0001752724-22-151109.txt : 20220628
0001752724-22-151109.hdr.sgml : 20220628
20220628112342
ACCESSION NUMBER: 0001752724-22-151109
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20220430
FILED AS OF DATE: 20220628
PERIOD START: 20221031
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: 221047938
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
2022-10-31
2022-04-30
N
163475010.66
48457951.75
115017058.91
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
46603780.83000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3322490.39000000
USD
N
Ares Clo Ltd
6354004TAEXDOTEJZN31
Ares XXXVIII CLO, Ltd., Series 2015-38X, Class SUB
G0610NAB0
735000.00000000
PA
USD
396900.00000000
0.345079246297
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
2462750.00000000
2.141204116449
Long
ABS-MBS
CORP
US
Y
2
2023-09-15
Floating
5.55400000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
COMM, Series 2015-PC1 Mortgage Trust, Class D
12593GAL6
717000.00000000
PA
USD
635477.10000000
0.552506824659
Long
ABS-MBS
CORP
US
N
2
2025-06-10
Floating
4.46300000
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
-1402150.06000000
-1.21908008541
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
491250.00000000
USD
-10000000.00000000
USD
-910900.06000000
N
N
N
N/A
N/A
REVERSE REPO
N/A
-439000.00000000
NS
USD
-439000.00000000
-0.38168251228
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.73000000
2022-07-07
-439000.00000000
USD
674940.93000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-243000.00000000
NS
USD
-243000.00000000
-0.21127300793
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.60000000
2022-07-08
-192000.00000000
USD
320612.40000000
USD
N
N
N
Domi
724500YH04ZH2QORR597
Domi BV, Series 2020-1, Class F
N/A
500000.00000000
PA
531063.08000000
0.461725491012
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
6.05200000
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
745864.50000000
0.648481631393
Long
ABS-CBDO
CORP
KY
Y
2
2029-09-15
Floating
7.32600000
N
N
N
N
N
N
Alm Loan Funding
N/A
ALM 2020, Ltd., Series 2020-1A, Class D
00166DAA9
501000.00000000
PA
USD
491982.00000000
0.427746983501
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-15
Floating
7.04429000
N
N
N
N
N
N
Slide 2018-fun
N/A
SLIDE, Series 2018-FUN, Class F
831350AQ6
518018.95610000
PA
USD
500406.31000000
0.435071383968
Long
ABS-MBS
CORP
US
Y
2
2031-06-15
Floating
3.80400000
N
N
N
N
N
N
Golden Bar Securitisation
549300GESLGUWWGJRM09
Golden Bar Securitisation Srl, Series 2019-1, Class C
N/A
469358.94480000
PA
478910.41000000
0.416382069354
Long
ABS-MBS
CORP
IT
N
2
2039-07-20
Fixed
8.25000000
N
N
N
N
N
N
Autonoria
959800PAVFGQ48YNAE06
Autonoria Spain 2021 FT, Series 2021-SP, Class G
BCC30Y6B9
700000.00000000
PA
719045.06000000
0.625163838142
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
-581000.00000000
NS
USD
-581000.00000000
-0.50514245930
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.59000000
2022-07-07
-581000.00000000
USD
764787.62000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-286000.00000000
NS
USD
-286000.00000000
-0.24865876654
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.65000000
2022-07-18
-286000.00000000
USD
336758.40000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-179660.68000000
NS
-225914.39000000
-0.19641815930
Short
RA
CORP
GB
N
2
Reverse repurchase
N
2.50000000
2022-10-31
-226354.49000000
GBP
256658.12000000
GBP
N
N
N
Pbd Germany Auto Lease Master
54930028QE4PSDNK0861
PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class G
N/A
355555.55120000
PA
371905.91000000
0.323348478499
Long
ABS-MBS
CORP
LU
N
2
2030-11-26
Fixed
6.50000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1014000.00000000
NS
USD
-1014000.00000000
-0.88160835410
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.63000000
2022-07-08
-1071000.00000000
USD
1429056.80000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-614000.00000000
NS
USD
-614000.00000000
-0.53383385544
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.52000000
2022-10-12
-614000.00000000
USD
876674.70000000
USD
N
N
N
Morgan Stanley Baml Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class E
61690GAW1
843000.00000000
PA
USD
809870.10000000
0.704130420022
Long
ABS-MBS
CORP
US
Y
2
2024-02-15
Floating
5.21900000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust R, Series 2018-1A, Class R
301656AL8
2799.00000000
PA
USD
657810.45000000
0.571924248658
Long
ABS-MBS
CORP
US
N
3
N
N
N
Morgan Stanley Baml Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class F
61690GAZ4
500000.00000000
PA
USD
447900.00000000
0.389420494876
Long
ABS-MBS
CORP
US
Y
2
2024-02-15
Fixed
3.71000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-315250.00000000
NS
-332573.77000000
-0.28915169032
Short
RA
CORP
NL
N
2
Reverse repurchase
N
1.06000000
2022-10-31
-333235.01000000
EUR
485000.00000000
EUR
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Series D
649604881
8071.00000000
NS
USD
191201.99000000
0.166237940538
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
799000.00000000
PA
USD
772473.20000000
0.671616199649
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-13
Floating
5.87143000
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
1925000.00000000
1.673664774810
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.08000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-388642.67000000
NS
-488698.88000000
-0.42489251997
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.34000000
2022-09-30
-489650.90000000
GBP
485803.34000000
GBP
N
N
N
N/A
N/A
REVERSE REPO
N/A
-94000.00000000
NS
USD
-94000.00000000
-0.08172700718
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.03000000
2022-07-05
-94000.00000000
USD
133939.90000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-227500.00000000
NS
-240001.69000000
-0.20866616854
Short
RA
CORP
IE
N
2
Reverse repurchase
N
1.21000000
2022-10-31
-240478.88000000
EUR
350000.00000000
EUR
N
N
N
N/A
N/A
REVERSE REPO
N/A
-258000.00000000
NS
USD
-258000.00000000
-0.22431455163
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.11000000
2022-05-25
-258000.00000000
USD
312782.40000000
USD
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5
75115CAE7
784657.41120000
PA
USD
612660.51000000
0.532669254288
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.36790000
N
N
N
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
356141.82000000
0.309642607257
Long
ABS-O
CORP
AU
N
2
2023-08-22
Floating
5.07000000
N
N
N
N
N
N
Freddie Mac - Stacr
N/A
Freddie Mac STACR REMIC Trust, Series 2022-DNA3, Class B1
35564KWA3
500000.00000000
PA
USD
498750.00000000
0.433631328019
Long
ABS-MBS
USGSE
US
Y
2
2042-04-25
Floating
5.90069000
N
N
N
N
N
N
N/A
N/A
Wilmot Plaza Mezz Loan, Class F
N/A
2000000.00000000
PA
USD
2000000.00000000
1.738872493309
Long
ABS-O
CORP
US
N
3
2031-10-01
Variable
11.50000000
N
N
N
N
N
N
Polaris
635400AFQUEZX6I3O426
Polaris PLC, Series 2021-1, Class X2
BCC31KS32
366000.00000000
PA
473711.49000000
0.411861939862
Long
ABS-MBS
CORP
GB
N
2
2058-12-23
Floating
6.28050000
N
N
N
N
N
N
Miravet
222100N4914C4WCYHB56
Miravet Sarl - Compartment, Series 2019-1, Class E
N/A
500000.00000000
PA
495352.93000000
0.430677792228
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
2.47000000
N
N
N
N
N
N
Deutsche Alt-a Securities Inc Mortgage Loan Trust
N/A
Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class 2A2
25151XAD3
529817.48900000
PA
USD
486425.44000000
0.422915908831
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
0.98786000
N
N
N
N
N
N
Gsamp Trust
CU46ESEFJB81SUVBJO28
GSAMP Trust, Series 2005-WMC1, Class M2
362341PV5
728720.71430000
PA
USD
661168.30000000
0.574843685159
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
1.44786000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400WAVVCUCCIGH375
National Collegiate Student Loan Trust, Series 2005-3, Class B
63543TAJ7
2462000.00000000
PA
USD
1941040.80000000
1.687611227756
Long
ABS-O
CORP
US
N
2
2037-07-27
Floating
1.16786000
N
N
N
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE7, Class M2
004421UD3
511757.35650000
PA
USD
509352.10000000
0.442849178049
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.35786000
N
N
N
N
N
N
Twin Bridges
213800DOYEU7P7SSOK83
Twin Bridges PLC, Series 2021-1, Class X2
N/A
363000.00000000
PA
449881.55000000
0.391143326271
Long
ABS-MBS
CORP
GB
N
2
2026-03-12
Floating
5.64280000
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
629749.52000000
0.547527059001
Long
ABS-MBS
CORP
GB
N
2
2024-06-12
Floating
4.64280000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2004-C, Class M3
35729PEV8
48171.29500000
PA
USD
50353.45000000
0.043779114574
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
2.39286000
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
830.00000000
PA
USD
498838.35000000
0.433708142711
Long
ABS-MBS
CORP
US
Y
3
N
N
N
Regatta Ix Funding Ltd
254900JVS76S6N8G1I74
Regatta IX Funding, Ltd., Series 2017-1A, Class E
75887WAA7
1010000.00000000
PA
USD
993638.00000000
0.863904893253
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-17
Floating
7.04429000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-337000.00000000
NS
USD
-337000.00000000
-0.29300001512
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.01000000
2022-07-14
-337000.00000000
USD
447839.03000000
USD
N
N
N
Smr 2022-ind Mortgage Trust
N/A
SMR, Series 2022-IND Mortgage Trust, Class F
78458MAL8
486153.60000000
PA
USD
478472.37000000
0.416001221500
Long
ABS-MBS
CORP
US
Y
2
2024-02-15
Floating
6.50900000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17
12668AA47
234768.41000000
PA
USD
148232.77000000
0.128878943180
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
1907568.00000000
PA
USD
1146639.12000000
0.996929612760
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
0.97786000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-363000.00000000
NS
USD
-363000.00000000
-0.31560535753
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.66000000
2022-09-09
-363000.00000000
USD
500141.60000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-513000.00000000
NS
USD
-513000.00000000
-0.44602079453
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.73000000
2022-07-08
-513000.00000000
USD
639407.41000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-396000.00000000
NS
USD
-396000.00000000
-0.34429675367
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.03000000
2022-07-05
-396000.00000000
USD
564358.89000000
USD
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2020-ST4, Class CERT
91679VAB6
1000000.00000000
PA
USD
499612.08000000
0.434380851618
Long
ABS-MBS
CORP
US
Y
3
2026-11-20
Fixed
0.00000000
N
N
N
N
N
N
Rr 2 Ltd
54930098CLSTWMH4JW47
RR 2, Ltd., Series 2017-2A, Class SUB
78109RAC0
1176000.00000000
PA
USD
882000.00000000
0.766842769549
Long
ABS-CBDO
CORP
KY
Y
3
N
N
N
N/A
N/A
REVERSE REPO
N/A
-362000.00000000
NS
USD
-362000.00000000
-0.31473592128
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.62000000
2022-07-11
-362000.00000000
USD
482650.00000000
USD
PLCMO
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class D
63873VAL7
378000.00000000
PA
USD
347419.80000000
0.302059366925
Long
ABS-MBS
CORP
US
Y
2
2024-08-15
Floating
4.54400000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2016-C1, Class E
17290YAC2
1364000.00000000
PA
USD
1143441.20000000
0.994149225198
Long
ABS-MBS
CORP
US
Y
2
2026-05-10
Floating
5.10800000
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
325030.60000000
0.282593384912
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
1.86786000
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
666763.07000000
0.579707980988
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
7.17419000
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
260000.00000000
PA
273409.92000000
0.237712494643
Long
ABS-O
CORP
PT
N
2
2038-09-23
Floating
4.45900000
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
270045.00000000
0.234786911227
Long
ABS-CBDO
CORP
KY
N
2
2036-02-05
Floating
1.11500000
N
N
N
N
N
N
Jp Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A5, Class TB1
466247SV6
4146.91000000
PA
USD
4094.24000000
0.003559680658
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.18900000
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
869179.87000000
0.755696483840
Long
ABS-O
CORP
US
Y
3
N
N
N
Polaris
6354005CHPSGN94O7F86
Polaris PLC, Series 2022-1, Class X2
N/A
371000.00000000
PA
470479.47000000
0.409051904525
Long
ABS-MBS
CORP
GB
N
2
2059-10-23
Floating
6.58050000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT
91683NAB8
539000.00000000
PA
USD
479268.24000000
0.416693179726
Long
ABS-MBS
CORP
US
Y
3
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
393724.95000000
0.342318742742
Long
ABS-O
CORP
US
Y
3
N
N
N
Satus Plc
6354009RPGD3VEUB2K73
Satus PLC, Series 2021-1, Class F
N/A
500000.00000000
PA
626021.68000000
0.544285939783
Long
ABS-MBS
CORP
GB
N
2
2028-08-17
Floating
6.09060000
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
1935000.00000000
1.682359137277
Long
ABS-MBS
CORP
US
Y
2
2026-06-15
Floating
4.00000000
N
N
N
N
N
N
Morgan Stanley
N/A
The Markit CMBX North America AAA Series 12 Index
N/A
1.00000000
NC
USD
37694.00000000
0.032772529881
N/A
DCR
CORP
US
N
2
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
95373.20000000
N
N
N
N/A
N/A
REVERSE REPO
N/A
-383000.00000000
NS
USD
-383000.00000000
-0.33299408246
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.60000000
2022-07-05
-383000.00000000
USD
503259.74000000
USD
N
N
N
Keycorp Student Loan Trust
254900QO9Y4JHZFBGC87
KeyCorp Student Loan Trust, Series 2006-A, Class 2C
49327HAJ4
2000000.00000000
PA
USD
1745000.00000000
1.517166250412
Long
ABS-O
CORP
US
N
2
2042-03-27
Floating
2.11557000
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
369572.50000000
0.321319727266
Long
ABS-MBS
CORP
US
Y
2
2057-09-15
Fixed
3.15300000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10 Yr Note Future
N/A
-6.00000000
NC
USD
-714937.50000000
-0.62159257659
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
US 10 Yr Note
US 10 Yr Note
2022-06-21
-714937.50000000
USD
42404.61000000
N
N
N
Frontline Re Ltd
5493004BCIKYU1YL3H63
Frontline Re, Ltd., Series B
35922QAB9
105973.50000000
PA
USD
0.00000000
0.000000
Long
DBT
CORP
BM
Y
3
2022-07-06
Variable
0.00000000
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
794113.50000000
0.690431060858
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Floating
4.55400000
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
492562.40000000
0.428251604299
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-25
Floating
7.48400000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-859000.00000000
NS
USD
-859000.00000000
-0.74684573587
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.20000000
2022-08-10
-859000.00000000
USD
1226976.82000000
USD
PLCMO
N
N
N
Rockford Tower Clo Ltd
549300GGUAM1ZV2SKK63
Rockford Tower CLO, Ltd., Series 2019-1A, Class SUB
77342NAC8
917000.00000000
PA
USD
696920.00000000
0.605927509018
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
978581.45890000
PA
USD
887377.67000000
0.771518310770
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
1.41786000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2006-9, Class 1A5
52521HAE3
753330.61800000
PA
USD
479419.61000000
0.416824786291
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
1.26786000
N
N
N
N
N
N
Miravet Sarl
222100N4914C4WCYHB56
Miravet Sarl - Compartment, Series 2020-1, Class E
N/A
1000000.00000000
PA
1010644.47000000
0.878690934699
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
3.47000000
N
N
N
N
N
N
Upstart Structured Pass-through Trust
N/A
Upstart Structured Pass-Through Trust, Series 2022-1A, Class CERT
91680YAP6
608.00000000
PA
USD
1114580.50000000
0.969056686514
Long
ABS-MBS
CORP
US
Y
3
2030-04-15
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-763000.00000000
NS
USD
-763000.00000000
-0.66337985619
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.80000000
2022-07-20
-763000.00000000
USD
1016610.17000000
USD
PLCMO
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series, Series 2022-ST2, Class CERT
91680UAB5
500000.00000000
PA
USD
498196.67000000
0.433150242860
Long
ABS-MBS
CORP
US
Y
3
2030-04-20
Fixed
0.00000000
N
N
N
N
N
N
Upstart Pass-through Trust
N/A
Upstart Pass-Through Trust, Series 2020-ST2, Class CERT
91680BAB7
5000000.00000000
PA
USD
1687966.65000000
1.467579388654
Long
ABS-MBS
CORP
US
Y
3
2028-03-20
Fixed
0.00000000
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
1841600.00000000
1.601153791839
Long
ABS-MBS
CORP
US
Y
2
2023-11-10
Floating
5.25200000
N
N
N
N
N
N
Kkr Financial Clo Ltd
549300ZUUB37M3VWNC17
KKR Financial CLO 2013-1, Ltd., Series 2017-1A, Class DR
48249XAG2
512000.00000000
PA
USD
484710.40000000
0.421424790890
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-15
Floating
7.12429000
N
N
N
N
N
N
Pixel
549300YL2EZ0WMNNP528
FCT Pixel 2021, Series 2021-1, Class G
BCC334978
400000.00000000
PA
412022.24000000
0.358227069883
Long
ABS-O
CORP
FR
N
2
2038-02-25
Fixed
5.50000000
N
N
N
N
N
N
Twin Bridges
213800NWP6K9BKT6DF77
Twin Bridges PLC, Series 2021-2, Class X2
BCC32FFR3
459000.00000000
PA
564933.73000000
0.491173861819
Long
ABS-MBS
CORP
GB
N
2
2026-09-12
Floating
5.04270000
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
532745.02000000
0.463187830612
Long
ABS-O
CORP
US
Y
3
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust, Series 2005-OPT4, Class M2
83611MJM1
676632.68130000
PA
USD
655589.40000000
0.569993187282
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.49286000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2
75114HAB3
888505.76250000
PA
USD
1108144.39000000
0.963460899193
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
1.04786000
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
354429.51000000
0.308153862878
Long
ABS-O
CORP
US
Y
3
2026-02-15
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-348000.00000000
NS
USD
-348000.00000000
-0.30256381383
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.67000000
2022-07-14
-348000.00000000
USD
478755.35000000
USD
N
N
N
Pavillion Point Of Sale
635400OFPOGBJ1SPAX96
Pavillion Point of Sale 2021-1, Ltd., Series 2022-1, Class F
N/A
394000.00000000
PA
480572.39000000
0.417827055007
Long
ABS-MBS
CORP
GB
N
2
2031-12-30
Floating
4.99039000
N
N
N
N
N
N
Bpr Trust
N/A
BPR Trust, Series 2021-WILL, Class E
05591VAJ4
500000.00000000
PA
USD
494850.00000000
0.430240526657
Long
ABS-MBS
CORP
US
Y
2
2023-06-15
Floating
7.30400000
N
N
N
N
N
N
Anchorage Capital Clo Ltd
54930014PVHLSZJQK139
Anchorage Capital CLO 7, Ltd., Series 2020-7A, Class ER2
03328UAS1
250000.00000000
PA
USD
245350.00000000
0.213316183116
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-28
Floating
8.33814000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400RGALHFSPGKCR23
National Collegiate Student Loan Trust, Series 2007-1, Class A4
63543XAD1
1295617.29550000
PA
USD
1238351.01000000
1.076667254175
Long
ABS-O
CORP
US
N
2
2033-10-25
Floating
0.97286000
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
848000.00000000
0.737281937163
Long
ABS-MBS
CORP
US
Y
2
2024-07-15
Fixed
3.60000000
N
N
N
N
N
N
Morgan Stanley
N/A
Recv Irs 1.6505 02/23/27
SDDX05006
1.00000000
NC
USD
15147.81000000
0.013170055071
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
Underlying Performance
2027-02-23
0.00000000
USD
0.00000000
USD
300000.00000000
USD
15147.81000000
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1
73316PHR4
387644.94800000
PA
USD
349035.51000000
0.303464123763
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.53700000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust, Series 2020-3, Class CERT
69546T102
510470.00000000
PA
USD
185505.60000000
0.161285292597
Long
ABS-MBS
CORP
US
Y
3
2027-05-17
Fixed
0.00000000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan Program , Series 2021-B, Class R1
83405N106
11625.00000000
PA
USD
663911.60000000
0.577228809614
Long
ABS-O
CORP
US
Y
3
N
N
N
Countrywide Asset-backed Certificates
549300I38TM1UFUB6822
CWABS Asset-Backed Certificates Trust, Series 2007-13, Class 2M1
126698AH2
545000.00000000
PA
USD
455075.00000000
0.395658699946
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
2.16790000
N
N
N
N
N
N
Chicago Mercantile Exchange
N/A
BP CURRENCY FUT Jun22
N/A
-80.00000000
NC
USD
-6299500.00000000
-5.47701363580
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
British Pound
British Pound
2022-06-13
-6299500.00000000
USD
244478.57000000
N
N
N
Finsbury Square
635400K1KOJXSMZCI443
Finsbury Square 2021-2 PLC, Series 2021-2X, Class G
BCC33H094
371000.00000000
PA
460029.55000000
0.399966365302
Long
ABS-MBS
CORP
GB
N
2
2071-12-16
Floating
5.90080000
N
N
N
N
N
N
Usasf Receivables Llc
N/A
USASF Receivables LLC, Series 2021-1A, Class D
90355EAD3
1125000.00000000
PA
USD
1101825.00000000
0.957966592470
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
4.36000000
N
N
N
N
N
N
Jpmbb Commercial Mortgage Securities Trust
549300UOGMFS1M8XVM16
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class F
46640NAT5
1098000.00000000
PA
USD
984466.80000000
0.855931119548
Long
ABS-MBS
CORP
US
Y
2
2023-10-15
Floating
3.58500000
N
N
N
N
N
N
Freddie Mac - Stacr
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2022-DNA2, Class M2
35564KRN1
500000.00000000
PA
USD
488900.00000000
0.425067380989
Long
ABS-MBS
USGSE
US
Y
2
2042-02-25
Floating
4.03870000
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
4697000.00000000
4.083742050538
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
-344253.00000000
NS
-432881.07000000
-0.37636249274
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.49000000
2022-09-30
-433724.35000000
GBP
491790.00000000
GBP
N
N
N
Pbd Germany Auto Lease Master
54930028QE4PSDNK0861
PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class F
N/A
400000.00000000
PA
421390.22000000
0.366371931253
Long
ABS-MBS
CORP
LU
N
2
2030-11-26
Floating
3.98000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-345972.84000000
NS
-244446.77000000
-0.21253088221
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.73000000
2022-07-26
-245052.56000000
AUD
493968.00000000
AUD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-294000.00000000
NS
USD
-294000.00000000
-0.25561425651
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.83000000
2022-07-07
-294000.00000000
USD
391817.57000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-724000.00000000
NS
USD
-724000.00000000
-0.62947184257
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.01000000
2022-07-14
-724000.00000000
USD
961072.13000000
USD
N
N
N
Dowson
213800CGWK1QL59QO504
Dowson PLC, Series 2022-1, Class X
BCC35QDM9
799000.00000000
PA
1007214.62000000
0.875708898788
Long
ABS-MBS
CORP
GB
N
2
2025-05-20
Floating
6.35000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-430000.00000000
NS
USD
-430000.00000000
-0.37385758606
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.61000000
2022-07-07
-1056000.00000000
USD
1320570.00000000
USD
N
N
N
Atrium Hotel Portfolio Trust
5493005J860FXWR4WJ55
Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class F
04965KAS9
1194000.00000000
PA
USD
1112330.40000000
0.967100368016
Long
ABS-MBS
CORP
US
Y
2
2035-06-15
Floating
4.55400000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-390000.00000000
NS
USD
-390000.00000000
-0.33908013619
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54000000
2022-10-12
-390000.00000000
USD
519469.52000000
USD
PLCMO
N
N
N
Now Trust
N/A
NOW Trust, Series 2021-1, Class F
BCC30VL51
664018.00000000
PA
468035.27000000
0.406926828450
Long
ABS-MBS
CORP
AU
N
2
2029-06-14
Floating
6.43500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-331000.00000000
NS
USD
-331000.00000000
-0.28778339764
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.10000000
2022-07-20
-331000.00000000
USD
494093.83000000
USD
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A3
02151FAJ8
1083694.03200000
PA
USD
440413.25000000
0.382911243057
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
1.16790000
N
N
N
N
N
N
Zip Master Trust
N/A
Zip Master Trust, Series 2021-1, Class E
N/A
500000.00000000
PA
352603.28000000
0.306566072321
Long
ABS-O
CORP
AU
N
2
2024-04-10
Floating
5.72500000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2022-1, Class D
90944DAG6
352000.00000000
PA
USD
336124.80000000
0.292239084519
Long
ABS-MBS
CORP
US
Y
2
2025-01-10
Fixed
2.85000000
N
N
N
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
1607424.00000000
1.397552689343
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
588000.00000000
PA
USD
588294.00000000
0.511484127289
Long
ABS-O
CORP
BM
Y
2
2031-03-25
Floating
5.13870000
N
N
N
N
N
N
Finance Ireland Rmbs
635400ZS7WN6LFVWZH56
Finance Ireland Rmbs, Series 3, Class F
BCC30QHT5
420000.00000000
PA
441972.34000000
0.384266772414
Long
ABS-MBS
CORP
IE
N
2
2061-06-24
Floating
3.73100000
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
1075020.00000000
0.934661353878
Long
ABS-MBS
CORP
US
Y
2
2057-09-15
Fixed
3.15300000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-410000.00000000
NS
USD
-410000.00000000
-0.35646886112
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.60000000
2022-09-09
-410000.00000000
USD
564074.00000000
USD
N
N
N
Bellemeade Re Lt
N/A
Bellemeade Re 2020-3, Ltd., Series 2020-3A, Class M2
07877KAG5
739000.00000000
PA
USD
741660.40000000
0.644826434468
Long
ABS-O
CORP
US
Y
2
2030-10-25
Floating
5.51790000
N
N
N
N
N
N
E-carat Plc
213800P8XQG7CEH4YG57
E-Carat 11 PLC, Series 2020-11, Class G
N/A
258597.60650000
PA
325986.60000000
0.283424565963
Long
ABS-O
CORP
GB
N
2
2024-01-18
Floating
5.69070000
N
N
N
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3
46626LHD5
872419.01000000
PA
USD
823650.79000000
0.716111851411
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.22286000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2007-5, Class 6A1
52521RBR1
776152.00000000
PA
USD
436973.58000000
0.379920669282
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.98786000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-376000.00000000
NS
USD
-376000.00000000
-0.32690802874
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2022-07-05
-376000.00000000
USD
499348.06000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-685815.60000000
NS
-723502.86000000
-0.62903961104
Short
RA
CORP
LU
N
2
Reverse repurchase
N
0.54000000
2022-07-04
-724941.38000000
EUR
963600.00000000
EUR
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1502000.00000000
NS
USD
-1502000.00000000
-1.30589324247
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2022-07-05
-1502000.00000000
USD
1998141.11000000
USD
N
N
N
Home Re Ltd
N/A
Home RE, Ltd., Series 2022-1, Class M1C
43730GAC5
500000.00000000
PA
USD
503400.00000000
0.437674206566
Long
ABS-MBS
CORP
US
Y
2
2034-10-25
Floating
5.77503000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-436000.00000000
NS
USD
-436000.00000000
-0.37907420354
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2022-07-05
-436000.00000000
USD
579704.09000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-262000.00000000
NS
USD
-262000.00000000
-0.22779229662
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.03000000
2022-07-05
-262000.00000000
USD
373471.15000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-352000.00000000
NS
USD
-352000.00000000
-0.30604155882
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.25000000
2022-07-22
-352000.00000000
USD
502473.98000000
USD
N
N
N
Argent Securities Inc.
N/A
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1
040104QQ7
520123.29410000
PA
USD
492296.70000000
0.428020595088
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
1.35790000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-360000.00000000
NS
USD
-360000.00000000
-0.31299704879
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.91000000
2022-07-14
-360000.00000000
USD
449752.05000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-351750.00000000
NS
-371079.53000000
-0.32262999377
Short
RA
CORP
NL
N
1
Reverse repurchase
N
1.11000000
2022-10-31
-371817.34000000
EUR
502500.00000000
EUR
N
N
N
Chicago Mercantile Exchange
N/A
AUD $ Currency Fut
N/A
-23.00000000
NC
USD
-1630010.00000000
-1.41718977641
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
Australian Dollar
Australian Dollar
2022-06-13
-1630010.00000000
USD
65466.52000000
N
N
N
Ashford Hospitality Trust
N/A
Ashford Hospitality Trust, Series 2018-KEYS, Class E
04410CAN9
2000000.00000000
PA
USD
1885200.00000000
1.639061212193
Long
ABS-MBS
CORP
US
Y
2
2035-06-15
Floating
4.70500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-461147.84000000
NS
-325823.55000000
-0.28328280438
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.73000000
2022-07-26
-326631.02000000
AUD
657377.82000000
AUD
N
N
N
BNY Mellon Liquidity Funds plc
N/A
BNY Mellon U.S. Treasury Fund, Institutional Class
G1206E136
1014918.56000000
NS
USD
1014918.56000000
0.882406983466
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
REVERSE REPO
N/A
-386000.00000000
NS
USD
-386000.00000000
-0.33560239120
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54000000
2022-10-20
-386000.00000000
USD
551014.51000000
USD
PLCMO
N
N
N
Bfld Trust
N/A
BFLD Trust, Series 2021-FPM, Class D
05554BAL8
500000.00000000
PA
USD
494650.00000000
0.430066639407
Long
ABS-MBS
CORP
US
Y
2
2026-06-15
Floating
5.20500000
N
N
N
N
N
N
Generate Clo Ltd.
549300TKWX739FHPEQ97
Generate CLO 3, Ltd., Series 2017-3A, Class ER
98625VAG5
250000.00000000
PA
USD
247275.00000000
0.214989847891
Long
ABS-CBDO
CORP
KY
Y
2
2029-10-20
Floating
7.46271000
N
N
N
N
N
N
Fta Santander Consumo
98450072AC11A1C80548
FTA Santander Consumo 4, Series 2021-4, Class E
BCC2QM3E6
200000.00000000
PA
212467.43000000
0.184726884875
Long
ABS-O
CORP
ES
N
2
2032-09-18
Fixed
4.90000000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust, Series 2022-1A, Class E
30167JAG9
1070000.00000000
PA
USD
1020245.00000000
0.887037983468
Long
ABS-MBS
CORP
US
Y
2
2026-10-15
Fixed
5.02000000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
Commercial Mortgage Trust, Series 2014-FL5, Class KH2
12635HAM2
615979.60600000
PA
USD
557091.96000000
0.484355942744
Long
ABS-MBS
CORP
US
Y
2
2031-08-15
Floating
5.05410000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-68000.00000000
NS
USD
-68000.00000000
-0.05912166477
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.52000000
2022-10-12
-68000.00000000
USD
97408.30000000
USD
N
N
N
Taberna Prefered Funding Ltd
8Z9UQTNXEECO8ECQHB85
Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B
87330UAE1
529000.00000000
PA
USD
144152.50000000
0.125331408545
Long
ABS-CBDO
CORP
KY
Y
2
2035-11-05
Floating
1.21500000
N
N
N
N
N
N
Theorem Funding Trust
N/A
Theorem Funding Trust 2022-1, Series 2022-1A, Class B
88339XAB0
507000.00000000
PA
USD
489102.90000000
0.425243789604
Long
ABS-MBS
CORP
US
Y
2
2028-02-15
Fixed
3.10000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-3736000.00000000
NS
USD
-3736000.00000000
-3.24821381750
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.58000000
2022-07-07
-3736000.00000000
USD
4670000.00000000
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
182582.87000000
0.158744165196
Long
ABS-O
CORP
US
Y
3
N
N
N
N/A
N/A
REVERSE REPO
N/A
-197000.00000000
NS
USD
-197000.00000000
-0.17127894059
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.53000000
2022-07-07
-140000.00000000
USD
174508.11000000
USD
N
N
N
Signal Peak Clo, Llc
635400KXLUW2OKDQXA20
Signal Peak CLO 6, Ltd., Series 2018-6A, Class SUB
56846KAC9
2272000.00000000
PA
USD
1226880.00000000
1.066693942296
Long
ABS-CBDO
CORP
KY
Y
3
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1297000.00000000
NS
USD
-1297000.00000000
-1.12765881191
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.66000000
2022-07-07
-1297000.00000000
USD
1619437.40000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-192000.00000000
NS
USD
-192000.00000000
-0.16693175935
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.75000000
2022-07-07
-243000.00000000
USD
322742.86000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1261000.00000000
NS
USD
-1261000.00000000
-1.09635910703
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.85000000
2022-07-20
-1261000.00000000
USD
1939418.00000000
USD
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A4
02151FAK5
1001720.67460000
PA
USD
159674.28000000
0.138826606690
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
4.93214000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-456000.00000000
NS
USD
-456000.00000000
-0.39646292847
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.16000000
2022-07-07
-456000.00000000
USD
759450.00000000
USD
N
N
N
Nationstar Home Equity Loan Trust
N/A
Nationstar Home Equity Loan Trust, Series 2007-B, Class M2
63860LAG5
1097326.49830000
PA
USD
1511676.98000000
1.314306759645
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
1.13786000
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
417887.77000000
0.363326774271
Long
ABS-O
CORP
PT
N
2
2038-09-23
Floating
4.94900000
N
N
N
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Series E
649604873
17808.00000000
NS
USD
433090.56000000
0.376544630948
Long
EP
CORP
US
N
1
N
N
N
N/A
N/A
REVERSE REPO
N/A
-337624.11000000
NS
-356177.39000000
-0.30967353310
Short
RA
CORP
LU
N
2
Reverse repurchase
N
0.54000000
2022-07-04
-356885.57000000
EUR
474800.00000000
EUR
N
N
N
Aps Resecuritization Trust
549300FP1DPPUKF3RF96
APS Resecuritization Trust, Series 2014-1, Class 1M
00191PAB9
2243819.40500000
PA
USD
583617.43000000
0.507418147821
Long
ABS-MBS
CORP
US
Y
2
2054-08-28
Floating
1.50300000
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
577764.00000000
0.502328963612
Long
ABS-MBS
CORP
US
Y
2
2025-09-15
Floating
4.67600000
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
1357681.72000000
1.180417698788
Long
ABS-O
CORP
US
Y
3
N
N
N
Dowson
213800CGWK1QL59QO504
Dowson PLC, Series 2022-1, Class E
BCC35QDK3
381000.00000000
PA
480286.32000000
0.417578335380
Long
ABS-MBS
CORP
GB
N
2
2025-05-20
Floating
4.80000000
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
542000.00000000
PA
USD
528504.20000000
0.459500707989
Long
ABS-MBS
CORP
US
Y
2
2032-10-15
Floating
4.57414000
N
N
N
N
N
N
Countrywide Asset-backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2006-12, Class M1
12667AAE6
609534.97190000
PA
USD
507803.59000000
0.441502847327
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
1.11790000
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
359580.55000000
0.312632363762
Long
ABS-MBS
CORP
IE
N
2
2045-06-15
Floating
0.33800000
N
N
N
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd., Series 2021-1, Class B
12528GAE2
1994000.00000000
PA
USD
1975455.80000000
1.717532876184
Long
ABS-O
CORP
US
Y
2
2025-10-20
Fixed
5.82000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-921000.00000000
NS
USD
-921000.00000000
-0.80075078316
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.20000000
2022-07-20
-921000.00000000
USD
1415321.35000000
USD
PLCMO
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2022-1, Class E
90944DAJ0
1290000.00000000
PA
USD
1247817.00000000
1.084897328992
Long
ABS-MBS
CORP
US
Y
2
2025-12-10
Fixed
5.00000000
N
N
N
N
N
N
Blackrock Liquidity Funds T-fund
5493002L9DNZ83RX7V61
BlackRock Liquidity Funds T-Fund, Class Institutional
09248U718
13617585.45000000
NS
USD
13617585.45000000
11.83962238215
Long
STIV
RF
US
N
1
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class F
95003WAN6
559000.00000000
PA
USD
473640.70000000
0.411800392471
Long
ABS-MBS
CORP
US
Y
2
2027-02-15
Floating
5.09200000
N
N
N
N
N
N
Noria
5493003C5ECZD3NDSV63
FCT Noria 2021, Series 2021-1, Class G
N/A
1400000.00000000
PA
1456108.70000000
1.265993682849
Long
ABS-O
CORP
FR
N
2
2049-10-25
Fixed
5.95000000
N
N
N
N
N
N
East West Investment Management Clo 2019-1, Ltd.
N/A
CIFC Falcon 2020, Ltd., Series 2019-FAL, Class E
27581MAA9
504000.00000000
PA
USD
491400.00000000
0.427240971606
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Floating
8.47271000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-803000.00000000
NS
USD
-803000.00000000
-0.69815730606
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.67000000
2022-07-14
-803000.00000000
USD
1144562.41000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-376000.00000000
NS
USD
-376000.00000000
-0.32690802874
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.00000000
2022-08-23
-376000.00000000
USD
500317.50000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-325000.00000000
NS
USD
-325000.00000000
-0.28256678016
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.25000000
2022-07-20
-325000.00000000
USD
496047.61000000
USD
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class E
95003WAL0
536000.00000000
PA
USD
472805.60000000
0.411074326261
Long
ABS-MBS
CORP
US
Y
2
2027-02-15
Floating
5.09200000
N
N
N
N
N
N
Fannie Mae - Cas
N/A
Connecticut Avenue Securities Trust, Series 2022-R04, Class 1B1
20753YAF9
500000.00000000
PA
USD
499050.00000000
0.433892158893
Long
ABS-MBS
USGSE
US
Y
2
2042-03-25
Floating
5.53870000
N
N
N
N
N
N
Twin Bridges
213800OFO3J9U3ZZGO47
Twin Bridges PLC, Series 2022-1, Class X2
BCC34K278
377000.00000000
PA
463439.88000000
0.402931429817
Long
ABS-MBS
CORP
GB
N
2
2027-06-12
Floating
5.19610000
N
N
N
N
N
N
Ocp Clo Ltd
2549001TBA76KDJQIQ68
OCP CLO, Ltd., Series 2017-6A, Class DR
67106HAG9
1036000.00000000
PA
USD
983474.80000000
0.855068638791
Long
ABS-CBDO
CORP
KY
Y
2
2030-10-17
Floating
7.56429000
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
942300.00000000
0.819269775222
Long
ABS-MBS
CORP
US
Y
2
2022-05-25
Floating
2.41790000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-961000.00000000
NS
USD
-961000.00000000
-0.83552823303
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.25000000
2022-07-20
-324000.00000000
USD
498203.59000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-388000.00000000
NS
USD
-388000.00000000
-0.33734126370
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.19000000
2022-08-10
-388000.00000000
USD
534380.58000000
USD
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2005-9, Class M2
86358EYG5
1253662.02290000
PA
USD
1236612.22000000
1.075155487124
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
1.34286000
N
N
N
N
N
N
Fta Santander Consumo
98450072AC11A1C80548
FTA Santander Consumo 4, Series 2021-4, Class F
BCC2QM3F3
300000.00000000
PA
319175.87000000
0.277503070435
Long
ABS-O
CORP
ES
N
2
2032-09-18
Fixed
6.50000000
N
N
N
N
N
N
Ares Lusitani
213800WQJJDCAN4BCO57
Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E
N/A
351875.98000000
PA
364716.22000000
0.317097501410
Long
ABS-MBS
CORP
PT
N
2
2035-01-25
Fixed
6.40000000
N
N
N
N
N
N
N/A
N/A
SAFCO Mezz WH 2021
N/A
956065.60000000
PA
USD
956065.60000000
0.831238086819
Long
DBT
CORP
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
395510.02000000
0.343870747303
Long
ABS-O
CORP
US
Y
3
N
N
N
Ace Securities Corp.
N/A
ACE Securities Corp. Home Equity Loan Trust, Series 2006-OP2, Class M1
00441YAF9
646920.21930000
PA
USD
498193.26000000
0.433147278083
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.91790000
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
303007.46580000
PA
USD
285372.43000000
0.248113134437
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Floating
1.68786000
N
N
N
N
N
N
Ozlm Ltd
5493005RYHNVNU6C8029
OZLM XII, Ltd., Series 2015-12A, Class D
67109XAA4
562000.00000000
PA
USD
559190.00000000
0.486180054766
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-30
Floating
6.68600000
N
N
N
N
N
N
Rr 2 Ltd
54930098CLSTWMH4JW47
RR 2, Ltd., Series 2017-2A, Class SUB
78109RAC0
250000.00000000
PA
USD
187500.00000000
0.163019296247
Long
ABS-CBDO
CORP
KY
Y
3
N
N
N
N/A
N/A
REVERSE REPO
N/A
-264000.00000000
NS
USD
-264000.00000000
-0.22953116911
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54000000
2022-10-12
-264000.00000000
USD
351268.20000000
USD
PLCMO
N
N
N
Dowson
213800MIBTQLAPXDOM66
Dowson PLC, Series 2021-1, Class F
N/A
363000.00000000
PA
461840.66000000
0.401541009983
Long
ABS-O
CORP
GB
N
2
2028-03-20
Floating
7.14050000
N
N
N
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd., Series 2021-1, Class C
12528GAF9
1166000.00000000
PA
USD
1153757.00000000
1.003118155631
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
-352000.00000000
NS
USD
-352000.00000000
-0.30604155882
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.54000000
2022-07-07
-352000.00000000
USD
478257.51000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-407400.00000000
NS
-429787.64000000
-0.37367295258
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.72000000
2022-09-30
-430642.17000000
EUR
679000.00000000
EUR
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2
07401LAB9
325455.06140000
PA
USD
378146.24000000
0.328774047592
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
0.91786000
N
N
N
N
N
N
Shackleton Clo Ltd
549300VJPG28RMYCYW83
Shackleton CLO, Ltd., Series 2017-8A, Class ER
81882FAG4
1000000.00000000
PA
USD
985800.00000000
0.857090251952
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-20
Floating
6.40270000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-706000.00000000
NS
USD
-706000.00000000
-0.61382199013
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.35000000
2022-09-09
-706000.00000000
USD
940727.80000000
USD
PLCMO
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2014-GC25, Class E
17322YAP5
564000.00000000
PA
USD
488762.40000000
0.424947746562
Long
ABS-MBS
CORP
US
Y
2
2024-10-10
Fixed
3.29800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-417000.00000000
NS
USD
-417000.00000000
-0.36255491485
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.73000000
2022-07-07
-417000.00000000
USD
641020.60000000
USD
N
N
N
Venture Cdo Ltd
549300A6M3BR8FZNXO79
Venture Xxv Clo, Ltd., Series 2016-25A, Class E
92329UAA2
900000.00000000
PA
USD
841500.00000000
0.731630601560
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-20
Floating
8.26271000
N
N
N
N
N
N
ICE Futures Europe Financials
549300UF4R84F48NCH34
Long Gilt Future
N/A
-1.00000000
NC
-148932.42000000
-0.12948724425
N/A
DIR
CORP
GB
N
1
Wells Fargo Securities, LLC
N/A
Short
Long Gilt
Long Gilt
2022-06-28
-148932.42000000
GBP
4907.63000000
N
N
N
Fieldstone Mortgage Investment Corp.
N/A
Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2
31659TEK7
1626000.00000000
PA
USD
477068.40000000
0.414780559093
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.34290000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE, Ltd., Series 2021-1, Class M2
26983BAD3
1048000.00000000
PA
USD
1057746.40000000
0.919643059928
Long
ABS-O
CORP
US
Y
2
2033-10-25
Floating
4.73870000
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
286565.40000000
0.249150345797
Long
ABS-MBS
CORP
US
Y
3
N
N
N
Babson Clo Ltd
549300T40QLO0VJIOB35
Barings CLO, Ltd. 2019-III, Series 2021-3A, Class ER
06761PAE0
510000.00000000
PA
USD
502503.00000000
0.436894322252
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-20
Floating
7.76270000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2021-N2, Class E
14686KAF4
1373000.00000000
PA
USD
1304761.90000000
1.134407289114
Long
ABS-MBS
CORP
US
Y
2
2026-04-10
Fixed
2.90000000
N
N
N
N
N
N
Stratton Mortgage Funding Plc
635400KUSIALYCFALE10
Stratton Mortgage Funding, Series 2021-2X, Class X
N/A
418940.87370000
PA
528325.08000000
0.459344974568
Long
ABS-MBS
CORP
GB
N
2
2060-07-20
Floating
4.69040000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-352000.00000000
NS
USD
-352000.00000000
-0.30604155882
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.64000000
2022-07-07
-352000.00000000
USD
479568.08000000
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
489627.60000000
0.425699982802
Long
ABS-MBS
CORP
US
Y
2
2046-12-15
Fixed
3.50000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-499000.00000000
NS
USD
-499000.00000000
-0.43384868708
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.65000000
2022-07-20
-499000.00000000
USD
766141.23000000
USD
N
N
N
Silk Finance
213800D3OXAL3N7T1S19
TAGUS - Sociedade de Titularizacao de Creditos SA/Silk Finance No 5, Series 2020-5, Class E
BCC2P1JD8
280000.00000000
PA
300526.42000000
0.261288562625
Long
ABS-O
CORP
PT
N
2
2035-02-25
Fixed
8.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
N/A
Euro FX Currency
N/A
-72.00000000
NC
USD
-9530100.00000000
-8.28581437424
N/A
DFE
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
Euro Dollar
Euro Dollar
2022-06-13
-9530100.00000000
USD
393582.08000000
N
N
N
Cfip Clo Ltd
549300MKTOFNTIBVKV67
CFIP CLO 2014-1, Ltd., Series 2017-1A, Class ER
12528EAG2
1833000.00000000
PA
USD
1808804.40000000
1.572640108468
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-13
Floating
7.62143000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-706000.00000000
NS
USD
-706000.00000000
-0.61382199013
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.69000000
2022-07-07
-706000.00000000
USD
960777.75000000
USD
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2
20754BAB7
321000.00000000
PA
USD
315992.40000000
0.274735246227
Long
ABS-MBS
USGSE
US
Y
2
2027-01-25
Floating
3.28870000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M3
32027NXY2
1949053.77870000
PA
USD
1429046.23000000
1.242464590507
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
1.41790000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-853000.00000000
NS
USD
-853000.00000000
-0.74162911839
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.80000000
2022-07-20
-853000.00000000
USD
1310854.09000000
USD
PLCMO
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
1080964.80000000
0.939829978478
Long
ABS-O
CORP
US
Y
2
2024-06-17
Fixed
4.37000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
549300NHEJTDVQUV3M53
Alternative Loan Trust, Series 2007-17CB, Class 1A6
02151HAF2
860058.75720000
PA
USD
466925.90000000
0.405962301961
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
1.16786000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-851000.00000000
NS
USD
-851000.00000000
-0.73989024590
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.95000000
2022-07-20
-851000.00000000
USD
1060174.88000000
USD
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A2
02151FAH2
36746.98040000
PA
USD
43596.62000000
0.037904481659
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
25.72860000
N
N
N
N
N
N
Dt Auto Owner Trust
N/A
DT Auto Owner Trust 2022-1, Series 2022-1A, Class E
23345YAJ0
500000.00000000
PA
USD
490350.00000000
0.426328063547
Long
ABS-MBS
CORP
US
Y
2
2025-11-17
Fixed
5.53000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-246000.00000000
NS
USD
-246000.00000000
-0.21388131667
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.31000000
2022-09-01
-246000.00000000
USD
351111.85000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-313952.10000000
NS
-331204.54000000
-0.28796123213
Short
RA
CORP
PT
N
2
Reverse repurchase
N
0.54000000
2022-07-04
-331863.07000000
EUR
520450.00000000
EUR
N
N
N
N/A
N/A
REVERSE REPO
N/A
-223975.11000000
NS
-236283.10000000
-0.20543309161
Short
RA
CORP
PT
N
2
Reverse repurchase
N
0.47000000
2022-05-31
-236752.89000000
EUR
279720.00000000
EUR
N
N
N
Cfg Investments Limited
549300C3OD89QRWQ1Y92
CFG Investments, Ltd., Series 2021-1, Class A
12528GAD4
2027000.00000000
PA
USD
1993351.80000000
1.733092307254
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
534649.91000000
0.464844011024
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
6.30200000
N
N
N
N
N
N
N/A
N/A
Exeter Automobile Receivables Trust R, Series 2017-3A, Class R
30165YAJ2
3110.00000000
PA
USD
633494.98000000
0.550783497685
Long
ABS-MBS
CORP
US
N
3
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
768750.00000000
0.668379114615
Long
ABS-MBS
CORP
US
Y
2
2030-09-15
Floating
4.67600000
N
N
N
N
N
N
Ocp Clo Ltd
254900NUK1R46EK6YF62
OCP CLO 2014-7, Ltd., Series 2018-7A, Class DRR
67107PAG0
515000.00000000
PA
USD
487190.00000000
0.423580645007
Long
ABS-CBDO
CORP
KY
Y
2
2029-07-20
Floating
6.89271000
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
540000.00000000
0.469495573193
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
499450.00000000
0.434239933391
Long
ABS-O
CORP
BM
Y
2
2033-10-25
Floating
5.16786000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C
63873VAG8
679000.00000000
PA
USD
623525.70000000
0.542115844300
Long
ABS-MBS
CORP
US
Y
2
2024-08-15
Floating
4.39400000
N
N
N
N
N
N
Buttermilk Park Clo Ltd
N/A
Buttermilk Park CLO, Ltd., Series 2018-1A, Class INC
12416QAA3
871000.00000000
PA
USD
461630.00000000
0.401357854543
Long
ABS-O
CORP
KY
Y
3
N
N
N
Wf-rbs Commercial Mortgage Trust
N/A
WFRBS Commercial Mortgage Trust, Series 2013-C11, Class E
92937EAL8
542000.00000000
PA
USD
516092.40000000
0.448709439183
Long
ABS-MBS
CORP
US
Y
2
2045-03-15
Floating
4.37100000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-750000.00000000
NS
USD
-750000.00000000
-0.65207718499
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2022-07-22
-750000.00000000
USD
1000450.00000000
USD
PLCMO
N
N
N
Smr 2022-ind Mortgage Trust
N/A
SMR, Series 2022-IND Mortgage Trust, Class E
78458MAJ3
964590.48000000
PA
USD
950893.30000000
0.826741101721
Long
ABS-MBS
CORP
US
Y
2
2024-02-15
Floating
5.50900000
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
495701.60000000
0.430980938564
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-20
Floating
6.26271000
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
529797.13000000
0.460624828195
Long
ABS-O
CORP
PT
N
2
2035-02-25
Fixed
7.25000000
N
N
N
N
N
N
Bl Consumer Issuance Platform Ii
549300BCEKCIKD7MN312
BL Consumer Credit 2021, Series 2021-1, Class G
N/A
561000.00000000
PA
585436.59000000
0.508999791464
Long
ABS-O
CORP
LU
N
2
2038-09-25
Fixed
5.80000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-435000.00000000
NS
USD
-435000.00000000
-0.37820476729
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.40000000
2022-07-07
-435000.00000000
USD
555740.22000000
USD
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) Jun22
N/A
-287.00000000
NC
USD
-32336828.13000000
-28.1148104780
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
US 5Yr Note
US 5Yr Note
2022-06-30
-32336828.13000000
USD
1388330.82000000
N
N
N
Scf Rahoituspalvelut Dac
875500WTQ56BZWOYTK26
SCF Rahoituspalvelut X DAC, Series 2021-10, Class D
N/A
400000.00000000
PA
414765.11000000
0.360611820481
Long
ABS-O
CORP
IE
N
2
2031-10-25
Fixed
5.35000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1229000.00000000
NS
USD
-1229000.00000000
-1.06853714713
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.20000000
2022-08-10
-1229000.00000000
USD
1753000.00000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-674000.00000000
NS
USD
-674000.00000000
-0.58600003024
Short
RA
CORP
US
N
2
Reverse repurchase
N
0.65000000
2022-07-20
-674000.00000000
USD
1034828.75000000
USD
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16
75115CAR8
532233.39000000
PA
USD
407903.67000000
0.354646235841
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.31790000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-894000.00000000
NS
USD
-894000.00000000
-0.77727600450
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.90000000
2022-07-20
-894000.00000000
USD
1241004.06000000
USD
PLCMO
N
N
N
Zip Master Trust
N/A
Zip Master Trust, Series 2021-1, Class D
BCC2RBDR9
500000.00000000
PA
352567.95000000
0.306535355138
Long
ABS-O
CORP
AU
N
2
2024-04-10
Floating
3.72500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1056000.00000000
NS
USD
-1056000.00000000
-0.91812467646
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.63000000
2022-07-08
-430000.00000000
USD
538010.00000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-393000.00000000
NS
USD
-393000.00000000
-0.34168844493
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.11000000
2022-05-25
-393000.00000000
USD
491550.00000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-356000.00000000
NS
USD
-356000.00000000
-0.30951930380
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.06000000
2022-07-14
-356000.00000000
USD
473146.99000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-922000.00000000
NS
USD
-922000.00000000
-0.80162021941
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.51000000
2022-10-12
-922000.00000000
USD
1228126.99000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-764000.00000000
NS
USD
-764000.00000000
-0.66424929244
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.31000000
2022-08-10
-764000.00000000
USD
1698619.61000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-324000.00000000
NS
USD
-324000.00000000
-0.28169734391
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.25000000
2022-07-20
-961000.00000000
USD
1477697.35000000
USD
N
N
N
N/A
N/A
REVERSE REPO
N/A
-390000.00000000
NS
-490405.65000000
-0.42637644767
Short
RA
CORP
GB
N
2
Reverse repurchase
N
2.25000000
2022-10-31
-491361.00000000
GBP
520000.00000000
GBP
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1
73316PGL8
391385.51400000
PA
USD
284458.99000000
0.247318956592
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.54500000
N
N
N
N
N
N
Domi
724500GC0MQI1HTJVG97
Domi BV, Series 2021-1, Class E
N/A
411000.00000000
PA
432978.45000000
0.376447158450
Long
ABS-MBS
CORP
NL
N
2
2026-06-15
Floating
5.99800000
N
N
N
N
N
N
Banc Of America Funding Corporation
N/A
Banc of America Funding , Series 2007-5, Class CA8
059523BM1
2910980.79000000
PA
USD
450037.63000000
0.391279027880
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
4.68214000
N
N
N
N
N
N
Domi
724500GC0MQI1HTJVG97
Domi BV, Series 2021-1, Class X2
N/A
411000.00000000
PA
434842.86000000
0.378068144083
Long
ABS-MBS
CORP
NL
N
2
2026-06-15
Floating
5.99800000
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
578295.00000000
0.502790634259
Long
ABS-MBS
CORP
US
Y
2
2057-09-15
Fixed
3.15300000
N
N
N
N
N
N
Eurex
529900UT4DG0LG5R9O07
EURO-BOBL FUTURE Jun22
N/A
-14.00000000
NC
-1878363.98000000
-1.63311772862
N/A
DIR
CORP
DE
N
1
Wells Fargo Securities, LLC
N/A
Short
Germany Govt Bond
Germany Govt Bond
2022-06-08
-1878363.98000000
EUR
91828.99000000
N
N
N
N/A
N/A
REVERSE REPO
N/A
-983000.00000000
NS
USD
-983000.00000000
-0.85465583046
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.80000000
2022-07-18
-983000.00000000
USD
1228338.00000000
USD
PLCMO
N
N
N
Battalion Clo Ltd
549300CJP8HGT746II19
Battalion Clo XV, Ltd., Series 2020-15A, Class SUB
07131CAC4
613000.00000000
PA
USD
500391.90000000
0.435058855392
Long
ABS-O
CORP
KY
Y
3
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
790239.51000000
0.687062873532
Long
ABS-O
CORP
US
Y
3
N
N
N
Ares Clo Ltd
N/A
ARES XLIV CLO, Ltd., Series 2017-44A, Class SUB
04016NAJ2
545000.00000000
PA
USD
222632.50000000
0.193564765183
Long
ABS-CBDO
CORP
KY
Y
3
N
N
N
Dowson
213800OI5O7QF6XV6F68
Dowson PLC, Series 2021-2, Class F
BCC330XV6
361000.00000000
PA
452396.20000000
0.393329654128
Long
ABS-O
CORP
GB
N
2
2024-10-20
Floating
5.99050000
N
N
N
N
N
N
Ownit Mortgage Loan Asset-backed Certificates
N/A
Ownit Mortgage Loan Trust, Series 2005-4, Class M1
69121PAY9
1229729.51630000
PA
USD
1160372.77000000
1.008870145869
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
1.49290000
N
N
N
N
N
N
Wamu Mortgage Pass-through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C
92925CDC3
366957.81000000
PA
USD
424129.84000000
0.368753856183
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.21876000
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
519113.87000000
0.451336414719
Long
ABS-O
CORP
US
Y
3
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2005-A15, Class 2A10
45660L4A4
1383444.09980000
PA
USD
494857.95000000
0.430247438675
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
1.11786000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-390000.00000000
NS
USD
-390000.00000000
-0.33908013619
Short
RA
CORP
US
N
2
Reverse repurchase
N
2.15000000
2022-07-22
-390000.00000000
USD
519553.21000000
USD
N
N
N
N/A
N/A
Exeter Automobile Receivables Trust R, Series 2018-2A, Class R
30167BAL5
4839.00000000
PA
USD
1301368.93000000
1.131457318012
Long
ABS-MBS
CORP
US
N
3
N
N
N
Countrywide Asset-backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2005-2, Class M6
126673ZH8
525183.51650000
PA
USD
521769.82000000
0.453645593918
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.69290000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-682000.00000000
NS
USD
-682000.00000000
-0.59295552021
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.88000000
2022-07-07
-682000.00000000
USD
959133.04000000
USD
PLCMO
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2
46625SAG1
1083986.73860000
PA
USD
1196829.76000000
1.040567174419
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
1.14786000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-400000.00000000
NS
USD
-400000.00000000
-0.34777449866
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.19000000
2022-08-10
-400000.00000000
USD
498130.50000000
USD
N
N
N
Syon Securities 2020-2 Designated Activity Company
5493000H7F78QNDVY831
SYON, Series 2020-2, Class E
N/A
1112591.79000000
PA
1465622.76000000
1.274265551466
Long
ABS-MBS
CORP
GB
N
2
2027-12-17
Floating
6.92310000
N
N
N
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7
46626LES5
219587.22510000
PA
USD
249780.47000000
0.217168194324
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
3.14286000
N
N
N
N
N
N
Cfip Clo Ltd
5493003ORZILO44YJI07
CFIP CLO 2013-1, Ltd., Series 2017-1A, Class ER
12528AAU9
2004000.00000000
PA
USD
1978148.40000000
1.719873920222
Long
ABS-CBDO
CORP
KY
Y
2
2029-04-20
Floating
7.71271000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) Jun22
N/A
-55.00000000
NC
USD
-11594687.50000000
-10.0808415811
N/A
DIR
CORP
US
N
1
Wells Fargo Securities, LLC
N/A
Short
US 5Yr Note
US 5Yr Note
2022-06-30
-11594687.50000000
USD
204531.25000000
N
N
N
N/A
N/A
REVERSE REPO
N/A
-790000.00000000
NS
USD
-790000.00000000
-0.68685463485
Short
RA
CORP
US
N
2
Reverse repurchase
N
1.93000000
2022-07-05
-790000.00000000
USD
1051151.72000000
USD
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2
07401NAQ2
887326.56440000
PA
USD
919270.32000000
0.799246936682
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
0.89790000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
Sofi Professional Loan Program LLC, Series 2019-B, Class R1
83404W107
78583.00000000
PA
USD
1093876.89000000
0.951056217544
Long
ABS-MBS
CORP
US
Y
3
N
N
N
Social Professional Loan Program Llc
N/A
Sofi Professional Loan Program , Series 2018-D, Class R1
83401A108
21839.00000000
PA
USD
257143.31000000
0.223569714298
Long
ABS-O
CORP
US
Y
3
N
N
N
Brignole Co
8156006B7CA110881F08
Brignole Co. 2021 SRL, Series 2021-2021, Class F
N/A
424000.00000000
PA
447120.93000000
0.388743143180
Long
ABS-O
CORP
IT
N
2
2036-07-24
Floating
5.33800000
N
N
N
N
N
N
2022-05-30
1WS CREDIT INCOME FUND
Stephanie Dolan
Stephanie Dolan
Chief Financial Officer and Principal Accounting Officer