Ares XXXVIII CLO, Ltd., Series 2015-38X, Class SUB

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