0001752724-21-286372.txt : 20211230 0001752724-21-286372.hdr.sgml : 20211230 20211229173736 ACCESSION NUMBER: 0001752724-21-286372 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20211031 FILED AS OF DATE: 20211230 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: 211529919 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 2021-10-31 N 155229112.48 44580289.08 110648823.40 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 41906030.33000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 6724732.99000000 USD N Assurant Clo I Ltd 635400A6LSLGJQHVOZ36 ASSURANT CLO I, Ltd., Series 2017-1A, Class E 04625BAA0 502000.00000000 PA USD 502000.00000000 0.453687607852 Long ABS-CBDO CORP KY Y 2 2029-10-20 Floating 6.59150000 N N N N N N Ares Clo Ltd 6354004TAEXDOTEJZN31 Ares XXXVIII CLO, Ltd., Series 2015-38X, Class SUB G0610NAB0 735000.00000000 PA USD 499800.00000000 0.451699335467 Long ABS-CBDO CORP KY N 3 N N N Banc Of America Merrill Lynch Large Loan Inc N/A BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class F 05493LAQ9 2500000.00000000 PA USD 2506250.00000000 2.265048938604 Long ABS-MBS CORP US Y 2 2023-09-15 Floating 5.09000000 N N N N N N Morgan Stanley IGJSJL3JD5P30I6NJZ34 The Markit CDX High Yield Series 33 Index Tranche 15-25 N/A 1.00000000 NC USD -166353.25000000 -0.15034344233 N/A DCR CORP US N 2 Morgan Stanley IGJSJL3JD5P30I6NJZ34 CDX.NA.HY Series 33 2I65BRYN4 Y Underlying Performance 2024-06-20 0.00000000 USD 125000.00000000 USD -5000000.00000000 USD -41353.25000000 N N N N/A N/A Reverse Repo N/A -439000.00000000 NS USD -439000.00000000 -0.39675071682 Short RA CORP US N 2 Reverse repurchase N 1.02000000 2022-01-05 -439000.00000000 USD 675010.66420000 USD PLCMO N N N Domi 724500YH04ZH2QORR597 Domi BV, Series 2020-1, Class F N/A 500000.00000000 PA 587191.49000000 0.530680283763 Long ABS-MBS CORP NL N 2 2052-04-15 Floating 5.95200000 N N N N N N Kkr Financial Clo Ltd 549300N7FISC1W1QKR21 KKR CLO 10, Ltd., Series 2017-10, Class ER 48250JAG9 755000.00000000 PA USD 755000.00000000 0.682338932128 Long ABS-CBDO CORP KY Y 2 2029-09-15 Floating 6.61600000 N N N N N N N/A N/A REVERSE REPO N/A -814000.00000000 NS USD -814000.00000000 -0.73566078245 Short RA CORP US N 2 Reverse repurchase N 1.37000000 2022-01-05 -814000.00000000 USD 1233078.76500000 USD PLCMO N N N Alm Loan Funding N/A ALM 2020, Ltd., Series 2020-1A, Class D 00166DAA9 751000.00000000 PA USD 749122.50000000 0.677027081699 Long ABS-CBDO CORP KY Y 2 2029-10-15 Floating 6.12375000 N N N N N N Autonoria 959800PAVFGQ48YNAE06 Autonoria Spain 2021 FT, Series 2021-SP, Class G BCC30Y6B9 700000.00000000 PA 816970.12000000 0.738345058624 Long ABS-O CORP ES N 2 2039-01-31 Fixed 5.25000000 N N N N N N N/A N/A REVERSE REPO N/A -319028.23000000 NS -436606.31000000 -0.39458739513 Short RA CORP GB N 2 Reverse repurchase N 1.21000000 2021-12-29 -436781.54970000 GBP 455754.61720000 GBP N N N Ozlm Ltd 5493009CITK5BZZY6417 OZLM XI, Ltd., Series 2017-11A, Class DR 67109TAG0 518000.00000000 PA USD 506345.00000000 0.457614445812 Long ABS-CBDO CORP KY Y 2 2030-10-30 Floating 7.13160000 N N N N N N N/A N/A REVERSE REPO N/A -273610.38000000 NS -316294.30000000 -0.28585419192 Short RA CORP IT N 2 Reverse repurchase N 0.34000000 2022-01-03 -316279.91880000 EUR 342012.97060000 EUR N N N N/A N/A Reverse Repo N/A -582000.00000000 NS USD -582000.00000000 -0.52598842185 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-04-14 -582000.00000000 USD 830520.45000000 USD N N N N/A N/A REVERSE REPO N/A -331207.50000000 NS -382876.71000000 -0.34602872243 Short RA CORP NL N 2 Reverse repurchase N 0.94000000 2021-12-29 -382859.30960000 EUR 509550.00000000 EUR N N N New York Mortgage Trust 549300JFGR0M7ULHWG48 New York Mortgage Trust, Inc., Series D 649604881 8071.00000000 NS USD 211056.65000000 0.190744594939 Long EP CORP US N 1 N N N Mountain View Clo Ltd 549300RHYK4B5L898W39 Mountain View CLO X, Ltd., Series 2015-10A, Class E 62432DAA7 509000.00000000 PA USD 504113.60000000 0.455597795358 Long ABS-CBDO CORP KY Y 2 2027-10-13 Floating 4.97175000 N N N N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust, Series 2021-ST6, Class CERT 91680VAB3 450000.00000000 PA USD 545460.04000000 0.492965061208 Long ABS-O CORP US Y 3 2027-08-20 Fixed 0.00000000 N N N N N N Citicorp Residential Mortgage Securities, Inc. N/A Citicorp Residential Mortgage Trust, Series 2006-2, Class M2 17310EAH1 2000000.00000000 PA USD 2042000.00000000 1.845478277358 Long ABS-MBS CORP US N 2 2036-09-25 Floating 5.22400000 N N N N N N N/A N/A REVERSE REPO N/A -235040.00000000 NS -271706.84000000 -0.24555782126 Short RA CORP IE N 2 Reverse repurchase N 0.94000000 2021-12-29 -271694.48800000 EUR 361600.00000000 EUR N N N Residential Accredit Loans, Inc. N/A Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5 75115CAE7 844335.03120000 PA USD 645325.26000000 0.583219269912 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.78930000 N N N N N N N/A N/A REVERSE REPO N/A -154000.00000000 NS USD -154000.00000000 -0.13917906695 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-12 -154000.00000000 USD 232889.87850000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -928000.00000000 NS USD -928000.00000000 -0.83868944240 Short RA CORP US N 2 Reverse repurchase N 1.22000000 2022-01-12 -928000.00000000 USD 1236903.20000000 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 383292.59000000 0.346404578216 Long ABS-O CORP AU N 2 2023-08-22 Floating 5.00490000 N N N N N N Chicago Mercantile Exchange N/A BP CURRENCY FUT Dec21 N/A -128.00000000 NC USD -10951200.00000000 -9.89725842850 N/A DFE CORP US N 1 Wells Fargo Securities, LLC N/A Short British Pound British Pound 2021-12-13 -10951200.00000000 USD 66813.48000000 N N N N/A N/A Wilmot Plaza Mezz Loan, Class F N/A 2000000.00000000 PA USD 2000000.00000000 1.807520350008 Long ABS-O CORP US N 3 2031-10-01 Fixed 11.50000000 N N N N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust, Series 2021-ST8, Class CERT 91683LAB2 724419.00000000 PA USD 954300.44000000 0.862458732661 Long ABS-O CORP US Y 3 2029-10-20 Fixed 0.00000000 N N N N N N Ocp Clo 2019-16 254900XAI48J82ID5O83 OCP CLO 2019-16, Ltd. 67570R208 602000.00000000 NS USD 499660.00000000 0.451572809042 Long ABS-CBDO CORP KY Y 3 N N N Polaris 635400AFQUEZX6I3O426 Polaris PLC, Series 2021-1, Class X2 BCC31KS32 366000.00000000 PA 502141.78000000 0.453815742969 Long ABS-MBS CORP GB N 2 2058-12-23 Floating 5.63997000 N N N N N N Miravet 222100N4914C4WCYHB56 Miravet Sarl - Compartment, Series 2019-1, Class E N/A 500000.00000000 PA 525460.96000000 0.474890689167 Long ABS-MBS CORP LU N 2 2065-05-26 Floating 2.45100000 N N N N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust Series, Series 2021-ST5, Class CERT 91679XAB2 607000.00000000 PA USD 702013.39000000 0.634451744201 Long ABS-MBS CORP US Y 3 2027-07-20 Fixed 0.00000000 N N N N N N Gsamp Trust CU46ESEFJB81SUVBJO28 GSAMP Trust, Series 2005-WMC1, Class M2 362341PV5 721789.13830000 PA USD 675522.45000000 0.610510287631 Long ABS-MBS CORP US N 2 2035-09-25 Floating 0.86925000 N N N N N N National Collegiate Student Loan Trust 635400WAVVCUCCIGH375 National Collegiate Student Loan Trust, Series 2005-3, Class B 63543TAJ7 1846000.00000000 PA USD 1534764.40000000 1.387058942734 Long ABS-O CORP US N 2 2037-07-27 Floating 0.58925000 N N N N N N Ace Securities Corp. N/A ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7, Class M2 004421UD3 509278.82970000 PA USD 525372.04000000 0.474810326812 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.77925000 N N N N N N Twin Bridges 213800DOYEU7P7SSOK83 Twin Bridges PLC, Series 2021-1, Class X2 N/A 363000.00000000 PA 492312.85000000 0.444932747472 Long ABS-MBS CORP GB N 2 2026-03-12 Floating 5.05021000 N N N N N N Stratton Mortgage Funding Plc 213800RD387GK4RCBL05 Stratton Mortgage Funding PLC, Series 2021-3, Class X2 N/A 507000.00000000 PA 687610.51000000 0.621434994852 Long ABS-MBS CORP GB N 2 2024-06-12 Floating 4.05021000 N N N N N N Ozlm Ltd 5493009C40QUU66J8E83 OZLM XIX, Ltd., Series 2017-19A, Class D 67112DAA3 515000.00000000 PA USD 499241.00000000 0.451194133529 Long ABS-CBDO CORP KY Y 2 2030-11-22 Floating 6.72380000 N N N N N N Fremont Home Loan Trust N/A Fremont Home Loan Trust, Series 2004-C, Class M3 35729PEV8 104537.98500000 PA USD 105729.72000000 0.095554310250 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.81425000 N N N N N N Regatta Ix Funding Ltd 254900JVS76S6N8G1I74 Regatta IX Funding, Ltd., Series 2017-1A, Class E 75887WAA7 505000.00000000 PA USD 500455.00000000 0.452291298381 Long ABS-CBDO CORP KY Y 2 2030-04-17 Floating 6.12230000 N N N N N N Finsbury Square 213800Z663D4MD7UAR41 Finsbury Square PLC, Series 2019-3, Class X BCC2LE5R8 76731.79000000 PA 105221.36000000 0.095094874727 Long ABS-MBS CORP GB N 2 2069-12-16 Floating 3.95019000 N N N N N N Countrywide Alternative Loan Trust N/A Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17 12668AA47 251249.30000000 PA USD 167683.78000000 0.151545922358 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, Series 2006-BNC3, Class A4 86361KAD9 860000.00000000 PA USD 547648.00000000 0.494942452320 Long ABS-MBS CORP US N 2 2036-09-25 Floating 0.39925000 N N N N N N N/A N/A REVERSE REPO N/A -422000.00000000 NS USD -422000.00000000 -0.38138679385 Short RA CORP US N 2 Reverse repurchase N 1.22000000 2022-01-18 -422000.00000000 USD 606639.60000000 USD N N N Rr 2 Ltd 54930098CLSTWMH4JW47 RR 2, Ltd., Series 2017-2A, Class SUB 78109RAC0 1176000.00000000 PA USD 992308.80000000 0.896809174746 Long ABS-CBDO CORP KY Y 3 N N N Jpmbb Commercial Mortgage Securities Trust N/A JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class D 46642EAJ5 526000.00000000 PA USD 506485.40000000 0.457741333741 Long ABS-MBS CORP US Y 2 2024-07-17 Floating 4.64200000 N N N N N N Gsaa Home Equity Trust N/A GSAA Home Equity Trust, Series 2007-8, Class A4 38144RAD9 547742.83830000 PA USD 340969.92000000 0.308155034570 Long ABS-MBS CORP US N 2 2037-08-25 Floating 1.28925000 N N N N N N Residential Mortgage Securities 54930041T52UP3IPLN03 Residential Mortgage Securities 32 PLC, Series 2020-32X, Class F1 N/A 500000.00000000 PA 749486.79000000 0.677356312493 Long ABS-MBS CORP GB N 2 2070-06-20 Floating 6.55014000 N N N N N N Tagus Stc/ulisses Finance 213800D3OXAL3N7T1S19 TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class G BCC32DHT2 400000.00000000 PA 463557.02000000 0.418944373519 Long ABS-O CORP PT N 3 2038-09-23 Floating 4.45000000 N N N N N N Oaktree Clo Ltd 549300BJ8TRWJ20BLC43 Oaktree CLO, Ltd., Series 2019-1A, Class E 67401YAA7 1440000.00000000 PA USD 1351008.00000000 1.220987226512 Long ABS-CBDO CORP KY Y 2 2030-04-22 Floating 6.92825000 N N N N N N Taberna Prefered Funding Ltd U03UUQ0VYFBPHFC9G558 Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1 G8655GAE8 706000.00000000 PA USD 261220.00000000 0.236080232914 Long ABS-CBDO CORP KY N 2 2036-02-05 Floating 0.92138000 N N N N N N Jp Morgan Mortgage Trust N/A JP Morgan Mortgage Trust, Series 2005-A5, Class TB1 466247SV6 76140.28000000 PA USD 76292.56000000 0.068950177377 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.54800000 N N N N N N Sofi Consumer Loan Program Trust N/A SoFi Consumer Loan Program , Series 2021-1, Class R1 83407C108 28777.00000000 PA USD 1000000.75000000 0.903760852824 Long ABS-O CORP US Y 3 2030-09-25 Fixed 0.00000000 N N N N N N Social Professional Loan Program Llc N/A SoFi Professional Loan Program LLC, Series 2019-A, Class R1 78471H108 32016.00000000 PA USD 499567.86000000 0.451489536580 Long ABS-O CORP US Y 3 2048-06-15 Fixed 0.00000000 N N N N N N Barclays Commercial Mortgage Securities Llc N/A BBCMS, Series 2021-AGW Mortgage Trust, Class F N/A 2000000.00000000 PA USD 2001200.00000000 1.808604862218 Long ABS-MBS CORP US Y 2 2026-06-15 Floating 4.00000000 N N N N N N Morgan Stanley N/A MARKIT CMBX NA AAA S12 08/61 OTC N/A 1.00000000 NC USD -53308.75000000 -0.04817832522 N/A DCR CORP US N 3 Morgan Stanley N/A CMBX.NA.AAA Series 12 137BENAL0 Y Underlying Performance 2061-08-17 0.00000000 USD 57679.20000000 USD 10000000.00000000 USD 4370.45000000 N N N Keycorp Student Loan Trust 254900QO9Y4JHZFBGC87 KeyCorp Student Loan Trust, Series 2006-A, Class 2C 49327HAJ4 2000000.00000000 PA USD 1754200.00000000 1.585376098992 Long ABS-O CORP US N 2 2042-03-27 Floating 1.28225000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class F 94989VBD0 489500.00000000 PA USD 393753.80000000 0.355859003196 Long ABS-MBS CORP US Y 2 2057-09-15 Fixed 3.15300000 N N N N N N Frontline Re Ltd 5493004BCIKYU1YL3H63 Frontline Re, Ltd., Series B 35922QAB9 407523.36000000 PA USD 1874.61000000 0.001694197861 Long DBT CORP BM Y 3 2022-07-06 Variable 0.50000000 N N N N N N Gs Mortgage Securities Trust N/A GS Mortgage Securities Corp. Trust, Series 2020-DUNE, Class G 36258BAW8 839000.00000000 PA USD 802923.00000000 0.725649830994 Long ABS-MBS CORP US Y 2 2021-12-15 Floating 4.09000000 N N N N N N Newark Bsl Clo 2 Ltd. N/A Newark BSL CLO 2, Ltd., Series 2017-1A, Class D 65023QAA6 502000.00000000 PA USD 501247.00000000 0.453007076440 Long ABS-CBDO CORP KY Y 2 2030-07-25 Floating 6.42388000 N N N N N N Aig Clo Ltd N/A AIG CLO 2019-2, Ltd., Series 2019-2A, Class E 00140EAA8 250000.00000000 PA USD 250000.00000000 0.225940043751 Long ABS-CBDO CORP KY Y 2 2032-10-25 Floating 7.37388000 N N N N N N N/A N/A Reverse Repo N/A -337000.00000000 NS USD -337000.00000000 -0.30456717897 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-02-10 -337000.00000000 USD 518974.99800000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -350000.00000000 NS USD -350000.00000000 -0.31631606125 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-05 -350000.00000000 USD 499870.00000000 USD N N N Rockford Tower Clo Ltd 549300GGUAM1ZV2SKK63 Rockford Tower CLO, Ltd., Series 2019-1A, Class SUB 77342NAC8 917000.00000000 PA USD 751940.00000000 0.679573425992 Long ABS-CBDO CORP KY Y 3 N N N Structured Asset Investment Loan Trust N/A Structured Asset Investment Loan Trust, Series 2005-8, Class M2 86358EXR2 971456.90890000 PA USD 1004486.44000000 0.907814840803 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.83925000 N N N N N N Tower Bridge Funding 635400RHPRXUESO7KB48 Tower Bridge Funding PLC, Series 2021-1, Class X BCC2R4Q75 141188.75000000 PA 193707.02000000 0.175064690294 Long ABS-MBS CORP GB N 2 2024-04-21 Floating 4.55013000 N N N N N N N/A N/A REVERSE REPO N/A -61508.20000000 NS USD -61508.20000000 -0.05558866159 Short RA CORP US N 2 Reverse repurchase N 1.35000000 2022-04-28 -84210.87662000 GBP 76885.25096000 GBP N N N Miravet Sarl 222100N4914C4WCYHB56 Miravet Sarl - Compartment, Series 2020-1, Class E N/A 1000000.00000000 PA 1097624.41000000 0.991989228870 Long ABS-MBS CORP LU N 2 2065-05-26 Floating 3.45100000 N N N N N N Freed Abs Trust N/A Freed ABS Trust, Series 2020-FP1, Class C 35634TAC0 580000.00000000 PA USD 590614.00000000 0.533773411999 Long ABS-O CORP US Y 2 2027-03-18 Fixed 4.37000000 N N N N N N N/A N/A REVERSE REPO N/A -746000.00000000 NS USD -746000.00000000 -0.67420509055 Short RA CORP US N 2 Reverse repurchase N 0.93000000 2022-01-12 -746000.00000000 USD 1147198.58200000 USD PLCMO N N N Sound Point Clo Ltd 5493006VH6ZUE3FHGC30 Sound Point CLO III-R, Ltd., Series 2018-2RA, Class E 83611RAA5 1500000.00000000 PA USD 1360350.00000000 1.229430154067 Long ABS-CBDO CORP KY Y 2 2029-04-15 Floating 6.12375000 N N N N N N Citigroup Commercial Mortgage Trust N/A Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D 17321RAM8 2000000.00000000 PA USD 1888000.00000000 1.706299210408 Long ABS-MBS CORP US Y 2 2023-11-10 Floating 5.10800000 N N N N N N Pixel 549300YL2EZ0WMNNP528 FCT Pixel 2021, Series 2021-1, Class G BCC334978 400000.00000000 PA 462401.02000000 0.417899626757 Long ABS-O CORP FR N 2 2038-02-25 Fixed 5.50000000 N N N N N N Jamestown Clo Ltd 254900RMH6T8JWW3DN58 Jamestown CLO II, Ltd., Series 2018-2A, Class DR 47047NAE5 508000.00000000 PA USD 500583.20000000 0.452407160436 Long ABS-CBDO CORP KY Y 2 2030-04-22 Floating 5.57825000 N N N N N N N/A N/A REVERSE REPO N/A -479673.87000000 NS USD -479673.87000000 -0.43351014069 Short RA CORP US N 2 Reverse repurchase N 1.55000000 2022-04-28 -656721.49540000 GBP 639565.16110000 GBP N N N Twin Bridges 213800NWP6K9BKT6DF77 Twin Bridges PLC, Series 2021-2, Class X2 BCC32FFR3 459000.00000000 PA 618114.14000000 0.558626943339 Long ABS-MBS CORP GB N 2 2026-09-12 Floating 4.45013000 N N N N N N Social Professional Loan Program Llc N/A SoFi Professional Loan Program , Series 2020-B, Class R1 83405F103 10000.00000000 PA USD 662315.92000000 0.598574751767 Long ABS-O CORP US Y 3 2046-05-15 Fixed 0.00000000 N N N N N N Soundview Home Equity Loan Trust N/A Soundview Home Loan Trust, Series 2005-OPT4, Class M2 83611MJM1 675133.52130000 PA USD 731979.76000000 0.661534155997 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.91425000 N N N N N N Residential Accredit Loans, Inc. N/A Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2 75114HAB3 930368.48250000 PA USD 1177195.24000000 1.063902176116 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.46925000 N N N N N N Marlette Funding Trust 549300GIOP3T7X23OV63 Marlette Funding Trust 2021-2, Series 2021-2A, Class R 57108T107 1296.00000000 PA USD 510588.14000000 0.461449226761 Long ABS-O CORP US Y 3 2026-02-15 Fixed 0.00000000 N N N N N N Cbam Clo Management 254900IPFC9SXD6VQ444 CBAM 2019-10, Ltd., Series 2019-10A, Class E 12482QAA2 505000.00000000 PA USD 500354.00000000 0.452200018604 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 7.13150000 N N N N N N Kvk Clo Ltd 5493007VGL59COTLZY21 KVK CLO, Ltd., Series 2013-1A, Class ER 48274GAD4 500000.00000000 PA USD 502350.00000000 0.454003923913 Long ABS-CBDO CORP KY Y 2 2028-01-14 Floating 6.06675000 N N N N N N Bpr Trust N/A BPR Trust, Series 2021-WILL, Class E 05591VAJ4 500000.00000000 PA USD 502800.00000000 0.454410615992 Long ABS-MBS CORP US Y 2 2023-06-15 Floating 6.84000000 N N N N N N National Collegiate Student Loan Trust 635400RGALHFSPGKCR23 National Collegiate Student Loan Trust, Series 2007-1, Class A4 63543XAD1 1501883.32550000 PA USD 1430694.06000000 1.293004314043 Long ABS-O CORP US N 2 2033-10-25 Floating 0.39425000 N N N N N N Comm Mortgage Trust N/A COMM 2014-CCRE18 Mortgage Trust, Series 2014-CR18, Class E 12632QAG8 1000000.00000000 PA USD 876500.00000000 0.792145793391 Long ABS-MBS CORP US Y 2 2024-07-15 Fixed 3.60000000 N N N N N N Merrill Lynch Mortgage Investors Trust N/A Merrill Lynch Mortgage Investors Trust HE1, Series 2006-HE1, Class M2 59020U3F0 2000000.00000000 PA USD 1916000.00000000 1.731604495308 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.68925000 N N N N N N Popular Abs Mortgage Pass-through Trust N/A Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1 73316PHR4 387819.90800000 PA USD 367071.54000000 0.331744639229 Long ABS-MBS CORP US N 2 2036-01-25 Floating 3.60100000 N N N N N N Pagaya Ai Debt Selection Trust 5493001XFSNPU74AZ410 Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT 69546T102 510470.00000000 PA USD 370818.32000000 0.335130829777 Long ABS-MBS CORP US Y 3 2027-05-17 Fixed 3.06800000 N N N N N N N/A N/A REVERSE REPO N/A -311000.00000000 NS USD -311000.00000000 -0.28106941442 Short RA CORP US N 2 Reverse repurchase N 1.02000000 2022-01-12 -311000.00000000 USD 444304.69620000 USD PLCMO N N N Social Professional Loan Program Llc N/A SoFi Professional Loan Program , Series 2021-B, Class R1 83405N106 11625.00000000 PA USD 769652.53000000 0.695581305205 Long ABS-O CORP US Y 3 2047-02-15 Fixed 0.00000000 N N N N N N Countrywide Asset-backed Certificates 549300I38TM1UFUB6822 CWABS Asset-Backed Certificates Trust, Series 2007-13, Class 2M1 126698AH2 545000.00000000 PA USD 517423.00000000 0.467626301031 Long ABS-MBS CORP US N 2 2036-12-25 Floating 1.58925000 N N N N N N N/A N/A REVERSE REPO N/A -422100.00000000 NS USD -422100.00000000 -0.38147716986 Short RA CORP US N 2 Reverse repurchase N 0.71000000 2022-04-28 -487926.49500000 EUR 703500.00000000 EUR N N N Cps Auto Trust N/A CPS Auto Receivables Trust, Series 2021-C, Class E 12598CAJ5 499000.00000000 PA USD 490367.30000000 0.443174436864 Long ABS-O CORP US Y 2 2025-09-15 Fixed 3.21000000 N N N N N N Carlyle Global Market Strategies N/A Carlyle Global Market Strategies CLO, Ltd., Series 2019-1A, Class ER 14311EAY0 1095000.00000000 PA USD 1084159.50000000 0.979820179452 Long ABS-CBDO CORP KY Y 2 2031-07-20 Floating 7.07150000 N N N N N N Usasf Receivables Llc N/A US Auto Funding 2021-1, Series 2021-1A, Class D 90355EAD3 1125000.00000000 PA USD 1134562.50000000 1.025372403553 Long ABS-O CORP US Y 2 2027-03-15 Fixed 4.36000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 10 Yr Note Future N/A -6.00000000 NC USD -784218.75000000 -0.70874567474 N/A DIR CORP US N 1 Wells Fargo Securities, LLC N/A Short United States Treasury Note United States Treasury Note 2021-12-21 -784218.75000000 USD 15234.37000000 N N N Jpmbb Commercial Mortgage Securities Trust 549300UOGMFS1M8XVM16 JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F 46640NAT5 560000.00000000 PA USD 509488.00000000 0.460454964042 Long ABS-MBS CORP US Y 2 2023-10-15 Floating 3.58500000 N N N N N N Hertz Vehicle Financing Llc 5493004IHDYOZ9K9WF47 Hertz Vehicle Financing LLC, Series 2021-1A, Class D 42806MAD1 5000000.00000000 PA USD 4998000.00000000 4.516993354671 Long ABS-MBS CORP US Y 2 2024-12-25 Fixed 3.98000000 N N N N N N N/A N/A REVERSE REPO N/A -322959.00000000 NS USD -322959.00000000 -0.29187748235 Short RA CORP US N 2 Reverse repurchase N 1.85000000 2022-04-28 -442163.16690000 GBP 496860.00000000 GBP N N N N/A N/A REVERSE REPO N/A -262000.00000000 NS USD -262000.00000000 -0.23678516585 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-01-05 -262000.00000000 USD 403077.68000000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -572000.00000000 NS USD -572000.00000000 -0.51695082010 Short RA CORP US N 2 Reverse repurchase N 1.28000000 2022-01-04 -572000.00000000 USD 750325.20000000 USD N N N Atrium Hotel Portfolio Trust 5493005J860FXWR4WJ55 Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class F 04965KAS9 1194000.00000000 PA USD 1140867.00000000 1.031070159576 Long ABS-MBS CORP US Y 2 2035-06-15 Floating 4.09000000 N N N N N N N/A N/A Reverse Repo N/A -409000.00000000 NS USD -409000.00000000 -0.36963791157 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-04-12 -409000.00000000 USD 584612.93240000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -375000.00000000 NS USD -375000.00000000 -0.33891006562 Short RA CORP KY N 2 Reverse repurchase N 1.13000000 2022-01-05 -375000.00000000 USD 492368.94000000 USD N N N Now Trust N/A NOW Trust, Series 2021-1, Class F BCC30VL51 700000.00000000 PA 529206.00000000 0.478275307173 Long ABS-MBS CORP AU N 2 2029-06-14 Floating 6.40940000 N N N N N N N/A N/A REVERSE REPO N/A -324000.00000000 NS USD -324000.00000000 -0.29281829670 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-12 -324000.00000000 USD 491914.66000000 USD N N N Countrywide Alternative Loan Trust N/A Alternative Loan Trust, Series 2007-21CB, Class 2A3 02151FAJ8 1124389.85200000 PA USD 475841.79000000 0.430046859404 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.58930000 N N N N N N ICE Futures Europe Financials 549300UF4R84F48NCH34 Long Gilt Future N/A -1.00000000 NC -170959.35000000 -0.15450625207 N/A DIR CORP GB N 1 Wells Fargo Securities, LLC N/A Short UK GOVT Bond UK GOVT Bond 2021-12-29 -170959.35000000 GBP 5137.89000000 N N N N/A N/A REVERSE REPO N/A -179000.00000000 NS USD -179000.00000000 -0.16177307132 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-12 -533000.00000000 USD 805639.82400000 USD N N N Zip Master Trust N/A Zip Master Trust, Series 2021-1, Class E N/A 500000.00000000 PA 377063.98000000 0.340775408552 Long ABS-O CORP AU N 2 2024-04-10 Floating 5.71000000 N N N N N N N/A N/A Reverse Repo N/A -358000.00000000 NS USD -358000.00000000 -0.32354614265 Short RA CORP US N 2 Reverse repurchase N 1.28000000 2022-03-21 -358000.00000000 USD 510600.00000000 USD N N N Gls Auto Receivables Trust N/A GLS Auto Receivables Issuer Trust 2020-2, Series 2020-2A, Class D 38014RAG9 1560000.00000000 PA USD 1698996.00000000 1.535484922291 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 2021-1A, Class M2 07876MAD9 500000.00000000 PA USD 537550.00000000 0.485816282073 Long ABS-O CORP BM Y 2 2031-03-25 Floating 4.89870000 N N N N N N Finance Ireland Rmbs 635400ZS7WN6LFVWZH56 Finance Ireland Rmbs, Series 3, Class F BCC30QHT5 420000.00000000 PA 486734.87000000 0.439891591291 Long ABS-MBS CORP IE N 2 2061-06-24 Floating 3.68600000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class E 94989VBB4 1311000.00000000 PA USD 1166396.70000000 1.054142885716 Long ABS-MBS CORP US Y 2 2057-09-15 Fixed 3.15300000 N N N N N N Bellemeade Re Lt N/A Bellemeade Re 2020-3, Ltd., Series 2020-3A, Class M2 07877KAG5 466000.00000000 PA USD 503513.00000000 0.455054996996 Long ABS-O CORP US Y 2 2030-10-25 Floating 4.93930000 N N N N N N E-carat Plc 213800P8XQG7CEH4YG57 E-Carat 11 PLC, Series 2020-11, Class G N/A 397388.49000000 PA 549067.22000000 0.496225086836 Long ABS-O CORP GB N 2 2024-01-18 Floating 5.05100000 N N N N N N Jp Morgan Mortgage Acquisition Corp N/A JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3 46626LHD5 840219.63000000 PA USD 866014.37000000 0.782669298587 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.64425000 N N N N N N Lehman Mortgage Trust N/A Lehman Mortgage Trust, Series 2007-5, Class 6A1 52521RBR1 826197.17000000 PA USD 447798.87000000 0.404702785117 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.40925000 N N N N N N N/A N/A REVERSE REPO N/A -674397.16000000 NS -779604.83000000 -0.70457579759 Short RA CORP LU N 2 Reverse repurchase N 0.45000000 2022-01-04 -779569.39710000 EUR 947100.00000000 EUR N N N Sound Point Clo Ltd 5493006UE7EGV6XUOE47 Sound Point CLO XVII, Series 2017-3A, Class D 83611FAA1 858000.00000000 PA USD 819561.60000000 0.740687135042 Long ABS-CBDO CORP KY Y 2 2030-10-20 Floating 6.63150000 N N N N N N N/A N/A REVERSE REPO N/A -1502000.00000000 NS USD -1502000.00000000 -1.35744778285 Short RA CORP US N 2 Reverse repurchase N 1.02000000 2022-01-04 -1502000.00000000 USD 2001200.00000000 USD N N N N/A N/A REVERSE REPO N/A -466000.00000000 NS USD -466000.00000000 -0.42115224155 Short RA CORP US N 2 Reverse repurchase N 1.07000000 2022-01-07 -466000.00000000 USD 635250.00000000 USD N N N Man Glg Us Clo 2021-1 Ltd N/A MAN GLG US CLO, Ltd., Series 2021-1A, Class D 56166XAA7 521000.00000000 PA USD 513341.30000000 0.463937423124 Long ABS-CBDO CORP KY Y 2 2034-07-15 Floating 7.48587000 N N N N N N N/A N/A REVERSE REPO N/A -356055.00000000 NS -411600.49000000 -0.37198813087 Short RA CORP NL N 2 Reverse repurchase N 0.74000000 2021-12-29 -411581.77730000 EUR 508650.00000000 EUR N N N Wind River Clo Ltd 635400WBNY8VGBBADK15 Wind River CLO, Ltd., Series 2016-1X, Class ER G8832AAC1 750000.00000000 PA USD 750225.00000000 0.678023477292 Long ABS-CBDO CORP KY N 2 2028-07-15 Floating 5.67375000 N N N N N N Chicago Mercantile Exchange N/A AUD $ Currency Fut N/A -23.00000000 NC USD -1731095.00000000 -1.56449472014 N/A DFE CORP US N 1 Wells Fargo Securities, LLC N/A Short Australian Dollar Australian Dollar 2021-12-13 -1731095.00000000 USD -34845.45000000 N N N N/A N/A Reverse Repo N/A -533000.00000000 NS USD -533000.00000000 -0.48170417327 Short RA CORP US N 2 Reverse repurchase N 1.37000000 2022-01-10 -179000.00000000 USD 246250.00000000 USD N N N Ashford Hospitality Trust N/A Ashford Hospitality Trust, Series 2018-KEYS, Class E 04410CAN9 2000000.00000000 PA USD 1925400.00000000 1.740099840953 Long ABS-MBS CORP US Y 2 2035-06-15 Floating 4.24025000 N N N N N N BNY Mellon Liquidity Funds plc N/A BNY Mellon U.S. Treasury Fund, Institutional Class G1206E136 2156189.00000000 NS USD 2156189.00000000 1.948677747982 Long STIV RF US N 1 N N N N/A N/A Reverse Repo N/A -382000.00000000 NS USD -382000.00000000 -0.34523638685 Short RA CORP US N 2 Reverse repurchase N 1.13000000 2022-04-21 -382000.00000000 USD 586663.11680000 USD PLCMO N N N Bfld Trust N/A BFLD Trust, Series 2021-FPM, Class D 05554BAL8 500000.00000000 PA USD 500000.00000000 0.451880087502 Long ABS-MBS CORP US Y 2 2026-06-15 Floating 4.74100000 N N N N N N N/A N/A REVERSE REPO N/A -493568.57000000 NS USD -493568.57000000 -0.44606761719 Short RA CORP US N 2 Reverse repurchase N 1.24000000 2022-01-26 -371336.31360000 AUD 705110.00000000 AUD N N N N/A N/A REVERSE REPO N/A -469000.00000000 NS USD -469000.00000000 -0.42386352207 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-12 -469000.00000000 USD 710451.40870000 USD N N N Fta Santander Consumo 98450072AC11A1C80548 FTA Santander Consumo 4, Series 2021-4, Class E BCC2QM3E6 500000.00000000 PA 596901.91000000 0.539456174641 Long ABS-O CORP ES N 2 2032-09-18 Fixed 4.90000000 N N N N N N Comm Mortgage Trust N/A Commercial Mortgage Trust, Series 2014-FL5, Class KH2 12635HAM2 646541.33600000 PA USD 556025.55000000 0.502513748374 Long ABS-MBS CORP US Y 2 2031-08-15 Floating 4.59025000 N N N N N N N/A N/A REVERSE REPO N/A -65000.00000000 NS USD -65000.00000000 -0.05874441137 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-04-14 -65000.00000000 USD 92280.05000000 USD N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 5YR NOTE (CBT) Dec21 N/A -294.00000000 NC USD -35794500.00000000 -32.3496435841 N/A DIR CORP US N 1 Wells Fargo Securities, LLC N/A Short United States Treasury Note United States Treasury Note 2021-12-31 -35794500.00000000 USD 454718.77000000 N N N Taberna Prefered Funding Ltd 8Z9UQTNXEECO8ECQHB85 Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B 87330UAE1 529000.00000000 PA USD 142830.00000000 0.129084065795 Long ABS-CBDO CORP KY Y 2 2035-11-05 Floating 1.02138000 N N N N N N N/A N/A REVERSE REPO N/A -4025000.00000000 NS USD -4025000.00000000 -3.63763470439 Short RA CORP US N 2 Reverse repurchase N 0.87000000 2022-01-05 -4025000.00000000 USD 5031250.00000000 USD N N N N/A N/A REVERSE REPO N/A -375000.00000000 NS USD -375000.00000000 -0.33891006562 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-04 -375000.00000000 USD 509004.20000000 USD N N N Sofi Consumer Loan Program Trust N/A SoFi Consumer Loan Program , Series 2020-1, Class R1 83407A102 14000.00000000 PA USD 297371.09000000 0.268752148339 Long ABS-O CORP US Y 3 2029-01-25 Fixed 0.00000000 N N N N N N Signal Peak Clo, Llc 635400KXLUW2OKDQXA20 Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB 56846KAC9 2272000.00000000 PA USD 1388873.60000000 1.255208647794 Long ABS-CBDO CORP KY Y 3 N N N Babson Clo Ltd 5493000D71NBEM2WZE67 Barings CLO, Ltd. 2018-III, Series 2018-3A, Class E 06760RAA5 250000.00000000 PA USD 243650.00000000 0.220201166639 Long ABS-CBDO CORP KY Y 2 2029-07-20 Floating 5.88150000 N N N N N N Anchorage Capital Clo Ltd 549300V7DN3VJ8H1GE96 Anchorage Capital CLO 3-R, Ltd., Series 2018-3RA, Class E 03330BAA8 551000.00000000 PA USD 536563.80000000 0.484924993788 Long ABS-CBDO CORP KY Y 2 2031-01-28 Floating 5.63588000 N N N N N N N/A N/A Reverse Repo N/A -782000.00000000 NS USD -782000.00000000 -0.70674045685 Short RA CORP US N 2 Reverse repurchase N 1.13000000 2022-02-10 -782000.00000000 USD 1038631.79000000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -219000.00000000 NS USD -219000.00000000 -0.19792347832 Short RA CORP US N 2 Reverse repurchase N 1.37000000 2022-01-10 -219000.00000000 USD 301698.00000000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -376000.00000000 NS USD -376000.00000000 -0.33981382580 Short RA CORP US N 2 Reverse repurchase N 1.28000000 2022-01-04 -376000.00000000 USD 495611.31490000 USD N N N N/A R0MUWSFPU8MPRO8K5P83 Reverse Repo N/A -1323000.00000000 NS USD -1323000.00000000 -1.19567471153 Short RA CORP US N 2 Reverse repurchase N 0.98000000 2022-01-12 -1323000.00000000 USD 2034774.00000000 USD N N N Countrywide Alternative Loan Trust N/A Alternative Loan Trust, Series 2007-21CB, Class 2A4 02151FAK5 1039338.14460000 PA USD 260042.40000000 0.235015964932 Long ABS-MBS CORP US N 2 2037-09-25 Floating 5.51080000 N N N N N N Jp Morgan Chase Commercial Mortgage Sec Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class D 46648PAL9 374000.00000000 PA USD 372990.20000000 0.337093688426 Long ABS-MBS CORP US Y 2 2032-10-15 Floating 2.23025000 N N N N N N N/A N/A REVERSE REPO N/A -454000.00000000 NS USD -454000.00000000 -0.41030711945 Short RA CORP US N 2 Reverse repurchase N 1.42000000 2022-01-10 -454000.00000000 USD 780900.00000000 USD N N N Nationstar Home Equity Loan Trust N/A Nationstar Home Equity Loan Trust, Series 2007-B, Class M2 63860LAG5 1055067.60830000 PA USD 1620583.85000000 1.464619143885 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.55930000 N N N N N N Tagus Stc/ulisses Finance 213800D3OXAL3N7T1S19 TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, Series 2021-2, Class F BCC32DHS4 400000.00000000 PA 463557.02000000 0.418944373519 Long ABS-O CORP PT N 2 2038-09-23 Floating 4.39500000 N N N N N N New York Mortgage Trust 549300JFGR0M7ULHWG48 New York Mortgage Trust, Inc., Series E 649604873 17808.00000000 NS USD 460871.04000000 0.416516891764 Long EP CORP US N 1 N N N N/A N/A REVERSE REPO N/A -332553.19000000 NS -384432.33000000 -0.34743462983 Short RA CORP LU N 2 Reverse repurchase N 0.45000000 2022-01-04 -384414.86000000 EUR 467550.00000000 EUR N N N Aps Resecuritization Trust 549300FP1DPPUKF3RF96 APS Resecuritization Trust, Series 2014-1, Class 1M 00191PAB9 2224760.43000000 PA USD 624267.78000000 0.564188358102 Long ABS-MBS CORP US Y 2 2054-08-28 Floating 1.54900000 N N Y N N N Morgan Stanley Baml Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class E 61765TAP8 660000.00000000 PA USD 631356.00000000 0.570594409049 Long ABS-MBS CORP US Y 2 2025-09-15 Floating 4.52600000 N N N N N N Navient Student Loan Trust N/A Navient Private Education Refi Loan Trust 2021-B, Series 2021-BA, Class R 63942LAC6 2259.00000000 PA USD 1524563.86000000 1.377840100918 Long ABS-O CORP US Y 2 2069-07-15 Fixed 0.00000000 N N N N N N Jp Morgan Chase Commercial Mortgage Sec Trust N/A J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E 46648PAN5 504000.00000000 PA USD 482932.80000000 0.436455431843 Long ABS-MBS CORP US Y 2 2032-10-15 Floating 4.11025000 N N N N N N Apex Credit Clo Llc 549300PKXRJW5V5VW357 Apex Credit Clo 2021, Ltd., Series 2021-1A, Class SUB 03754DAG8 667000.00000000 PA USD 500250.00000000 0.452106027545 Long ABS-CBDO CORP KY Y 3 N N N Countrywide Asset-backed Certificates N/A Countrywide Asset-Backed Certificates, Series 2006-12, Class M1 12667AAE6 588546.18190000 PA USD 554233.94000000 0.500894562607 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.53925000 N N N N N N Lansdowne Mortgage Securities Plc 549300M5JCJD5NA85U45 Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2 N/A 500000.00000000 PA 432460.55000000 0.390840622350 Long ABS-MBS CORP IE N 2 2045-06-15 Floating 0.29600000 N N N N N N Cfg Investments Limited 549300C3OD89QRWQ1Y92 CFG Investments, Ltd., Series 2021-1, Class B 12528GAE2 1196000.00000000 PA USD 1233793.60000000 1.115053519855 Long ABS-O CORP US Y 2 2025-10-20 Fixed 5.82000000 N N N N N N N/A R0MUWSFPU8MPRO8K5P83 Reverse Repo N/A -981000.00000000 NS USD -981000.00000000 -0.88658873167 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-12 -981000.00000000 USD 1508267.42900000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -534000.00000000 NS USD -534000.00000000 -0.48260793345 Short RA CORP US N 2 Reverse repurchase N 1.03000000 2022-01-12 -534000.00000000 USD 667339.97790000 USD N N N Blackrock Liquidity Funds T-fund 5493002L9DNZ83RX7V61 BlackRock Liquidity Funds T-Fund 09248U718 10628712.83000000 NS USD 10628712.83000000 9.605807367310 Long STIV RF US N 1 N N N N/A N/A Reverse Repo N/A -371000.00000000 NS USD -371000.00000000 -0.33529502492 Short RA CORP US N 2 Reverse repurchase N 1.52000000 2022-01-05 -371000.00000000 USD 612872.25600000 USD PLCMO N N N N/A N/A Reverse Repo N/A -1352000.00000000 NS USD -1352000.00000000 -1.22188375660 Short RA CORP US N 2 Reverse repurchase N 1.23000000 2022-04-21 -1352000.00000000 USD 1864431.80000000 USD PLCMO N N N Autoflorence 815600AE1950B3B44247 AutoFlorence 1 Srl, Series 2019-1, Class E N/A 305688.38000000 PA 360514.76000000 0.325818882589 Long ABS-O CORP IT N 2 2042-12-25 Floating 3.94100000 N N N N N N Noria 5493003C5ECZD3NDSV63 FCT Noria 2021, Series 2021-1, Class G N/A 1400000.00000000 PA 1638957.29000000 1.481224327234 Long ABS-O CORP FR N 2 2049-10-25 Fixed 5.95000000 N N N N N N N/A N/A REVERSE REPO N/A -324000.00000000 NS USD -324000.00000000 -0.29281829670 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-12 -324000.00000000 USD 495620.35000000 USD N N N Ocp Clo Ltd 2549001TBA76KDJQIQ68 OCP CLO, Ltd., Series 2017-6A, Class DR 67106HAG9 1525000.00000000 PA USD 1528202.50000000 1.381128558841 Long ABS-CBDO CORP KY Y 2 2030-10-17 Floating 6.64225000 N N N N N N Cit Mortgage Loan Trust N/A CIT Mortgage Loan Trust, Series 2007-1, Class 1M2 12559QAH5 1000000.00000000 PA USD 977400.00000000 0.883335195049 Long ABS-MBS CORP US Y 2 2022-05-25 Floating 1.83925000 N N N N N N Structured Asset Investment Loan Trust N/A Structured Asset Investment Loan Trust, Series 2005-9, Class M2 86358EYG5 1228783.43990000 PA USD 1314061.01000000 1.187596008363 Long ABS-MBS CORP US N 2 2035-11-25 Floating 0.76425000 N N N N N N Dowson 213800MIBTQLAPXDOM66 Dowson PLC, Series 2021-1, Class E N/A 363000.00000000 PA 509451.90000000 0.460422338300 Long ABS-O CORP GB N 2 2028-03-20 Floating 4.50018000 N N N N N N Fta Santander Consumo 98450072AC11A1C80548 FTA Santander Consumo 4, Series 2021-4, Class F BCC2QM3F3 400000.00000000 PA 470169.35000000 0.424920334037 Long ABS-O CORP ES N 2 2032-09-18 Fixed 6.50000000 N N N N N N N/A N/A SAFCO Mezz WH 2021 N/A 901904.38000000 PA USD 901904.38000000 0.815105260305 Long DBT PF US N 3 2049-12-31 Fixed 9.00000000 N N N N N N Social Professional Loan Program Llc N/A SoFi Professional Loan Program , Series 2021-A, Class R1 83405Y102 19142.00000000 PA USD 442863.66000000 0.400242538864 Long ABS-O CORP US Y 3 2043-08-17 Fixed 0.00000000 N N N N N N New Century Home Equity Loan Trust N/A New Century Home Equity Loan Trust, Series 2005-2, Class M6 64352VKY6 303003.43580000 PA USD 304821.46000000 0.275485496034 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.10925000 N N N N N N Ozlm Ltd 5493005RYHNVNU6C8029 OZLM XII, Ltd., Series 2015-12A, Class D 67109XAA4 562000.00000000 PA USD 562000.00000000 0.507913218352 Long ABS-CBDO CORP KY Y 2 2027-04-30 Floating 5.53160000 N N N N N N N/A N/A Reverse Repo N/A -518000.00000000 NS USD -518000.00000000 -0.46814777065 Short RA CORP US N 2 Reverse repurchase N 1.02000000 2022-01-05 -518000.00000000 USD 699623.33000000 USD PLCMO N N N Eurex 529900UT4DG0LG5R9O07 EURO-BOBL FUTURE Dec21 N/A -17.00000000 NC -2628657.30000000 -2.37567578147 N/A DIR CORP DE N 1 Wells Fargo Securities, LLC N/A Short GERMANY GOVT Bond GERMANY GOVT Bond 2021-12-08 -2628657.30000000 EUR 37523.60000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 US 2YR NOTE (CBT) Dec21 N/A -72.00000000 NC USD -15786000.00000000 -14.2667581226 N/A DIR CORP US N 1 Wells Fargo Securities, LLC N/A Short United States Treasury Note United States Treasury Note 2021-12-31 -15786000.00000000 USD 3937.50000000 N N N Rr 2 Ltd 54930098CLSTWMH4JW47 RR 2, Ltd., Series 2017-2A, Class SUB 78109RAC0 250000.00000000 PA USD 210950.00000000 0.190648208917 Long ABS-CBDO CORP KY Y 3 N N N N/A N/A Reverse Repo N/A -268000.00000000 NS USD -268000.00000000 -0.24220772690 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-04-12 -268000.00000000 USD 383224.72070000 USD PLCMO N N N Dowson 213800MIBTQLAPXDOM66 Dowson PLC, Series 2021-1, Class F N/A 363000.00000000 PA 507266.05000000 0.458446854121 Long ABS-O CORP GB N 2 2028-03-20 Floating 6.50018000 N N N N N N Cfg Investments Limited 549300C3OD89QRWQ1Y92 CFG Investments, Ltd., Series 2021-1, Class C 12528GAF9 500000.00000000 PA USD 516500.00000000 0.466792130389 Long ABS-O CORP US Y 2 2026-05-20 Fixed 7.48000000 N N N N N N N/A N/A REVERSE REPO N/A -541000.00000000 NS USD -541000.00000000 -0.48893425467 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-04 -541000.00000000 USD 736228.50590000 USD N N N Bear Stearns Mortgage Funding Trust N/A Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2 07401LAB9 357089.42140000 PA USD 427793.13000000 0.386622394034 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.33930000 N N N N N N Shackleton Clo Ltd 549300VJPG28RMYCYW83 Shackleton CLO, Ltd., Series 2017-8A, Class ER 81882FAG4 1000000.00000000 PA USD 995000.00000000 0.899241374129 Long ABS-CBDO CORP KY Y 2 2027-10-20 Floating 5.47150000 N N N N N N Cig Auto Receivables Trust N/A CIG Auto Receivables Trust 2020-1, Series 2020-1A, Class E 12597UAE7 1150000.00000000 PA USD 1181625.00000000 1.067905616789 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 -751000.00000000 NS USD -751000.00000000 -0.67872389142 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-03-09 -751000.00000000 USD 1001394.51500000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -362000.00000000 NS USD -362000.00000000 -0.32716118335 Short RA CORP US N 2 Reverse repurchase N 1.37000000 2022-01-10 -362000.00000000 USD 533092.50000000 USD N N N N/A N/A REVERSE REPO N/A -374000.00000000 NS USD -374000.00000000 -0.33800630545 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-05 -374000.00000000 USD 498510.00000000 USD N N N N/A N/A Reverse Repo N/A -412000.00000000 NS USD -412000.00000000 -0.37234919210 Short RA CORP US N 2 Reverse repurchase N 1.02000000 2022-01-05 -412000.00000000 USD 633482.22630000 USD N N N Eagle Re Ltd N/A Eagle RE, Ltd., Series 2021-1, Class M2 26983BAD3 1048000.00000000 PA USD 1097884.80000000 0.992224558982 Long ABS-O CORP US Y 2 2033-10-25 Floating 4.49867000 N N N N N N Social Professional Loan Program Llc 549300RC6OGKQI1MHM67 SoFi Professional Loan Program LLC, Series 2017-D, Class R1 78471C109 16181.00000000 PA USD 361401.23000000 0.326620038871 Long ABS-MBS CORP US Y 3 2040-09-25 Fixed 0.00000000 N N N N N N Stratton Mortgage Funding Plc 635400KUSIALYCFALE10 Stratton Mortgage Funding, Series 2021-2X, Class X N/A 637970.23370000 PA 889683.41000000 0.804060434319 Long ABS-MBS CORP GB N 2 2060-07-20 Floating 4.05080000 N N N N N N N/A N/A REVERSE REPO N/A -364000.00000000 NS USD -364000.00000000 -0.32896870370 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-04 -364000.00000000 USD 495782.12760000 USD N N N Wf-rbs Commercial Mortgage Trust N/A WFRBS Commercial Mortgage Trust, Series 2013-C17, Class E 92938GAQ1 539000.00000000 PA USD 499922.50000000 0.451810046088 Long ABS-MBS CORP US Y 2 2046-12-15 Fixed 3.50000000 N N N N N N Silk Finance 213800D3OXAL3N7T1S19 TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class E BCC2P1JD8 420000.00000000 PA 498921.45000000 0.450905336965 Long ABS-O CORP PT N 2 2035-02-25 Fixed 8.00000000 N N N N N N Race Point Clo Ltd 5493008ABAJEYBWITR69 Race Point VIII CLO, Ltd., Series 2017-8A, Class ER 74982KAE2 640000.00000000 PA USD 608192.00000000 0.549659708356 Long ABS-CBDO CORP KY Y 2 2030-02-20 Floating 6.98088000 N N N N N N N/A N/A REVERSE REPO N/A -366000.00000000 NS USD -366000.00000000 -0.33077622405 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-01-04 -366000.00000000 USD 498821.42600000 USD N N N First Franklin Mtg Loan Asset Backed Certificates N/A First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3 32027NXY2 1948977.51870000 PA USD 1546708.56000000 1.397853598866 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.83930000 N N N N N N N/A N/A Reverse Repo N/A -367000.00000000 NS USD -367000.00000000 -0.33167998422 Short RA CORP US N 2 Reverse repurchase N 1.03000000 2022-01-12 -367000.00000000 USD 564250.80050000 USD PLCMO N N N Gallatin Funding Ltd N/A Gallatin CLO IX, Ltd., Series 2018-1A, Class E 36361XAA2 805000.00000000 PA USD 805241.50000000 0.727745198960 Long ABS-CBDO CORP KY Y 2 2028-01-21 Floating 5.59950000 N N N N N N Credito Real Usa Auto Receivables Trust N/A Credito Real USA Auto Receivables Trust 2021-1, Series 2021-1A, Class C 22551EAE6 1108000.00000000 PA USD 1102460.00000000 0.996359442535 Long ABS-O CORP US Y 2 2024-06-17 Fixed 4.37000000 N N N N N N Elevation Clo Ltd N/A Elevation CLO, Ltd., Series 2021-12A, Class E 28623NAA5 760000.00000000 PA USD 753084.00000000 0.680607327632 Long ABS-CBDO CORP KY Y 2 2032-04-20 Floating 7.40150000 N N N N N N N/A N/A REVERSE REPO N/A -397000.00000000 NS USD -397000.00000000 -0.35879278947 Short RA CORP US N 2 Reverse repurchase N 0.92000000 2022-01-05 -397000.00000000 USD 495271.13920000 USD N N N N/A N/A REVERSE REPO N/A -874000.00000000 NS USD -874000.00000000 -0.78988639295 Short RA CORP US N 2 Reverse repurchase N 1.08000000 2022-01-12 -874000.00000000 USD 1090273.17600000 USD N N N N/A N/A REVERSE REPO N/A -373000.00000000 NS USD -373000.00000000 -0.33710254527 Short RA CORP US N 2 Reverse repurchase N 1.38000000 2022-01-05 -373000.00000000 USD 497840.00000000 USD N N N N/A N/A REVERSE REPO N/A -356947.06000000 NS USD -356947.06000000 -0.32259453741 Short RA CORP US N 2 Reverse repurchase N 1.24000000 2022-01-26 -268549.12060000 AUD 509931.60000000 AUD N N N Countrywide Alternative Loan Trust N/A Alternative Loan Trust, Series 2007-21CB, Class 2A2 02151FAH2 38130.54040000 PA USD 52261.72000000 0.047232061213 Long ABS-MBS CORP US N 2 2037-09-25 Floating 28.04300000 N N N N N N N/A N/A Reverse Repo N/A -232000.00000000 NS USD -232000.00000000 -0.20967236060 Short RA CORP US N 2 Reverse repurchase N 1.37000000 2022-03-01 -232000.00000000 USD 356974.57330000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -310329.34000000 NS -358741.51000000 -0.32421628985 Short RA CORP PT N 2 Reverse repurchase N 0.45000000 2022-01-04 -358725.20060000 EUR 514200.00000000 EUR N N N N/A N/A REVERSE REPO N/A -325542.00000000 NS -376327.38000000 -0.34010969880 Short RA CORP PT N 2 Reverse repurchase N 0.46000000 2021-11-26 -376310.27490000 EUR 431256.00000000 EUR N N N Cfg Investments Limited 549300C3OD89QRWQ1Y92 CFG Investments, Ltd., Series 2021-1, Class A 12528GAD4 1350000.00000000 PA USD 1392255.00000000 1.258264622450 Long ABS-O CORP US Y 2 2024-11-20 Fixed 4.70000000 N N N N N N Domi 724500YH04ZH2QORR597 Domi BV, Series 2020-1, Class X2 N/A 500000.00000000 PA 588809.90000000 0.532142938268 Long ABS-MBS CORP NL N 2 2052-04-15 Floating 6.20200000 N N N N N N Morgan Stanley Baml Trust N/A Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G 61765TAT0 1500000.00000000 PA USD 782850.00000000 0.707508653002 Long ABS-MBS CORP US Y 2 2030-09-15 Floating 4.52600000 N N N N N N N/A N/A REVERSE REPO N/A -381000.00000000 NS USD -381000.00000000 -0.34433262667 Short RA CORP US N 2 Reverse repurchase N 1.34000000 2022-01-07 -381000.00000000 USD 501666.64760000 USD PLCMO N N N Ozlm Funding Ltd 549300788AI08GTXXH35 OZLM Funding IV, Ltd., Series 2017-4A, Class D1R 67108HAG7 522000.00000000 PA USD 494856.00000000 0.447231145161 Long ABS-CBDO CORP KY Y 2 2030-10-22 Floating 6.42830000 N N N N N N Signal Peak Clo, Llc 635400KXLUW2OKDQXA20 Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB 56846KAC9 1000000.00000000 PA USD 611300.00000000 0.552468594980 Long ABS-CBDO CORP KY Y 3 N N N Genworth Mortgage Insurance Corporation N/A Triangle Re, Ltd., Series 2021-2, Class M1C 89600GAC5 500000.00000000 PA USD 518550.00000000 0.468644838748 Long ABS-O CORP BM Y 2 2033-10-25 Floating 4.58920000 N N N N N N N/A N/A REVERSE REPO N/A -375000.00000000 NS USD -375000.00000000 -0.33891006562 Short RA CORP US N 2 Reverse repurchase N 1.12000000 2022-01-05 -375000.00000000 USD 495108.18000000 USD N N N Chicago Mercantile Exchange N/A Euro FX Currency N/A -55.00000000 NC USD -7953343.75000000 -7.18791533936 N/A DFE CORP US N 1 Wells Fargo Securities, LLC N/A Short EuroDollar EuroDollar 2021-12-13 -7953343.75000000 USD 188622.10000000 N N N Wf-rbs Commercial Mortgage Trust N/A WFRBS Commercial Mortgage Trust, Series 2013-C11, Class E 92937EAL8 542000.00000000 PA USD 501295.80000000 0.453051179936 Long ABS-MBS CORP US Y 2 2045-03-15 Floating 4.23900000 N N N N N N Barings Clo Ltd 54930079SUKCXYW8DR07 Barings CLO, Ltd. 2013-I, Series 2017-IA, Class ER 06760EAJ5 514000.00000000 PA USD 506084.40000000 0.457378925910 Long ABS-CBDO CORP KY Y 2 2028-01-20 Floating 5.33150000 N N N N N N Silk Finance 213800D3OXAL3N7T1S19 TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class D N/A 500000.00000000 PA 603606.73000000 0.545515723938 Long ABS-O CORP PT N 2 2035-02-25 Fixed 7.25000000 N N N N N N N/A N/A REVERSE REPO N/A -296809.36000000 NS USD -296809.36000000 -0.26824447913 Short RA CORP US N 2 Reverse repurchase N 0.64000000 2022-01-26 -343096.77970000 USD 409400.00000000 USD N N N Bl Consumer Issuance Platform Ii 549300BCEKCIKD7MN312 BL Consumer Credit 2021, Series 2021-1, Class G N/A 561000.00000000 PA 663303.62000000 0.599467395692 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, Series 2007-1, Class A4 94984WAD4 N/A PA USD 39783.37000000 0.035954625433 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 -425000.00000000 NS USD -425000.00000000 -0.38409807437 Short RA CORP US N 2 Reverse repurchase N 1.28000000 2022-01-04 -425000.00000000 USD 561492.85120000 USD N N N Scf Rahoituspalvelut Dac 875500WTQ56BZWOYTK26 SCF Rahoituspalvelut X DAC, Series 2021-10, Class D N/A 400000.00000000 PA 463557.02000000 0.418944373519 Long ABS-O CORP IE N 2 2031-10-25 Fixed 5.35000000 N N N N N N Residential Accredit Loans, Inc. N/A Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16 75115CAR8 572712.74000000 PA USD 425926.46000000 0.384935372028 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.73920000 N N N N N N Wells Fargo Mortgage Backed Securities Trust N/A Wells Fargo Mortgage Backed Securities Trust, Series 2007-1, Class A8 94984WAH5 N/A PA USD 28087.67000000 0.025384517554 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 -945000.00000000 NS USD -945000.00000000 -0.85405336537 Short RA CORP US N 2 Reverse repurchase N 1.03000000 2022-01-12 -945000.00000000 USD 1453126.82900000 USD PLCMO N N N Zip Master Trust N/A Zip Master Trust, Series 2021-1, Class D BCC2RBDR9 500000.00000000 PA 377063.98000000 0.340775408552 Long ABS-O CORP AU N 2 2024-04-10 Floating 3.71000000 N N N N N N N/A N/A REVERSE REPO N/A -348000.00000000 NS USD -348000.00000000 -0.31450854090 Short RA CORP US N 2 Reverse repurchase N 1.42000000 2022-02-03 -348000.00000000 USD 496045.00000000 USD N N N N/A N/A REVERSE REPO N/A -1087000.00000000 NS USD -1087000.00000000 -0.98238731022 Short RA CORP US N 2 Reverse repurchase N 1.17000000 2022-01-12 -1087000.00000000 USD 1359045.00000000 USD N N N Upstart Pass Through Trust N/A Upstart Pass-Through Trust, Series 2021-ST9, Class CERT 91683MAB0 417000.00000000 PA USD 547922.51000000 0.495190543526 Long ABS-O CORP US Y 3 2029-11-20 Fixed 0.00000000 N N N N N N N/A N/A REVERSE REPO N/A -445000.00000000 NS USD -445000.00000000 -0.40217327787 Short RA CORP US N 2 Reverse repurchase N 1.03000000 2022-01-12 -445000.00000000 USD 634033.99980000 USD N N N N/A N/A REVERSE REPO N/A -375000.00000000 NS USD -375000.00000000 -0.33891006562 Short RA CORP US N 2 Reverse repurchase N 1.03000000 2022-01-19 -375000.00000000 USD 499585.63000000 USD N N N N/A N/A Reverse Repo N/A -837000.00000000 NS USD -837000.00000000 -0.75644726647 Short RA CORP US N 2 Reverse repurchase N 1.07000000 2022-04-12 -837000.00000000 USD 1194680.86500000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -421000.00000000 NS USD -421000.00000000 -0.38048303367 Short RA CORP US N 2 Reverse repurchase N 1.33000000 2022-02-10 -421000.00000000 USD 584610.77000000 USD PLCMO N N N N/A N/A REVERSE REPO N/A -415237.50000000 NS -568273.57000000 -0.51358302107 Short RA CORP GB N 2 Reverse repurchase N 0.91000000 2021-12-29 -568501.66130000 GBP 553650.00000000 GBP N N N Popular Abs Mortgage Pass-through Trust N/A Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1 73316PGL8 386379.89400000 PA USD 297628.43000000 0.268984721983 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.64300000 N N N N N N Domi 724500GC0MQI1HTJVG97 Domi BV, Series 2021-1, Class E N/A 411000.00000000 PA 478680.42000000 0.432612300150 Long ABS-MBS CORP NL N 2 2026-06-15 Floating 5.95600000 N N N N N N Banc Of America Funding Corporation N/A Banc of America Funding , Series 2007-5, Class CA8 059523BM1 3239955.02500000 PA USD 663218.79000000 0.599390729716 Long ABS-MBS CORP US N 2 2037-07-25 Floating 5.26075000 N N N N N N Domi 724500GC0MQI1HTJVG97 Domi BV, Series 2021-1, Class X2 N/A 411000.00000000 PA 478680.42000000 0.432612300150 Long ABS-MBS CORP NL N 2 2026-06-15 Floating 5.95600000 N N N N N N Wells Fargo Commercial Mortgage Trust 549300ZVNWG0TX42H716 Wells Fargo Commercial Mortgage Trust, Series 2015-NXS3, Class G 94989VBF5 814500.00000000 PA USD 607372.65000000 0.548919212456 Long ABS-MBS CORP US Y 2 2057-09-15 Fixed 3.15300000 N N N N N N Galaxy Clo Ltd 5493000B2531UL3WQV87 Galaxy XIX CLO, Ltd., Series 2017-19A, Class D1R 36319RAQ3 735000.00000000 PA USD 731325.00000000 0.660942409984 Long ABS-CBDO CORP KY Y 2 2030-07-24 Floating 6.65388000 N N N N N N Social Professional Loan Program Llc N/A Sofi Professional Loan Program LLC, Series 2019-B, Class R1 83404W107 56770.00000000 PA USD 1024881.95000000 0.926247490490 Long ABS-O CORP US Y 3 2048-08-17 Fixed 0.00000000 N N N N N N Ares Clo Ltd N/A ARES XLIV CLO, Ltd., Series 2017-44A, Class SUB 04016NAJ2 1605000.00000000 PA USD 706200.00000000 0.638235435588 Long ABS-CBDO CORP KY Y 3 N N N Neuberger Berman Clo Ltd 549300Z5ZNFT7IECFZ07 Neuberger Berman CLO XIV, Ltd., Series 2020-14A, Class ER2 64129LAL9 962000.00000000 PA USD 964212.60000000 0.871416948117 Long ABS-CBDO CORP KY Y 2 2030-01-28 Floating 6.88590000 N N N N N N Dowson 213800OI5O7QF6XV6F68 Dowson PLC, Series 2021-2, Class F BCC330XV6 361000.00000000 PA 495281.92000000 0.447616074695 Long ABS-O CORP GB N 2 2024-10-20 Floating 5.34950000 N N N N N N Ownit Mortgage Loan Asset-backed Certificates N/A Ownit Mortgage Loan Trust, Series 2005-4, Class M1 69121PAY9 1276474.14630000 PA USD 1296770.09000000 1.171969163478 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.91430000 N N N N N N Social Professional Loan Program Llc N/A SoFi Professional Loan Program, Series 2020-A, Class R1 83406T102 14661.00000000 PA USD 670242.37000000 0.605738361606 Long ABS-O CORP US Y 3 2046-05-15 Fixed 0.00000000 N N N N N N N/A N/A REVERSE REPO N/A -394000.00000000 NS USD -394000.00000000 -0.35608150895 Short RA CORP US N 2 Reverse repurchase N 1.08000000 2022-01-26 -394000.00000000 USD 524567.38300000 USD N N N Countrywide Asset-backed Certificates N/A Countrywide Asset-Backed Certificates, Series 2005-2, Class M6 126673ZH8 521349.23650000 PA USD 564934.03000000 0.510564877818 Long ABS-MBS CORP US N 2 2035-08-25 Floating 2.11425000 N N N N N N Jp Morgan Mortgage Acquisition Corp N/A JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2 46625SAG1 1076019.29860000 PA USD 1243985.91000000 1.124264923724 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.56925000 N N N N N N Upstart Securitization Trust N/A Upstart Securitization Trust, Series 2020-3, Class C 91680EAC9 600000.00000000 PA USD 641580.00000000 0.579834453079 Long ABS-O CORP US Y 2 2030-11-20 Fixed 6.25000000 N N N N N N Syon Securities 2020-2 Designated Activity Company 5493000H7F78QNDVY831 SYON 2020-2, Class B N/A 1131789.19000000 PA 1634255.88000000 1.476975380110 Long ABS-MBS CORP GB N 2 2027-12-17 Floating 6.38650000 N N N N N N Jp Morgan Mortgage Acquisition Corp N/A JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7 46626LES5 215426.87510000 PA USD 250045.97000000 0.225981589606 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.56425000 N N N N N N N/A N/A REVERSE REPO N/A -859000.00000000 NS USD -859000.00000000 -0.77632999032 Short RA CORP US N 2 Reverse repurchase N 1.07000000 2022-01-18 -859000.00000000 USD 1165741.20000000 USD N N N Bear Stearns Mortgage Funding Trust N/A Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2 07401NAQ2 1013191.40440000 PA USD 1136294.16000000 1.026937408897 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.31925000 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 328050.17000000 0.296478679049 Long ABS-O CORP US Y 3 2048-02-25 Fixed 0.00000000 N N N N N N Brignole Co 8156006B7CA110881F08 Brignole Co. 2021 SRL, Series 2021-2021, Class F N/A 424000.00000000 PA 499359.81000000 0.451301509275 Long ABS-O CORP IT N 2 2036-07-24 Floating 5.33900000 N N N N N N 2021-11-30 1WS CREDIT INCOME FUND Stephanie Dolan Stephanie Dolan Chief Financial Officer and Principal Accounting Officer