0001752724-21-133974.txt : 20210623
0001752724-21-133974.hdr.sgml : 20210623
20210623165247
ACCESSION NUMBER: 0001752724-21-133974
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210430
FILED AS OF DATE: 20210623
PERIOD START: 20211031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: 1WS Credit Income Fund
CENTRAL INDEX KEY: 0001748680
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23368
FILM NUMBER: 211039256
BUSINESS ADDRESS:
STREET 1: 299 PARK AVENUE, 25TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10171
BUSINESS PHONE: 212-377-4810
MAIL ADDRESS:
STREET 1: 299 PARK AVENUE, 25TH FLOOR
CITY: NEW YORK
STATE: NY
ZIP: 10171
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001748680
XXXXXXXX
1WS CREDIT INCOME FUND
811-23368
0001748680
549300B58HSKB8RHUQ19
299 PARK AVENUE 25TH FLOOR
NEW YORK
10171
2129572500
1WS Credit Income Fund
549300B58HSKB8RHUQ19
2021-10-31
2021-04-30
N
129862112.97
25209114.98
104652997.99
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
24685560.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
2292372.65000000
USD
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Class C
U5255PAC6
1842258.50000000
PA
USD
1855154.31000000
1.772671921140
Long
ABS-O
CORP
US
N
2
2021-12-15
Fixed
4.50400000
N
N
N
N
N
N
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Markit Cdx Hy S33 5y Tranche 15-25% 12/24 Otc
N/A
1.00000000
NC
USD
-107900.00000000
-0.10310263640
N/A
DCR
CORP
US
N
2
Morgan Stanley
IGJSJL3JD5P30I6NJZ34
Markit NA High Yield Index
2I65BRYN4
Y
Underlying Performance
2024-12-20
0.00000000
USD
125000.00000000
USD
-5000000.00000000
USD
17100.00000000
N
N
N
N/A
N/A
Reverse Repo
N/A
-340560.00000000
NS
USD
-340560.00000000
-0.32541829335
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.07713000
2021-07-28
-340560.00000000
USD
671891.40910000
USD
PLCMO
N
N
N
Kkr Financial Clo Ltd
549300N7FISC1W1QKR21
KKR CLO 10, Ltd. Series 10 Class ER
48250JAG9
505000.00000000
PA
USD
503283.00000000
0.480906433323
Long
ABS-CBDO
CORP
KY
Y
2
2029-09-15
Floating
6.68388000
N
N
N
N
N
N
Bluemountain Clo Ltd
5493005B0MT8TYWD7W93
BlueMountain CLO, Ltd., Series 2018-1X, Class ER
G13545AC5
500000.00000000
PA
USD
492450.00000000
0.470555081515
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
5.73825000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-517000.00000000
NS
USD
-517000.00000000
-0.49401355902
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.77575000
2021-07-23
-517000.00000000
USD
647270.00000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-381000.00000000
NS
USD
-381000.00000000
-0.36406028237
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.18750000
2021-07-13
-381000.00000000
USD
503287.16110000
USD
N
N
N
Banc Of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust, Class C
05525DAJ5
1097000.00000000
PA
USD
1090088.90000000
1.041622238193
Long
ABS-MBS
CORP
US
Y
2
2034-03-15
Floating
2.11500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust 2019-1, Class E
30167DAE7
480000.00000000
PA
USD
505008.00000000
0.482554737751
Long
ABS-O
CORP
US
Y
2
2023-03-15
Fixed
5.20000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-545000.00000000
NS
USD
-545000.00000000
-0.52076864539
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.59263000
2021-08-06
-545000.00000000
USD
782700.00000000
USD
N
N
N
N/A
N/A
Reverse Repo
N/A
-523000.00000000
NS
USD
-523000.00000000
-0.49974679182
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.43975000
2021-10-19
-523000.00000000
USD
819900.00000000
USD
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Class D
649604881
8071.00000000
NS
USD
197739.50000000
0.188947764323
Long
EP
CORP
US
N
1
N
N
N
Domi
724500YH04ZH2QORR597
Domi 2020-1 BV, Class F
BCC2MYWL6
500000.00000000
PA
604133.35000000
0.577272855630
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
5.96200000
N
N
N
N
N
N
Citicorp Residential Mortgage Securities, Inc.
N/A
Citicorp Residential Mortgage Trust, Class M2
17310EAH1
2000000.00000000
PA
USD
1979200.00000000
1.891202390770
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.26200000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Trust, Class 1A5
75115CAE7
966040.29120000
PA
USD
711681.88000000
0.680039648809
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.80613000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-153000.00000000
NS
USD
-153000.00000000
-0.14619743623
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.52288000
2021-07-21
-153000.00000000
USD
244100.00000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-897000.00000000
NS
USD
-897000.00000000
-0.85711830260
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.28375000
2021-07-15
-897000.00000000
USD
1201860.40000000
USD
N
N
N
Latitude Australia Credit Card Loan Note Trust
N/A
Latitude Australia Credit Card Master Trust Series 2017-2, Class E
BCC2EDR45
502000.00000000
PA
393792.98000000
0.376284471122
Long
ABS-O
CORP
AU
N
2
2023-08-22
Floating
5.01520000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-520000.00000000
NS
USD
-520000.00000000
-0.49688017542
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.07713000
2021-07-28
-520000.00000000
USD
826600.00030000
USD
PLCMO
N
N
N
Lanebrook Mortgage Transaction
213800UED4FTYXU1KI98
Lanebrook Mortgage Transaction 2020-1, Class E
BCC2PG078
500000.00000000
PA
730019.75000000
0.697562195083
Long
ABS-MBS
CORP
GB
N
2
2024-09-12
Floating
5.04890000
N
N
N
N
N
N
Gsamp Trust
CU46ESEFJB81SUVBJO28
GSAMP Trust, Class M2
362341PV5
721789.13830000
PA
USD
659426.56000000
0.630107663101
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
0.88613000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-650000.00000000
NS
USD
-650000.00000000
-0.62110021928
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.33375000
2021-07-14
-650000.00000000
USD
1662800.00000000
USD
PLCMO
N
N
N
National Collegiate Student Loan Trust
N/A
National Collegiate Student Loan Trust, Class B
63543TAJ7
1846000.00000000
PA
USD
1462585.80000000
1.397557478611
Long
ABS-O
CORP
US
N
2
2037-07-27
Floating
0.60863000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-856000.00000000
NS
USD
-856000.00000000
-0.81794121185
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.73538000
2021-09-09
-856000.00000000
USD
970020.00000000
USD
PLCMO
N
N
N
Bluemountain Clo Ltd
5493005B0MT8TYWD7W93
BlueMountain CLO Ltd., Series 2016-1A, Class ER
09628RAE3
296000.00000000
PA
USD
291530.40000000
0.278568608257
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-20
Floating
5.73825000
N
N
N
N
N
N
Twin Bridges
213800DOYEU7P7SSOK83
Twin Bridges PLC, Series 2021-1, Class X2
N/A
363000.00000000
PA
490390.14000000
0.468586805364
Long
ABS-MBS
CORP
GB
N
2
2026-03-12
Floating
5.04859000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Class M3
35729PEV8
136347.91500000
PA
USD
142210.88000000
0.135888013464
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
1.83113000
N
N
N
N
N
N
College Ave Student Loans
N/A
College Ave Student Loans Series, 2021-A, CLass C
19424KAD5
500000.00000000
PA
USD
503800.00000000
0.481400446882
Long
ABS-O
CORP
US
Y
2
2032-02-25
Floating
2.92000000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-1412000.00000000
NS
USD
-1412000.00000000
-1.34922078403
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.82575000
2021-07-23
-1412000.00000000
USD
2488901.87800000
USD
PLCMO
N
N
N
Dryden Senior Loan Fund
549300ARO9JRDQL4OE07
Dryden Senior Loan Fund, Series 2015-38X, Class SUB
G2848EAB0
1415000.00000000
PA
USD
749950.00000000
0.716606322230
Long
ABS-CBDO
CORP
KY
N
3
N
N
N
N/A
N/A
Reverse Repo
N/A
-588000.00000000
NS
USD
-588000.00000000
-0.56185681374
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.83250000
2021-06-10
-588000.00000000
USD
805890.77240000
USD
PLCMO
N
N
N
Finsbury Square
213800Z663D4MD7UAR41
Finsbury Square 2019-3 PLC, Class X
BCC2LE5R8
196849.75000000
PA
271912.50000000
0.259822943654
Long
ABS-MBS
CORP
GB
N
2
2069-12-16
Floating
3.94830000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Class 1A17
12668AA47
288581.30000000
PA
USD
192512.59000000
0.183953249020
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Fixed
5.50000000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2006-BNC3, Class A4
86361KAD9
860000.00000000
PA
USD
529330.00000000
0.505795352418
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.41613000
N
N
N
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust, Class D
04410RAL0
554000.00000000
PA
USD
545745.40000000
0.521480904017
Long
ABS-MBS
CORP
US
Y
2
2035-04-16
Floating
2.21500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-721000.00000000
NS
USD
-721000.00000000
-0.68894347400
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40750000
2021-07-13
-721000.00000000
USD
933910.50290000
USD
PLCMO
N
N
N
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
EURO-BOBL FUTURE Jun21
N/A
-3.00000000
NC
-485939.62000000
-0.46433416082
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
EUREX DEUTSCHLAND
EURO-BOBL FUTURE Jun21
2021-06-08
-485939.62000000
EUR
841.02000000
N
N
N
Jpmbb Commercial Mortgage Securities Trust
N/A
JPMBB Commercial Mortgage Securities Trust, Class D
46642EAJ5
526000.00000000
PA
USD
506590.60000000
0.484066973454
Long
ABS-MBS
CORP
US
Y
2
2024-07-17
Floating
4.81000000
N
N
N
N
N
N
Gsaa Home Equity Trust
N/A
GSAA Home Equity Trust, Class A4
38144RAD9
547742.83830000
PA
USD
327550.22000000
0.312986943796
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.70613000
N
N
N
N
N
N
Residential Mortgage Securities
54930041T52UP3IPLN03
Residential Mortgage Securities 32X, Class F1
N/A
500000.00000000
PA
741482.41000000
0.708515211452
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
6.54830000
N
N
N
N
N
N
Taberna Prefered Funding Ltd
U03UUQ0VYFBPHFC9G558
Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1
G8655GAE8
1000000.00000000
PA
USD
365000.00000000
0.348771661596
Long
ABS-CBDO
CORP
KY
N
2
2036-02-05
Floating
0.99513000
Y
N
N
N
N
N
Jp Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Class TB1
466247SV6
188304.37000000
PA
USD
185423.31000000
0.177179166924
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.90800000
N
N
N
N
N
N
Jp Morgan Reremic
N/A
JP Morgan Resecuritization Trust, Class 3A2
46644NAN4
394939.10600000
PA
USD
339805.61000000
0.324697444436
Long
ABS-MBS
CORP
US
Y
2
2037-09-26
Floating
5.35700000
N
N
Y
N
N
N
Shackleton Clo Ltd
549300VJPG28RMYCYW83
Shackleton CLO, Ltd., Series 2017-8X, Class ER
G8103HAD6
1000000.00000000
PA
USD
953800.00000000
0.911392906384
Long
ABS-CBDO
CORP
KY
N
2
2027-10-20
Floating
5.52825000
N
N
N
N
N
N
Chicago Board of Trade
PBLD0EJDB5FWOLXP3B76
US 2Yr Note Future
N/A
-5.00000000
NC
USD
-1103789.06000000
-1.05471327262
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
Chicago Board of Trade
US 2Yr Note Future
2021-06-30
-1103789.06000000
USD
-75.08000000
N
N
N
Keycorp Student Loan Trust
N/A
KeyCorp Student Loan Trust, Class 2C
49327HAJ4
2000000.00000000
PA
USD
1660600.00000000
1.586767729443
Long
ABS-O
CORP
US
N
2
2042-03-27
Floating
1.34300000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-302000.00000000
NS
USD
-302000.00000000
-0.28857271726
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.69538000
2021-08-06
-302000.00000000
USD
531652.00000000
USD
PLCMO
N
N
N
CME GLOBEX
N/A
AUDUSD Crncy Fut Jun21
N/A
-15.00000000
NC
USD
-1155900.00000000
-1.10450729764
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
CME GLOBEX
AUDUSD Crncy Fut Jun21
2021-06-14
-1155900.00000000
USD
-4222.42000000
N
N
N
Mp Clo Viii, Ltd
549300D60LKSR31DKI65
MP CLO, Ltd., Series 2015-2X, Class ER
G6337VAA3
750000.00000000
PA
USD
707175.00000000
0.675733150107
Long
ABS-CBDO
CORP
KY
N
2
2027-10-28
Floating
5.63400000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2005-8, Class M2
86358EXR2
953858.14510000
PA
USD
954525.85000000
0.912086484222
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
0.85613000
N
N
N
N
N
N
Anchorage Capital Clo Ltd
549300687XYK5L55VX28
Anchorage Capital CLO Series 14-5RA, Ltd. Class E
03329YAA1
508000.00000000
PA
USD
499821.20000000
0.477598549109
Long
ABS-CBDO
CORP
KY
Y
2
2030-01-15
Floating
5.58375000
N
N
N
N
N
N
Tower Bridge Funding
635400RHPRXUESO7KB48
Tower Bridge Funding, Series 21-1, Class X
BCC2R4Q75
359000.00000000
PA
497034.21000000
0.474935472032
Long
ABS-MBS
CORP
GB
N
2
2024-04-21
Floating
4.54818000
N
N
N
N
N
N
Dowson
213800EQQBXA3JAZGE58
Dowson 2020-1 PLC, Class D
BCC2N3JB0
376000.00000000
PA
520570.65000000
0.497425453640
Long
ABS-O
CORP
GB
N
2
2027-04-20
Floating
4.54820000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-417000.00000000
NS
USD
-417000.00000000
-0.39845967913
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.08138000
2021-08-19
-417000.00000000
USD
506650.00000000
USD
PLCMO
N
N
N
Freed Abs Trust
N/A
FREED ABS Trust, Class C
35634TAC0
500000.00000000
PA
USD
513700.00000000
0.490860280991
Long
ABS-O
CORP
US
Y
2
2027-03-18
Fixed
4.37000000
N
N
N
N
N
N
Sound Point Clo Ltd
5493006VH6ZUE3FHGC30
SOUND POINT CLO,Series 13-2RA Class D
83611RAA5
1500000.00000000
PA
USD
1373550.00000000
1.312480317220
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-15
Floating
6.18375000
N
N
N
N
N
N
Anchorage Capital Clo Ltd
549300PKM3N9LK4JM015
Anchorage Capital CLO, Ltd., Series 2016-8X, Class ER
G0419UAE1
500000.00000000
PA
USD
492700.00000000
0.470793966214
Long
ABS-CBDO
CORP
KY
N
2
2028-07-28
Floating
5.93400000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust, Class M2
83611MJM1
672698.65130000
PA
USD
669200.62000000
0.639447156653
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.93113000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Trust, Class 1A2
75114HAB3
935061.74250000
PA
USD
904017.69000000
0.863823977681
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
0.48613000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
Sofi Professional Loan Program, Class R1
U83414208
56770.00000000
PA
USD
1262438.26000000
1.206308738637
Long
ABS-O
CORP
US
N
3
2048-08-17
Fixed
0.00000000
N
N
N
N
N
N
Ll Abs Trust
N/A
LL ABS Trust 2020-1A, Class C
50202HAC7
500000.00000000
PA
USD
522500.00000000
0.499269022422
Long
ABS-O
CORP
US
Y
2
2023-11-15
Fixed
6.54000000
N
N
N
N
N
N
ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
549300UF4R84F48NCH34
LONG GILT FUTURE Jun21
N/A
-1.00000000
NC
-176317.86000000
-0.16847855616
N/A
DIR
CORP
GB
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
LONG GILT FUTURE Jun21
2021-06-28
-176317.86000000
GBP
1688.41000000
N
N
N
Colony Mortgage Capital Ltd
N/A
CLNY Trust 2019-IKPR, Class C
12564NAJ1
556000.00000000
PA
USD
553220.00000000
0.528623174324
Long
ABS-MBS
CORP
US
Y
2
2021-11-15
Floating
1.79100000
N
N
N
N
N
N
Fontainebleau Miami Beach Trust
N/A
Fontainebleau Miami Beach Trust 2019-FBLU, Series 2019-FBLU, Class C
34461LAJ3
500000.00000000
PA
USD
518600.00000000
0.495542421106
Long
ABS-MBS
CORP
US
Y
2
2024-12-10
Fixed
3.75000000
N
N
N
N
N
N
Kvk Clo Ltd
5493007VGL59COTLZY21
KVK CLO, Series 2013-1A, Class ER
48274GAD4
500000.00000000
PA
USD
499800.00000000
0.477578291687
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-14
Floating
6.12575000
N
N
N
N
N
N
Sofi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program, Class R2
83405J204
9390.00000000
PA
USD
305169.37000000
0.291601173268
Long
ABS-O
CORP
US
Y
3
2026-05-26
Fixed
0.00000000
N
N
N
N
N
N
Silk Finance
213800D3OXAL3N7T1S19
TAGUS - SILK, Class D
N/A
500000.00000000
PA
619041.32000000
0.591517999378
Long
ABS-O
CORP
PT
N
2
2035-02-25
Fixed
7.25000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
N/A
National Collegiate Student Loan Trust, Class A4
63543XAD1
1183620.82170000
PA
USD
1124794.87000000
1.074785139081
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
0.41113000
N
N
N
N
N
N
Battalion Clo Ltd
549300CJP8HGT746II19
Battalion Clo Series 20-15A, Ltd. Class E
07131CAA8
506000.00000000
PA
USD
500838.80000000
0.478570905391
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-17
Floating
6.53975000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust HE1, Class M2
59020U3F0
2000000.00000000
PA
USD
1898800.00000000
1.814377071339
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.70613000
N
N
N
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Class M1
73316PHR4
389212.10800000
PA
USD
358386.51000000
0.342452215305
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
5.82000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-360000.00000000
NS
USD
-360000.00000000
-0.34399396760
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.49538000
2021-05-10
-360000.00000000
USD
496766.86820000
USD
PLCMO
N
N
N
Gsr Mortgage Loan Trust
CU46ESEFJB81SUVBJO28
GSR Mortgage Loan Trust, Series 2005-5F, Class B1
36242D7X5
451894.86400000
PA
USD
461249.09000000
0.440741401449
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
5.70800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-175000.00000000
NS
USD
-175000.00000000
-0.16721928980
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54263000
2021-08-06
-175000.00000000
USD
275495.00000000
USD
N
N
N
Carlyle Global Market Strategies
N/A
Carlyle Global Market Strategies CLO 2015-1A, Ltd., Class ER
14311EAY0
1095000.00000000
PA
USD
1094343.00000000
1.045687195797
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
7.12825000
N
N
N
N
N
N
Voya Clo Ltd
549300L8S87K3SMP0R77
Voya CLO, Ltd., Series 2014-2X, Class SUB
G9401VAF7
761000.00000000
PA
USD
153189.30000000
0.146378319725
Long
ABS-CBDO
CORP
KY
N
3
N
N
N
Cps Auto Trust
N/A
CPS Auto Trust, Series 2018-C, Class E
12655CAE6
500000.00000000
PA
USD
526850.00000000
0.503425616197
Long
ABS-O
CORP
US
Y
2
2025-09-15
Fixed
6.07000000
N
N
N
N
N
N
Residential Mortgage Securities
549300XVA6X7K4580L26
Residential Mortgage Securities 31 PLC, Class F2
N/A
509000.00000000
PA
697257.39000000
0.666256488960
Long
ABS-MBS
CORP
GB
N
2
2021-09-20
Floating
4.08350000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
5493005J860FXWR4WJ55
Atrium Hotel Portfolio Trust, Class F
04965KAS9
1194000.00000000
PA
USD
1013228.40000000
0.968179048341
Long
ABS-MBS
CORP
US
Y
2
2021-06-15
Floating
4.11500000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-437000.00000000
NS
USD
-437000.00000000
-0.41757045511
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.43750000
2021-10-12
-437000.00000000
USD
646196.63680000
USD
PLCMO
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D
46646JAF8
652000.00000000
PA
USD
645284.40000000
0.616594280520
Long
ABS-MBS
CORP
US
Y
2
2021-10-05
Floating
4.14300000
N
N
N
N
N
N
Hilton Usa Trust
N/A
Hilton Orlando Trust 2018-ORL, Class D
432885AL5
750000.00000000
PA
USD
748350.00000000
0.715077460152
Long
ABS-MBS
CORP
US
Y
2
2034-12-15
Floating
1.96463000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2021-1
25273CAC4
549000.00000000
PA
USD
552623.40000000
0.528053099876
Long
ABS-O
CORP
US
Y
2
2033-11-21
Fixed
2.70000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Class MI1
64352VGK1
755333.37000000
PA
USD
775576.30000000
0.741093246152
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
4.22000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-156000.00000000
NS
USD
-156000.00000000
-0.14906405262
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.59738000
2021-07-08
-156000.00000000
USD
249850.00000000
USD
N
N
N
Zip Master Trust
N/A
Zip Master Trust Series 2021-1
N/A
500000.00000000
PA
386138.31000000
0.368970136944
Long
ABS-O
CORP
AU
N
2
2024-04-10
Floating
5.71500000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-355000.00000000
NS
USD
-355000.00000000
-0.33921627360
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54688000
2021-09-22
-355000.00000000
USD
515050.00000000
USD
N
N
N
Gls Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2020-2, Class D
38014RAG9
1560000.00000000
PA
USD
1733316.00000000
1.656250688743
Long
ABS-MBS
CORP
US
Y
2
2027-04-15
Fixed
7.48000000
N
N
N
N
N
N
Bellemeade Re Lt
N/A
Bellemeade Re, Ltd.,Series 21-1A, Class M2
07876MAD9
500000.00000000
PA
USD
504150.00000000
0.481734885462
Long
ABS-O
CORP
BM
Y
2
2031-03-25
Floating
4.86567000
N
N
N
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, 2016-Wiki Class C
46646JAE1
750000.00000000
PA
USD
751800.00000000
0.718374069008
Long
ABS-MBS
CORP
US
Y
2
2021-10-05
Fixed
3.55400000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust 2020-2, Class E
30167YAJ0
832000.00000000
PA
USD
920108.80000000
0.879199657603
Long
ABS-O
CORP
US
Y
2
2024-07-15
Fixed
7.19000000
N
N
N
N
N
N
E-carat Plc
213800P8XQG7CEH4YG57
E-Carat 11 PLC, Class G
000CZN804
481351.12000000
PA
666295.94000000
0.636671622215
Long
ABS-O
CORP
GB
N
2
2024-01-18
Floating
5.04820000
N
N
N
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Class M3
46626LHD5
814557.61890000
PA
USD
714611.40000000
0.682838918831
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.66113000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-399000.00000000
NS
USD
-399000.00000000
-0.38125998075
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.52288000
2021-07-21
-399000.00000000
USD
640057.60000000
USD
PLCMO
N
N
N
Oaktree Clo Ltd
N/A
Oaktree CLO 2019-3, Ltd.
67400GAA7
517000.00000000
PA
USD
512657.20000000
0.489863845132
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-20
Floating
6.95825000
N
N
N
N
N
N
Jubilee Place
7245009KXOSYFG657V11
Jubilee Place, Trust 2021-1, Class X
BCC2RB4M0
500000.00000000
PA
605636.17000000
0.578708858448
Long
ABS-MBS
CORP
NL
N
2
2058-07-17
Floating
4.46451000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2007-5 Class 6A1
52521RBR1
892593.25000000
PA
USD
485392.21000000
0.463811089335
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.42613000
N
N
N
N
N
N
Sound Point Clo Ltd
5493006UE7EGV6XUOE47
SOUND POINT CLO , Series 2017-3A, Class D
83611FAA1
526000.00000000
PA
USD
513639.00000000
0.490801993125
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-20
Floating
6.68825000
N
N
N
N
N
N
Honours Plc
213800IQ162GN31K9S35
Honours PLC, Class B
N/A
592977.00000000
PA
595687.65000000
0.569202661596
Long
ABS-O
CORP
GB
N
2
2029-04-10
Floating
1.04750000
N
N
N
N
N
N
Morgan Stanley Baml Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Class A4
61764RBF4
1000000.00000000
PA
USD
1075200.00000000
1.027395316570
Long
ABS-MBS
CORP
US
N
2
2024-12-17
Fixed
3.24900000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-113000.00000000
NS
USD
-113000.00000000
-0.10797588427
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.08250000
2021-06-10
-113000.00000000
USD
147018.20000000
USD
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5Yr Note Future
N/A
-336.00000000
NC
USD
-41643000.00000000
-39.7915022023
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
Chicago Board of Trade
US 5Yr Note Future
2021-06-30
-41643000.00000000
USD
256649.98000000
N
N
N
Wind River Clo Ltd
635400WBNY8VGBBADK15
Wind River CLO, Ltd., Series 2016-1X, Class ER
G8832AAC1
750000.00000000
PA
USD
744450.00000000
0.711350858836
Long
ABS-CBDO
CORP
KY
N
2
2028-07-15
Floating
5.73375000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-526000.00000000
NS
USD
-526000.00000000
-0.50261340821
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.68200000
2021-06-16
-526000.00000000
USD
844493.00000000
USD
N
N
N
BNY Mellon Liquidity Funds plc
N/A
BNY Mellon U.S. Treasury Fund, Institutional Class
G1206E136
2698880.84000000
NS
USD
2698880.84000000
2.578885356211
Long
STIV
RF
IE
N
1
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10 Yr Note Future
N/A
-9.00000000
NC
USD
-1188281.25000000
-1.13544883837
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
Chicago Board of Trade
US 10 Yr Note Future
2021-06-21
-1188281.25000000
USD
17437.50000000
N
N
N
N/A
N/A
Reverse Repo
N/A
-314000.00000000
NS
USD
-314000.00000000
-0.30003918285
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.47575000
2021-07-23
-314000.00000000
USD
555401.36740000
USD
PLCMO
N
N
N
Fta Santander Consumo
98450072AC11A1C80548
FTA Santander Consumo 4
BCC2QM3E6
500000.00000000
PA
613210.38000000
0.585946309974
Long
ABS-O
CORP
ES
N
2
2032-09-18
Fixed
4.90000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust, Class M1
83612QAE8
912764.80920000
PA
USD
888667.82000000
0.849156581338
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.45613000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
COMM 2014-FL5 Mortgage Trust
12635HAM2
934303.68600000
PA
USD
801912.85000000
0.766258841506
Long
ABS-MBS
CORP
US
Y
2
2031-08-15
Floating
4.60600000
N
N
N
N
N
N
Anchorage Capital Clo Ltd
54930064GO7DB3TVDY21
Anchorage Capital CLO, Ltd., Series 2015-6X, Class ER
G04190AF4
700000.00000000
PA
USD
691040.00000000
0.660315531587
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
6.53375000
N
N
N
N
N
N
Sofi Consumer Loan Program Trust
N/A
SoFi Consumer Loan Program, Class R1
83407A102
14000.00000000
PA
USD
456288.89000000
0.436001737899
Long
ABS-O
CORP
US
Y
3
2029-01-25
Fixed
0.00000000
N
N
N
N
N
N
Anchorage Capital Clo Ltd
549300V7DN3VJ8H1GE96
Anchorage Capital CLO, Series 2014-3RA, Class E
03330BAA8
551000.00000000
PA
USD
532210.90000000
0.508548164144
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-28
Floating
5.68400000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-773000.00000000
NS
USD
-773000.00000000
-0.73863149154
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.55088000
2021-08-06
-770000.00000000
USD
1021752.00000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-219000.00000000
NS
USD
-219000.00000000
-0.20926299695
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.59738000
2021-07-08
-219000.00000000
USD
299493.40000000
USD
PLCMO
N
N
N
CME GLOBEX
N/A
BP CURRENCY FUT Jun21
N/A
-128.00000000
NC
USD
-11048800.00000000
-10.5575570812
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
CME GLOBEX
BP CURRENCY FUT Jun21
2021-06-14
-11048800.00000000
USD
75678.80000000
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D
46648PAL9
500000.00000000
PA
USD
484350.00000000
0.462815217244
Long
ABS-MBS
CORP
US
Y
2
2032-10-15
Floating
2.25463000
N
N
N
N
N
N
Nationstar Home Equity Loan Trust
N/A
Nationstar Home Equity Loan Trust, Class M2
63860LAG5
1027595.59330000
PA
USD
1467509.27000000
1.402262045221
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.57613000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Trust, Class D
12656DAJ2
307000.00000000
PA
USD
280444.50000000
0.267975600686
Long
ABS-MBS
CORP
US
Y
2
2029-12-17
Floating
3.39300000
N
N
N
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Class E
649604873
17808.00000000
NS
USD
432734.40000000
0.413494508816
Long
EP
CORP
US
N
1
N
N
N
Aps Resecuritization Trust
549300FP1DPPUKF3RF96
APS Resecuritization Trust, Class 1M
00191PAB9
2207356.63270000
PA
USD
566628.45000000
0.541435468532
Long
ABS-MBS
CORP
US
Y
2
2054-08-28
Floating
1.58000000
N
N
Y
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF, Class C
39152TAJ9
500000.00000000
PA
USD
497800.00000000
0.475667214089
Long
ABS-MBS
CORP
US
Y
2
2024-12-15
Floating
1.74800000
N
N
N
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Class E
46648PAN5
504000.00000000
PA
USD
471996.00000000
0.451010490922
Long
ABS-MBS
CORP
US
Y
2
2032-10-15
Floating
4.13463000
N
N
N
N
N
N
Lansdowne Mortgage Securities Plc
549300M5JCJD5NA85U45
Lansdowne Mortgage Securities No 1 PLC, Class M2
N/A
500000.00000000
PA
403897.71000000
0.385939932689
Long
ABS-MBS
CORP
IE
N
2
2045-06-15
Floating
0.29800000
N
N
N
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd.
12528GAE2
1196000.00000000
PA
USD
1199827.20000000
1.146481441568
Long
ABS-O
CORP
US
Y
2
2025-10-20
Fixed
5.82000000
N
N
N
N
N
N
Cgdb Commercial Mortgage Trust
N/A
Alternative Loan Trust, Class F
125284AL3
526000.00000000
PA
USD
523370.00000000
0.500100341177
Long
ABS-MBS
CORP
US
Y
2
2021-11-15
Floating
2.66463000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-471000.00000000
NS
USD
-471000.00000000
-0.45005877427
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.17288000
2021-07-21
-471000.00000000
USD
669565.00000000
USD
N
N
N
Blackrock Liquidity Funds T-fund
5493002L9DNZ83RX7V61
BlackRock Liquidity Funds T-Fund
09248U718
10073906.14000000
NS
USD
10073906.14000000
9.626008173184
Long
STIV
RF
US
N
1
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust, 05-13CB, Class A1
12667GAA1
534950.79760000
PA
USD
468723.89000000
0.447883862863
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.60613000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-371000.00000000
NS
USD
-371000.00000000
-0.35450489438
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.67713000
2021-07-28
-371000.00000000
USD
612096.00000000
USD
PLCMO
N
N
N
N/A
N/A
Reverse Repo
N/A
-1228000.00000000
NS
USD
-1228000.00000000
-1.17340164504
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.77575000
2021-07-23
-1228000.00000000
USD
1899800.00000000
USD
PLCMO
N
N
N
Slide 2018-fun
N/A
SLIDE 2018-FUN, Class D
831350AL7
947893.20630000
PA
USD
931305.08000000
0.889898137546
Long
ABS-MBS
CORP
US
Y
2
2021-06-15
Floating
1.96500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-702000.00000000
NS
USD
-702000.00000000
-0.67078823682
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.51750000
2021-07-13
-702000.00000000
USD
1013825.40000000
USD
N
N
N
Tower Bridge Funding
6354008YXSM4DT8B8S69
Tower Bridge Funding 2020-1 PLC, Class E
N/A
500000.00000000
PA
721457.28000000
0.689380422784
Long
ABS-MBS
CORP
GB
N
2
2063-09-20
Floating
5.29830000
N
N
N
N
N
N
Dowson
213800MIBTQLAPXDOM66
Dowson 2021-1 PLC
N/A
363000.00000000
PA
502572.19000000
0.480227226790
Long
ABS-O
CORP
GB
N
2
2028-03-20
Floating
3.20000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-375000.00000000
NS
USD
-375000.00000000
-0.35832704958
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.18375000
2021-07-21
-375000.00000000
USD
504400.00000000
USD
PLCMO
N
N
N
Autoflorence
815600AE1950B3B44247
AutoFlorence 1 Srl, Class E
N/A
365365.49000000
PA
443435.64000000
0.423719958832
Long
ABS-O
CORP
IT
N
2
2042-12-25
Floating
3.94500000
N
N
N
N
N
N
Bain Capital Credit Clo, Limited
N/A
Bain Capital Credit CLO, Class E
05683MAA2
563000.00000000
PA
USD
529726.70000000
0.506174414659
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-23
Floating
5.52288000
N
N
N
N
N
N
Ocp Clo Ltd
2549001TBA76KDJQIQ68
OCP CLO Ltd, Series 2014-6A, Class DR
67106HAG9
757000.00000000
PA
USD
743601.10000000
0.710539701950
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-17
Floating
6.70975000
N
N
N
N
N
N
Cit Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust, Class 1M2
12559QAH5
1000000.00000000
PA
USD
883800.00000000
0.844505190462
Long
ABS-MBS
CORP
US
Y
2
2022-05-25
Floating
1.85613000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust 2005-9, Class M2
86358EYG5
539079.92750000
PA
USD
560319.68000000
0.535407194023
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.78113000
N
N
N
N
N
N
Dowson
213800MIBTQLAPXDOM66
Dowson 2021-1 PLC
N/A
363000.00000000
PA
502572.19000000
0.480227226790
Long
ABS-O
CORP
GB
N
2
2028-03-20
Floating
4.45000000
N
N
N
N
N
N
Fta Santander Consumo
98450072AC11A1C80548
FTA Santander Consumo 4
BCC2QM3F3
500000.00000000
PA
605636.17000000
0.578708858448
Long
ABS-O
CORP
ES
N
2
2032-09-18
Fixed
6.50000000
N
N
N
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Class B
46646JAD3
750000.00000000
PA
USD
746625.00000000
0.713429155724
Long
ABS-MBS
CORP
US
Y
2
2021-10-05
Fixed
3.20100000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Class E
90943UAE4
500000.00000000
PA
USD
505500.00000000
0.483024862840
Long
ABS-O
CORP
US
Y
2
2024-01-10
Fixed
2.58000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust, Class M6
64352VKY6
302999.30980000
PA
USD
301423.71000000
0.288022049811
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.12613000
N
N
N
N
N
N
Sierra Receivables Funding Co Llc
N/A
Sierra Timeshare 2020-2 Receivables Funding LLC, Series 2020-2A, Class D
826525AD9
535140.19000000
PA
USD
554244.69000000
0.529602305375
Long
ABS-MBS
CORP
US
Y
2
2037-07-20
Fixed
6.59000000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-264000.00000000
NS
USD
-264000.00000000
-0.25226224290
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.49263000
2021-05-07
-264000.00000000
USD
355392.00000000
USD
PLCMO
N
N
N
N/A
N/A
Reverse Repo
N/A
-296000.00000000
NS
USD
-296000.00000000
-0.28283948447
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.43750000
2021-10-12
-296000.00000000
USD
442657.68880000
USD
PLCMO
N
N
N
Ll Abs Trust 2019-1
N/A
LL ABS Trust 2019-1, Class C
50202AAC2
500000.00000000
PA
USD
508200.00000000
0.485604817597
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
5.07000000
N
N
N
N
N
N
Dowson
213800MIBTQLAPXDOM66
Dowson 2021-1 PLC
N/A
363000.00000000
PA
502572.19000000
0.480227226790
Long
ABS-O
CORP
GB
N
2
2028-03-20
Floating
6.45000000
N
N
N
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd.
12528GAF9
500000.00000000
PA
USD
502050.00000000
0.479728253984
Long
ABS-O
CORP
US
Y
2
2026-05-20
Fixed
7.48000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR1
07401LAB9
386938.77140000
PA
USD
494933.38000000
0.472928047457
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.35613000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-591000.00000000
NS
USD
-591000.00000000
-0.56472343014
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.08250000
2021-06-10
-591000.00000000
USD
772674.60000000
USD
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust, Class C
04410RAJ5
500000.00000000
PA
USD
499400.00000000
0.477196076167
Long
ABS-MBS
CORP
US
Y
2
2035-04-15
Floating
1.51500000
N
N
N
N
N
N
Cig Auto Receivables Trust
N/A
CIG Auto Receivables Trust 2020-1, Class E
12597UAE7
1150000.00000000
PA
USD
1184615.00000000
1.131945594251
Long
ABS-O
CORP
US
Y
2
2027-02-12
Fixed
4.43000000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-673000.00000000
NS
USD
-673000.00000000
-0.64307761165
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.83250000
2021-06-10
-673000.00000000
USD
912374.68060000
USD
PLCMO
N
N
N
Tower Bridge Funding 2020-1 PLC
6354008YXSM4DT8B8S69
Tower Bridge Funding 2020-1 PLC, Class X
000C1Y908
186100.87000000
PA
253415.27000000
0.242148122717
Long
ABS-MBS
CORP
GB
N
2
2063-09-20
Floating
2.54950000
N
N
N
N
N
N
Great Wolf Trust
N/A
Great Wolf Trust 2019-WOLF, Class D
39152TAL4
750000.00000000
PA
USD
741075.00000000
0.708125915390
Long
ABS-MBS
CORP
US
Y
2
2024-12-15
Floating
2.04800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-357000.00000000
NS
USD
-357000.00000000
-0.34112735120
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.59738000
2021-07-08
-357000.00000000
USD
532210.90000000
USD
N
N
N
N/A
N/A
Reverse Repo
N/A
-412000.00000000
NS
USD
-412000.00000000
-0.39368198514
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.07713000
2021-07-28
-412000.00000000
USD
660364.88920000
USD
N
N
N
Romark Clo Ltd
N/A
Romark CLO II, Ltd., Class D
77587EAJ7
531000.00000000
PA
USD
515070.00000000
0.492169369146
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-25
Floating
6.42575000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-186000.00000000
NS
USD
-186000.00000000
-0.17773021659
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54263000
2021-08-06
-186000.00000000
USD
269486.40000000
USD
PLCMO
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-1, Ltd.
26983BAD3
500000.00000000
PA
USD
501700.00000000
0.479393815405
Long
ABS-O
CORP
US
Y
2
2033-10-25
Floating
4.46467000
N
N
N
N
N
N
Social Professional Loan Program Llc
549300RC6OGKQI1MHM67
SoFi Professional Loan Program, Series 2017-D, Class R1
78471C109
16181.00000000
PA
USD
450757.42000000
0.430716203699
Long
ABS-MBS
CORP
US
Y
3
2040-09-25
Fixed
0.00000000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
Commercial Mortgage Trust, Class D
12593JBL9
274000.00000000
PA
USD
248627.60000000
0.237573318275
Long
ABS-MBS
CORP
US
N
2
2025-08-12
Floating
3.46300000
N
N
N
N
N
N
Stratton Mortgage Funding Plc
635400KUSIALYCFALE10
Stratton Mortgage Funding, Class X
BCC2QXYI9
957286.53000000
PA
1315312.14000000
1.256831782426
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
4.04810000
N
N
N
N
N
N
Race Point Clo Ltd
5493008ABAJEYBWITR69
Race Point CLO Ltd, series 13-8A Class ER
74982KAE2
640000.00000000
PA
USD
612032.00000000
0.584820322164
Long
ABS-CBDO
CORP
KY
Y
2
2030-02-20
Floating
7.03238000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
5493001XFSNPU74AZ410
Pagaya AI Debt Selection, Trust 2021-1, Class C
69547JAC7
1070000.00000000
PA
USD
1076420.00000000
1.028561073905
Long
ABS-O
CORP
US
Y
2
2027-11-15
Floating
4.09000000
N
N
N
N
N
N
Delft
724500XOGMV0BMF6EK71
Delft 2020 BV, Class F
N/A
500000.00000000
PA
592651.81000000
0.566301798689
Long
ABS-MBS
CORP
NL
N
2
2023-04-17
Floating
2.76300000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust, Class M3
32027NXY2
1948901.25870000
PA
USD
1466548.20000000
1.401343705547
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.85613000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-350000.00000000
NS
USD
-350000.00000000
-0.33443857961
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.17288000
2021-07-21
-350000.00000000
USD
561730.74450000
USD
PLCMO
N
N
N
Gallatin Funding Ltd
N/A
Gallatin CLO IX, Ltd., Series 2018-1A, Class E
36361XAA2
805000.00000000
PA
USD
798318.50000000
0.762824300624
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-21
Floating
5.65600000
N
N
N
N
N
N
Credito Real Usa Auto Receivables Trust
N/A
Credito Real USA Auto Receivables Trust 2021-1
22551EAE6
1108000.00000000
PA
USD
1107889.20000000
1.058631115475
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.37000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2019-3, Class C
91678WAE9
750000.00000000
PA
USD
775275.00000000
0.740805342312
Long
ABS-O
CORP
US
Y
2
2030-01-21
Fixed
5.38100000
N
N
N
N
N
N
Elevation Clo Ltd
N/A
Elevation CLO 2021-12A, Ltd. Class E
28623NAA5
510000.00000000
PA
USD
499902.00000000
0.477675756644
Long
ABS-CBDO
CORP
KY
Y
2
2032-04-20
Floating
7.47189000
N
N
N
N
N
N
Alm Loan Funding
549300OB3NG2PMZ54Z49
ALM Series 2016-18A, Class DR
00165LAC8
275000.00000000
PA
USD
271012.50000000
0.258962958735
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-15
Floating
5.68375000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-400000.00000000
NS
USD
-400000.00000000
-0.38221551955
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.18138000
2021-07-21
-400000.00000000
USD
521500.00000000
USD
N
N
N
N/A
N/A
Reverse Repo
N/A
-217000.00000000
NS
USD
-217000.00000000
-0.20735191935
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.18425000
2021-06-03
-217000.00000000
USD
357544.82460000
USD
PLCMO
N
N
N
National Collegiate Student Loan Trust
N/A
National Collegiate Student Loan Trust 2006-3, Class B
63543VAG8
784000.00000000
PA
USD
639195.20000000
0.610775813666
Long
ABS-O
CORP
US
N
2
2032-01-26
Floating
0.46613000
N
N
N
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd.
12528GAD4
1350000.00000000
PA
USD
1371330.00000000
1.310359021087
Long
ABS-O
CORP
US
Y
2
2024-11-20
Fixed
4.70000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-380000.00000000
NS
USD
-380000.00000000
-0.36310474357
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.18750000
2021-07-13
-380000.00000000
USD
484377.65640000
USD
N
N
N
CME GLOBEX
N/A
EURO FX CURR FUT Jun21
N/A
-51.00000000
NC
USD
-7670718.75000000
-7.32966938102
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
PBLD0EJDB5FWOLXP3B76
Short
CME GLOBEX
EURO FX CURR FUT Jun21
2021-06-14
-7670718.75000000
USD
-74680.27000000
N
N
N
Nomura Home Equity Loan Inc
N/A
Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Class M2
65536MAF4
2796520.02040000
PA
USD
2485267.34000000
2.374769368993
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.44613000
N
N
N
N
N
N
Genworth Mortgage Insurance Corporation
N/A
Triangle Re 2021-2, Ltd.
89600GAC5
500000.00000000
PA
USD
505050.00000000
0.482594870381
Long
ABS-O
CORP
BM
Y
2
2033-10-25
Floating
4.61013000
N
N
N
N
N
N
Autonoria
959800QDWD3FK96ATG53
Autonoria Spain, Series 2019-SP, Class F
BCC2LZU85
433819.55000000
PA
522500.73000000
0.499269719965
Long
ABS-O
CORP
ES
N
2
2035-12-25
Floating
3.44500000
N
N
N
N
N
N
Miravet Sarl
222100N4914C4WCYHB56
Miravet Sarl - Compartment 2020-1, Class E
BCC2PRGQ5
1000000.00000000
PA
1103069.36000000
1.054025571350
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
3.46100000
N
N
N
N
N
N
Barings Clo Ltd
54930079SUKCXYW8DR07
Barings CLO, Ltd., Class ER
06760EAJ5
514000.00000000
PA
USD
490921.40000000
0.469094444907
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-20
Floating
5.38825000
N
N
N
N
N
N
Apex Credit Clo Llc
254900VJGL23NNLC3592
Apex Credit CLO, LLC, Series 2015-2X, Class ER
G0476AAA3
500000.00000000
PA
USD
475150.00000000
0.454024260294
Long
ABS-CBDO
CORP
KY
N
2
2026-10-17
Floating
6.32338000
N
N
N
N
N
N
American Credit Acceptance Receivables Trust
N/A
American Credit Acceptance Receivables Trust, Class E
02529VAJ8
243000.00000000
PA
USD
249682.50000000
0.238581316154
Long
ABS-O
CORP
US
Y
2
2026-03-13
Fixed
3.32000000
N
N
N
N
N
N
Bl Consumer Issuance Platform Ii
549300BCEKCIKD7MN312
BL Consumer Credit, Series 2021-1, Class G
N/A
410000.00000000
PA
496621.66000000
0.474541264501
Long
ABS-O
CORP
LU
N
2
2038-09-25
Fixed
5.80000000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities Trust, Class A4
94984WAD4
N/A
PA
USD
74052.71000000
0.070760237568
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-439000.00000000
NS
USD
-439000.00000000
-0.41948153271
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.08375000
2021-07-21
-439000.00000000
USD
553337.10000000
USD
PLCMO
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust, 07-16CB, Class 2A1
02152AAL3
1280469.77510000
PA
USD
500023.45000000
0.477791806831
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
0.55613000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
RALI Trust, Class 1A16
75115CAR8
655265.46000000
PA
USD
487451.98000000
0.465779279487
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.75613000
N
N
N
N
N
N
Wells Fargo Mortgage Backed Securities Trust
N/A
Wells Fargo Mortgage Backed Securities Trust, Class A8
94984WAH5
N/A
PA
USD
52450.43000000
0.050118420883
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
5.75000000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-727000.00000000
NS
USD
-727000.00000000
-0.69467670679
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.17288000
2021-07-21
-727000.00000000
USD
1125505.03300000
USD
PLCMO
N
N
N
Cgdb Commercial Mortgage Trust
N/A
CGDB Commercial Mortgage Trust, Class G
125284AN9
1524000.00000000
PA
USD
1474470.00000000
1.408913292804
Long
ABS-MBS
CORP
US
Y
2
2021-11-15
Floating
3.10637000
N
N
N
N
N
N
Zip Master Trust
N/A
Zip Master Trust Series 2021-1
BCC2RBDR9
500000.00000000
PA
386138.31000000
0.368970136944
Long
ABS-O
CORP
AU
N
2
2024-04-10
Floating
3.71500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-315000.00000000
NS
USD
-315000.00000000
-0.30099472165
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.69550000
2021-11-03
-315000.00000000
USD
499800.00000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1080000.00000000
NS
USD
-1080000.00000000
-1.03198190280
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.23375000
2021-07-15
-1080000.00000000
USD
1371465.00000000
USD
N
N
N
Venture Cdo Ltd
549300BWBX8PTZD3W768
Venture CDO, Ltd., Series 2016-23X, Class ER
G9390LAA3
500000.00000000
PA
USD
475950.00000000
0.454788691333
Long
ABS-CBDO
CORP
KY
N
2
2028-07-19
Floating
6.13975000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-325000.00000000
NS
USD
-325000.00000000
-0.31055010964
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.23975000
2021-07-19
-325000.00000000
USD
472827.54360000
USD
N
N
N
Hsi Asset Securitization Corporation Trust
2138004J9K5ER1VNP306
HSI Asset Securitization Corp. Trust, Class M5
40430HEE4
1000000.01400000
PA
USD
826100.01000000
0.789370611321
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
0.91613000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-817000.00000000
NS
USD
-817000.00000000
-0.78067519869
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.43750000
2021-10-12
-817000.00000000
USD
1213324.24300000
USD
PLCMO
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Class MF1
73316PGL8
390850.25400000
PA
USD
295951.81000000
0.282793437057
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.69700000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-390000.00000000
NS
USD
-390000.00000000
-0.37266013156
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.44513000
2021-09-24
-390000.00000000
USD
504864.00000000
USD
N
N
N
Banc Of America Funding Corporation
N/A
Banc of America Funding , Class CA8
059523BM1
3377965.30000000
PA
USD
671877.30000000
0.642004828246
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
5.24387000
N
N
N
N
N
N
Galaxy Clo Ltd
5493000B2531UL3WQV87
Galaxy XIX CLO, Ltd.
36319RAQ3
507000.00000000
PA
USD
500155.50000000
0.477917985730
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-24
Floating
6.70575000
N
N
N
N
N
N
Domi
724500YH04ZH2QORR597
Domi 2020-1 BV, Class X2
BCC2MYWN2
500000.00000000
PA
613210.38000000
0.585946309974
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
6.21200000
N
N
N
N
N
N
Domi
724500YH04ZH2QORR597
Domi 2020-1 BV, Class X1
BCC2MYWM4
327917.61000000
PA
395423.45000000
0.377842448467
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
4.41200000
N
N
N
N
N
N
Miravet
222100N4914C4WCYHB56
Miravet SARL, Class E
N/A
500000.00000000
PA
540654.27000000
0.516616131772
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
2.46100000
N
N
N
N
N
N
Ownit Mortgage Loan Asset-backed Certificates
N/A
Ownit Mortgage Loan Trust, Class M1
69121PAY9
1254107.60630000
PA
USD
1210339.25000000
1.156526113199
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.93113000
N
N
N
N
N
N
Diamond Resorts Owner Trust
N/A
Diamond Resorts Owner Trust 2021-1
25273CAD2
500000.00000000
PA
USD
503750.00000000
0.481352669942
Long
ABS-O
CORP
US
Y
2
2033-11-21
Fixed
3.83000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
549300KR7NUJOX0UJ040
Exeter Automobile Receivables Trust, Class E
30167LAJ8
1730000.00000000
PA
USD
1819095.00000000
1.738215851373
Long
ABS-O
CORP
US
Y
2
2023-06-15
Fixed
4.68000000
N
N
N
N
N
N
Countrywide Asset-backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 05-2, Class M6
126673ZH8
516171.38250000
PA
USD
522365.44000000
0.499140445121
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.13113000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-415000.00000000
NS
USD
-415000.00000000
-0.39654860154
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.22288000
2021-07-21
-415000.00000000
USD
554191.18700000
USD
PLCMO
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust, Class M2
46625SAG1
1043655.19230000
PA
USD
1208552.71000000
1.154819004913
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.42613000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust 2020-3, Class C
91680EAC9
1250000.00000000
PA
USD
1335750.00000000
1.276360950622
Long
ABS-O
CORP
US
Y
2
2030-11-20
Fixed
6.25000000
N
N
N
N
N
N
Ocp Clo Ltd
254900NXH68CRC058O44
OCP CLO 2014-5, Ltd.
67103SAJ2
525000.00000000
PA
USD
509932.50000000
0.487260288566
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-26
Floating
5.87575000
N
N
N
N
N
N
Syon Securities 2020-2
5493000H7F78QNDVY831
SYON 2020-2, Class B
N/A
1136936.97000000
PA
1664526.34000000
1.590519499650
Long
ABS-MBS
CORP
GB
N
2
2027-12-17
Floating
6.27000000
N
N
N
N
N
N
National Collegiate Student Loan Trust
N/A
National Collegiate Student Loan Trust, Class A3A2
63544EAF7
157000.00000000
PA
USD
157376.80000000
0.150379638445
Long
ABS-O
CORP
US
N
2
2038-03-25
Floating
3.61000000
N
N
N
N
N
N
N/A
N/A
Reverse Repo
N/A
-255000.00000000
NS
USD
-255000.00000000
-0.24366239371
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.62575000
2021-07-23
-255000.00000000
USD
439168.01730000
USD
PLCMO
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Class M7
46626LES5
208455.74510000
PA
USD
221921.99000000
0.212055071772
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
2.58113000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust 2006-AR5, Class 2A2
07401NAQ2
1137944.00440000
PA
USD
1440978.49000000
1.376910855566
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.33613000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
Sofi Professional Loan Program, Series 2018-D Class R1
83401A108
21839.00000000
PA
USD
422318.21000000
0.403541435134
Long
ABS-O
CORP
US
Y
3
2048-02-25
Fixed
0.00000000
N
N
N
N
N
N
2021-05-30
1WS CREDIT INCOME FUND
Stephanie Dolan
Stephanie Dolan
Chief Financial Officer and Principal Accounting Officer