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