90000000 GBP 8680000.00000000 GBP -61213.19000000 N N N OTIS WORLDWIDE CORP 549300ZLBKR8VSU25153 68902VAC1 3000000.00000000 PA USD 2964570.00000000 0.242445978044 Long DBT CORP US N 2 2023-04-05 Floating 2.09000000 N N N N N N FIRSTENERGY CORP 549300SVYJS666PQJH88 337932AK3 850000.00000000 PA USD 880132.50000000 0.071978258152 Long DBT CORP US N 2 2025-03-01 Fixed 2.05000000 N N N N N N SMBC AVIATION CAPITAL FI 549300OD7VKRVNWB2J98 78448TAE2 1200000.00000000 PA USD 1223436.00000000 0.100054017140 Long DBT CORP IE N 2 2024-04-15 Fixed 3.55000000 N N N N N N Netflix Inc 549300Y7VHGU0I7CE873 64110LAL0 1100000.00000000 PA USD 1215500.00000000 0.099405001842 Long DBT CORP US N 2 2025-02-15 Fixed 5.88000000 N N N N N N KAISA GROUP HOLDINGS LTD 254900N8L3L7NRJT0120 000000000 200000.00000000 PA USD 204442.00000000 0.016719504226 Long DBT CORP KY N 2 2023-01-30 Fixed 11.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1242.36000000 -0.00010160164 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 40376415.84000000 INR 531667.38000000 USD 2020-07-28 -1242.36000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1200000.00000000 OU Notional Amount 14173.52000000 0.001159126928 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 BBA LIBOR AUD National Australia Bank 6 Month AU1306M Index Y 2040-04-21 0.00000000 AUD -818.24000000 AUD 1200000.00000000 AUD 14690.69000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 31700000.00000000 OU Notional Amount USD 377797.43000000 0.030896712649 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S34.V1 2I65BYDW2 Y sell protection 2025-06-20 325604.15000000 USD 0.00000000 USD 31700000.00000000 USD 52193.28000000 N N N Newfield Exploration Co T8W3X1PFLPW2YE0UIP44 651290AP3 125000.00000000 PA USD 125097.50000000 0.010230618854 Long DBT CORP US N 2 2022-01-30 Fixed 5.75000000 N N N N N N HUARONG FINANCE 2019 549300M6T6OW4AGYHK10 000000000 380000.00000000 PA USD 390687.50000000 0.031950877546 Long DBT CORP VG N 2 2024-05-29 Fixed 3.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 20150.28000000 0.001647913303 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 44440630.00000000 RUB 640943.20000000 USD 2020-08-17 20150.28000000 N N N Freddie Mac N/A 3137FQHS5 673575.74000000 PA USD 85814.42000000 0.007018002943 Long ABS-MBS USGSE US N 2 2049-12-25 Floating 5.82000000 N N N N N N NORTHSTAR EDUCATION FINANCE, INC. 25490059JOHYRUHEXW19 66705EAA6 57651.07000000 PA USD 54659.99000000 0.004470157471 Long ABS-O CORP US N 2 2031-12-26 Floating 0.88000000 N N N N N N MICROCHIP TECHNOLOGY INC 5493007PTFULNYZJ1R12 595017AN4 1125000.00000000 PA USD 1147142.25000000 0.093814625648 Long DBT CORP US N 2 2021-06-01 Fixed 3.92000000 N N N N N N CIT BANK NA FVPV0TNOIM6NUIE59530 12556LBJ4 1050000.00000000 PA USD 982222.50000000 0.080327296933 Long DBT CORP US N 2 2025-09-27 Fixed 2.97000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5026.23000000 -0.00041105092 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 670145.41000000 USD 71741351.00000000 JPY 2020-09-16 -5026.23000000 N N N INTL FLAVOR & FRAGRANCES BZLRL03D3GPGMOGFO832 459506AJ0 1375000.00000000 PA USD 1380802.50000000 0.112923632297 Long DBT CORP US N 2 2020-09-25 Fixed 3.40000000 N N N N N N BAT Capital Corp 2138005GYEXN7XRHFA84 05526DAV7 4925000.00000000 PA USD 5100182.25000000 0.417098828433 Long DBT CORP US N 2 2022-08-15 Fixed 2.76000000 N N N N N N Bacardi Ltd 549300R32WTQNHNN5055 067316AC3 2125000.00000000 PA USD 2143487.50000000 0.175296897480 Long DBT CORP BM N 2 2021-01-15 Fixed 4.50000000 N N N N N N BP CAP MARKETS AMERICA 5493009NTB34VXE1T760 10373QBH2 2050000.00000000 PA USD 2169351.00000000 0.177412044552 Long DBT CORP US N 2 2023-04-06 Fixed 2.94000000 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAU2 2950000.00000000 PA USD 3037172.50000000 0.248383494825 Long DBT CORP NL N 2 2021-06-01 Fixed 4.13000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 1650000.00000000 OU Notional Amount USD 20010.54000000 0.001636485204 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S33.V1 2I65BYDV4 Y sell protection 2024-12-20 0.00000000 USD -7216.01000000 USD 1650000.00000000 USD 27226.55000000 N N N BAUSCH HEALTH AMERICAS KOO0397YRO83WY5MGD97 91911XAV6 110000.00000000 PA USD 119350.00000000 0.009760581628 Long DBT CORP US N 2 2026-04-01 Fixed 9.25000000 N N N N N N Access To Loans For Learning Student Loan Corp. N/A 00434MAC1 457872.45000000 PA USD 443957.94000000 0.036307396004 Long ABS-O CORP US N 2 2041-02-25 Floating 0.98000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5802.61000000 -0.00047454418 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 664620.79000000 USD 541101016.00000000 CLP 2020-07-03 -5802.61000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 700000.00000000 OU Notional Amount -43582.44000000 -0.00356422256 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2050-06-20 0.00000000 EUR -36178.41000000 EUR 700000.00000000 EUR -3111.46000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1588.56000000 0.000129914281 N/A DFE KR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 651600.56000000 USD 783569221.00000000 KRW 2020-07-15 1588.56000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAX2 3586000.00000000 PA USD 3544689.28000000 0.289888806590 Long DBT CORP US N 2 2023-01-15 Fixed 2.75000000 N N N N N N Ryder System Inc ZXJ6Y2OSPZXIVGRILD15 78355HKM0 2350000.00000000 PA USD 2438712.50000000 0.199440740894 Long DBT CORP US N 2 2022-06-01 Fixed 2.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3527.78000000 -0.00028850594 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 32093032.56000000 TWD 1094540.86000000 USD 2020-08-06 -3527.78000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UH62 10525851.14000000 PA USD 11442114.90000000 0.935749446912 Long ABS-MBS USGA US N 2 2048-12-20 Fixed 5.00000000 N N N N N N STEEL DYNAMICS INC 549300HGGKEL4FYTTQ83 858119BL3 345000.00000000 PA USD 354632.40000000 0.029002249589 Long DBT CORP US N 2 2025-06-15 Fixed 2.40000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 203.93000000 0.000016677632 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 280265187.00000000 CLP 341698.18000000 USD 2020-08-27 203.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 22315.62000000 0.001824997323 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3126156.00000000 BRL 597129.11000000 USD 2020-07-02 22315.62000000 N N N CONTINENTAL RESOURCES XXRTID9RYWOZ0UPIVR53 212015AN1 2000000.00000000 PA USD 1890000.00000000 0.154566395296 Long DBT CORP US N 2 2024-06-01 Fixed 3.80000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 30948.66000000 0.002531017362 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2480729.30000000 BRL 487086.06000000 USD 2020-07-02 30948.66000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 8186.69000000 0.000669517017 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 582497.01000000 USD 42285205.45000000 RUB 2020-08-17 8186.69000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -17821.24000000 -0.00145744170 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 597721.66000000 USD 41513263.59000000 RUB 2020-08-17 -17821.24000000 N N N McKesson Corp 549300WZWOM80UCFSF54 581557AZ8 675000.00000000 PA USD 703086.75000000 0.057499251073 Long DBT CORP US N 2 2022-12-15 Fixed 2.70000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381YXM1 974778.18000000 PA USD 158077.24000000 0.012927740299 Long ABS-MBS USGA US N 2 2049-09-20 Floating 5.91000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1507.77000000 0.000123307181 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 283355.22000000 EUR 3083081.89000000 NOK 2020-09-16 1507.77000000 N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAD6 2650000.00000000 PA USD 2704086.50000000 0.221143334854 Long DBT CORP US N 2 2023-02-15 Fixed 1.92000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -23650.05000000 -0.00193412855 N/A DFE MX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 643747.22000000 USD 14401095.25000000 MXN 2020-09-17 -23650.05000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -28693.25000000 -0.00234656731 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 644141.35000000 USD 505480269.00000000 CLP 2020-07-03 -28693.25000000 N N N TEXAS EASTERN TRANSMISSI 549300SIOULUXXIDGA69 882384AB6 1225000.00000000 PA USD 1230806.50000000 0.100656785191 Long DBT CORP US N 2 2020-12-01 Fixed 4.13000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAT7 1325000.00000000 PA USD 1439692.00000000 0.117739684009 Long DBT US N 2 2024-05-15 Fixed 3.38000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13879.28000000 0.001135063639 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 452764459.00000000 CLP 565143.18000000 USD 2020-07-03 13879.28000000 N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZH9 1500000.00000000 PA USD 1478917.50000000 0.120947590960 Long DBT CORP US N 2 2021-10-12 Fixed 3.81000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAF6 5455000.00000000 PA USD 5862488.50000000 0.479441119001 Long DBT CORP US N 2 2024-01-15 Fixed 3.63000000 N N N N N N NXP BV/NXP FDG/NXP USA N/A 62954HAE8 250000.00000000 PA USD 262647.50000000 0.021479617623 Long DBT CORP XX N 2 2025-05-01 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2616.25000000 -0.00021395996 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 632817.87000000 USD 595708.16000000 CHF 2020-09-16 -2616.25000000 N N N MGM RESORTS INTL 54930066VBP7DZEGGJ87 552953CE9 1181000.00000000 PA USD 1169190.00000000 0.095617716252 Long DBT CORP US N 2 2025-06-15 Fixed 5.75000000 N N N N N N American Tower Corp 5493006ORUSIL88JOE18 03027XAQ3 4000000.00000000 PA USD 4268640.00000000 0.349094337364 Long DBT US N 2 2023-06-15 Fixed 3.00000000 N N N N N N Ventas Realty LP 32SXKSJ72K64GM3HOU64 92277GAP2 1375000.00000000 PA USD 1431856.25000000 0.117098867272 Long DBT US N 2 2024-04-15 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 16995.78000000 0.001389934629 N/A DFE TW N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1172509.58000000 USD 34940785.48000000 TWD 2020-07-06 16995.78000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCP9 1450000.00000000 PA USD 1489237.00000000 0.121791531657 Long DBT CORP US N 2 2021-11-06 Fixed 4.20000000 N N N N N N Educational Services of America Inc N/A 28137RAA5 527399.62000000 PA USD 505263.87000000 0.041321066169 Long ABS-O CORP US N 2 2039-02-25 Floating 0.88000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -1610000.00000000 NC -19362.67000000 -0.00158350164 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 N/A 1610000.00000000 OU Notional Amount N/A -19362.67000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2031-04-07 0.00000000 N/A 0.00000000 N/A 1610000.00000000 EUR 1.00000000 0.02000000 EUR 2021-04-01 XXXX 23552.15000000 N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2R3 3525000.00000000 PA USD 3579108.75000000 0.292703670826 Long DBT CORP US N 2 2024-06-02 Fixed 1.65000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3270000.00000000 OU Notional Amount 231837.12000000 0.018959908959 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2050-06-17 149856.59000000 CAD 0.00000000 CAD 3270000.00000000 CAD 129183.87000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6656.38000000 -0.00054436648 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 42116108.64000000 RUB 581665.20000000 USD 2020-08-17 -6656.38000000 N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887CF4 1144000.00000000 PA USD 1142958.96000000 0.093472511332 Long DBT CORP US N 2 2020-12-29 Floating 1.18000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 147329.36000000 0.012048766188 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 5504666.85000000 GBP 6971258.72000000 USD 2020-09-16 147329.36000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 3425000.00000000 OU Notional Amount USD 6043.07000000 0.000494209283 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 AT&T Inc AT&T Inc Y sell protection 2024-06-20 6334.05000000 USD 0.00000000 USD 3425000.00000000 USD -290.98000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9390000.00000000 OU Notional Amount -202263.85000000 -0.01654137258 N/A DIR CH N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor CHF 6 Months SF0006M Index Y 2030-06-17 0.00000000 CHF -156273.09000000 CHF 9390000.00000000 CHF -11123.55000000 N N N Meredith Corp 549300YC8BC386CCTS24 589433AB7 120000.00000000 PA USD 100200.00000000 0.008194472385 Long DBT CORP US N 2 2026-02-01 Fixed 6.88000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 9310000.00000000 OU Notional Amount -443248.92000000 -0.03624941152 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2030-09-16 0.00000000 EUR -360595.50000000 EUR 9310000.00000000 EUR -35253.31000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 73.53000000 0.000006013368 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 253959.80000000 GBP 279802.34000000 EUR 2020-09-16 73.53000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10895.75000000 -0.00089106709 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 36225467.34000000 CNY 5090763.00000000 USD 2020-09-16 -10895.75000000 N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CY4 690000.00000000 PA USD 727384.20000000 0.059486324756 Long DBT CORP US N 2 2025-01-28 Fixed 2.38000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379EWA6 1584942.95000000 PA USD 290964.62000000 0.023795424588 Long ABS-MBS USGA US N 2 2044-08-20 Floating 5.41000000 N N N N N N General Mills Inc 2TGYMUGI08PO8X8L6150 370334CE2 1500000.00000000 PA USD 1635960.00000000 0.133790709020 Long DBT CORP US N 2 2023-10-17 Fixed 3.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 36937.86000000 0.003020821095 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 85671620.27000000 RUB 1233688.11000000 USD 2020-08-17 36937.86000000 N N N BERKSHIRE HATHAWAY ENERG 549300JD0S5IZJE9LY15 084659AS0 1225000.00000000 PA USD 1399672.75000000 0.114466863260 Long DBT CORP US N 2 2025-04-15 Fixed 4.05000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380TZK5 398183.90000000 PA USD 61801.65000000 0.005054210721 Long ABS-MBS USGA US N 2 2047-07-20 Floating 5.47000000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAY9 3675000.00000000 PA USD 3789733.50000000 0.309928807529 Long DBT CORP GB N 2 2023-01-13 Fixed 2.10000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7735.50000000 0.000632618175 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 143218558.00000000 JPY 1335524.96000000 USD 2020-09-16 7735.50000000 N N N Freddie Mac N/A 3137BJMU4 892576.46000000 PA USD 180625.88000000 0.014771794269 Long ABS-MBS USGSE US N 2 2045-05-15 Floating 5.92000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBV6 1475000.00000000 PA USD 1445426.25000000 0.118208637634 Long DBT CORP US N 2 2023-01-30 Floating 1.48000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381AQC3 1095269.60000000 PA USD 162899.78000000 0.013322133221 Long ABS-MBS USGA US N 2 2048-10-20 Floating 5.96000000 N N N N N N SL GREEN OPERATING PARTN 2K1OXW4LY7IS2U150Y32 78444FAF3 2575000.00000000 PA USD 2577034.25000000 0.210752854274 Long DBT US N 2 2022-10-15 Fixed 3.25000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 462390000.00000000 OU Notional Amount 4430.12000000 0.000362300359 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2050-06-20 4333397.00000000 JPY 0.00000000 JPY 462390000.00000000 JPY -35986.24000000 N N N EXXON MOBIL CORPORATION J3WHBG0MTS7O8ZVMDC91 30231GBH4 1850000.00000000 PA USD 2009636.50000000 0.164350407228 Long DBT CORP US N 2 2025-03-19 Fixed 2.99000000 N N N N N N CHEVRON CORP N/A 166764BW9 2225000.00000000 PA USD 2288679.50000000 0.187170867886 Long DBT CORP US N 2 2025-05-11 Fixed 1.55000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7789.41000000 -0.00063702699 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1991947.48000000 USD 2693272.35000000 CAD 2020-09-16 -7789.41000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 40576.01000000 0.003318353228 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3094142.59000000 BRL 609503.12000000 USD 2020-07-02 40576.01000000 N N N Freddie Mac N/A 3132DMC60 21111255.52000000 PA USD 23049879.10000000 1.885045885985 Long ABS-MBS USGSE US N 2 2049-10-01 Fixed 5.00000000 N N N N N N Ford Motor Credit Co LLC UDSQCVRUX5BONN0VY111 345397ZB2 600000.00000000 PA USD 587176.80000000 0.048020000729 Long DBT CORP US N 2 2023-02-15 Fixed 4.14000000 N N N N N N HCA Inc L3CJ6J7LJ2DX62FTXD46 404121AG0 1089000.00000000 PA USD 1178842.50000000 0.096407108914 Long DBT CORP US N 2 2023-05-01 Fixed 5.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -27456.82000000 -0.00224545063 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3852487.09000000 TRY 533024.39000000 USD 2020-07-13 -27456.82000000 N N N Illinois Student Assistance Commision 549300FKIJ7H0L1PDN43 452281JD1 1486318.18000000 PA USD 1443299.38000000 0.118034699735 Long ABS-O CORP US N 2 2045-07-25 Floating 1.89000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -10653.54000000 -0.00087125887 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 619894.71000000 USD 491457.27000000 GBP 2020-09-16 -10653.54000000 N N N DH EUROPE FINANCE II 222100KDGL314CKTZ511 23291KAG0 650000.00000000 PA USD 683436.00000000 0.055892189913 Long DBT CORP LU N 2 2024-11-15 Fixed 2.20000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -57.00000000 -0.00000466152 N/A DFE PL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 590275.83000000 EUR 2627366.12000000 PLN 2020-09-16 -57.00000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13542.35000000 0.001107509112 N/A DFE ID N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 517762.54000000 USD 7740912462.49000000 IDR 2020-07-20 13542.35000000 N N N Credit Agricole SA 969500TJ5KRTCJQWXH05 000000000 3700000.00000000 PA USD 4097676.00000000 0.335112702864 Long DBT CORP FR N 2 2025-03-17 Fixed 4.38000000 N N N N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BF5 1800000.00000000 PA USD 1980216.00000000 0.161944364565 Long DBT CORP US N 2 2024-12-15 Fixed 3.73000000 N N N N N N FOX CORP 549300DDU6FDRBIELS05 35137LAG0 3150000.00000000 PA USD 3485821.50000000 0.285074531165 Long DBT CORP US N 2 2024-01-25 Fixed 4.03000000 N N N N N N ICE Futures Europe - Financial Products Division N/A 000000000 7.00000000 NC -1287.20000000 -0.00010526871 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division N/A Long United Kingdom Gilt G U0 Comdty 2020-09-28 963328.82000000 GBP -1287.20000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7420000.00000000 OU Notional Amount USD 10812.42000000 0.000884252266 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2030-05-21 0.00000000 USD -10639.43000000 USD 7420000.00000000 USD 21451.85000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179T7M1 613908.08000000 PA USD 670225.80000000 0.054811844413 Long ABS-MBS USGA US N 2 2048-08-20 Fixed 5.00000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBJ2 2200000.00000000 PA USD 2289430.00000000 0.187232244647 Long DBT CORP US N 2 2022-11-01 Fixed 2.45000000 N N N N N N AERCAP IRELAND CAP/GLOBA N/A 00774MAN5 640000.00000000 PA USD 669772.80000000 0.054774797546 Long DBT CORP IE N 2 2025-07-15 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1558.28000000 -0.00012743794 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2455230247.50000000 COP 651427.50000000 USD 2020-07-06 -1558.28000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6623.72000000 0.000541695515 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1080161.52000000 AUD 752238.52000000 USD 2020-09-16 6623.72000000 N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4580000.00000000 NC -59136.61000000 -0.00483626065 N/A DIR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 4580000.00000000 OU Notional Amount N/A -59136.61000000 0.00000000 DIR GB London Interbank Offer Rate 6 Months BP0006M Index 2030-10-02 0.00000000 N/A 0.00000000 N/A 4580000.00000000 GBP 1.00000000 0.35000000 GBP 2020-10-02 XXXX -8592.67000000 N N N New Residential Mortgage Loan Trust 549300RCJSGOC0A85G53 64829CAA6 221340.69000000 PA USD 234992.30000000 0.019217943245 Long ABS-MBS CORP US N 2 2052-05-28 Variable 3.75000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -9890000.00000000 NC -34382.04000000 -0.00281180316 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 N/A 9890000.00000000 OU Notional Amount N/A -34382.04000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2025-09-30 0.00000000 N/A 0.00000000 N/A 9890000.00000000 EUR 1.00000000 -0.35000000 EUR 2020-09-28 XXXX -15648.47000000 N N N Ford Credit Auto Owner Trust/Ford Credit N/A 34531BAA0 450000.00000000 PA USD 455300.78000000 0.037235026635 Long ABS-O CORP US N 2 2027-12-15 Fixed 2.03000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1723.56000000 -0.00014095473 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2456897.77000000 PLN 550398.82000000 EUR 2020-09-16 -1723.56000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -268.29000000 -0.00002194106 N/A DFE ID N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 493298.59000000 USD 7183266078.00000000 IDR 2020-07-20 -268.29000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11555.19000000 0.000944996859 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 447486.14000000 GBP 566287.00000000 USD 2020-09-16 11555.19000000 N N N KINDER MORGAN INC 549300WR7IX8XE0TBO16 49456BAB7 3575000.00000000 PA USD 4036782.75000000 0.330132782150 Long DBT CORP US N 2 2023-11-15 Fixed 5.63000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 3900000.00000000 PA USD 4245540.00000000 0.347205192533 Long DBT CORP US N 2 2023-05-25 Fixed 4.06000000 N N N N N N NATIONSTAR MTG HLD INC N/A 93369KAA3 115000.00000000 PA USD 118018.75000000 0.009651710457 Long DBT CORP US N 2 2023-07-15 Fixed 8.13000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -15260000.00000000 NC -12335.54000000 -0.00100881478 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 N/A 15260000.00000000 OU Notional Amount N/A -12335.54000000 0.00000000 DIR US Euribor 6 Month EUR006M Index 2025-09-30 0.00000000 N/A 0.00000000 N/A 15260000.00000000 EUR 1.00000000 -0.15000000 EUR 2020-09-28 XXXX 18098.87000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4922.63000000 -0.00040257839 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1847741.00000000 USD 1486548.39000000 GBP 2020-09-16 -4922.63000000 N N N ALBERTSONS COS/SAFEWAY N/A 013092AA9 110000.00000000 PA USD 119075.00000000 0.009738091809 Long DBT CORP US N 2 2026-03-15 Fixed 7.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381WQE1 2671445.73000000 PA USD 208938.04000000 0.017087195599 Long ABS-MBS USGA US N 2 2049-06-20 Floating 3.08000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCA1 850000.00000000 PA USD 924477.00000000 0.075604802870 Long DBT CORP US N 2 2024-01-29 Fixed 3.90000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -1040000.00000000 NC -21276.12000000 -0.00173998580 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 N/A 1040000.00000000 OU Notional Amount N/A -21276.12000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 1040000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX -5110.54000000 N N N Broadcom Inc 549300WV6GIDOZJTV909 11135FAD3 5250000.00000000 PA USD 5704755.00000000 0.466541490159 Long DBT CORP US N 2 2024-10-15 Fixed 3.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -9890000.00000000 NC -7994.67000000 -0.00065381339 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 N/A 9890000.00000000 OU Notional Amount N/A -7994.67000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2025-09-30 0.00000000 N/A 0.00000000 N/A 9890000.00000000 EUR 1.00000000 -0.15000000 EUR 2020-09-28 XXXX 10516.54000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -14613.40000000 -0.00119510082 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 36483858.48000000 TWD 1233688.11000000 USD 2020-08-06 -14613.40000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3840000.00000000 OU Notional Amount -29776.45000000 -0.00243515266 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 London Interbank Offer Rate 12 Months BP00012M Index Y 2027-04-28 0.00000000 EUR -1667.97000000 EUR 3840000.00000000 EUR 102033.87000000 N N N SASOL FINANCING INT N/A 803865AA2 200000.00000000 PA USD 180540.00000000 0.014764770903 Long DBT CORP IM N 2 2022-11-14 Fixed 4.50000000 N N N N N N UMBS, TBA N/A 01F040677 3000000.00000000 PA USD 3178476.60000000 0.259939508252 Long ABS-MBS USGSE US N 2 2050-07-15 Fixed 4.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6017.06000000 0.000492082155 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 8988725371.94000000 IDR 622966.78000000 USD 2020-07-20 6017.06000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 10942.67000000 0.000894904262 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3529262.39000000 BRL 659876.26000000 USD 2020-07-02 10942.67000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3607.99000000 0.000295065612 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 523166.88000000 GBP 652158.38000000 USD 2020-09-16 3607.99000000 N N N Recette CLO LLC 549300392I5L5XOJ0016 75620TAR9 3052250.16000000 PA USD 3028699.00000000 0.247690522152 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.06000000 N N N N N N Boston Properties LP BVHHEFJI6SHNOKQT2572 10112RAS3 175000.00000000 PA USD 178412.50000000 0.014590781481 Long DBT US N 2 2021-05-15 Fixed 4.13000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABA2 8050000.00000000 PA USD 8779813.00000000 0.718023305179 Long DBT CORP US N 2 2025-04-15 Fixed 3.50000000 N N N N N N General Electric Co 3C7474T6CDKPR9K6YT90 369604BD4 1000000.00000000 PA USD 1040830.00000000 0.085120286358 Long DBT CORP US N 2 2022-10-09 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4918.15000000 -0.00040221201 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 634049.72000000 USD 559014.34000000 EUR 2020-09-16 -4918.15000000 N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AZ4 1875000.00000000 PA USD 1878337.50000000 0.153612622500 Long DBT CORP CA N 2 2025-07-15 Fixed 2.05000000 N N N N N N WESTERN MIDSTREAM OPERAT L6D8A6MLSY454J2JXJ60 958254AA2 1300000.00000000 PA USD 1296750.00000000 0.106049721217 Long DBT CORP US N 2 2021-06-01 Fixed 5.38000000 N N N N N N CRED SUIS GP FUN LTD 549300PXR5FKNXF0OH19 225433AH4 1450000.00000000 PA USD 1538914.00000000 0.125854174418 Long DBT CORP GG N 2 2022-09-15 Fixed 3.80000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -991.40000000 -0.00008107784 N/A DFE PL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 572464.83000000 EUR 2544385.20000000 PLN 2020-09-16 -991.40000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179TE35 4663688.82000000 PA USD 5062694.45000000 0.414033032605 Long ABS-MBS USGA US N 2 2047-08-20 Fixed 4.50000000 N N N N N N Regions Financial Corp CW05CS5KW59QTC0DG824 7591EPAP5 254000.00000000 PA USD 276161.50000000 0.022584808240 Long DBT CORP US N 2 2023-08-14 Fixed 3.80000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -1030000.00000000 NC -9914.12000000 -0.00081078824 N/A DIR DE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Put Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 1030000.00000000 OU Notional Amount N/A -9914.12000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 1030000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX 6090.21000000 N N N SHERWIN-WILLIAMS CO Z15BMIOX8DDH0X2OBP21 824348AU0 35000.00000000 PA USD 36041.60000000 0.002947523911 Long DBT CORP US N 2 2022-06-01 Fixed 2.75000000 N N N N N N EAST OHIO GAS CO/THE BC95Y6MXLT75BGO7UM71 27409LAA1 575000.00000000 PA USD 578743.25000000 0.047330295214 Long DBT CORP US N 2 2025-06-15 Fixed 1.30000000 N N N N N N MATTEL INC 549300VELLG24KHTJ564 577081BD3 125000.00000000 PA USD 128750.00000000 0.010529324547 Long DBT CORP US N 2 2027-12-15 Fixed 5.88000000 N N N N N N REALOGY GROUP/CO-ISSUER N/A 75606DAG6 125000.00000000 PA USD 116562.50000000 0.009532616641 Long DBT CORP US N 2 2027-04-01 Fixed 9.38000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7440000.00000000 OU Notional Amount USD -1368.96000000 -0.00011195513 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2035-05-21 9017.44000000 USD 0.00000000 USD 7440000.00000000 USD -10386.40000000 N N N SAUDI INTERNATIONAL BOND 635400FMICXSM3SI3H65 80413TAS8 800000.00000000 PA USD 848000.00000000 0.069350424979 Long DBT NUSS SA N 2 2025-10-22 Fixed 2.90000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 2025000.00000000 OU Notional Amount USD -43938.45000000 -0.00359333747 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co General Electric Co Y sell protection 2024-06-20 0.00000000 USD -27477.66000000 USD 2025000.00000000 USD -16460.79000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -6409.01000000 -0.00052413628 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 619213.58000000 USD 66098572.00000000 JPY 2020-09-16 -6409.01000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2099.65000000 0.000171711815 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 593356.41000000 USD 3238421.80000000 BRL 2020-07-02 2099.65000000 N N N Barclays PLC 213800LBQA1Y9L22JB70 06738EBC8 2550000.00000000 PA USD 2520318.00000000 0.206114533471 Long DBT CORP GB N 2 2024-05-16 Floating 1.77000000 N N N N N N MUFG Union Bank NA OX3PU53ZLPQKJ4700D47 90520EAH4 2375000.00000000 PA USD 2475035.00000000 0.202411237134 Long DBT CORP US N 2 2022-04-01 Fixed 3.15000000 N N N N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91831AAB7 525000.00000000 PA USD 523687.50000000 0.042827772030 Long DBT CORP CA N 2 2023-05-15 Fixed 5.88000000 N N N N N N TURKIYE VAKIFLAR BANKASI 789000KAIHOLSQKQ9858 000000000 200000.00000000 PA USD 205250.00000000 0.016785583404 Long DBT CORP TR N 2 2024-03-28 Fixed 8.13000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 12040000.00000000 OU Notional Amount USD 466391.07000000 0.038142003433 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2030-06-18 284369.06000000 USD 0.00000000 USD 12040000.00000000 USD 182022.01000000 N N N Orix Credit Alliance Owner Trust N/A 685785AA5 1500000.00000000 PA USD 1435787.70000000 0.117420385820 Long ABS-CBDO CORP KY N 2 2036-06-15 Floating 1.36000000 N N N N N N SLM Student Loan Trust 549300WCW8E0MUEMAH47 78442GPQ3 862104.28000000 PA USD 836682.98000000 0.068424905939 Long ABS-O CORP US N 2 2028-10-25 Floating 1.13000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HCD5 1700000.00000000 PA USD 1776245.00000000 0.145263379266 Long DBT CORP US N 2 2023-05-11 Fixed 2.60000000 N N N N N N Dupont De Nemours Inc 5493004JF0SDFLM8GD76 26078JAB6 6800000.00000000 PA USD 7457152.00000000 0.609854552285 Long DBT CORP US N 2 2023-11-15 Fixed 4.21000000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAA5 1550000.00000000 PA USD 1552046.00000000 0.126928124632 Long DBT CORP US N 2 2025-07-07 Fixed 1.40000000 N N N N N N VEREIT OPERATING PARTNER 5493005TQOUJE1LCS698 03879QAF1 2600000.00000000 PA USD 2765386.00000000 0.226156479166 Long DBT US N 2 2024-02-06 Fixed 4.60000000 N N N N N N AMEREN CORP XRZQ5S7HYJFPHJ78L959 023608AH5 1250000.00000000 PA USD 1326362.50000000 0.108471465863 Long DBT CORP US N 2 2024-09-15 Fixed 2.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 6101.97000000 0.000499026194 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 602874.79000000 EUR 6373140.12000000 SEK 2020-09-16 6101.97000000 N N N Bausch Health Cos Inc B3BS7ACMDUWISF18KY76 91911KAK8 1875000.00000000 PA USD 1945312.50000000 0.159089915794 Long DBT CORP CA N 2 2024-03-15 Fixed 7.00000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 3320000.00000000 OU Notional Amount -190607.19000000 -0.01558807739 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Sterling Overnight Index Average SONIA Index Y 2030-03-18 880.24000000 GBP 0.00000000 GBP 3320000.00000000 GBP -191624.24000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -15232.22000000 -0.00124570864 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 567837.40000000 EUR 6002779.51000000 NOK 2020-09-16 -15232.22000000 N N N CNAC HK FINBRIDGE CO LTD 549300US1UQ7R7WABI28 000000000 600000.00000000 PA USD 610624.32000000 0.049937566149 Long DBT CORP HK N 2 2022-06-19 Fixed 3.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13310.26000000 0.001088528523 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13585167.48000000 MXN 598274.37000000 USD 2020-09-17 13310.26000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174468K8 4125000.00000000 PA USD 4106726.25000000 0.335852842821 Long DBT CORP US N 2 2023-01-20 Floating 0.76000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 7400000.00000000 OU Notional Amount -179321.19000000 -0.01466509520 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Sterling Overnight Index Average SONIA Index Y 2030-06-17 0.00000000 GBP -32832.51000000 GBP 7400000.00000000 GBP 150501.11000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBQ8 4975000.00000000 PA USD 5057535.25000000 0.413611107237 Long DBT CORP US N 2 2024-06-01 Fixed 1.51000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 12859.87000000 0.001051695105 N/A DFE TW N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2944810.00000000 USD 86706985.64000000 TWD 2020-07-15 12859.87000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -539.47000000 -0.00004411848 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 626938.95000000 USD 850267.14000000 CAD 2020-09-16 -539.47000000 N N N SLM Student Loan Trust 549300EQOYJZL2D96G46 78445AAD8 263034.17000000 PA USD 256067.37000000 0.020941486949 Long ABS-O CORP US N 2 2022-07-25 Floating 2.64000000 N N N N N N HSBC Holdings PLC MLU0ZO3ML4LN2LL2TL39 404280BR9 1300000.00000000 PA USD 1291238.00000000 0.105598943455 Long DBT CORP GB N 2 2024-05-18 Floating 1.39000000 N N N N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647AZ0 120000.00000000 PA USD 112200.00000000 0.009175846323 Long DBT CORP US N 2 2025-05-15 Fixed 6.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381YJG0 803387.43000000 PA USD 117537.35000000 0.009612341006 Long ABS-MBS USGA US N 2 2049-08-20 Floating 5.91000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -18527.05000000 -0.00151516366 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4470703.28000000 EUR 5012937.00000000 USD 2020-09-16 -18527.05000000 N N N Glencore Funding LLC 213800STG1QDNBY87K49 378272AP3 625000.00000000 PA USD 642962.50000000 0.052582220071 Long DBT CORP US N 2 2022-10-27 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13814.47000000 0.001129763402 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 9483057240.95000000 IDR 664693.13000000 USD 2020-07-20 13814.47000000 N N N Freddie Mac N/A 3137B8QW0 132437.60000000 PA USD 27373.91000000 0.002238670155 Long ABS-MBS USGSE US N 2 2039-07-15 Floating 5.92000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 14562.02000000 0.001190898909 N/A DFE BR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 583000.00000000 USD 3249875.20000000 BRL 2020-07-02 14562.02000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38378W2X0 62211.14000000 PA USD 12658.22000000 0.001035203934 Long ABS-MBS USGA US N 2 2043-09-20 Floating 5.91000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381BTA2 871460.10000000 PA USD 140199.54000000 0.011465681227 Long ABS-MBS USGA US N 2 2049-01-20 Floating 5.86000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 517.12000000 0.000042290674 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 11247583.38000000 ZAR 643529.53000000 USD 2020-09-16 517.12000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 11629.16000000 0.000951046212 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 44546685.92000000 RUB 633903.57000000 USD 2020-08-17 11629.16000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379GV20 214228.39000000 PA USD 36564.05000000 0.002990250479 Long ABS-MBS USGA US N 2 2044-11-20 Floating 5.41000000 N N N N N N COOPER-STANDARD AUTOMOTI ITCH5B3Q4RTX2PH9UN62 216762AF1 145000.00000000 PA USD 91350.00000000 0.007470709106 Long DBT CORP US N 2 2026-11-15 Fixed 5.63000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 18606.73000000 0.001521679991 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2312662761.73000000 COP 633675.68000000 USD 2020-07-06 18606.73000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 5800000.00000000 OU Notional Amount 18426.79000000 0.001506964289 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2030-05-21 0.00000000 EUR -3016.56000000 EUR 5800000.00000000 EUR 22013.06000000 N N N FIRST HORIZON NATIONAL TF3RXI1ZB1TQ30H9JV10 320517AC9 1525000.00000000 PA USD 1570734.75000000 0.128456512314 Long DBT CORP US N 2 2023-05-26 Fixed 3.55000000 N N N N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBB4 3525000.00000000 PA USD 3516117.00000000 0.287552132344 Long DBT CORP US N 2 2021-10-05 Floating 2.09000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -12826.74000000 -0.00104898569 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 99342938.74000000 INR 1299823.87000000 USD 2020-07-15 -12826.74000000 N N N American Express Co R4PP93JZOLY261QX3811 025816BX6 1200000.00000000 PA USD 1198044.00000000 0.097977429887 Long DBT CORP US N 2 2023-08-03 Floating 1.31000000 N N N N N N Bristol-Myers Squibb Co HLYYNH7UQUORYSJQCN42 110122BZ0 1275000.00000000 PA USD 1378938.00000000 0.112771151321 Long DBT CORP US N 2 2024-07-26 Fixed 2.90000000 N N N N N N CLEVELAND-CLIFFS INC 549300TM2WLI2BJMDD86 185899AH4 130000.00000000 PA USD 107250.00000000 0.008771029574 Long DBT CORP US N 2 2027-06-01 Fixed 5.88000000 N N N N N N Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 000000000 -4360000.00000000 NC -56295.98000000 -0.00460395063 N/A DIR GB N 2 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Call Written Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 Morgan Stanley & Co. International PLC 4PQUHN3JPFGFNF3BB653 N/A 4360000.00000000 OU Notional Amount N/A -56295.98000000 0.00000000 DIR GB London Interbank Offer Rate 6 Months BP0006M Index 2030-10-02 0.00000000 N/A 0.00000000 N/A 4360000.00000000 GBP 1.00000000 0.35000000 GBP 2020-10-02 XXXX -7645.29000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7546.91000000 -0.00061719506 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 666470.55000000 USD 71073085.00000000 JPY 2020-09-16 -7546.91000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -5651.71000000 -0.00046220340 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2210685283.36000000 COP 582295.61000000 USD 2020-07-06 -5651.71000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 3272.06000000 0.000267592867 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 570168.14000000 EUR 6004127.09000000 SEK 2020-09-16 3272.06000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5656.71000000 0.000462612314 N/A DFE KR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 644760.58000000 USD 780244121.00000000 KRW 2020-07-15 5656.71000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -20206.40000000 -0.00165250286 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4005712.42000000 USD 3541318.13000000 EUR 2020-09-16 -20206.40000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 6.00000000 NC USD 1582.65000000 0.000129430955 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long US 10 Year Ultra Bond UXYU0 Comdty 2020-09-21 942854.85000000 USD 1582.65000000 N N N BEACON ROOFING SUPPLY IN 549300HDXQWWCBOYXP31 073685AD1 1207000.00000000 PA USD 1081773.75000000 0.088468713790 Long DBT CORP US N 2 2025-11-01 Fixed 4.88000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAD4 2375000.00000000 PA USD 2344528.75000000 0.191738284421 Long DBT CORP US N 2 2023-01-15 Fixed 2.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -12733.25000000 -0.00104133997 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6119421.73000000 SEK 6202724.32000000 NOK 2020-09-16 -12733.25000000 N N N UMBS, TBA N/A 01F022683 13000000.00000000 PA USD 13521524.90000000 1.105806012014 Long ABS-MBS USGSE US N 2 2050-08-15 Fixed 2.50000000 N N N N N N DOMINION ENERGY INC ILUL7B6Z54MRYCF6H308 25746UDC0 1750000.00000000 PA USD 1815170.00000000 0.148446710979 Long DBT CORP US N 2 2023-01-15 Fixed 2.45000000 N N N N N N Crown City CLO I N/A 22823RAA7 2500000.00000000 PA USD 2499990.00000000 0.204452086020 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 2.39000000 N N N N N N Credit Suisse AG ANGGYXNX0JLX3X63JN86 22546DAA4 2500000.00000000 PA USD 2743550.00000000 0.224370705722 Long DBT CORP CH N 2 2023-08-08 Fixed 6.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1543.77000000 0.000126251303 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 608327.52000000 EUR 931404.18000000 CAD 2020-09-16 1543.77000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 40548.39000000 0.003316094432 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3311535.76000000 BRL 649448.08000000 USD 2020-07-02 40548.39000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 21H050672 18000000.00000000 PA USD 19529389.80000000 1.597136181868 Long ABS-MBS USGA US N 2 2050-07-21 Fixed 5.00000000 N N N N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAW1 2625000.00000000 PA USD 2630985.00000000 0.215165009275 Long DBT CORP DK N 2 2024-06-22 Fixed 1.23000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380YRQ0 352264.58000000 PA USD 53698.30000000 0.004391509346 Long ABS-MBS USGA US N 2 2048-08-20 Floating 6.01000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381WVB1 514021.37000000 PA USD 76955.63000000 0.006293520807 Long ABS-MBS USGA US N 2 2049-06-20 Floating 5.91000000 N N N N N N LLOYDS BANKING GROUP PLC 549300PPXHEU2JF0AM85 53944YAM5 3275000.00000000 PA USD 3293012.50000000 0.269306387191 Long DBT CORP GB N 2 2023-06-15 Fixed 1.33000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 69760000.00000000 OU Notional Amount 12692.04000000 0.001037969773 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2024-06-24 38867.94000000 CAD 0.00000000 CAD 69760000.00000000 CAD -15785.60000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 436030000.00000000 OU Notional Amount 29707.79000000 0.002429537572 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor Japan 6 Months JPY0006M Index Y 2040-06-20 4630874.00000000 JPY 0.00000000 JPY 436030000.00000000 JPY -8225.30000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BL7 1400000.00000000 PA USD 1453648.00000000 0.118881021899 Long DBT CORP JP N 2 2022-07-18 Fixed 2.62000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -6180000.00000000 NC -49074.76000000 -0.00401339087 N/A DIR GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A 6180000.00000000 OU Notional Amount N/A -49074.76000000 0.00000000 DIR US London Interbank Offer Rate 6 Months BP0006M Index 2030-08-13 0.00000000 N/A 0.00000000 N/A 6180000.00000000 GBP 1.00000000 0.34000000 GBP 2020-08-13 XXXX -11879.83000000 N N N SYNGENTA FINANCE NV 54930042S3BYCEGOCN86 87164KAE4 3055000.00000000 PA USD 3073666.05000000 0.251367979732 Long DBT CORP NL N 2 2021-04-23 Fixed 3.93000000 N N N N N N NiSource Inc 549300D8GOWWH0SJB189 65473QBH5 1100000.00000000 PA USD 1148664.00000000 0.093939076130 Long DBT CORP US N 2 2022-11-17 Fixed 2.65000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381RAZ2 2325389.86000000 PA USD 198464.58000000 0.016230663875 Long ABS-MBS USGA US N 2 2049-02-20 Floating 3.60000000 N N N N N N Madison Park Funding Ltd N/A 55821TAA5 4200000.00000000 PA USD 4097406.60000000 0.335090671019 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.97000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 15120.02000000 0.001236532797 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4660923.47000000 BRL 872134.73000000 USD 2020-07-02 15120.02000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -34081.04000000 -0.00278718703 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13425115730.35000000 IDR 887364.55000000 USD 2020-07-20 -34081.04000000 N N N INFOR INC 549300Q3IIYBYI4RHD64 45674CAB9 1025000.00000000 PA USD 1031180.75000000 0.084331159485 Long DBT CORP US N 2 2023-07-15 Fixed 1.45000000 N N N N N N The Federal Republic of Nigeria 549300GSBZD84TNEQ285 000000000 1390000.00000000 PA USD 1408678.13000000 0.115203333697 Long DBT NUSS NG N 2 2021-01-28 Fixed 6.75000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96949LAA3 2025000.00000000 PA USD 2102253.75000000 0.171924753511 Long DBT CORP US N 2 2022-03-15 Fixed 3.60000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 10458.79000000 0.000855331994 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 41938990.95000000 RUB 596306.21000000 USD 2020-08-17 10458.79000000 N N N TransDigm Inc 88Q84GB3X55CF5OC7582 893647AX5 2445000.00000000 PA USD 2347200.00000000 0.191956742349 Long DBT CORP US N 2 2024-07-15 Fixed 6.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 587.00000000 NC USD 39574.03000000 0.003236410139 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long 2 Year US Treasury Note TUU0 Comdty 2020-09-30 129581949.11000000 USD 39574.03000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -540000.00000000 NC -11047.21000000 -0.00090345366 N/A DIR DE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 540000.00000000 OU Notional Amount N/A -11047.21000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2030-12-15 0.00000000 N/A 0.00000000 N/A 540000.00000000 EUR 1.00000000 -0.05300000 EUR 2020-12-11 XXXX -2630.71000000 N N N Transocean Sentry Ltd N/A 89385AAA3 1900000.00000000 PA USD 1615000.00000000 0.132076575875 Long DBT CORP KY N 2 2023-05-15 Fixed 5.38000000 N N N N N N COMERICA BANK 70WY0ID1N53Q4254VH70 20034DJA8 1450000.00000000 PA USD 1521760.50000000 0.124451341264 Long DBT CORP US N 2 2024-07-23 Fixed 2.50000000 N N N N N N CAPITAL ONE FINANCIAL CO ZUE8T73ROZOF6FLBAR73 14040HBT1 620000.00000000 PA USD 665787.00000000 0.054448834193 Long DBT CORP US N 2 2024-10-30 Fixed 3.30000000 N N N N N N WALT DISNEY COMPANY/THE 549300GZKULIZ0WOW665 254687FN1 1650000.00000000 PA USD 1830823.50000000 0.149726872391 Long DBT CORP US N 2 2025-03-24 Fixed 3.35000000 N N N N N N AVOLON HOLDINGS FNDG LTD 635400ZRKEX9L1BKCH30 05401AAE1 1025000.00000000 PA USD 965806.25000000 0.078984756940 Long DBT CORP KY N 2 2022-05-01 Fixed 3.63000000 N N N N N N Freddie Mac N/A 3137F5BA6 897820.80000000 PA USD 106335.83000000 0.008696267689 Long ABS-MBS USGSE US N 2 2048-05-15 Floating 6.02000000 N N N N N N PetSmart Inc N/A 716768AC0 2090000.00000000 PA USD 2100450.00000000 0.171777240741 Long DBT CORP US N 2 2025-06-01 Fixed 5.88000000 N N N N N N DTE ENERGY CO 549300IX8SD6XXD71I78 233331BE6 645000.00000000 PA USD 665923.80000000 0.054460021856 Long DBT CORP US N 2 2022-11-01 Fixed 2.25000000 N N N N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BN0 1325000.00000000 PA USD 1359118.75000000 0.111150310035 Long DBT CORP GB N 2 2024-05-22 Fixed 2.36000000 N N N N N N VW CR INC N/A 91842JNV7 2500000.00000000 PA USD 2486687.50000000 0.203364192118 Long STIV CORP US N 2 2021-01-29 None 0.00000000 N N N N N N DELL INT LLC / EMC CORP N/A 24703DAY7 3650000.00000000 PA USD 3938496.00000000 0.322094777571 Long DBT CORP US N 2 2024-07-15 Fixed 4.00000000 N N N N N N ORACLE CORP 1Z4GXXU7ZHVWFCD8TV52 68389XBT1 2825000.00000000 PA USD 3028513.00000000 0.247675310856 Long DBT CORP US N 2 2025-04-01 Fixed 2.50000000 N N N N N N Qwest Corp 549300R2L4N683OO1509 74913GAX3 650000.00000000 PA USD 685210.50000000 0.056037310584 Long DBT CORP US N 2 2021-12-01 Fixed 6.75000000 N N N N N N MARATHON PETROLEUM CORP 3BNYRYQHD39K4LCKQF12 56585ABG6 1700000.00000000 PA USD 1833246.00000000 0.149924987255 Long DBT CORP US N 2 2023-05-01 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 7973.04000000 0.000652044472 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 24010921.79000000 RUB 343382.55000000 USD 2020-08-17 7973.04000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 27494.76000000 0.002248553408 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 506265895.00000000 CLP 643899.39000000 USD 2020-07-03 27494.76000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38379QCY9 378702.64000000 PA USD 71376.06000000 0.005837217092 Long ABS-MBS USGA US N 2 2045-09-20 Floating 6.06000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 8351.22000000 0.000682972471 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 415267.67000000 GBP 523143.00000000 USD 2020-09-16 8351.22000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 -3519999.99000000 NC -44355.64000000 -0.00362745575 N/A DIR GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Call Written Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 N/A 3519999.99000000 OU Notional Amount N/A -44355.64000000 0.00000000 DIR GB London Interbank Offer Rate 6 Months BP0006M Index 2030-10-02 0.00000000 N/A 0.00000000 N/A 3519999.99000000 GBP 0.99999999 0.35000000 GBP 2020-10-02 XXXX -2467.08000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 42801.60000000 0.003500364563 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3076222.74000000 BRL 608433.74000000 USD 2020-07-02 42801.60000000 N N N ROYAL BK SCOTLND GRP PLC 2138005O9XJIJN4JPN90 780097BK6 1175000.00000000 PA USD 1277377.75000000 0.104465436110 Long DBT CORP GB N 2 2025-03-22 Fixed 4.27000000 N N N N N N WILLIAMS COMPANIES INC D71FAKCBLFS2O0RBPG08 96950FAG9 1095000.00000000 PA USD 1098153.60000000 0.089808276949 Long DBT CORP US N 2 2020-11-15 Fixed 4.13000000 N N N N N N MANITOWOC COMPANY INC 2RTSLGQ89VMY18RHX631 563571AL2 125000.00000000 PA USD 124218.75000000 0.010158753659 Long DBT CORP US N 2 2026-04-01 Fixed 9.00000000 N N N N N N INTUIT INC VI90HBPH7XSFMB9E4M29 46124HAB2 1100000.00000000 PA USD 1102497.00000000 0.090163485246 Long DBT CORP US N 2 2025-07-15 Fixed 0.95000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -14159.53000000 -0.00115798281 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1250442.88000000 USD 1098498.56000000 EUR 2020-09-16 -14159.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1090000.00000000 OU Notional Amount 11919.54000000 0.000974793826 N/A DIR ER N 2 LCH Limited F226TOH6YD6XJB17KS62 Euribor 6 Month EUR006M Index Y 2030-12-15 7712.81000000 EUR 0.00000000 EUR 1090000.00000000 EUR 3318.75000000 N N N Kentucky Higher Education Student Loan Corp N/A 49130NCX5 1562882.91000000 PA USD 1504023.96000000 0.123000826421 Long ABS-O CORP US N 2 2031-12-01 Floating 0.92000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179UKY7 5572875.44000000 PA USD 5963462.12000000 0.487698858929 Long ABS-MBS USGA US N 2 2049-01-20 Fixed 4.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -13085.87000000 -0.00107017764 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 31021705.63000000 THB 990469.59000000 USD 2020-09-16 -13085.87000000 N N N ARDAGH PKG FIN/HLDGS USA N/A 03969AAL4 2035000.00000000 PA USD 2083331.25000000 0.170377249482 Long DBT CORP XX N 2 2025-02-15 Fixed 6.00000000 N N N N N N UMBS, TBA N/A 01F032674 5000000.00000000 PA USD 5257812.50000000 0.429990013370 Long ABS-MBS USGSE US N 2 2050-07-15 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7320.26000000 -0.00059865936 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 628697.22000000 USD 67023210.00000000 JPY 2020-09-16 -7320.26000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2744.11000000 -0.00022441650 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 632817.87000000 USD 595587.30000000 CHF 2020-09-16 -2744.11000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 80830000.00000000 OU Notional Amount -263650.12000000 -0.02156161305 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2023-09-16 0.00000000 CAD -432886.75000000 CAD 80830000.00000000 CAD 343162.20000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 32600.29000000 0.002666089582 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 504041.28000000 USD 3688624.49000000 TRY 2020-07-13 32600.29000000 N N N EQM MIDSTREAM PARTNERS L 549300NELT611CL6XM83 26885BAD2 3756000.00000000 PA USD 3788865.00000000 0.309857780590 Long DBT CORP US N 2 2023-07-15 Fixed 4.75000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1437.29000000 0.000117543245 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 330805.59000000 USD 3092966.11000000 SEK 2020-09-16 1437.29000000 N N N CNAC HK FINBRIDGE CO LTD 549300US1UQ7R7WABI28 000000000 230000.00000000 PA USD 238696.88000000 0.019520908100 Long DBT CORP HK N 2 2024-06-19 Fixed 3.38000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3096.45000000 0.000253231277 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 536791.13000000 GBP 668536.31000000 USD 2020-09-16 3096.45000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3276.92000000 -0.00026799032 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1017413.12000000 AUD 699023.86000000 USD 2020-09-16 -3276.92000000 N N N GAZPROM (GAZ CAPITAL SA) 213800568PRHV2JR9650 000000000 670000.00000000 PA USD 685075.07000000 0.056026234961 Long DBT CORP LU N 2 2021-01-23 Fixed 6.00000000 N N N N N N 1011778 BC / NEW RED FIN N/A 68245XAC3 620000.00000000 PA USD 615350.00000000 0.050324037749 Long DBT CORP CA N 2 2024-05-15 Fixed 4.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5913.99000000 0.000483652971 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2480589780.26000000 COP 664413.14000000 USD 2020-07-27 5913.99000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -74.00000000 NC USD -344358.44000000 -0.02816203320 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Eurodollar Time Deposit EDU0 Comdty 2020-09-14 -18106616.56000000 USD -344358.44000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3598.18000000 0.000294263339 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 4210944.10000000 TRY 616229.71000000 USD 2020-07-13 3598.18000000 N N N TIME WARNER ENT N/A 88731EAF7 1701000.00000000 PA USD 2010275.82000000 0.164402691560 Long DBT CORP US N 2 2023-03-15 Fixed 8.38000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 8418.26000000 0.000688455080 N/A DFE CO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 581377.99000000 USD 2217637273.96000000 COP 2020-07-06 8418.26000000 N N N Republic of Indonesia 529900FWX0GRR7WG5W79 000000000 200000.00000000 PA USD 226562.50000000 0.018528544409 Long DBT NUSS ID N 2 2024-01-15 Fixed 5.88000000 N N N N N N CANADIAN IMPERIAL BANK 2IGI19DL77OX0HC3ZE78 13607GRK2 2625000.00000000 PA USD 2634633.75000000 0.215463408288 Long DBT CORP CA N 2 2023-06-23 Fixed 0.95000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 4522.60000000 0.000369863481 N/A DFE TR N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 419758.43000000 USD 2970882.26000000 TRY 2020-09-16 4522.60000000 N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BD5 6950000.00000000 PA USD 7505027.00000000 0.613769825394 Long DBT CORP JP N 2 2024-03-07 Fixed 3.41000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4507.26000000 -0.00036860895 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 20196980.06000000 TWD 689693.35000000 USD 2020-09-16 -4507.26000000 N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBQ1 7500000.00000000 PA USD 7956000.00000000 0.650650921153 Long DBT CORP US N 2 2024-11-21 Fixed 2.60000000 N N N N N N Pennsylvania Higher Education Assistance Agency N/A 69338YAA1 35764.36000000 PA USD 33988.14000000 0.002779589567 Long ABS-O CORP US N 2 2057-05-25 Floating 0.73000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6133.93000000 0.000501639920 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3199563.57000000 BRL 594445.04000000 USD 2020-07-02 6133.93000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 192039.98000000 0.015705252625 N/A DFE RU N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3820760.91000000 USD 287263908.80000000 RUB 2020-08-17 192039.98000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 36179USW3 7872366.98000000 PA USD 8535506.83000000 0.698043662827 Long ABS-MBS USGA US N 2 2049-05-20 Fixed 5.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1854.84000000 -0.00015169096 N/A DFE PL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 570317.57000000 EUR 2531411.57000000 PLN 2020-09-16 -1854.84000000 N N N Fannie Mae N/A 3136AQC57 893946.04000000 PA USD 160452.86000000 0.013122021262 Long ABS-MBS USGSE US N 2 2046-02-25 Floating 5.97000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 759.68000000 0.000062127512 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 535376.52000000 USD 3806954.82000000 CNY 2020-09-16 759.68000000 N N N Becton Dickinson and Co ICE2EP6D98PQUILVRZ91 075887BV0 1200000.00000000 PA USD 1293216.00000000 0.105760706592 Long DBT CORP US N 2 2024-06-06 Fixed 3.36000000 N N N N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAW8 3025000.00000000 PA USD 3154863.25000000 0.258008381061 Long DBT CORP US N 2 2022-11-07 Fixed 2.65000000 N N N N N N CENTENE CORP 549300Z7JJ4TQSQGT333 15135BAR2 1900000.00000000 PA USD 1959470.00000000 0.160247732588 Long DBT CORP US N 2 2027-12-15 Fixed 4.25000000 N N N N N N GENERAL MOTORS CO 54930070NSV60J38I987 37045VAW0 900000.00000000 PA USD 973575.00000000 0.079620094339 Long DBT CORP US N 2 2023-10-02 Fixed 5.40000000 N N N N N N Freddie Mac N/A 3137B9HA6 539564.60000000 PA USD 95126.48000000 0.007779554026 Long ABS-MBS USGSE US N 2 2044-03-15 Floating 5.87000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHC6 11000000.00000000 PA USD 11553850.00000000 0.944887273174 Long DBT CORP US N 2 2023-12-20 Fixed 3.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A 1037.49000000 0.000084847137 N/A DFE CH N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 275539.07000000 EUR 294107.65000000 CHF 2020-09-16 1037.49000000 N N N BPCE SA 9695005MSX1OYEMGDF46 05583JAG7 850000.00000000 PA USD 878704.50000000 0.071861474653 Long DBT CORP FR N 2 2025-01-14 Fixed 2.38000000 N N N N N N Diageo Capital PLC 213800L23DJLALFC4O95 25243YAY5 1975000.00000000 PA USD 2143191.00000000 0.175272649366 Long DBT CORP GB N 2 2023-09-18 Fixed 3.50000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -1610000.00000000 NC -46582.19000000 -0.00380954560 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 N/A 1610000.00000000 OU Notional Amount N/A -46582.19000000 0.00000000 DIR DE Euribor 6 Month EUR006M Index 2031-04-07 0.00000000 N/A 0.00000000 N/A 1610000.00000000 EUR 1.00000000 0.02000000 EUR 2021-04-01 XXXX -3667.37000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -25042.26000000 -0.00204798511 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2996071.15000000 TRY 410842.80000000 USD 2020-07-13 -25042.26000000 N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAF9 1500000.00000000 PA USD 1433295.00000000 0.117216529918 Long DBT CORP US N 2 2025-02-01 Fixed 2.30000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RDN9 1324000.00000000 PA USD 1381276.24000000 0.112962375304 Long DBT CORP US N 2 2022-03-01 Fixed 3.20000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -2380.57000000 -0.00019468577 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 8661018.97000000 CNY 1217356.99000000 USD 2020-09-16 -2380.57000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -28123.03000000 -0.00229993405 N/A DFE CL N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 623753.14000000 USD 489203350.00000000 CLP 2020-07-03 -28123.03000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -22078.35000000 -0.00180559310 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6257701.87000000 ILS 1788205.02000000 USD 2020-09-16 -22078.35000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -6400000.00000000 NC USD -44685.44000000 -0.00365442718 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 N/A 6400000.00000000 OU Notional Amount N/A -44685.44000000 0.00000000 DIR US ICE Libor USD 3 Months US0003M Index 2025-11-25 0.00000000 N/A 0.00000000 N/A 6400000.00000000 USD 1.00000000 0.41000000 USD 2020-11-23 XXXX 434.56000000 N N N SLM Student Loan Trust 549300IZGFDRVV7YTH38 78444EAD1 717473.43000000 PA USD 676430.65000000 0.055319284253 Long ABS-O CORP US N 2 2022-01-25 Floating 1.32000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19496.35000000 -0.00159443414 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 18084087.74000000 NOK 1859863.00000000 USD 2020-09-16 -19496.35000000 N N N Bombardier Inc W7L3VLU8EHQY34Z36697 097751BM2 125000.00000000 PA USD 81562.50000000 0.006670275987 Long DBT CORP CA N 2 2025-03-15 Fixed 7.50000000 N N N N N N US Foods Inc 5493000JOOFAOUY1JZ87 90290MAB7 2120000.00000000 PA USD 2014000.00000000 0.164707259326 Long DBT CORP US N 2 2024-06-15 Fixed 5.88000000 N N N N N N B&G Foods Inc 549300TRW1LZMDJZAQ78 05508RAE6 2050000.00000000 PA USD 2060250.00000000 0.168489638047 Long DBT CORP US N 2 2025-04-01 Fixed 5.25000000 N N N N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AM6 625000.00000000 PA USD 666406.25000000 0.054499477177 Long DBT CORP US N 2 2024-06-14 Fixed 2.70000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -14737.76000000 -0.00120527113 N/A DFE JP N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1223372.13000000 USD 130366204.00000000 JPY 2020-09-16 -14737.76000000 N N N CIT Group Inc N8O96ZZJQRFYQUJY7K79 125581GY8 125000.00000000 PA USD 126250.00000000 0.010324871643 Long DBT CORP US N 2 2024-02-16 Fixed 4.75000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 1990000.00000000 OU Notional Amount USD 96642.16000000 0.007903508097 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-09-16 178279.21000000 USD 0.00000000 USD 1990000.00000000 USD -81637.05000000 N N N State of Qatar 52990074F6OJOAXK4P65 000000000 870000.00000000 PA USD 879515.63000000 0.071927809807 Long DBT NUSS QA N 2 2021-06-02 Fixed 2.38000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAU0 350000.00000000 PA USD 379512.00000000 0.031036932175 Long DBT CORP US N 2 2024-07-23 Fixed 3.80000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1408.07000000 -0.00011515360 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 598750.13000000 USD 530767.80000000 EUR 2020-09-16 -1408.07000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381BZG2 1093277.97000000 PA USD 161270.20000000 0.013188864276 Long ABS-MBS USGA US N 2 2049-01-20 Floating 5.86000000 N N N N N N JPMorgan Chase & Co 8I5DZWZKVSZI1NUHU748 46647PAY2 2950000.00000000 PA USD 3250162.50000000 0.265802064419 Long DBT CORP US N 2 2024-12-05 Fixed 4.02000000 N N N N N N Bank of America Corp 9DJT3UXIJIZJI4WXO774 06051GHL6 1175000.00000000 PA USD 1274898.50000000 0.104262680166 Long DBT CORP US N 2 2024-07-23 Fixed 3.86000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBL2 5190000.00000000 PA USD 5368899.30000000 0.439074820905 Long DBT CORP US N 2 2022-11-21 Fixed 2.30000000 N N N N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4680000.00000000 OU Notional Amount USD -26693.32000000 -0.00218301071 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2050-04-10 168.48000000 USD 0.00000000 USD 4680000.00000000 USD -26861.80000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 2051.12000000 0.000167742976 N/A DFE IN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1865178.00000000 USD 141314092.06000000 INR 2020-07-15 2051.12000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 12930.74000000 0.001057490936 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3147522.96000000 BRL 591673.02000000 USD 2020-07-02 12930.74000000 N N N AIG GLOBAL FUNDING 54930057MDZ7KOVOTV71 00138CAK4 299000.00000000 PA USD 308460.36000000 0.025226246527 Long DBT CORP US N 2 2022-07-01 Fixed 2.30000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RCS9 3225000.00000000 PA USD 3461489.25000000 0.283084611497 Long DBT CORP US N 2 2023-02-17 Fixed 3.60000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHR6 950000.00000000 PA USD 1038768.00000000 0.084951653602 Long DBT CORP US N 2 2024-06-01 Fixed 3.55000000 N N N N N N CANADIAN NATL RESOURCES 549300T15RIMIKZC5Q38 136385AW1 1400000.00000000 PA USD 1445976.00000000 0.118253596828 Long DBT CORP CA N 2 2023-01-15 Fixed 2.95000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RHP0 1800000.00000000 PA USD 1996056.00000000 0.163239778164 Long DBT CORP US N 2 2023-12-15 Fixed 4.05000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -319.04000000 -0.00002609146 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 448812.74000000 CAD 330325.36000000 USD 2020-09-16 -319.04000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -1347.53000000 -0.00011020256 N/A DFE XX N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2437257.99000000 PLN 546320.96000000 EUR 2020-09-16 -1347.53000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 14990000.00000000 OU Notional Amount -9412.92000000 -0.00076979953 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 Canada Bankers Acceptances 3 Months CDOR03 Index Y 2030-06-24 0.00000000 CAD -20601.09000000 CAD 14990000.00000000 CAD 5672.62000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 -6800000.00000000 NC USD -73455.64000000 -0.00600728756 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 N/A 6800000.00000000 OU Notional Amount N/A -73455.64000000 -0.01000000 DIR US ICE Libor USD 3 Months US0003M Index 2026-05-21 0.00000000 N/A 0.00000000 N/A 6800000.00000000 USD 1.00000000 0.48000000 USD 2021-05-19 XXXX -4316.64000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -6357.89000000 -0.00051995562 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 617772.37000000 EUR 555717.14000000 GBP 2020-09-16 -6357.89000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -3677.99000000 -0.00030079029 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 52533942.47000000 INR 689693.35000000 USD 2020-07-28 -3677.99000000 N N N GEORGIA POWER CO D981X4Z4RWS7PDMJUZ03 373334KM2 1825000.00000000 PA USD 1899113.25000000 0.155311687467 Long DBT CORP US N 2 2023-07-30 Fixed 2.10000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -1707.03000000 -0.00013960289 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 46407856.12000000 INR 610808.91000000 USD 2020-07-28 -1707.03000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -7333.61000000 -0.00059975114 N/A DFE SE N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1105163.20000000 USD 10220082.86000000 SEK 2020-09-16 -7333.61000000 N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2L7 1125000.00000000 PA USD 1149795.00000000 0.094031570624 Long DBT CORP FR N 2 2026-06-09 Fixed 2.22000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1198.91000000 0.000098048252 N/A DFE CN N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 706092.90000000 USD 5022283.46000000 CNY 2020-09-16 1198.91000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 13584.09000000 0.001110922658 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3514896.89000000 BRL 659876.26000000 USD 2020-07-02 13584.09000000 N N N LCH Limited F226TOH6YD6XJB17KS62 000000000 4530000.00000000 OU Notional Amount USD 34743.74000000 0.002841383413 N/A DIR US N 2 LCH Limited F226TOH6YD6XJB17KS62 ICE Libor USD 3 Months US0003M Index Y 2045-04-09 163.08000000 USD 0.00000000 USD 4530000.00000000 USD 34580.66000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 5055.95000000 0.000413481463 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 575855.55000000 EUR 653141.12000000 USD 2020-09-16 5055.95000000 N N N Utah State Board of Regents 549300SAYC054T80UK17 917546HY2 1200000.00000000 PA USD 1157737.32000000 0.094681102779 Long DBT MUN US N 2 2035-05-01 Floating 1.54000000 N N N N N N CSAIL Commercial Mortgage Trust N/A 12597NAE3 884000.00000000 PA USD 473666.18000000 0.038736970379 Long ABS-MBS CORP US N 2 2053-03-15 Fixed 2.50000000 N N N N N N IHS Markit Ltd 549300HLPTRASHS0E726 44962LAH0 2475000.00000000 PA USD 2650774.50000000 0.216783417571 Long DBT CORP BM N 2 2024-05-01 Fixed 3.63000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -26515.17000000 -0.00216844140 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1252098497.00000000 KRW 1017395.52000000 USD 2020-09-02 -26515.17000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3174.58000000 0.000259620839 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 6145648.13000000 SEK 663333.06000000 USD 2020-09-16 3174.58000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 114.62000000 0.000009373756 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 2375133.83000000 TRY 344037.81000000 USD 2020-07-29 114.62000000 N N N Standard Chartered PLC U4LOSYZ7YG4W3S5F2G91 853254BM1 1275000.00000000 PA USD 1323016.50000000 0.108197826096 Long DBT CORP GB N 2 2023-01-20 Fixed 4.25000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -30954.46000000 -0.00253149169 N/A DFE ID N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 1234642.01000000 USD 17537274888.32000000 IDR 2020-07-20 -30954.46000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 6716.54000000 0.000549286442 N/A DFE TW N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 715845.07000000 USD 21166107.12000000 TWD 2020-07-20 6716.54000000 N N N Fannie Mae N/A 3136AYTL7 704504.95000000 PA USD 131276.75000000 0.010735965097 Long ABS-MBS USGSE US N 2 2047-11-25 Floating 5.97000000 N N N N N N Viking Cruises Ltd 549300IJP90T4MV2GL84 92676XAD9 115000.00000000 PA USD 67850.00000000 0.005548851809 Long DBT CORP BM N 2 2027-09-15 Fixed 5.88000000 N N N N N N CIT GROUP INC N8O96ZZJQRFYQUJY7K79 125581HA9 2850000.00000000 PA USD 2785875.00000000 0.227832093384 Long DBT CORP US N 2 2024-06-19 Fixed 3.93000000 N N N N N N WP Carey Inc 54930042CRNE713E3Q67 92936UAA7 285000.00000000 PA USD 305995.95000000 0.025024704215 Long DBT US N 2 2024-04-01 Fixed 4.60000000 N N N N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 825000.00000000 OU Notional Amount USD -24681.94000000 -0.00201851772 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 General Electric Co General Electric Co Y sell protection 2024-12-20 0.00000000 USD -11738.29000000 USD 825000.00000000 USD -12943.65000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC N/A -4285.28000000 -0.00035045517 N/A DFE GB N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 611611.58000000 EUR 551795.97000000 GBP 2020-09-16 -4285.28000000 N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABG9 1575000.00000000 PA USD 1574905.50000000 0.128797601094 Long DBT CORP US N 2 2026-02-15 Fixed 1.50000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9128284V9 850000.00000000 PA USD 1006187.50000000 0.082287182469 Long DBT UST US N 1 2028-08-15 Fixed 2.88000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 23492.55000000 0.001921248026 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 9650934.17000000 PLN 2463465.54000000 USD 2020-09-16 23492.55000000 N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874CU9 275000.00000000 PA USD 296694.75000000 0.024264041275 Long DBT CORP US N 2 2022-06-01 Fixed 4.88000000 N N N N N N Ally Financial Inc 549300JBN1OSM8YNAI90 02005NAY6 1975000.00000000 PA USD 2024375.00000000 0.165555738877 Long DBT CORP US N 2 2022-02-13 Fixed 4.13000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 9509.42000000 0.000777691413 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 479182444.00000000 CLP 593378.05000000 USD 2020-08-27 9509.42000000 N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26614NAA0 2150000.00000000 PA USD 2190441.50000000 0.179136850139 Long DBT CORP US N 2 2023-05-01 Fixed 2.17000000 N N N N N N MEG Energy Corp 5493002WXPTG5ZC1T326 552704AC2 78000.00000000 PA USD 66300.00000000 0.005422091009 Long DBT CORP CA N 2 2024-03-31 Fixed 7.00000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -19396.23000000 -0.00158624621 N/A DFE ID N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 617528.37000000 USD 8714560357.44000000 IDR 2020-07-20 -19396.23000000 N N N Citibank NA E57ODZWZ7FF32TWEFA76 17325FAS7 1425000.00000000 PA USD 1562598.00000000 0.127791079448 Long DBT CORP US N 2 2024-01-23 Fixed 3.65000000 N N N N N N AT&T Inc 549300Z40J86GGSTL398 00206RBD3 900000.00000000 PA USD 937134.00000000 0.076639907031 Long DBT CORP US N 2 2022-02-15 Fixed 3.00000000 N N N N N N CHARTER COMM OPT LLC/CAP N/A 161175BB9 1650000.00000000 PA USD 1759758.00000000 0.143915053256 Long DBT CORP US N 2 2022-07-23 Fixed 4.46000000 N N N N N N Fannie Mae N/A 31398SH97 190860.27000000 PA USD 31546.45000000 0.002579905323 Long ABS-MBS USGSE US N 2 2040-12-25 Floating 5.77000000 N N N N N N BSPRT 2018-FL4 Issuer, Ltd. N/A 05586AAA6 4400000.00000000 PA USD 4312094.60000000 0.352648105026 Long ABS-CBDO CORP KY N 2 2035-09-15 Variable 1.23000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -132950.02000000 -0.01087280706 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 3681730.87000000 USD 34148053.86000000 NOK 2020-09-16 -132950.02000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 1360.19000000 0.000111237918 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 13844253.92000000 HUF 45265.03000000 USD 2020-09-16 1360.19000000 N N N Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 000000000 225000.00000000 OU Notional Amount USD 2773.76000000 0.000226841314 N/A DCR US N 2 Intercontinental Exchange, Inc. 5493000F4ZO33MV32P92 Markit CDX.NA.IG.S32.V1 2I65BYBE4 Y sell protection 2024-06-20 3359.97000000 USD 0.00000000 USD 225000.00000000 USD -586.21000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 204.95000000 0.000016761049 N/A DFE CA N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 670337.56000000 USD 910186.35000000 CAD 2020-09-16 204.95000000 N N N PAYPAL HOLDINGS INC 5493005X2GO78EFZ3E94 70450YAC7 1625000.00000000 PA USD 1726188.75000000 0.141169720999 Long DBT CORP US N 2 2024-10-01 Fixed 2.40000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC 3630.82000000 0.000296932676 N/A DFE US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 72139122.00000000 JPY 672437.76000000 USD 2020-09-16 3630.82000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XBE3 1975000.00000000 PA USD 1989694.00000000 0.162719486414 Long DBT CORP US N 2 2022-01-15 Fixed 3.50000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1.00000000 NC -4139.76000000 -0.00033855438 N/A DFE NO N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 658734.38000000 USD 6298820.12000000 NOK 2020-09-16 -4139.76000000 N N N 2020-07-31 GOLDMAN SACHS TRUST Peter Fortner Peter Fortner Vice President XXXX