0001752724-24-149102.txt : 20240627
0001752724-24-149102.hdr.sgml : 20240627
20240627162341
ACCESSION NUMBER: 0001752724-24-149102
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20240430
FILED AS OF DATE: 20240627
DATE AS OF CHANGE: 20240627
PERIOD START: 20241031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: 1WS Credit Income Fund
CENTRAL INDEX KEY: 0001748680
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-23368
FILM NUMBER: 241079601
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
2024-10-31
2024-04-30
N
325480008.87
37625495.50
287854513.37
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
28441226.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
3502263.25000000
AUD
EUR
USD
GBP
DKK
N
1WS Credit Income Fund - Bond Only
OWSCX - Bond Only
Dowson
213800OI5O7QF6XV6F68
Dowson PLC, Series 2021-2, Class F
BCC330XV6
100000.00000000
PA
122255.68000000
0.042471343794
Long
ABS-O
CORP
GB
N
2
2024-10-20
Floating
10.50200000
N
N
N
N
N
N
Hospitality Mortgage Trust
N/A
HPLY Trust, Series 2019-HIT, Class F
40443RAQ4
862500.00450000
PA
USD
857411.25000000
0.297862708477
Long
ABS-MBS
CORP
US
Y
2
2026-11-15
Floating
8.58648000
N
N
N
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
1887750.00000000
0.655800035198
Long
ABS-MBS
CORP
US
Y
2
2038-09-15
Floating
10.43548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP64KU316
-278000.00000000
NS
USD
-278000.00000000
-0.09657656457
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.43000000
2024-05-16
-278000.00000000
USD
368307.85000000
USD
PLCMO
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class D
46591JAL0
1000000.00000000
PA
USD
742900.00000000
0.258081761964
Long
ABS-MBS
CORP
US
Y
2
2029-09-15
Floating
7.78548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-933000.00000000
NS
USD
-933000.00000000
-0.32412206745
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.41000000
2024-05-09
-933000.00000000
USD
1417460.02000000
USD
PLCMO
N
N
N
Morgan Stanley
N/A
Markit CMBX BB Series 15 Index
CXNY8QW00
1.00000000
NC
USD
-533125.00000000
-0.18520640644
N/A
DCR
CORP
US
N
2
Morgan Stanley
4PQUHN3JPFGFNF3BB653
CMBX.NA.BB Series 15
137BEMAN8
Y
Underlying Performance
2064-11-18
0.00000000
USD
820000.00000000
USD
-2000000.00000000
USD
286875.00000000
N
N
N
Hps Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016, Ltd., Series 2021-16, Class E
40436UAG8
1445000.00000000
PA
USD
1354976.50000000
0.470715739050
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-20
Floating
14.60661000
N
N
N
N
N
N
Domi
724500YH04ZH2QORR597
Domi BV, Series 2020-1, Class F
BCC2MYWL6
500000.00000000
PA
539577.17000000
0.187447875554
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
10.40600000
N
N
N
N
N
N
Gs Mortgage Securities Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class C
36264YAG5
567000.00000000
PA
USD
414363.60000000
0.143948967535
Long
ABS-MBS
CORP
US
Y
2
2026-05-15
Floating
7.43548000
N
N
N
N
N
N
Bfld Trust
N/A
BFLD, Series 2019-DPLO, Class E
054970AN8
2000000.00000000
PA
USD
2016600.00000000
0.700562230687
Long
ABS-MBS
CORP
US
Y
2
2034-10-15
Floating
7.67548000
N
N
N
N
N
N
KKR Financial CLO 2013-1 Ltd.
549300ZUUB37M3VWNC17
KKR 2013-1A DR2
48249XAJ6
1694000.00000000
PA
USD
1694000.00000000
0.588491728049
Long
ABS-CBDO
CORP
US
N
2
2029-04-15
Floating
6.25000000
N
N
N
N
N
N
Golden Bar Securitisation
549300GESLGUWWGJRM09
Golden Bar Securitisation Srl, Series 2019-1, Class C
BCC2JVAD8
469358.94480000
PA
489981.03000000
0.170218289879
Long
ABS-O
CORP
IT
N
2
2039-07-20
Fixed
8.25000000
N
N
N
N
N
N
Jpmbb Commercial Mortgage Securities Trust
549300UOGMFS1M8XVM16
JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class E
46640NAR9
1000000.00000000
PA
USD
785300.00000000
0.272811425051
Long
ABS-MBS
CORP
US
Y
2
2045-11-15
Fixed
3.50000000
N
N
N
N
N
N
Autonoria
959800PAVFGQ48YNAE06
Autonoria Spain 2021 FT, Series 2021-SP, Class G
BCC30Y6B9
329779.38010000
PA
312981.23000000
0.108728963925
Long
ABS-O
CORP
ES
N
2
2039-01-31
Variable
5.25000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities Llc
N/A
BBCMS, Series 2020-BID Mortgage Trust, Class D
05493BAL2
2000000.00000000
PA
USD
1940600.00000000
0.674160004399
Long
ABS-MBS
CORP
US
Y
2
2025-10-15
Floating
10.06548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP54BAN47
-350000.00000000
NS
USD
-350000.00000000
-0.12158920001
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.80000000
2024-05-13
-350000.00000000
USD
498568.20000000
USD
PLCMO
N
N
N
Enact Mortgage Insurance Corporation
N/A
Triangle Re, Ltd., Series 2021-3, Class B1
89600HAG4
591600.00000000
PA
USD
619286.88000000
0.215138846617
Long
ABS-MBS
CORP
BM
Y
2
2034-02-25
Floating
10.28000000
N
N
N
N
N
N
Autonoria
549300XVWRQGZCNHXF23
FCT Autonoria DE 2023, Series 2023-DE, Class G
BCC38ZTS6
388358.40000000
PA
424610.93000000
0.147508866555
Long
ABS-O
CORP
FR
N
2
2043-01-26
Floating
14.31500000
N
N
N
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2022-R05, Class 2B1
20754DAF4
338000.00000000
PA
USD
361254.40000000
0.125498952846
Long
ABS-MBS
USGSE
US
Y
2
2042-04-25
Floating
9.83000000
N
N
N
N
N
N
Morgan Stanley Baml Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class E
61690GAW1
118927.63000000
PA
USD
117298.32000000
0.040749168260
Long
ABS-MBS
CORP
US
Y
2
2047-02-15
Variable
5.41300000
N
N
N
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
456050.00000000
0.158430727613
Long
ABS-MBS
CORP
US
Y
2
2047-02-15
Fixed
3.71000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-294033.00000000
NS
-313792.51000000
-0.10901080074
Short
RA
CORP
NL
N
2
Reverse repurchase
N
5.49000000
2024-06-03
-313792.51000000
EUR
487500.00000000
EUR
PLCMO
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Series D
649604881
8071.00000000
NS
USD
172557.98000000
0.059946247838
Long
EP
CORP
US
N
1
N
N
N
N/A
N/A
REVERSE REPO
RP28GAH56
-1240000.00000000
NS
USD
-1240000.00000000
-0.43077316575
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.36000000
2024-05-09
-1240000.00000000
USD
1546858.36000000
USD
PLCMO
N
N
N
Chicago Mercantile Exchange
N/A
Euro FX Currency
N/A
-195.00000000
NC
USD
-26077593.75000000
-9.05929646358
N/A
DFE
CORP
US
N
1
Wells Fargo
N/A
Short
EURO FX CURR FUT Jun24
EURO FX CURR FUT Jun24
2024-06-17
-26077593.75000000
USD
650541.93000000
N
N
N
N/A
N/A
REVERSE REPO
RP0250834
-214500.00000000
NS
-228914.76000000
-0.07952446439
Short
RA
CORP
IE
N
2
Reverse repurchase
N
5.54000000
2024-06-03
-228914.76000000
EUR
331250.00000000
EUR
PLCMO
N
N
N
Countrywide Asset-backed Certificates
N/A
CWABS Asset-Backed Certificates Trust, Series 2004-15, Class MV7
126673UT7
734112.85960000
PA
USD
469244.94000000
0.163014619609
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
3.76448000
N
N
N
N
N
N
Scg Hotel Issuer Inc
N/A
SCG, Series 2024-MSP Mortgage Trust, Class D
78436EAG4
2000000.00000000
PA
USD
1999000.00000000
0.694448030915
Long
ABS-MBS
CORP
US
Y
2
2029-04-15
Floating
9.23800000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A5
75115CAE7
594009.76120000
PA
USD
427687.03000000
0.148577496664
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
6.00048000
N
N
N
N
N
N
Babson Clo Ltd
5493000D71NBEM2WZE67
Barings CLO, Ltd. 2018-III, Series 2018-3X, Class F
G08202AB2
611000.00000000
PA
USD
528331.70000000
0.183541224980
Long
ABS-CBDO
CORP
KY
N
2
2029-07-20
Floating
12.94661000
N
N
N
N
N
N
Reach Financial Llc
N/A
Reach ABS Trust 2023-1, Series 2023-1A, Class D
75525AAD7
2000000.00000000
PA
USD
2055200.00000000
0.713971782460
Long
ABS-O
CORP
US
Y
2
2031-02-18
Fixed
12.27000000
N
N
N
N
N
N
N/A
N/A
Wilmot Plaza Mezz Loan, Class F
N/A
2000000.00000000
PA
USD
2000000.00000000
0.694795428630
Long
ABS-MBS
CORP
US
N
3
2031-10-01
Fixed
11.50000000
N
N
N
N
N
N
Uropa Securities Plc
213800IVU1GPPZBQ4446
Uropa Securities PLC, Series 2007-1, Class B1B
BCC0Z8XK4
514921.17260000
PA
479350.44000000
0.166525247211
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
5.25200000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2021-ST10, Class CERT
91681WAB0
300000.00000000
PA
USD
95065.49000000
0.033025533936
Long
ABS-O
CORP
US
Y
3
2030-01-20
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-1000.00000000
NS
USD
-1000.00000000
-0.00034739771
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.53000000
2024-05-17
-1000.00000000
USD
923982.41000000
USD
PLCMO
N
N
N
Miravet
222100N4914C4WCYHB56
Miravet Sarl - Compartment, Series 2019-1, Class E
BCC2LQJR6
500000.00000000
PA
506600.64000000
0.175991904406
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
6.94500000
N
N
N
N
N
N
Eurosail Plc
213800AQ88V7QQ6G1S18
Eurosail-UK 2007-5np PLC, Series 2007-5X, Class B1C
BCC115Y32
389132.24140000
PA
443255.51000000
0.153985951031
Long
ABS-MBS
CORP
GB
N
2
2045-09-13
Floating
7.35030000
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
888635.48460000
PA
USD
597607.36000000
0.207607430921
Long
ABS-MBS
CORP
US
N
2
2047-08-25
Floating
6.07148000
N
N
N
N
N
N
Red & Black Auto Italy S.r.l
8156003B1C9DCDE30892
Red & Black Auto Italy Srl, Series 2023-2, Class E
BCC3C26S9
469000.00000000
PA
521989.80000000
0.181338063415
Long
ABS-O
CORP
IT
N
2
2028-02-28
Floating
10.85200000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2024-2, Series 2024-2A, Class E
30166DAG3
1154000.00000000
PA
USD
1137267.00000000
0.395083956365
Long
ABS-O
CORP
US
Y
2
2028-11-15
Fixed
7.98000000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 3.9657 06/20/30
N/A
1.00000000
NC
USD
52065.31000000
0.018087369689
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2030-06-20
0.00000000
USD
0.00000000
USD
2390000.00000000
USD
52065.31000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC, Series 2020-FACT, Class E
126395AN2
534000.00000000
PA
USD
502974.60000000
0.174732226398
Long
ABS-MBS
CORP
US
Y
2
2037-10-15
Floating
10.54748000
N
N
N
N
N
N
National Collegiate Student Loan Trust
635400WAVVCUCCIGH375
National Collegiate Student Loan Trust, Series 2005-3, Class B
63543TAJ7
2547000.00000000
PA
USD
1926805.50000000
0.669367826629
Long
ABS-O
CORP
US
N
2
2037-07-27
Floating
5.93148000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.0074 06/20/29
N/A
1.00000000
NC
USD
-416032.56000000
-0.14452876042
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2029-06-20
0.00000000
USD
0.00000000
USD
21700000.00000000
USD
-416032.56000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2017-ASHF, Class E
61691KAN1
580000.00000000
PA
USD
564050.00000000
0.195949680759
Long
ABS-MBS
CORP
US
Y
2
2034-11-15
Floating
8.76800000
N
N
N
N
N
N
Business Mortgage Finance Plc
6354003XKCGEIVFGHI58
Business Mortgage Finance 7 PLC, Series 2007-7X, Class M1
BCC11CF61
466992.07120000
PA
494131.99000000
0.171660323895
Long
ABS-O
CORP
GB
N
2
2041-02-15
Floating
7.58930000
N
N
N
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2004-C, Class M3
35729PEV8
169.65500000
PA
USD
0.00000000
0.000000
Long
ABS-O
CORP
US
N
3
2034-08-25
Floating
7.15648000
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
343796.91000000
0.119434260722
Long
ABS-O
CORP
US
Y
3
N
N
N
Polaris
635400SJNGQKQ4OKRU39
Polaris PLC, Series 2024-1, Class F
BCC3DT7X7
395000.00000000
PA
497914.51000000
0.172974362698
Long
ABS-MBS
CORP
GB
N
2
2028-02-26
Floating
10.85000000
N
N
N
N
N
N
Eurex
529900UT4DG0LG5R9O07
EURO-BOBL FUTURE Jun24
N/A
-3.00000000
NC
-372762.87000000
-0.12949696901
N/A
DIR
CORP
DE
N
1
Wells Fargo
N/A
Short
EURO-BOBL FUTURE Jun24
EURO-BOBL FUTURE Jun24
2024-06-06
-372762.87000000
EUR
5718.77000000
N
N
N
Bl Consumer Issuance Platform Ii
549300BCEKCIKD7MN312
Compartment BL Consumer Credit 2024, Series 2024-1, Class F
BCC3DNFS2
462000.00000000
PA
494279.80000000
0.171711672752
Long
ABS-O
CORP
LU
N
2
2027-03-25
Floating
9.61500000
N
N
N
N
N
N
Galaxy Clo Ltd
5493000B2531UL3WQV87
Galaxy XIX CLO, Ltd., Series 2017-19A, Class D2R
36319RAS9
515000.00000000
PA
USD
510674.00000000
0.177406980360
Long
ABS-CBDO
CORP
KY
Y
2
2030-07-24
Floating
12.58461000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Countrywide Alternative Loan Trust, Series 2005-64CB, Class 1A17
12668AA47
139960.33000000
PA
USD
105614.07000000
0.036690086517
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
1040578.34000000
0.361494536881
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.74148000
N
N
N
N
N
N
Acc Trust
N/A
ACC Trust, Series 2022-1, Class C
00091HAC6
1100000.00000000
PA
USD
601590.00000000
0.208990990954
Long
ABS-O
CORP
US
Y
2
2025-10-20
Fixed
3.24000000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2023-1, Class B
69548JAB8
677905.77000000
PA
USD
693700.97000000
0.240990131396
Long
ABS-O
CORP
US
Y
2
2030-07-15
Fixed
9.43500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-331000.00000000
NS
USD
-331000.00000000
-0.11498864343
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.55000000
2024-05-10
-331000.00000000
USD
440074.55000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-473000.00000000
NS
USD
-473000.00000000
-0.16431911887
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.51000000
2024-06-03
-473000.00000000
USD
486758.13000000
USD
PLCMO
N
N
N
Home Re Ltd
N/A
Home RE, Ltd., Series 2021-1, Class B1
437307AE1
956000.00000000
PA
USD
971582.80000000
0.337525643987
Long
ABS-MBS
CORP
BM
Y
2
2033-07-25
Floating
9.09448000
N
N
N
N
N
N
Gs Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2013-GC10, Class D
36192CAQ8
585000.00000000
PA
USD
542763.00000000
0.188554625614
Long
ABS-MBS
CORP
US
Y
2
2046-02-10
Variable
4.68800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2123019
-342650.00000000
NS
-365676.66000000
-0.12703523586
Short
RA
CORP
NL
N
2
Reverse repurchase
N
5.14000000
2024-06-03
-365676.66000000
USD
489500.00000000
USD
PLCMO
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2020-ST4, Class CERT
91679VAB6
1000000.00000000
PA
USD
72749.51000000
0.025273013491
Long
ABS-O
CORP
US
Y
3
2026-11-20
Fixed
0.00000000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2023-5, Class C
69546PAC4
264997.76000000
PA
USD
273027.19000000
0.094849021751
Long
ABS-O
CORP
US
Y
2
2031-04-15
Fixed
9.09900000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class D
63873VAL7
378000.00000000
PA
USD
240597.00000000
0.083582847871
Long
ABS-MBS
CORP
US
Y
2
2036-08-15
Variable
4.54400000
N
N
N
N
N
N
Fannie Mae - Cas
N/A
Connecticut Avenue Securities Trust, Series 2023-R02, Class 1B1
20755AAD4
500000.00000000
PA
USD
553750.00000000
0.192371484301
Long
ABS-MBS
USGSE
US
Y
2
2043-01-25
Floating
10.88000000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
5493005J860FXWR4WJ55
Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class B
04965KAJ9
3500000.00000000
PA
USD
3453800.00000000
1.199842225701
Long
ABS-MBS
CORP
US
Y
2
2035-06-15
Floating
7.04800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP166BAG7
-750000.00000000
NS
USD
-750000.00000000
-0.26054828573
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.41000000
2024-05-09
-750000.00000000
USD
991655.80000000
USD
ABS
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan ProgramTrust, Series 2020-A, Class R1
83406T102
10720.00000000
PA
USD
200213.89000000
0.069553847760
Long
ABS-O
CORP
US
Y
3
2046-05-15
Fixed
0.00000000
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
1133756.80000000
0.393864520909
Long
ABS-MBS
CORP
US
Y
2
2049-05-10
Variable
5.10500000
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
285593.12000000
0.099214397112
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
6.63148000
N
N
N
N
N
N
Residential Mortgage Securities
54930041T52UP3IPLN03
Residential Mortgage Securities 32 PLC, Series 2020-32X, Class F1
BCC2NUGY3
500000.00000000
PA
627709.96000000
0.218065005356
Long
ABS-MBS
CORP
GB
N
2
2070-06-20
Floating
11.70900000
N
N
N
N
N
N
Research-driven Pagaya Motor Asset Trust I
N/A
Research-Driven Pagaya Motor Asset Trust 2023-3, Series 2023-3A, Class C
76090YAA4
549803.43000000
PA
USD
521873.42000000
0.181297633269
Long
ABS-O
CORP
US
Y
2
2032-01-26
Fixed
9.00000000
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
149723.59000000
0.052013632945
Long
ABS-O
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
198714.57000000
0.069032987419
Long
ABS-O
CORP
US
Y
3
N
N
N
Satus Plc
6354009RPGD3VEUB2K73
Satus PLC, Series 2021-1, Class F
BCC33L9N5
600000.00000000
PA
753176.97000000
0.261651957852
Long
ABS-O
CORP
GB
N
2
2028-08-17
Floating
10.60300000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2023-1, Series 2023-1A, Class E
30168BAG5
892000.00000000
PA
USD
995382.80000000
0.345793709588
Long
ABS-O
CORP
US
Y
2
2030-09-16
Fixed
12.07000000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities Llc
N/A
BBCMS, Series 2021-AGW Mortgage Trust, Class F
05493HAQ8
1361000.00000000
PA
USD
1111528.70000000
0.386142529775
Long
ABS-MBS
CORP
US
Y
2
2036-06-15
Floating
9.43548000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2021-4, Class CERT
91682NAD5
6175.00000000
PA
USD
371724.57000000
0.129136265972
Long
ABS-O
CORP
US
Y
3
2031-09-20
Fixed
0.00000000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.20 04/04/28
N/A
1.00000000
NC
USD
-5865.91000000
-0.00203780372
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2028-04-04
0.00000000
USD
0.00000000
USD
415000.00000000
USD
-5865.91000000
N
N
N
Golden Bar Securitisation
549300GESLGUWWGJRM09
Golden Bar Securitisation Srl, Series 2023-2, Class E
BCC3BVJB9
470000.00000000
PA
528770.69000000
0.183693729102
Long
ABS-O
CORP
IT
N
2
2043-09-22
Floating
12.42200000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP63UAE64
-887000.00000000
NS
USD
-887000.00000000
-0.30814177259
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.62000000
2024-05-20
-887000.00000000
USD
1261394.83000000
USD
ABS
N
N
N
Enact Mortgage Insurance Corporation
N/A
Triangle Re, Ltd., Series 2023-1, Class M1B
89589AAB5
1015000.00000000
PA
USD
1078133.00000000
0.374540939927
Long
ABS-MBS
CORP
US
Y
2
2033-11-25
Floating
10.58000000
N
N
N
N
N
N
Chicago Mercantile Exchange
N/A
AUD $ Currency Fut
N/A
-91.00000000
NC
USD
-5907720.00000000
-2.05232842481
N/A
DFE
CORP
US
N
1
Wells Fargo
N/A
Short
AUDUSD Crncy Fut Jun24
AUDUSD Crncy Fut Jun24
2024-06-17
-5907720.00000000
USD
130826.41000000
N
N
N
Santander Consumer Finance Sa
5493000LM0MZ4JPMGM90
Santander Consumer Finance SA/NOMA, Series 2023-1, Class B
BCC3CVMG3
12101408.98000000
PA
1744677.95000000
0.606097132045
Long
ABS-O
CORP
DK
N
2
2033-10-31
Floating
12.37000000
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
369376.70000000
0.128320621301
Long
ABS-MBS
CORP
US
Y
2
2057-09-15
Fixed
3.15300000
N
N
N
N
N
N
Ppm Clo 2 Ltd.
549300JBW1DIZLGMSY83
PPM CLO 2, Ltd., Series 2024-2A, Class DR2B
69377PBA1
253000.00000000
PA
USD
253860.20000000
0.088190453235
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-16
Floating
10.89600000
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
761728.10000000
0.264622600869
Long
ABS-MBS
CORP
US
Y
2
2036-12-15
Floating
9.59448000
N
N
N
N
N
N
Autonoria
959800TU6P30TL2EN703
Autonoria Spain 2022 FT, Series 2022-SP, Class E
BCC37L1Q2
361052.40000000
PA
396644.01000000
0.137793222470
Long
ABS-O
CORP
ES
N
2
2040-01-29
Floating
10.81500000
N
N
N
N
N
N
Ozlm Ltd
549300SDDOLWC85Q9Q65
OZLM XXII, Ltd., Series 2018-22A, Class E
67111XAC6
393000.00000000
PA
USD
300134.10000000
0.104265900327
Long
ABS-CBDO
CORP
KY
Y
2
2031-01-17
Floating
12.96861000
N
N
N
N
N
N
Upstart Structured Pass-through Trust
N/A
Upstart Structured Pass-Through Trust, Series 2022-4A, Class B
91680YBE0
502000.00000000
PA
USD
507271.00000000
0.176224785938
Long
ABS-O
CORP
US
Y
2
2030-11-15
Fixed
8.54000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-672000.00000000
NS
USD
-672000.00000000
-0.23345126401
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.74000000
2024-05-13
-672000.00000000
USD
922341.56000000
USD
PLCMO
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2005-8, Class M2
86358EXR2
1007186.42890000
PA
USD
760727.91000000
0.264275137149
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.18148000
N
N
N
N
N
N
Dryden Senior Loan Fund
N/A
Dryden 78 CLO, Ltd., Series 2024-78A, Class D2R
26253LAY8
1029000.00000000
PA
USD
1028897.10000000
0.357436500805
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-17
Floating
11.06700000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2006-9, Class 1A5
52521HAE3
690321.14000000
PA
USD
384025.65000000
0.133409633048
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.75048000
N
N
N
N
N
N
Indymac Residential Asset Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2005-D, Class M2
456606JQ6
458789.94190000
PA
USD
305554.10000000
0.106148795939
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
6.13648000
N
N
N
N
N
N
Miravet
222100N4914C4WCYHB56
Miravet Sarl - Compartment, Series 2020-1, Class E
BCC2PRGQ5
1135000.00000000
PA
1182687.85000000
0.410863055838
Long
ABS-MBS
CORP
LU
N
2
2065-05-26
Floating
7.94500000
N
N
N
N
N
N
Freddie Mac - Stacr
5493007ZK0X40BI7UF30
Freddie Mac STACR REMIC Trust, Series 2020-DNA2, Class B2
35565KBE7
1749000.00000000
PA
USD
1886821.20000000
0.655477372201
Long
ABS-MBS
USGSE
US
Y
2
2050-02-25
Floating
10.24448000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2022-4, Class E
33843XAG4
1879000.00000000
PA
USD
1966561.40000000
0.683178935420
Long
ABS-O
CORP
US
Y
2
2030-01-15
Fixed
12.66000000
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
333022.54000000
0.115691269211
Long
ABS-O
CORP
US
Y
3
2030-04-15
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP401NAQ2
-509000.00000000
NS
USD
-509000.00000000
-0.17682543658
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.40000000
2024-05-16
-509000.00000000
USD
672338.57000000
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
65059.61000000
0.022601559808
Long
ABS-O
CORP
US
Y
3
2030-04-20
Fixed
0.00000000
N
N
N
N
N
N
Castell
213800CJ485JV1GHRE37
Castell PLC, Series 2023-2, Class G
BCC3CJHC5
407000.00000000
PA
526263.73000000
0.182822816928
Long
ABS-MBS
CORP
GB
N
2
2055-11-25
Floating
15.10000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RPUS12639
-373000.00000000
NS
USD
-373000.00000000
-0.12957934743
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.48000000
2024-05-17
-373000.00000000
USD
462809.70000000
USD
PLCMO
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2023-R06, Class 1B1
20754EAF2
1201000.00000000
PA
USD
1278944.90000000
0.444302534994
Long
ABS-MBS
USGSE
US
Y
2
2043-07-25
Floating
9.23000000
N
N
N
N
N
N
Ameriquest Mortgage Securities Inc.
N/A
Ameriquest Mortgage Securities Trust, Series 2006-R1, Class M4
03072SX75
708696.16110000
PA
USD
710538.77000000
0.246839544630
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
6.27148000
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
435991.10000000
0.151462311601
Long
ABS-O
CORP
US
Y
3
2028-03-20
Fixed
0.00000000
N
N
N
N
N
N
Pierpont Btl
635400IF88EBOGQRNX86
Pierpont Btl PLC, Series 2023-1, Class X
BCC39Y4C0
232512.80000000
PA
292772.81000000
0.101708605007
Long
ABS-MBS
CORP
GB
N
2
2054-09-21
Floating
13.14900000
N
N
N
N
N
N
Citigroup Commercial Mortgage Trust
N/A
Citigroup Commercial Mortgage Trust, Series 2013-GC17, Class D
17321RAM8
938205.60000000
PA
USD
855737.33000000
0.297281192496
Long
ABS-MBS
CORP
US
Y
2
2046-11-10
Variable
5.25900000
N
N
N
N
N
N
Pixel
549300YL2EZ0WMNNP528
FCT Pixel 2021, Series 2021-1, Class G
BCC334978
188102.64000000
PA
190324.87000000
0.066118424815
Long
ABS-O
CORP
FR
N
2
2038-02-25
Fixed
5.50000000
N
N
N
N
N
N
Newday Funding
213800GBPRAJHSB5YK19
Newday Funding Master Issuer PLC - Series 2023-1, Series 2023-1X, Class E
BCC3CQ714
1305000.00000000
PA
1725074.04000000
0.599286778520
Long
ABS-O
CORP
GB
N
2
2026-11-15
Floating
12.10400000
N
N
N
N
N
N
Twin Bridges
213800NWP6K9BKT6DF77
Twin Bridges PLC, Series 2021-2, Class X2
BCC32FFR3
142464.78000000
PA
178212.26000000
0.061910531786
Long
ABS-MBS
CORP
GB
N
2
2055-09-12
Floating
9.61100000
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
298297.54000000
0.103627883581
Long
ABS-O
CORP
US
Y
3
N
N
N
Noria
5493003C5ECZD3NDSV63
FCT Noria 2021, Series 2021-1, Class F
BCC31BYT8
350064.56000000
PA
364249.76000000
0.126539534063
Long
ABS-O
CORP
FR
N
2
2049-10-25
Floating
7.51500000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust, Series 2005-OPT4, Class M2
83611MJM1
1772483.04580000
PA
USD
1462298.51000000
0.507999160020
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
6.25648000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-Q05, Class 1A2
75114HAB3
867739.22250000
PA
USD
867999.54000000
0.301541056222
Long
ABS-MBS
CORP
US
N
2
2046-05-25
Floating
5.81148000
N
N
N
N
N
N
Conn Funding Ii, L.p
N/A
Conn's Receivables Funding LLC, Series 2022-A, Class C
20825YAD8
665000.00000000
PA
USD
614792.50000000
0.213577509278
Long
ABS-O
CORP
US
Y
2
2026-12-15
Fixed
0.00000000
N
N
N
N
N
N
Marlette Funding Trust
549300GIOP3T7X23OV63
Marlette Funding Trust 2021-2, Series 2021-2A, Class R
57108T107
1686.00000000
PA
USD
42204.05000000
0.014661590504
Long
ABS-O
CORP
US
Y
3
2031-09-15
Fixed
0.00000000
N
N
N
N
N
N
Avant Loans Funding Trust
N/A
Avant Loans Funding Trust, Series 2022-REV1, Class C
05356GAC7
503000.00000000
PA
USD
503804.80000000
0.175020635980
Long
ABS-O
CORP
US
Y
2
2025-06-15
Fixed
8.57000000
N
N
N
N
N
N
Marathon Clo Ltd
N/A
Marathon CLO 14, Ltd., Series 2019-2A, Class D
56578MAA3
500000.00000000
PA
USD
483100.00000000
0.167827835785
Long
ABS-CBDO
CORP
KY
Y
2
2033-01-20
Floating
13.62661000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2022-ST1, Class CERT
91683NAB8
18333.00000000
PA
USD
5092.55000000
0.001769140230
Long
ABS-O
CORP
US
Y
3
2030-03-20
Fixed
0.00000000
N
N
N
N
N
N
Dilosk Rmbs
635400TGDQ2OBCBXQK26
Dilosk Rmbs No 8 Sts DAC, Series 2024-STS, Class F
BCC3D8WH0
459000.00000000
PA
496997.32000000
0.172655732988
Long
ABS-MBS
CORP
IE
N
2
2062-05-20
Floating
9.57100000
N
N
N
N
N
N
Cps Auto Trust
N/A
CPS Auto Receivables Trust, Series 2022-C, Class E
12664DAJ2
700000.00000000
PA
USD
725200.00000000
0.251932822421
Long
ABS-O
CORP
US
Y
2
2030-04-15
Fixed
9.08000000
N
N
N
N
N
N
Bpr Trust
N/A
BPR Trust, Series 2021-WILL, Class E
05591VAJ4
500000.00000000
PA
USD
497850.00000000
0.172951952071
Long
ABS-MBS
CORP
US
Y
2
2038-06-15
Floating
12.18548000
N
N
N
N
N
N
Cps Auto Trust
N/A
CPS Auto Receivables Trust, Series 2024-A, Class E
22411CAE0
700000.00000000
PA
USD
701540.00000000
0.243713392500
Long
ABS-O
CORP
US
Y
2
2028-02-15
Fixed
8.42000000
N
N
N
N
N
N
Dilosk Rmbs
635400TGDQ2OBCBXQK26
Dilosk Rmbs No 8 Sts DAC, Series 2024-STS, Class X
BCC3D8WK3
612000.00000000
PA
659528.08000000
0.229118547518
Long
ABS-MBS
CORP
IE
N
2
2062-05-20
Floating
11.92100000
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
856300.00000000
0.297476662767
Long
ABS-MBS
CORP
US
Y
2
2047-07-15
Fixed
3.60000000
N
N
N
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Series 2005-D, Class M1
73316PHR4
395251.62870000
PA
USD
325094.46000000
0.112937072340
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
3.48800000
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
36156.77000000
0.012560779255
Long
ABS-O
CORP
US
Y
3
2027-05-17
Variable
0.00000000
N
N
N
N
N
N
Rmbs Miravet
959800CJJTJ863UQ4H59
FT Rmbs Miravet, Series 2023-1, Class E
BCC38Q5D5
600000.00000000
PA
597995.80000000
0.207742374089
Long
ABS-MBS
CORP
ES
N
2
2066-11-26
Floating
6.94500000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan Program , Series 2021-B, Class R1
83405N106
14625.00000000
PA
USD
487798.18000000
0.169459972779
Long
ABS-O
CORP
US
Y
3
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) Jun24
N/A
-11.00000000
NC
USD
-2229218.75000000
-0.77442549845
N/A
DIR
CORP
US
N
1
Wells Fargo
N/A
Short
US 2YR NOTE (CBT) Jun24
US 2YR NOTE (CBT) Jun24
2024-06-28
-2229218.75000000
USD
18262.14000000
N
N
N
Smi Equity Release
549300XI0B10EWKYLD45
SMI Equity Release 2018-1 DAC, Series 2023-1, Class BRR
BCC394CQ6
500000.00000000
PA
489365.34000000
0.170004400580
Long
ABS-MBS
CORP
IE
N
2
2045-06-20
Floating
8.92800000
N
N
N
N
N
N
Harben Finance 2017-1 Plc
213800J7WLPUU61CJY65
Harben Finance, Series 2022-1RA, Class G
BCC34V1P5
391000.00000000
PA
490624.90000000
0.170441968846
Long
ABS-MBS
CORP
GB
Y
2
2026-09-28
Floating
9.50700000
N
N
N
N
N
N
Usasf Receivables Llc
N/A
USASF Receivables LLC, Series 2021-1A, Class D
90355EAD3
1125000.00000000
PA
USD
402412.50000000
0.139797182711
Long
ABS-O
CORP
US
Y
2
2027-03-15
Fixed
4.36000000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2022-1, Class B
91679WAB4
533000.00000000
PA
USD
512479.50000000
0.178034206933
Long
ABS-O
CORP
US
Y
2
2025-11-20
Fixed
4.48000000
N
N
N
N
N
N
Bryant Park Funding Ltd
391200W7QGMU3U2OCV81
Bryant Park Funding 2024-23, Ltd., Series 2024-23A, Class D2
11765CAN5
572000.00000000
PA
USD
572000.00000000
0.198711492588
Long
ABS-CBDO
CORP
KY
Y
2
2037-05-15
Floating
5.05000000
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
712931.40000000
0.247670738823
Long
ABS-MBS
CORP
US
Y
2
2045-11-15
Fixed
3.58500000
N
N
N
N
N
N
Cps Auto Trust
N/A
CPS Auto Receivables Trust, Series 2023-A, Class E
12664LAE5
1400000.00000000
PA
USD
1489320.00000000
0.517386363883
Long
ABS-O
CORP
US
Y
2
2030-08-15
Fixed
10.59000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC, Series 2020-FACT, Class D
126395AL6
500000.00000000
PA
USD
475750.00000000
0.165274462585
Long
ABS-MBS
CORP
US
Y
2
2037-10-15
Floating
9.39548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-537000.00000000
NS
USD
-537000.00000000
-0.18655257258
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.37000000
2024-05-22
-537000.00000000
USD
691229.33000000
USD
ABS
N
N
N
Bfld Trust
N/A
BFLD, Series 2021-FPM Mortgage Trust, Class E
05554BAN4
533000.00000000
PA
USD
531934.00000000
0.184792655766
Long
ABS-MBS
CORP
US
Y
2
2038-06-15
Floating
11.08548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP589AAB5
-535000.00000000
NS
USD
-535000.00000000
-0.18585777715
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.52000000
2024-05-20
-535000.00000000
USD
707796.05000000
USD
PLCMO
N
N
N
Safco Auto Receivables Trust
N/A
SAFCO Auto Receivables Trust 2024-1, Series 2024-1A, Class E
78637EAE6
500000.00000000
PA
USD
505950.00000000
0.175765873557
Long
ABS-O
CORP
US
Y
2
2030-01-18
Fixed
10.85000000
N
N
N
N
N
N
Satus Plc
213800P7IESQH1HBW693
Satus PLC, Series 2024-1, Class E
BCC3FH0K6
500000.00000000
PA
626335.45000000
0.217587503724
Long
ABS-O
CORP
GB
N
2
2027-04-19
Floating
5.30000000
N
N
N
N
N
N
Ozlm Ltd
5493009CITK5BZZY6417
OZLM XI, Ltd., Series 2017-11X, Class ER
BCC2E69G3
622000.00000000
PA
USD
502265.00000000
0.174485712980
Long
ABS-CBDO
CORP
KY
N
2
2030-10-30
Floating
14.04161000
N
N
N
N
N
N
Pbd Germany Auto Lease Master
54930028QE4PSDNK0861
PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class F
BCC336BM7
133682.92000000
PA
141268.51000000
0.049076357478
Long
ABS-O
CORP
LU
N
2
2030-11-26
Floating
8.35200000
N
N
N
N
N
N
Acm Auto Trust
N/A
ACM Auto Trust 2023-1, Series 2023-1A, Class D
00461VAD5
2791000.00000000
PA
USD
2832306.80000000
0.983936908558
Long
ABS-O
CORP
US
Y
2
2030-01-22
Fixed
12.58000000
N
N
N
N
N
N
Newgate Funding Plc
2138006KF4KS6D5P1697
Newgate Funding PLC, Series 2007-1X, Class DB
BCC0W9FA7
539307.34000000
PA
480468.90000000
0.166913797659
Long
ABS-MBS
CORP
GB
N
2
2050-12-01
Floating
4.69200000
N
N
N
N
N
N
Golden Bar Securitisation
549300GESLGUWWGJRM09
Golden Bar Securitisation Srl, Series 2021-1, Class E
BCC329WP2
311531.52000000
PA
313383.36000000
0.108868662968
Long
ABS-O
CORP
IT
N
2
2041-09-22
Fixed
2.75000000
N
N
N
N
N
N
Fta Santander Consumer Spain
984500C579T4DF83FR05
FTA Santander Consumer Spain Auto, Series 2023-1, Class F
BCC3C5XF0
248400.95000000
PA
266949.57000000
0.092737670455
Long
ABS-O
CORP
ES
N
2
2030-12-22
Floating
13.92200000
N
N
N
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2024-R01, Class 1B2
20753UAJ9
1327000.00000000
PA
USD
1358582.60000000
0.471968489948
Long
ABS-MBS
USGSE
US
Y
2
2044-01-25
Floating
9.33000000
N
N
N
N
N
N
Dowson
2138007VE7NHNFWYH460
Dowson PLC, Series 2022-2, Class E
BCC37LW13
651000.00000000
PA
828585.39000000
0.287848670600
Long
ABS-O
CORP
GB
N
2
2029-08-20
Floating
13.20200000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP115CAE7
-283000.00000000
NS
USD
-283000.00000000
-0.09831355315
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.80000000
2024-07-12
-283000.00000000
USD
370304.66000000
USD
PLCMO
N
N
N
Now Trust
N/A
NOW Trust, Series 2021-1, Class F
BCC30VL51
203099.45000000
PA
131949.06000000
0.045838801850
Long
ABS-O
CORP
AU
N
2
2029-06-14
Floating
10.69500000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400ZB5U3EBVBSFK52
Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F
BCC3FHZW2
556000.00000000
PA
698082.94000000
0.242512417758
Long
ABS-MBS
CORP
GB
N
2
2027-01-20
Floating
9.70300000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A3
02151FAJ8
1014444.98200000
PA
USD
347143.07000000
0.120596709058
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
5.93148000
N
N
N
N
N
N
Northwoods Capital Ltd
N/A
Northwoods Capital 22, Ltd., Series 2024-22A, Class ERR
66858JAJ1
809000.00000000
PA
USD
809161.80000000
0.281100959831
Long
ABS-CBDO
CORP
KY
Y
2
2037-03-16
Floating
13.03300000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust 2024-1, Series 2024-1A, Class E
67571FAF1
536000.00000000
PA
USD
514881.60000000
0.178868690982
Long
ABS-O
CORP
US
Y
2
2028-04-20
Fixed
7.82000000
N
N
N
N
N
N
Conn Funding Ii, L.p
N/A
Conn's Receivables Funding LLC, Series 2023-A, Class B
20824CAB1
371000.00000000
PA
USD
374524.50000000
0.130108955254
Long
ABS-O
CORP
US
Y
2
2028-01-17
Fixed
10.00000000
N
N
N
N
N
N
Acm Auto Trust
N/A
ACM Auto Trust 2024-1, Series 2024-1A, Class B
00161CAB4
751000.00000000
PA
USD
775182.20000000
0.269296524457
Long
ABS-O
CORP
US
Y
2
2031-01-21
Fixed
11.40000000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.35 04/05/27
N/A
1.00000000
NC
USD
-232.41000000
-0.00008073870
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2027-04-05
0.00000000
USD
0.00000000
USD
21000.00000000
USD
-232.41000000
N
N
N
Finance Ireland Rmbs
635400ZS7WN6LFVWZH56
Finance Ireland Rmbs, Series 3, Class F
BCC30QHT5
420000.00000000
PA
448045.42000000
0.155649954817
Long
ABS-MBS
CORP
IE
N
2
2061-06-24
Floating
8.15600000
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
1121953.80000000
0.389764185687
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
RP104QQ78
-321000.00000000
NS
USD
-321000.00000000
-0.11151466629
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.62000000
2024-05-20
-321000.00000000
USD
455902.54000000
USD
ABS
N
N
N
N/A
N/A
REVERSE REPO
N/A
-78000.00000000
NS
USD
-78000.00000000
-0.02709702171
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.90000000
2024-06-07
-78000.00000000
USD
99867.20000000
USD
PLCMO
N
N
N
Mountain View Clo Ltd
549300URXZ1TS31FK720
Mountain View CLO IX, Ltd., Series 2018-9A, Class CR
62432BAU7
1025000.00000000
PA
USD
988100.00000000
0.343263681514
Long
ABS-CBDO
CORP
KY
Y
2
2031-07-15
Floating
8.71061000
N
N
N
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Series 2006-FRE2, Class M3
46626LHD5
866659.34400000
PA
USD
557348.62000000
0.193621636664
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.98648000
N
N
N
N
N
N
Newgate Funding Plc
2138006KF4KS6D5P1697
Newgate Funding PLC, Series 2007-3X, Class BA
BCC11HRS9
413482.80000000
PA
486596.23000000
0.169042418096
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
6.58030000
N
N
N
N
N
N
Eurosail Plc
213800PBNX9J895VX562
Eurosail 2006-2bl PLC, Series 2006-2X, Class D1C
BCC0T5HP4
641000.00000000
PA
747856.03000000
0.259803475458
Long
ABS-MBS
CORP
GB
N
2
2044-12-15
Floating
6.13030000
N
N
N
N
N
N
Kinbane Dac
6354003NQB1EMN3EGI88
Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class D
BCC3DXKX3
557000.00000000
PA
576301.19000000
0.200205716163
Long
ABS-MBS
CORP
IE
N
2
2065-01-26
Floating
7.13500000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
COMM, Series 2021-2400 Mortgage Trust, Class B
20048FAG3
5000000.00000000
PA
USD
4733000.00000000
1.644233381852
Long
ABS-MBS
CORP
US
Y
2
2038-12-15
Floating
7.18548000
N
N
N
N
N
N
Autonoria
959800XCSR4Q127ENL67
Autonoria Spain 2023 FT, Series 2023-SP, Class F
BCC3C1T23
490130.40000000
PA
532326.30000000
0.184928939889
Long
ABS-O
CORP
ES
N
2
2041-09-30
Floating
10.71500000
N
N
N
N
N
N
Stratton Mortgage Funding Plc
635400BEV82LZKPTAB28
Stratton Mortgage Funding 2024-2 PLC, Series 2024-2X, Class E
BCC3F2H62
400000.00000000
PA
495070.54000000
0.171986374020
Long
ABS-MBS
CORP
GB
N
2
2050-06-28
Floating
3.75000000
N
N
N
N
N
N
Freddie Mac - Stacr
5493000IRILHAKSCHN59
Freddie Mac STACR REMIC Trust, Series 2023-DNA1, Class B1
35564KS59
547000.00000000
PA
USD
634520.00000000
0.220430797687
Long
ABS-MBS
USGSE
US
Y
2
2043-03-25
Floating
13.48000000
N
N
N
N
N
N
Prosper Marketplace Issuance Trust
549300WV6NCA12RVBP15
Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class D
74390NAG7
500000.00000000
PA
USD
503700.00000000
0.174984228700
Long
ABS-O
CORP
US
Y
2
2026-11-15
Fixed
11.24000000
N
N
N
N
N
N
Lehman Mortgage Trust
N/A
Lehman Mortgage Trust, Series 2007-5, Class 6A1
52521RBR1
3644743.72030000
PA
USD
1619724.11000000
0.562688453634
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
5.75148000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP46PAC41
-210000.00000000
NS
USD
-210000.00000000
-0.07295352000
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.45000000
2024-05-22
-210000.00000000
USD
270681.70000000
USD
PLCMO
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10 Yr Note Future
N/A
-10.00000000
NC
USD
-1074375.00000000
-0.37323541931
N/A
DIR
CORP
US
N
1
Wells Fargo
N/A
Short
US 10YR NOTE (CBT)Jun24
US 10YR NOTE (CBT)Jun24
2024-06-18
-1074375.00000000
USD
29992.18000000
N
N
N
Polaris
635400U1HFRKYQESNH28
Polaris PLC, Series 2022-2, Class E
BCC36GSB8
795579.41000000
PA
1005943.85000000
0.349462594219
Long
ABS-MBS
CORP
GB
N
2
2059-05-23
Floating
10.95100000
N
N
N
N
N
N
Banc Of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class D
05493LAL0
515000.00000000
PA
USD
420240.00000000
0.145990415463
Long
ABS-MBS
CORP
US
Y
2
2038-09-15
Floating
8.18548000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2244804
-682057.00000000
NS
-727892.38000000
-0.25286814907
Short
RA
CORP
LU
N
2
Reverse repurchase
N
4.90000000
2024-05-20
-727892.38000000
EUR
901157.35000000
EUR
PLCMO
N
N
N
Atlas Funding
635400GE1FMJVQH5B467
Atlas Funding PLC, Series 2023-1, Class F
BCC398M03
402000.00000000
PA
545667.95000000
0.189563798604
Long
ABS-MBS
CORP
GB
N
2
2061-01-25
Floating
14.93200000
N
N
N
N
N
N
Veros Auto Receivables Trust
N/A
Veros Auto Receivables Trust, Series 2023-1, Class D
924933AD6
1000000.00000000
PA
USD
1041600.00000000
0.361849459230
Long
ABS-O
CORP
US
Y
2
2030-08-15
Fixed
11.46000000
N
N
N
N
N
N
Newgate Funding Plc
2138006KF4KS6D5P1697
Newgate Funding PLC, Series 2007-2X, Class E
BCC0Y5TF7
436725.52000000
PA
505708.61000000
0.175682015223
Long
ABS-MBS
CORP
GB
N
2
2050-12-15
Floating
9.08030000
N
N
N
N
N
N
Dilosk Rmbs
635400O5XYJ4YADRKQ80
Dilosk Rmbs NO 7 DAC, Series 2023-7, Class X1
BCC3B7D44
291924.80000000
PA
313536.51000000
0.108921866928
Long
ABS-MBS
CORP
IE
N
2
2062-10-20
Floating
10.26300000
N
N
N
N
N
N
Purchasing Power Funding
N/A
Purchasing Power Funding LLC, Series 2024-A, Class E
745935AE6
500000.00000000
PA
USD
504500.00000000
0.175262146871
Long
ABS-O
CORP
US
Y
2
2028-08-15
Fixed
10.18000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP493HAQ8
-787000.00000000
NS
USD
-787000.00000000
-0.27340200116
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.60000000
2024-05-13
-787000.00000000
USD
1082947.70000000
USD
PLCMO
N
N
N
Home Re Ltd
N/A
Home RE, Ltd., Series 2022-1, Class M1C
43730GAC5
1064000.00000000
PA
USD
1132202.40000000
0.393324525901
Long
ABS-MBS
CORP
US
Y
2
2034-10-25
Floating
10.83000000
N
N
N
N
N
N
N/A
N/A
MATTHEW R. STUBBS, LLC
N/A
5000000.00000000
PA
USD
5000000.00000000
1.736988571575
Long
DBT
CORP
US
N
3
2026-03-23
Fixed
12.00000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-W5, Class M1
040104QQ7
1351269.43140000
PA
USD
1261410.01000000
0.438210954288
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.12148000
N
N
N
N
N
N
Zip Master Trust
N/A
Zip Master Trust, Series 2024-1, Class E
BCC3F5ZM0
760000.00000000
PA
493557.64000000
0.171460796018
Long
ABS-O
CORP
AU
N
2
2025-10-10
Floating
11.29500000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2
32027NZN4
544388.50000000
PA
USD
493597.05000000
0.171474486962
Long
ABS-MBS
CORP
US
N
2
2036-01-25
Floating
6.03148000
N
N
N
N
N
N
Satus Plc
213800P7IESQH1HBW693
Satus PLC, Series 2024-1, Class D
BCC3FH0J9
500000.00000000
PA
626335.45000000
0.217587503724
Long
ABS-O
CORP
GB
N
2
2027-04-19
Floating
3.30000000
N
N
N
N
N
N
BNY Mellon U.S. Treasury Fund
N/A
BNY Mellon U.S. Treasury Fund, Institutional Class
G1206E136
331196.52000000
NS
USD
331196.52000000
0.115056914037
Long
STIV
RF
IE
N
1
N
N
N
Freddie Mac - Stacr
5493000IT4TAVS1FNX06
Freddie Mac STACR REMIC Trust, Series 2020-HQA4, Class B2
35565RBE2
439000.00000000
PA
USD
576231.40000000
0.200181471276
Long
ABS-MBS
USGSE
US
Y
2
2050-09-25
Floating
14.84448000
N
N
N
N
N
N
Newday Funding
213800GBPRAJHSB5YK19
Newday Funding Master Issuer PLC - Series 2021-2, Series 2021-2X, Class E
BCC311MM8
419000.00000000
PA
524973.82000000
0.182374705143
Long
ABS-O
CORP
GB
N
2
2024-06-15
Floating
8.75400000
N
N
N
N
N
N
Bfld Trust
N/A
BFLD, Series 2021-FPM Mortgage Trust, Class D
05554BAL8
500000.00000000
PA
USD
499150.00000000
0.173403569100
Long
ABS-MBS
CORP
US
Y
2
2038-06-15
Floating
10.08548000
N
N
N
N
N
N
Monroe Capital Mml Clo Vi Ltd
254900SICWP7QQDX8T50
Monroe Capital MML CLO VI, Ltd., Series 2018-1A, Class E
61034LAA3
522000.00000000
PA
USD
500076.00000000
0.173725259383
Long
ABS-CBDO
CORP
KY
Y
2
2030-04-15
Floating
12.49061000
N
N
N
N
N
N
Metro Finance Trust
984500D1F362E8C1FF34
Trustee for Metro Finance , Series 2023-1, Class E
BCC3983L8
740000.00000000
PA
484691.87000000
0.168380847785
Long
ABS-O
CORP
AU
N
2
2029-02-18
Floating
11.30200000
N
N
N
N
N
N
Metro Finance Trust
984500D1F362E8C1FF34
Trustee for Metro Finance , Series 2023-1, Class F
BCC3983M6
480000.00000000
PA
315016.62000000
0.109436053759
Long
ABS-O
CORP
AU
N
2
2029-02-18
Floating
13.05200000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2022-1, Class C
91679WAC2
500000.00000000
PA
USD
241650.00000000
0.083948657664
Long
ABS-O
CORP
US
Y
2
2032-03-20
Fixed
5.71000000
N
N
N
N
N
N
Freddie Mac - Stacr
5493000ITAM9GTFUKP51
Freddie Mac STACR REMIC Trust, Series 2020-HQA3, Class B2
35565MBE3
1029000.00000000
PA
USD
1389252.90000000
0.482623282065
Long
ABS-MBS
USGSE
US
Y
2
2050-07-25
Floating
15.44448000
N
N
N
N
N
N
Castell
6354004KMSEMXJM3QR12
Castell PLC, Series 2023-1, Class G
BCC39KFB0
399000.00000000
PA
519708.61000000
0.180545583223
Long
ABS-MBS
CORP
GB
N
2
2055-05-25
Floating
15.70100000
N
N
N
N
N
N
Eurohome Uk Mortgages Plc
2138009XX8M6MTY8SG15
Eurohome UK Mortgages 2007 -1 PLC, Series 2007-1, Class B2
BCC0WBEC9
430000.00000000
PA
503669.92000000
0.174973778977
Long
ABS-MBS
CORP
GB
N
2
2044-06-15
Floating
8.43030000
N
N
N
N
N
N
Fta Santander Consumo
98450072AC11A1C80548
FTA Santander Consumo 4, Series 2021-4, Class E
BCC2QM3E6
452615.02000000
PA
474530.16000000
0.164850692957
Long
ABS-O
CORP
ES
N
2
2032-09-18
Fixed
4.90000000
N
N
N
N
N
N
Bpr Trust
N/A
BPR Trust, Series 2021-WILL, Class C
05591VAE5
500000.00000000
PA
USD
497700.00000000
0.172899842414
Long
ABS-MBS
CORP
US
Y
2
2038-06-15
Floating
9.43548000
N
N
N
N
N
N
Auto Abs
959800LZRYPFFESLNU74
Auto Abs Spanish Loans Fondo Titulizacion, Series 2022-1, Class D
BCC368QN2
577195.20000000
PA
620110.79000000
0.215425071068
Long
ABS-O
CORP
ES
N
2
2032-02-28
Floating
8.09200000
N
N
N
N
N
N
Dowson
213800CGWK1QL59QO504
Dowson PLC, Series 2022-1, Class E
BCC35QDK3
109000.00000000
PA
136105.29000000
0.047282666652
Long
ABS-O
CORP
GB
N
2
2025-05-20
Floating
10.00200000
N
N
N
N
N
N
N/A
N/A
VCP Tyler Pref, LLC
N/A
2117873.54000000
NS
USD
2117873.54000000
0.735744427004
Long
ABS-MBS
CORP
US
N
3
N
N
N
N/A
N/A
REVERSE REPO (MRA)
RP161CAB4
-303000.00000000
NS
USD
-303000.00000000
-0.10526150743
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.45000000
2024-05-31
-303000.00000000
USD
401374.91000000
USD
ABS
N
N
N
Kinbane Dac
6354003NQB1EMN3EGI88
Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class C
BCC3DXKW5
880000.00000000
PA
917067.76000000
0.318587243695
Long
ABS-MBS
CORP
IE
N
2
2065-01-26
Floating
6.38500000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-3, Series 2022-3A, Class E
30166YAG7
1396000.00000000
PA
USD
1414008.40000000
0.491223286182
Long
ABS-O
CORP
US
Y
2
2027-02-16
Fixed
9.09000000
N
N
N
N
N
N
Taberna Prefered Funding Ltd
8Z9UQTNXEECO8ECQHB85
Taberna Preferred Funding II, Ltd., Series 2005-2A, Class B
87330UAE1
529000.00000000
PA
USD
100510.00000000
0.034916944265
Long
ABS-CBDO
CORP
KY
Y
2
2035-11-05
Floating
6.43461000
N
N
N
N
N
N
Lendingpoint Asset Securitization Trust
N/A
Lendingpoint Asset Securitization Trust, Series 2022-B, Class C
52606WAC2
517000.00000000
PA
USD
253071.50000000
0.087916460658
Long
ABS-O
CORP
US
Y
2
2029-10-15
Fixed
8.45000000
N
N
N
N
N
N
Cfg Investments Ltd
549300C3OD89QRWQ1Y92
CFG Investments, Ltd., Series 2023-1, Class A
12528GAH5
1555000.00000000
PA
USD
1565729.50000000
0.543930849535
Long
ABS-O
CORP
KY
Y
2
2034-07-25
Fixed
8.56000000
N
N
N
N
N
N
Polaris
6354009LRHDVGD1A8T64
Polaris PLC, Series 2023-2, Class F
BCC3C2600
403000.00000000
PA
539018.61000000
0.187253833087
Long
ABS-MBS
CORP
GB
N
2
2027-02-27
Floating
13.95000000
N
N
N
N
N
N
Kinbane Dac
6354003NQB1EMN3EGI88
Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class E
BCC3DXKY1
557000.00000000
PA
569524.67000000
0.197851568604
Long
ABS-MBS
CORP
IE
N
2
2065-01-26
Floating
8.13500000
N
N
N
N
N
N
Mercury Financial Credit Card Master Trust
N/A
Mercury Financial Credit Card Master Trust, Series 2023-1A, Class B
58940BAS5
500000.00000000
PA
USD
501800.00000000
0.174324173043
Long
ABS-O
CORP
US
Y
2
2027-09-20
Fixed
9.59000000
N
N
N
N
N
N
Acm Auto Trust
N/A
ACM Auto Trust 2023-2, Series 2023-2A, Class B
00161AAB8
1835000.00000000
PA
USD
1853166.50000000
0.643785806345
Long
ABS-O
CORP
US
Y
2
2030-06-20
Fixed
9.85000000
N
N
N
N
N
N
Treasury Bill
254900HROIFWPRGM1V77
United States Treasury Bill
912797JY4
30000000.00000000
PA
USD
29881479.00000000
10.38075750495
Long
DBT
UST
US
N
2
2024-05-28
None
0.00000000
N
N
N
N
N
N
Carrington Mortgage Loan Trust
N/A
Carrington Mortgage Loan Trust, Series 2007-FRE1, Class M1
144527AE8
700003.13450000
PA
USD
454582.04000000
0.157920761664
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
5.93148000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2021-1, Class R
33843WAL5
2740.00000000
PA
USD
229350.05000000
0.079675683148
Long
ABS-O
CORP
US
Y
3
2028-04-17
Fixed
0.00000000
N
N
N
N
N
N
Wells Fargo Securities, LLC
N/A
Markit NA HY Series 41 Index
N/A
1.00000000
NC
USD
470493.12000000
0.163448234488
N/A
DCR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
CDX.NA.HY Series 41
2I65BRZP8
Y
Underlying Performance
2028-12-20
43786.75000000
USD
0.00000000
USD
-7666560.00000000
USD
426706.37000000
N
N
N
Eurohome Uk Mortgages Plc
213800B2HNVAOW7VZL10
Eurohome UK Mortgages PLC, Series 2007-2, Class B1
BCC0ZHX24
1069000.00000000
PA
1195911.11000000
0.415456786137
Long
ABS-MBS
CORP
GB
N
2
2044-09-15
Floating
6.73030000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A4
02151FAK5
937709.79560000
PA
USD
52324.21000000
0.018177310957
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.16852000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-407000.00000000
NS
USD
-407000.00000000
-0.14139086972
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.86000000
2024-05-06
-407000.00000000
USD
700050.00000000
USD
PLCMO
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-4, Series 2022-4A, Class E
30166BAG7
2853000.00000000
PA
USD
2855282.40000000
0.991918579483
Long
ABS-O
CORP
US
Y
2
2030-03-15
Fixed
8.23000000
N
N
N
N
N
N
Nationstar Home Equity Loan Trust
N/A
Nationstar Home Equity Loan Trust, Series 2007-B, Class M2
63860LAG5
1187492.01730000
PA
USD
1127761.17000000
0.391781652751
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
5.90148000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2023-1, Class C
91679AAC0
1251000.00000000
PA
USD
1256629.50000000
0.436550216040
Long
ABS-O
CORP
US
Y
2
2033-02-20
Fixed
11.10000000
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
247535.32000000
PA
252097.54000000
0.087578109180
Long
ABS-O
CORP
PT
N
2
2038-09-20
Floating
9.32700000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2399684
-255813.00000000
NS
-273004.07000000
-0.09484098991
Short
RA
CORP
LU
N
2
Reverse repurchase
N
5.03000000
2024-05-27
-273004.07000000
EUR
301650.00000000
EUR
ABS
N
N
N
Research-driven Pagaya Motor Asset Trust I
N/A
Research-Driven Pagaya Motor Asset Trust VII, Series 2022-3A, Class C
76088TAC5
999675.43000000
PA
USD
1000175.27000000
0.347458602712
Long
ABS-O
CORP
US
Y
2
2030-11-25
Fixed
10.04000000
N
N
N
N
N
N
New York Mortgage Trust
549300JFGR0M7ULHWG48
New York Mortgage Trust, Inc., Series E
649604873
17808.00000000
NS
USD
417775.68000000
0.145134316328
Long
EP
CORP
US
N
1
N
N
N
Tagus Sociedade De Titularizacao De Creditos
213800D3OXAL3N7T1S19
Vasco Finance, Series 2023-1, Class E
BCC3BYVN3
200000.00000000
PA
221615.10000000
0.076988579197
Long
ABS-O
CORP
PT
N
2
2029-07-27
Floating
12.35200000
N
N
N
N
N
N
Atrium Hotel Portfolio Trust
5493005J860FXWR4WJ55
Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class E
04965KAQ3
315100.00000000
PA
USD
309239.14000000
0.107428970412
Long
ABS-MBS
CORP
US
Y
2
2035-06-15
Floating
9.01800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2076149
-344078.00000000
NS
-367200.62000000
-0.12756465608
Short
RA
CORP
LU
N
2
Reverse repurchase
N
4.90000000
2024-05-20
-367200.62000000
EUR
456497.75000000
EUR
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
RP1815855
-357025.00000000
NS
-446119.53000000
-0.15498090503
Short
RA
CORP
GB
N
2
Reverse repurchase
N
6.19000000
2024-05-17
-446119.53000000
GBP
576627.37000000
GBP
PLCMO
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
491634.00000000
0.170792527879
Long
ABS-MBS
CORP
US
Y
2
2048-10-15
Variable
4.66800000
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
2865.00000000
PA
USD
1186720.67000000
0.412264048288
Long
ABS-O
CORP
US
Y
3
N
N
N
Bryant Park Funding Ltd
391200W7QGMU3U2OCV81
Bryant Park Funding 2024-23, Ltd., Series 2024-23A, Class D1
11765CAL9
500000.00000000
PA
USD
500000.00000000
0.173698857157
Long
ABS-CBDO
CORP
KY
Y
2
2037-05-15
Floating
3.85000000
N
N
N
N
N
N
Pbd Germany Auto Lease Master
54930028QE4PSDNK0861
PBD Germany Auto Lease Master SA - Compartment 2021-1, Series 2021-GE2, Class E
BCC336BL9
267365.86000000
PA
283906.63000000
0.098628514340
Long
ABS-O
CORP
LU
N
2
2030-11-26
Floating
7.35200000
N
N
N
N
N
N
Dowson
213800CGWK1QL59QO504
Dowson PLC, Series 2022-1, Class E
BCC35QDK3
381000.00000000
PA
475744.17000000
0.165272437256
Long
ABS-O
CORP
GB
N
2
2029-01-20
Floating
10.00200000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2024-3, Class D
69547XAD4
1450000.00000000
PA
USD
1395335.00000000
0.484736189703
Long
ABS-O
CORP
US
Y
2
2026-03-15
Fixed
9.00000000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2022-2, Class E
90944KAF2
475000.00000000
PA
USD
387125.00000000
0.134486340154
Long
ABS-O
CORP
US
Y
2
2029-04-10
Fixed
10.00000000
N
N
N
N
N
N
Lobel Automobile Receivables Trust
N/A
Lobel Automobile Receivables Trust, Series 2023-1, Class D
53946XAD5
500000.00000000
PA
USD
477750.00000000
0.165969258014
Long
ABS-O
CORP
US
Y
2
2027-06-15
Fixed
8.00000000
N
N
N
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2017-FL11, Class E
46648PAN5
128168.11000000
PA
USD
127386.28000000
0.044253702507
Long
ABS-MBS
CORP
US
Y
2
2032-10-15
Floating
9.46400000
N
N
N
N
N
N
Countrywide Asset-backed Certificates
N/A
CWABS Asset-Backed Certificates Trust 2006-11, Series 2006-12, Class M1
12667AAE6
678040.19000000
PA
USD
475102.76000000
0.165049612888
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
5.88148000
N
N
N
N
N
N
Indymac Residential Asset Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-A, Class M1
456606KJ0
785349.93400000
PA
USD
521001.15000000
0.180994608665
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
6.03148000
N
N
N
N
N
N
Morgan Stanley
N/A
MARKIT CMBX NA BBB- S15 11/64 MS
N/A
1.00000000
NC
USD
-837500.00000000
-0.29094558573
N/A
DCR
CORP
US
N
2
Morgan Stanley
4PQUHN3JPFGFNF3BB653
CMBX.NA.BBB Series 15
137BERAO5
Y
Underlying Performance
2064-11-18
0.00000000
USD
959375.00000000
USD
-5000000.00000000
USD
121875.00000000
N
N
N
Lansdowne Mortgage Securities Plc
549300M5JCJD5NA85U45
Lansdowne Mortgage Securities No 1 PLC, Series 2006-1, Class M2
BCC0PP486
500000.00000000
PA
355591.60000000
0.123531709069
Long
ABS-MBS
CORP
IE
N
2
2045-06-15
Floating
4.78000000
N
N
N
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2022-1, Class E
90944DAJ0
2273000.00000000
PA
USD
2011377.70000000
0.698748015604
Long
ABS-O
CORP
US
Y
2
2028-11-10
Fixed
5.00000000
N
N
N
N
N
N
Gls Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-4, Series 2019-4A, Class R
36258H105
941.00000000
PA
USD
84665.04000000
0.029412441378
Long
ABS-O
CORP
US
Y
3
2026-08-17
Fixed
0.00000000
N
N
N
N
N
N
Blackrock Liquidity Funds T-fund
5493002L9DNZ83RX7V61
BlackRock Liquidity Funds T-Fund, Class Institutional
09248U718
21694668.17000000
NS
USD
21694668.17000000
7.536678135080
Long
STIV
RF
US
N
1
N
N
N
Home Re Ltd
N/A
Home RE, Ltd., Series 2023-1, Class M1B
43731BAB7
1000000.00000000
PA
USD
1051500.00000000
0.365288696602
Long
ABS-MBS
CORP
US
Y
2
2033-10-25
Floating
9.93000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2500384
-286978.00000000
NS
-358592.51000000
-0.12457421834
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.09000000
2024-05-20
-358592.51000000
GBP
345570.78000000
GBP
PLCMO
N
N
N
Generate Clo Ltd.
635400TYXCFIHMPETY18
Generate CLO 5, Ltd., Series 2018-5A, Class F
98625MAE0
521000.00000000
PA
USD
516050.50000000
0.179274764171
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-22
Floating
13.36661000
N
N
N
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
416455.00000000
0.144675515115
Long
ABS-MBS
CORP
US
Y
2
2039-12-15
Variable
5.09200000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.0822 06/20/28
N/A
1.00000000
NC
USD
559074.74000000
0.194221286807
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2028-06-20
0.00000000
USD
0.00000000
USD
34306000.00000000
USD
559074.74000000
N
N
N
East One
213800PCKNACOVV1MZ66
East One PLC, Series 2024-1, Class X
BCC3F2FC1
667000.00000000
PA
835698.18000000
0.290319637589
Long
ABS-MBS
CORP
GB
N
2
2027-06-27
Floating
5.44000000
N
N
N
N
N
N
Noria
5493003C5ECZD3NDSV63
FCT Noria 2021, Series 2021-1, Class G
BCC31BYV3
612612.98000000
PA
603375.05000000
0.209611113244
Long
ABS-O
CORP
FR
N
2
2049-10-25
Fixed
5.95000000
N
N
N
N
N
N
Ppm Clo 2 Ltd.
549300JBW1DIZLGMSY83
PPM CLO 2, Ltd., Series 2024-2A, Class ER
69377RAE0
510000.00000000
PA
USD
500157.00000000
0.173753398598
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-16
Floating
13.33600000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-285000.00000000
NS
USD
-285000.00000000
-0.09900834857
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.58000000
2024-05-22
-285000.00000000
USD
374508.88000000
USD
PLCMO
N
N
N
Prosper Marketplace Issuance Trust
549300WV6NCA12RVBP15
Prosper Marketplace Issuance Trust Series 2023-1, Series 2023-1A, Class E
74390NAJ1
1000000.00000000
PA
USD
1010300.00000000
0.350975910772
Long
ABS-O
CORP
US
Y
2
2026-11-15
Fixed
15.49000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgage Trust
N/A
Wells Fargo Commercial Mortgage Trust, Series 2022-ONL, Class E
95003WAL0
1036000.00000000
PA
USD
825899.20000000
0.286915494334
Long
ABS-MBS
CORP
US
Y
2
2039-12-15
Variable
5.09200000
N
N
N
N
N
N
Park Place Securities Inc
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WCW, Series 2005-WCW2, Class M5
70069FLL9
547684.21790000
PA
USD
501733.51000000
0.174301074569
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
6.45148000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400ZB5U3EBVBSFK52
Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E
BCC3FHZV4
833000.00000000
PA
1045972.96000000
0.363368615539
Long
ABS-MBS
CORP
GB
N
2
2027-01-20
Floating
8.70300000
N
N
N
N
N
N
Twin Bridges
213800OFO3J9U3ZZGO47
Twin Bridges PLC, Series 2022-1, Class X2
BCC34K278
377000.00000000
PA
467169.28000000
0.162293540070
Long
ABS-MBS
CORP
GB
N
2
2055-12-01
Floating
10.21100000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP68BAG59
-746000.00000000
NS
USD
-746000.00000000
-0.25915869487
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.40000000
2024-05-13
-746000.00000000
USD
987087.20000000
USD
ABS
N
N
N
Conn Funding Ii, L.p
N/A
Conn's Receivables Funding LLC, Series 2024-A, Class B
20824DAB9
1168000.00000000
PA
USD
1186454.40000000
0.412171546698
Long
ABS-O
CORP
US
Y
2
2025-05-15
Fixed
9.80000000
N
N
N
N
N
N
Rmbs Miravet
959800CJJTJ863UQ4H59
FT Rmbs Miravet, Series 2023-1, Class F
BCC38Q5F0
600000.00000000
PA
580707.13000000
0.201736329648
Long
ABS-MBS
CORP
ES
N
2
2066-11-26
Floating
7.94500000
N
N
N
N
N
N
Wells Fargo
N/A
Receive 6M EUR L / Pay 3.5410% IRS 02/27/2025
SDDX05010
1.00000000
NC
7749.18000000
0.002692047419
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
Euro Dollar
Euro Dollar
Y
2025-02-27
0.00000000
EUR
0.00000000
EUR
3500000.00000000
EUR
7749.18000000
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2024-1, Class C
69548AAC5
499875.01000000
PA
USD
506373.39000000
0.175912958275
Long
ABS-O
CORP
US
Y
2
2031-07-15
Fixed
8.34400000
N
N
N
N
N
N
Structured Asset Investment Loan Trust
N/A
Structured Asset Investment Loan Trust, Series 2005-9, Class M2
86358EYG5
1316164.45290000
PA
USD
1064118.96000000
0.369672494463
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
6.10648000
N
N
N
N
N
N
Ameriquest Mortgage Securities Inc.
N/A
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Ctfs Ser, Series 2005-R5, Class M7
03072SE84
526474.63790000
PA
USD
496992.06000000
0.172653905676
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
7.26148000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2023-N1, Class E
14688FAF3
1500000.00000000
PA
USD
1600650.00000000
0.556062151418
Long
ABS-O
CORP
US
Y
2
2028-03-10
Fixed
10.46000000
N
N
N
N
N
N
Magnetite Clo Ltd
549300F7COUCG1RROP29
Magnetite XXVI, Ltd., Series 2021-26A, Class ER
55955CAE2
250000.00000000
PA
USD
250600.00000000
0.087057867207
Long
ABS-CBDO
CORP
KY
Y
2
2034-07-25
Floating
11.53561000
N
N
N
N
N
N
Taubman Centers Commercial Mortgage Trust
N/A
Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class C
87666YAE7
500000.00000000
PA
USD
500950.00000000
0.174028884986
Long
ABS-MBS
CORP
US
Y
2
2037-05-15
Floating
9.09800000
N
N
N
N
N
N
Comm Mortgage Trust
N/A
COMM, Series 2019-521F Mortgage Trust, Class A
20048GAA4
2150000.00000000
PA
USD
2044435.00000000
0.710232046065
Long
ABS-MBS
CORP
US
Y
2
2034-06-15
Floating
6.36801000
N
N
N
N
N
N
Elmwood Clo Viii Ltd
N/A
Elmwood CLO VIII, Ltd., Series 2024-1A, Class FR
290021AN4
1000000.00000000
PA
USD
977500.00000000
0.339581265742
Long
ABS-CBDO
CORP
KY
Y
2
2037-04-20
Floating
13.32700000
N
N
N
N
N
N
Ares Lusitani
213800WQJJDCAN4BCO57
Ares Lusitani-STC SA / Pelican Finance 2, Series 2021-2, Class E
BCC33MBL4
170128.19600000
PA
168270.82000000
0.058456898253
Long
ABS-O
CORP
PT
N
2
2035-01-25
Variable
6.40000000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2021-ST9, Class CERT
91683MAB0
1000000.00000000
PA
USD
303412.94000000
0.105404961849
Long
ABS-O
CORP
US
Y
3
2029-11-20
Fixed
0.00000000
N
N
N
N
N
N
N/A
N/A
Southern Auto Finance Company LLC, Mezz WH 2021
N/A
363311.54000000
PA
USD
363311.54000000
0.126213598580
Long
DBT
CORP
US
N
3
2025-06-30
Fixed
8.25000000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan Program , Series 2021-A, Class R1
83405Y102
35142.00000000
PA
USD
420233.70000000
0.145988226858
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
666314.75820000
PA
USD
482211.99000000
0.167519343141
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.80648000
N
N
N
N
N
N
Prestige Auto Receivables Trust
549300L40MNGIY25DE37
Prestige Auto Receivables Trust 2023-1, Series 2023-1A, Class E
74113GAN3
1086000.00000000
PA
USD
1133784.00000000
0.393873970126
Long
ABS-O
CORP
US
Y
2
2030-05-15
Fixed
9.88000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP161AAB8
-1251000.00000000
NS
USD
-1251000.00000000
-0.43459454060
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.45000000
2024-05-10
-1251000.00000000
USD
1657109.52000000
USD
ABS
N
N
N
N/A
N/A
REVERSE REPO
RP8169068
-524515.00000000
NS
-559763.29000000
-0.19446048750
Short
RA
CORP
IE
N
2
Reverse repurchase
N
5.34000000
2024-05-22
-559763.29000000
EUR
502750.00000000
EUR
PLCMO
N
N
N
Gls Auto Receivables Trust
N/A
GLS Auto Receivables Issuer Trust 2019-3, Series 2019-3A, Class R
36258A100
882.00000000
PA
USD
90710.46000000
0.031512606468
Long
ABS-O
CORP
US
Y
3
2026-05-15
Fixed
0.00000000
N
N
N
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities, Series 2021-R02, Class 2B2
20754KAJ0
1907000.00000000
PA
USD
2023899.10000000
0.703097921344
Long
ABS-MBS
USGSE
US
Y
2
2041-11-25
Floating
11.53000000
N
N
N
N
N
N
Portman Square
635400VDIW61NQKJEY92
Portman Square 2023-NPL1 DAC, Series 2023-NPL1X, Class B
BCC3BPD44
482000.00000000
PA
499062.36000000
0.173373123164
Long
ABS-MBS
CORP
IE
N
2
2063-07-25
Floating
7.88200000
N
N
N
N
N
N
Carvana Auto Receivables Trust
N/A
Carvana Auto Receivables Trust, Series 2023-N4, Class E
14688LAE3
1000000.00000000
PA
USD
1034600.00000000
0.359417675230
Long
ABS-O
CORP
US
Y
2
2028-11-10
Fixed
9.56000000
N
N
N
N
N
N
Spgn Tflm Mortgage Trust
N/A
SPGN, Series 2022-TFLM Mortgage Trust, Class D
78473HAL0
1500000.00000000
PA
USD
1457700.00000000
0.506401648157
Long
ABS-MBS
CORP
US
Y
2
2027-02-25
Floating
8.82100000
N
N
N
N
N
N
Velocity Commercial Capital Loan Trust
N/A
Velocity Commercial Capital Loan Trust, Series 2024-2, Class M4
92259PAE9
495753.87000000
PA
USD
495704.29000000
0.172206537322
Long
ABS-MBS
CORP
US
Y
2
2054-04-25
Variable
10.72900000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-195000.00000000
NS
USD
-195000.00000000
-0.06774255429
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.80000000
2024-07-12
-195000.00000000
USD
255992.78000000
USD
PLCMO
N
N
N
Parkmore Point Plc
2138002RAUTGL2YPFV15
Parkmore Point RMBS 2022-1 PLC, Series 2022-1X, Class D
BCC36SW92
440000.00000000
PA
543917.83000000
0.188955810917
Long
ABS-MBS
CORP
GB
N
2
2045-07-25
Floating
8.70100000
N
N
N
N
N
N
Asset Backed Securities Corp Home Equity Ln Trst
N/A
Asset Backed Securities Corp. Home Equity Loan Trust Series OOMC, Series 2006-HE3, Class M1
04541GXD9
634028.05780000
PA
USD
507793.07000000
0.176406151863
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
3.15048000
N
N
N
N
N
N
Fta Santander Consumer Spain
984500C579T4DF83FR05
FTA Santander Consumer Spain Auto, Series 2023-1, Class E
BCC3C5XD5
600000.00000000
PA
676819.31000000
0.235125481298
Long
ABS-O
CORP
ES
N
2
2030-12-22
Floating
11.17200000
N
N
N
N
N
N
Jp Morgan Chase Commercial Mortgage Sec Trust
N/A
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD, Class A
46591JAA4
962704.11000000
PA
USD
920633.94000000
0.319826126476
Long
ABS-MBS
CORP
US
Y
2
2029-09-15
Floating
6.93548000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-AR1, Class 1A2
07401LAB9
270090.66140000
PA
USD
289510.18000000
0.100575174802
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
5.93148000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2024-2, Class D
694961AD5
1250000.00000000
PA
USD
1205625.00000000
0.418831369321
Long
ABS-O
CORP
US
Y
2
2031-08-15
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-637000.00000000
NS
USD
-637000.00000000
-0.22129234401
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.82000000
2024-06-07
-637000.00000000
USD
823167.84000000
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
234736.80000000
0.081547027785
Long
ABS-MBS
CORP
US
Y
2
2047-10-10
Fixed
3.29800000
N
N
N
N
N
N
Tricolor Auto Securitization Trust
N/A
Tricolor Auto Securitization Trust 2024-1, Series 2024-1A, Class E
89616LAE2
386000.00000000
PA
USD
388200.20000000
0.134859862176
Long
ABS-O
CORP
US
Y
2
2026-11-15
Fixed
11.91000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP25SAG12
-672000.00000000
NS
USD
-672000.00000000
-0.23345126401
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.57000000
2024-05-20
-672000.00000000
USD
983873.80000000
USD
PLCMO
N
N
N
Polaris
6354009LRHDVGD1A8T64
Polaris PLC, Series 2023-2, Class X
BCC3C2634
335177.93420000
PA
428160.29000000
0.148741906106
Long
ABS-MBS
CORP
GB
N
2
2027-02-27
Floating
13.20000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP5459265
-206159.00000000
NS
-220013.23000000
-0.07643209322
Short
RA
CORP
LU
N
2
Reverse repurchase
N
4.75000000
2024-05-20
-220013.23000000
EUR
275972.31000000
EUR
ABS
N
N
N
Fieldstone Mortgage Investment Corp.
N/A
Fieldstone Mortgage Investment Trust, Series 2005-3, Class M2
31659TEK7
1626000.00000000
PA
USD
478857.00000000
0.166353827283
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
6.10648000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP41YAF97
-328000.00000000
NS
USD
-328000.00000000
-0.11394645029
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.57000000
2024-05-20
-328000.00000000
USD
462135.92000000
USD
ABS
N
N
N
Social Professional Loan Program Llc
549300RC6OGKQI1MHM67
SoFi Professional Loan Program LLC, Series 2017-D, Class R1
78471C109
16181.00000000
PA
USD
150489.27000000
0.052279628426
Long
ABS-O
CORP
US
Y
3
N
N
N
N/A
N/A
REVERSE REPO
RP168AAG7
-447000.00000000
NS
USD
-447000.00000000
-0.15528677829
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.41000000
2024-05-09
-447000.00000000
USD
590779.92000000
USD
ABS
N
N
N
N/A
N/A
Reach Financial LLC
REACHCAP2
428906.69000000
PA
USD
428906.65000000
0.149001189864
Long
DBT
CORP
US
N
3
2049-12-31
Floating
14.32400000
N
N
N
N
N
N
N/A
N/A
Sandpiper Funding 2023, LLC
N/A
2240000.00000000
PA
USD
2240000.00000000
0.778170880065
Long
DBT
CORP
US
N
3
2026-11-30
Fixed
12.00000000
N
N
N
N
N
N
Autonoria
549300XVWRQGZCNHXF23
FCT Autonoria DE 2023, Series 2023-DE, Class F
BCC38ZTR8
389591.25000000
PA
429077.16000000
0.149060424648
Long
ABS-O
CORP
FR
N
2
2043-01-26
Floating
11.31500000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP80YBE05
-403000.00000000
NS
USD
-403000.00000000
-0.14000127886
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.21000000
2024-05-09
-403000.00000000
USD
502254.73000000
USD
ABS
N
N
N
N/A
N/A
REVERSE REPO
RP5694046
-387042.00000000
NS
-413051.88000000
-0.14349327900
Short
RA
CORP
ES
N
2
Reverse repurchase
N
4.76000000
2024-06-03
-413051.88000000
EUR
511886.28000000
EUR
PLCMO
N
N
N
Freddie Mac - Stacr
5493000IRI80KQJUNK40
Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class M2
35564KU31
332000.00000000
PA
USD
374794.80000000
0.130202856857
Long
ABS-MBS
USGSE
US
Y
2
2043-04-25
Floating
11.03000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5Yr Note Future
N/A
-215.00000000
NC
USD
-22519570.42000000
-7.82324729126
N/A
DIR
CORP
US
N
1
Wells Fargo
N/A
Short
US 5YR NOTE (CBT) Jun24
US 5YR NOTE (CBT) Jun24
2024-06-28
-22519570.42000000
USD
384231.23000000
N
N
N
Indymac Residential Asset Backed Trust
N/A
Home Equity Mortgage Loan Asset-Backed Trust Series INABS, Series 2006-C, Class M1
43709BAG4
543666.52430000
PA
USD
533065.03000000
0.185185573003
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
5.86648000
N
N
N
N
N
N
Cps Auto Trust
N/A
CPS Auto Receivables Trust, Series 2022-D, Class E
12663UAE6
1431000.00000000
PA
USD
1563367.50000000
0.543110296134
Long
ABS-O
CORP
US
Y
2
2030-06-17
Fixed
12.12000000
N
N
N
N
N
N
Bl Consumer Issuance Platform Ii
549300BCEKCIKD7MN312
Compartment BL Consumer Credit 2024, Series 2024-1, Class X1
BCC3DNFV5
562000.00000000
PA
604265.61000000
0.209920491753
Long
ABS-O
CORP
LU
N
2
2027-03-25
Floating
10.61500000
N
N
N
N
N
N
Blackrock Liquidity Funds Treasury Trust Fund Portfolio
549300U5PI8CHFJM7202
BlackRock Liquidity Funds Treasury Trust Fund Portfolio
09248U551
2770041.00000000
NS
USD
2770041.00000000
0.962305911958
Long
STIV
RF
US
N
1
N
N
N
Wells Fargo
N/A
Recv Irs 4.2131 06/20/27
N/A
1.00000000
NC
USD
3861.26000000
0.001341392898
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2027-06-20
0.00000000
USD
0.00000000
USD
300000.00000000
USD
3861.26000000
N
N
N
American Money Management Corporation
549300ICO4ZE2FVC2Y46
AMMC CLO 23, Ltd., Series 2024-23A, Class ER2
00176RAJ7
2020000.00000000
PA
USD
1999800.00000000
0.694725949087
Long
ABS-CBDO
CORP
KY
Y
2
2035-04-17
Floating
6.60300000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Selection Trust, Series 2021-1, Class C
69547JAC7
530584.31640000
PA
USD
486439.70000000
0.168988039932
Long
ABS-O
CORP
US
Y
2
2027-11-15
Fixed
4.09000000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2023-3, Class E
33846BAN4
1000000.00000000
PA
USD
1031800.00000000
0.358444961630
Long
ABS-O
CORP
US
Y
2
2030-06-17
Fixed
9.74000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust, Series 2018-H3, Class D
61767YAC4
1000000.00000000
PA
USD
771000.00000000
0.267843637736
Long
ABS-MBS
CORP
US
Y
2
2051-07-15
Fixed
3.00000000
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
1964152.55000000
PA
USD
1277877.65000000
0.443931774784
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
6.18148000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-408000.00000000
NS
USD
-408000.00000000
-0.14173826744
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.40000000
2024-05-16
-408000.00000000
USD
623380.22000000
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
1080189.20000000
0.375255259107
Long
ABS-O
CORP
US
Y
2
2028-01-18
Fixed
4.37000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust, Series 2006-OPT2, Class M1
83611MMM7
629085.70190000
PA
USD
468354.31000000
0.162705216783
Long
ABS-MBS
CORP
US
N
2
2036-05-25
Floating
5.88148000
N
N
N
N
N
N
Gamma Sociedade De Titularizacao De Creditos
549300Y8LUK3U2T7BG03
GAMMA Sociedade de Titularizacao de Creditos SA Consumer Totta 1, Series 2022-1, Class D
BCC37NBG9
394735.48400000
PA
442704.63000000
0.153794576578
Long
ABS-O
CORP
PT
N
2
2033-06-25
Floating
11.90200000
N
N
N
N
N
N
Zip Master Trust
N/A
Zip Master Trust, Series 2024-1, Class F
BCC3F5ZN8
760000.00000000
PA
493557.64000000
0.171460796018
Long
ABS-O
CORP
AU
N
2
2025-10-10
Floating
12.29500000
N
N
N
N
N
N
Octane Receivables Trust
N/A
Octane Receivables Trust 2023-2, Series 2023-2A, Class E
67571QAF7
904000.00000000
PA
USD
928679.20000000
0.322621031411
Long
ABS-O
CORP
US
Y
2
2031-06-20
Fixed
10.50000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP5694053
-344863.00000000
NS
-368038.38000000
-0.12785569199
Short
RA
CORP
ES
N
2
Reverse repurchase
N
4.91000000
2024-06-03
-368038.38000000
EUR
482030.75000000
EUR
PLCMO
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-21CB, Class 2A2
02151FAH2
34396.89360000
PA
USD
23950.56000000
0.008320369800
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
6.67508000
N
N
N
N
N
N
Flagship Credit Auto Trust
N/A
Flagship Credit Auto Trust, Series 2022-2, Class E
33844XAN8
926000.00000000
PA
USD
711260.60000000
0.247090306722
Long
ABS-O
CORP
US
Y
2
2029-06-15
Fixed
8.20000000
N
N
N
N
N
N
Cps Auto Trust
N/A
CPS Auto Receivables Trust, Series 2023-C, Class E
223928AE2
700000.00000000
PA
USD
724010.00000000
0.251519419141
Long
ABS-O
CORP
US
Y
2
2027-08-16
Fixed
9.66000000
N
N
N
N
N
N
Enact Mortgage Insurance Corporation
N/A
Triangle Re, Ltd., Series 2021-2, Class B1
89600GAE1
469000.00000000
PA
USD
517494.60000000
0.179776441210
Long
ABS-MBS
CORP
BM
Y
2
2033-10-25
Floating
12.93148000
N
N
N
N
N
N
Upstart Securitization Trust
N/A
Upstart Securitization Trust, Series 2023-2, Class C
91683VAC8
1119000.00000000
PA
USD
1140708.60000000
0.396279560339
Long
ABS-O
CORP
US
Y
2
2033-06-20
Fixed
11.87000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-216000.00000000
NS
USD
-216000.00000000
-0.07503790629
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.78000000
2024-05-31
-216000.00000000
USD
305512.91000000
USD
PLCMO
N
N
N
Carnow Auto Receivables Trust
N/A
CarNow Auto Receivables Trust 2023-1, Series 2023-1A, Class E
14367RAJ7
423000.00000000
PA
USD
434124.90000000
0.150813997987
Long
ABS-O
CORP
US
Y
2
2029-04-16
Fixed
12.04000000
N
N
N
N
N
N
Uropa Securities Plc
213800IVU1GPPZBQ4446
Uropa Securities PLC, Series 2007-1, Class B2A
BCC0Z8XL2
433748.28000000
PA
493860.26000000
0.171565925515
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
9.32430000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust Series, Series 2022-ST2, Class CERT
91680UAB5
1500000.00000000
PA
USD
195178.83000000
0.067804679424
Long
ABS-O
CORP
US
Y
3
2030-04-20
Fixed
0.00000000
N
N
N
N
N
N
Banc Of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class C
05493LAJ5
587000.00000000
PA
USD
509809.50000000
0.177106655036
Long
ABS-MBS
CORP
US
Y
2
2038-09-15
Floating
7.43548000
N
N
N
N
N
N
Gs Mortgage Securities Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class D
36264YAJ9
1043000.00000000
PA
USD
580533.80000000
0.201676115202
Long
ABS-MBS
CORP
US
Y
2
2026-05-15
Floating
7.93548000
N
N
N
N
N
N
Morgan Stanley
N/A
Markit CMBX BB Series 14 Index
CXNP9U6H0
1.00000000
NC
USD
-664375.00000000
-0.23080235644
N/A
DCR
CORP
US
N
2
Morgan Stanley
4PQUHN3JPFGFNF3BB653
CMBX.NA.BB Series 14
137BEMAM0
Y
Underlying Performance
2072-12-16
0.00000000
USD
808750.00000000
USD
-2000000.00000000
USD
144375.00000000
N
N
N
United Auto Credit Securitization Trust
N/A
United Auto Credit Securitization Trust, Series 2023-1, Class E
90945CAJ1
529000.00000000
PA
USD
527677.50000000
0.183313957395
Long
ABS-O
CORP
US
Y
2
2029-09-10
Fixed
10.98000000
N
N
N
N
N
N
Polaris
635400SJNGQKQ4OKRU39
Polaris PLC, Series 2024-1, Class X
BCC3DT808
395000.00000000
PA
497322.22000000
0.172768602506
Long
ABS-MBS
CORP
GB
N
2
2028-02-26
Floating
10.85000000
N
N
N
N
N
N
Domi
724500YH04ZH2QORR597
Domi BV, Series 2020-1, Class X2
BCC2MYWN2
392182.39000000
PA
418286.59000000
0.145311805294
Long
ABS-MBS
CORP
NL
N
2
2052-04-15
Floating
10.65600000
N
N
N
N
N
N
East One
213800PCKNACOVV1MZ66
East One PLC, Series 2024-1, Class E
BCC3F2F80
783000.00000000
PA
983482.99000000
0.341659742793
Long
ABS-MBS
CORP
GB
N
2
2027-06-27
Floating
4.50000000
N
N
N
N
N
N
Morgan Stanley Baml Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C25, Class G
61765TAT0
1449059.63100000
PA
USD
680043.68000000
0.236245620066
Long
ABS-MBS
CORP
US
Y
2
2048-10-15
Variable
4.66800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP30GAC50
-520000.00000000
NS
USD
-520000.00000000
-0.18064681144
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.58000000
2024-05-17
-520000.00000000
USD
690938.30000000
USD
PLCMO
N
N
N
N/A
N/A
Cherry Mezz Facility 2023
N/A
688999.59000000
PA
USD
688999.59000000
0.239356882729
Long
DBT
CORP
US
N
3
2026-04-27
Floating
15.32100000
N
N
N
N
N
N
Natixis Commercial Mortgage Securities
N/A
Natixis Commercial Mortgage Securities Trust, Series 2019-FAME, Class C
63873VAG8
895000.00000000
PA
USD
680110.50000000
0.236268833181
Long
ABS-MBS
CORP
US
Y
2
2036-08-15
Variable
4.39400000
N
N
N
N
N
N
Galaxy Clo Ltd
5493000B2531UL3WQV87
Galaxy XIX CLO, Ltd., Series 2017-19X, Class D1R
BCC2E84A7
500000.00000000
PA
USD
491900.00000000
0.170884935671
Long
ABS-CBDO
CORP
KY
N
2
2030-07-24
Floating
12.11461000
N
N
N
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-6, Series 2022-6A, Class E
30168AAG7
1887000.00000000
PA
USD
2083248.00000000
0.723715593551
Long
ABS-O
CORP
US
Y
2
2030-06-17
Fixed
11.61000000
N
N
N
N
N
N
Zip Master Trust
N/A
Zip Master Trust, Series 2023-2, Class E
BCC3CM7Z8
780000.00000000
PA
540147.31000000
0.187645940887
Long
ABS-O
CORP
AU
N
2
2025-11-10
Floating
16.29500000
N
N
N
N
N
N
Eaton Vance Cdo Ltd
5493007R7GEORNX00105
Eaton Vance CLO 2019-1, Ltd., Series 2019-1A, Class F
27830VAC4
600000.00000000
PA
USD
578220.00000000
0.200872306371
Long
ABS-CBDO
CORP
KY
Y
2
2031-04-15
Floating
13.84061000
N
N
N
N
N
N
Aims Home Loans
N/A
AIMS , Series 2007-1, Class B
N/A
872245.77600000
PA
461524.24000000
0.160332466076
Long
ABS-MBS
CORP
AU
N
2
2038-07-10
Floating
4.86500000
N
N
N
N
N
N
Smr 2022-ind Mortgage Trust
N/A
SMR, Series 2022-IND Mortgage Trust, Class E
78458MAJ3
927724.77000000
PA
USD
875122.78000000
0.304015653517
Long
ABS-MBS
CORP
US
Y
2
2039-02-15
Floating
10.32100000
N
N
N
N
N
N
Red & Black Auto Germany Ug
39120094MD75F1PA4Q70
RED & Black Auto Germany 9 UG, Series 2022-9, Class D
BCC37MGR2
400000.00000000
PA
442675.26000000
0.153784373507
Long
ABS-O
CORP
DE
N
2
2026-12-15
Floating
9.47900000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP31BAB71
-798000.00000000
NS
USD
-798000.00000000
-0.27722337602
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.47000000
2024-05-29
-798000.00000000
USD
1063237.00000000
USD
PLCMO
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan Program , Series 2020-B, Class R1
83405F103
5664.00000000
PA
USD
168955.73000000
0.058694834422
Long
ABS-O
CORP
US
Y
3
2046-05-15
Fixed
0.00000000
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
BCC2P1JC0
262150.43000000
PA
264072.43000000
0.091738158595
Long
ABS-O
CORP
PT
N
2
2035-02-25
Fixed
7.25000000
N
N
N
N
N
N
Freddie Mac - Stacr
5493000IRI80KQJUNK40
Freddie Mac STACR REMIC Trust, Series 2023-DNA2, Class B1
35564KW70
955000.00000000
PA
USD
1091756.00000000
0.379273538989
Long
ABS-MBS
USGSE
US
Y
2
2043-04-25
Floating
12.93000000
N
N
N
N
N
N
Uropa Securities Plc
213800IVU1GPPZBQ4446
Uropa Securities PLC, Series 2007-1, Class B1A
BCC0Z8XJ7
531031.82320000
PA
589364.44000000
0.204743859354
Long
ABS-MBS
CORP
GB
N
2
2040-10-10
Floating
6.67430000
N
N
N
N
N
N
Gs Mortgage Securities Trust
N/A
GS Mortgage Securities Corp. Trust, Series 2021-ROSS, Class A
36264YAA8
538000.00000000
PA
USD
500824.20000000
0.173985182353
Long
ABS-MBS
CORP
US
Y
2
2026-05-15
Floating
6.58548000
N
N
N
N
N
N
Aurorus
724500Q9IUHAPFT3D811
Aurorus 2023 BV, Series 2023-1, Class G
BCC3C9340
515000.00000000
PA
551862.27000000
0.191715691214
Long
ABS-O
CORP
NL
N
2
2026-10-12
Floating
12.95500000
N
N
N
N
N
N
Upstart Pass Through Trust
N/A
Upstart Pass-Through Trust, Series 2020-ST4, Class CERT
91679VAB6
150718.00000000
PA
USD
10964.66000000
0.003809097822
Long
ABS-O
CORP
US
Y
3
2026-11-20
Fixed
0.00000000
N
N
N
N
N
N
Polaris
635400VADRWDQSM8BE46
Polaris PLC, Series 2023-1, Class F
BCC39YWY1
403000.00000000
PA
525925.85000000
0.182705438189
Long
ABS-MBS
CORP
GB
N
2
2061-02-23
Floating
13.45100000
N
N
N
N
N
N
Aurorus
724500Q9IUHAPFT3D811
Aurorus 2023 BV, Series 2023-1, Class F
BCC3C9332
500000.00000000
PA
545126.62000000
0.189375741800
Long
ABS-O
CORP
NL
N
2
2026-10-12
Floating
11.20500000
N
N
N
N
N
N
Banc Of America Merrill Lynch Large Loan Inc
N/A
BAMLL Commercial Mortgage Securities Trust, Series 2021-JACX, Class B
05493LAG1
1000000.00000000
PA
USD
900400.00000000
0.312796901969
Long
ABS-MBS
CORP
US
Y
2
2038-09-15
Floating
6.88548000
N
N
N
N
N
N
Conn Funding Ii, L.p
N/A
Conn's Receivables Funding LLC, Series 2024-A, Class C
20824DAC7
1080000.00000000
PA
USD
967248.00000000
0.336019744375
Long
ABS-O
CORP
US
Y
2
2025-08-15
Fixed
10.34000000
N
N
N
N
N
N
Freddie Mac - Stacr
5493003FQV7GR462GO02
Freddie Mac STACR REMIC Trust, Series 2020-DNA1, Class B2
35565HBE4
494000.00000000
PA
USD
540930.00000000
0.187917845604
Long
ABS-MBS
USGSE
US
Y
2
2050-01-25
Floating
10.69448000
N
N
N
N
N
N
Scf Rahoituspalvelut Dac
875500WTQ56BZWOYTK26
SCF Rahoituspalvelut X DAC, Series 2021-10, Class D
BCC32NQ29
259904.19000000
PA
257926.54000000
0.089603090457
Long
ABS-O
CORP
IE
N
2
2031-10-25
Fixed
5.35000000
N
N
N
N
N
N
Residential Accredit Loans, Inc.
N/A
Residential Accredit Loans, Inc., Series 2006-QS9, Class 1A16
75115CAR8
402917.04000000
PA
USD
289536.18000000
0.100584207143
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
6.08148000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-882000.00000000
NS
USD
-882000.00000000
-0.30640478402
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.35000000
2024-05-13
-882000.00000000
USD
1259750.00000000
USD
ABS
N
N
N
Reach Financial Llc
N/A
Reach Abs Trust 2024-1, Series 2024-1A, Class D
75526PAD3
200000.00000000
PA
USD
209420.00000000
0.072752029331
Long
ABS-O
CORP
US
Y
2
2027-09-15
Fixed
10.64000000
N
N
N
N
N
N
Plenti Pl-green Abs Trust
N/A
Plenti PL-Green ABS Trust, Series 2024-1, Class F
BCC3D9KP3
760000.00000000
PA
496363.91000000
0.172435687802
Long
ABS-O
CORP
AU
N
2
2035-06-11
Floating
12.09700000
N
N
N
N
N
N
Castell
213800CJ485JV1GHRE37
Castell PLC, Series 2023-2, Class X
BCC3CJHH4
310653.56000000
PA
389961.85000000
0.135471855360
Long
ABS-MBS
CORP
GB
N
2
2055-11-25
Floating
12.45000000
N
N
N
N
N
N
Stratton Mortgage Funding Plc
635400189QMSKAUNA660
Stratton Mortgage Funding 2024-1 PLC, Series 2024-1A, Class F
BCC3D0ZK7
465000.00000000
PA
576565.37000000
0.200297491691
Long
ABS-MBS
CORP
GB
Y
2
2060-06-20
Floating
10.22700000
N
N
N
N
N
N
Arivo Acceptance Auto Loan Receivables Trust
N/A
Arivo Acceptance Auto Loan Receivables Trust 2024-1, Series 2024-1A, Class D
039943AD7
1250000.00000000
PA
USD
1237000.00000000
0.429730972607
Long
ABS-O
CORP
US
Y
2
2028-01-15
Fixed
12.55000000
N
N
N
N
N
N
Romark Clo Ltd
549300NIP2J0NPQTYT18
Romark CLO V, Ltd., Series 2021-5A, Class D
77588PAJ1
515000.00000000
PA
USD
499498.50000000
0.173524637203
Long
ABS-CBDO
CORP
KY
Y
2
2035-01-15
Floating
9.22061000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP121PAY9
-594000.00000000
NS
USD
-594000.00000000
-0.20635424230
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.80000000
2024-07-12
-594000.00000000
USD
779121.89000000
USD
PLCMO
N
N
N
Exeter Automobile Receivables Trust
N/A
Exeter Automobile Receivables Trust 2022-5, Series 2022-5A, Class E
30167FAG7
1989000.00000000
PA
USD
2093223.60000000
0.727181094190
Long
ABS-O
CORP
US
Y
2
2030-04-15
Fixed
10.45000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-599000.00000000
NS
USD
-599000.00000000
-0.20809123087
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.83000000
2024-05-13
-599000.00000000
USD
1095348.94000000
USD
PLCMO
N
N
N
Freddie Mac - Stacr
5493000ITBQFEOXM0S98
Freddie Mac STACR REMIC Trust, Series 2020-DNA6, Class B2
35566CBE4
900000.00000000
PA
USD
1008540.00000000
0.350364490795
Long
ABS-MBS
USGSE
US
Y
2
2050-12-25
Floating
10.98000000
N
N
N
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2023-6, Class D
69547UAD0
2749294.89000000
PA
USD
2639323.09000000
0.916894808804
Long
ABS-O
CORP
US
Y
2
2031-06-16
Fixed
9.00000000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP2207325
-375469.00000000
NS
-469166.18000000
-0.16298725856
Short
RA
CORP
GB
N
2
Reverse repurchase
N
6.11000000
2024-06-03
-469166.18000000
USD
501000.00000000
USD
PLCMO
N
N
N
Popular Abs Mortgage Pass-through Trust
N/A
Popular ABS Mortgage Pass-Through Trust, Series 2005-5, Class MF1
73316PGL8
401979.58400000
PA
USD
244162.40000000
0.084821459681
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
3.41500000
N
N
N
N
N
N
Domivest B.v.
724500GC0MQI1HTJVG97
Domi BV, Series 2021-1, Class E
BCC30J4T5
704000.00000000
PA
752436.96000000
0.261394880070
Long
ABS-MBS
CORP
NL
N
2
2053-06-15
Floating
10.44000000
N
N
N
N
N
N
Fannie Mae - Cas
N/A
Connecticut Avenue Securities Trust, Series 2023-R03, Class 2B1
20753ACF9
996000.00000000
PA
USD
1131754.80000000
0.393169030685
Long
ABS-MBS
USGSE
US
Y
2
2043-04-25
Floating
11.68000000
N
N
N
N
N
N
Golden Bar Securitisation
549300GESLGUWWGJRM09
Golden Bar Securitisation Srl, Series 2023-2, Class F
BCC3BVJC7
245035.71000000
PA
262731.59000000
0.091272353844
Long
ABS-O
CORP
IT
N
2
2043-09-22
Floating
14.82200000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities Llc
N/A
BBCMS, Series 2021-AGW Mortgage Trust, Class A
05493HAA3
560000.00000000
PA
USD
530656.00000000
0.184348681487
Long
ABS-MBS
CORP
US
Y
2
2036-06-15
Floating
6.68548000
N
N
N
N
N
N
Barclays Commercial Mortgage Securities Llc
N/A
BBCMS, Series 2021-AGW Mortgage Trust, Class E
05493HAN5
588000.00000000
PA
USD
490744.80000000
0.170483621831
Long
ABS-MBS
CORP
US
Y
2
2026-06-15
Floating
8.58548000
N
N
N
N
N
N
Banc Of America Funding Corporation
N/A
Banc of America Funding , Series 2007-5, Class CA8
059523BM1
2277044.04000000
PA
USD
112485.98000000
0.039077372344
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
-0.00048000
N
N
N
N
N
N
Domivest B.v.
724500GC0MQI1HTJVG97
Domi BV, Series 2021-1, Class X2
BCC30J4W8
276122.35000000
PA
295827.49000000
0.102769793857
Long
ABS-MBS
CORP
NL
N
2
2053-06-15
Floating
10.44000000
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
525026.70000000
0.182393075534
Long
ABS-MBS
CORP
US
Y
2
2057-09-15
Fixed
3.15300000
N
N
N
N
N
N
Bhms Mortgage Trust
N/A
BHMS, Series 2018-ATLS, Class D
05549GAL5
2168000.00000000
PA
USD
2107296.00000000
0.732069813785
Long
ABS-MBS
CORP
US
Y
2
2035-07-15
Floating
7.86800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP673ZH84
-311000.00000000
NS
USD
-311000.00000000
-0.10804068915
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.57000000
2024-05-20
-311000.00000000
USD
456886.15000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
N/A
-610000.00000000
NS
USD
-610000.00000000
-0.21191260573
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.50000000
2024-05-13
-610000.00000000
USD
936514.70000000
USD
ABS
N
N
N
Sc Germany Leasing
549300I0DV9V1WKUO071
SC Germany SA Compartment Leasing, Series 2023-1, Class F
BCC3CMD65
373878.00000000
PA
403192.77000000
0.140068246726
Long
ABS-O
CORP
LU
N
2
2032-12-14
Floating
10.78900000
N
N
N
N
N
N
Achv Abs Trust
549300V82ZKZDTAU0A46
ACHV ABS TRUST, Series 2023-4CP, Class E
00092CAE2
1000000.00000000
PA
USD
993100.00000000
0.345000670086
Long
ABS-O
CORP
US
Y
2
2026-07-25
Fixed
10.50000000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.058 04/04/30
N/A
1.00000000
NC
USD
-813.52000000
-0.00028261498
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2030-04-04
0.00000000
USD
0.00000000
USD
48000.00000000
USD
-813.52000000
N
N
N
N/A
N/A
REVERSE REPO
RP65KAQ31
-150000.00000000
NS
USD
-150000.00000000
-0.05210965714
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.72000000
2024-05-06
-150000.00000000
USD
218382.75000000
USD
PLCMO
N
N
N
Plenti Pl-green Abs Trust
N/A
Plenti PL-Green ABS Trust, Series 2024-1, Class E
BCC3D9KN8
1000000.00000000
PA
652656.95000000
0.226731532661
Long
ABS-O
CORP
AU
N
2
2035-06-11
Floating
10.09700000
N
N
N
N
N
N
Dowson
213800OI5O7QF6XV6F68
Dowson PLC, Series 2021-2, Class F
BCC330XV6
561000.00000000
PA
685854.38000000
0.238264243964
Long
ABS-O
CORP
GB
N
2
2028-10-20
Floating
10.50200000
N
N
N
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp. Mortgage Loan Trust 2006-W1, Series 2006-W1A, Class M1
86361CAF2
2107204.09170000
PA
USD
1923455.89000000
0.668204179771
Long
ABS-MBS
CORP
US
Y
2
2046-08-25
Floating
5.73148000
N
N
N
N
N
N
Ownit Mortgage Loan Asset-backed Certificates
N/A
Ownit Mortgage Loan Trust, Series 2005-4, Class M1
69121PAY9
964354.04630000
PA
USD
814011.25000000
0.282785647676
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
6.25648000
N
N
N
N
N
N
Wamu Mortgage Pass-through Certificates
N/A
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1C
92925CDC3
303027.85000000
PA
USD
348542.63000000
0.121082913003
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
6.08900000
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
273818.64000000
0.095123969672
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
1380749.29480000
PA
USD
459375.29000000
0.159585925758
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
5.88148000
N
N
N
N
N
N
Monroe Capital Mml Clo
5493006UQZL8BZLQCE22
MCMML 2017-1A E
61033TAA7
511000.00000000
PA
USD
500524.50000000
0.173881067258
Long
ABS-CBDO
CORP
US
N
2
2029-04-22
Floating
12.93620000
N
N
N
N
N
N
Chicago Mercantile Exchange
N/A
BP CURRENCY FUT Jun24
N/A
-302.00000000
NC
USD
-23606962.50000000
-8.20100481442
N/A
DFE
CORP
US
N
1
Wells Fargo
N/A
Short
BP CURRENCY FUT Jun24
BP CURRENCY FUT Jun24
2024-06-17
-23606962.50000000
USD
402081.60000000
N
N
N
N/A
N/A
Reach Financial LLC
REACHCAP1
643520.91000000
PA
USD
643520.92000000
0.223557696721
Long
DBT
CORP
US
N
3
2049-12-31
Variable
14.32400000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP91VAE56
-386000.00000000
NS
USD
-386000.00000000
-0.13409551772
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.50000000
2024-05-06
-386000.00000000
USD
481363.00000000
USD
PLCMO
N
N
N
Fannie Mae - Cas
B1V7KEBTPIMZEU4LTD58
Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B2
20754GAJ9
1286000.00000000
PA
USD
1304518.40000000
0.453186710441
Long
ABS-MBS
USGSE
US
Y
2
2044-02-25
Floating
9.03000000
N
N
N
N
N
N
Countrywide Asset-backed Certificates
N/A
CWABS Asset-Backed Certificates Trust, Series 2005-2, Class M6
126673ZH8
531266.04650000
PA
USD
458429.47000000
0.159257350052
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
7.45648000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-332000.00000000
NS
USD
-332000.00000000
-0.11533604115
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.53000000
2024-05-17
-332000.00000000
USD
414626.04000000
USD
PLCMO
N
N
N
Sound Point Clo Ltd
N/A
Sound Point CLO XXIX, Ltd., Series 2021-1A, Class D
83614VAJ4
500000.00000000
PA
USD
482800.00000000
0.167723616471
Long
ABS-CBDO
CORP
KY
Y
2
2034-04-25
Floating
9.08561000
N
N
N
N
N
N
Fta Santander Consumer Spain
9845003BH55E866D9D45
FTA Santander Consumer Spain Auto, Series 2022-1, Class E
BCC37VYS0
454584.40000000
PA
495175.50000000
0.172022836884
Long
ABS-O
CORP
ES
N
2
2038-09-20
Floating
15.92800000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
RP43XAG43
-1538000.00000000
NS
USD
-1538000.00000000
-0.53429768461
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.53000000
2024-05-17
-1538000.00000000
USD
2044626.33000000
USD
ABS
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Trust, Series 2006-HE2, Class M2
46625SAG1
1097272.53060000
PA
USD
1028912.45000000
0.357441833360
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Floating
3.98248000
N
N
N
N
N
N
N/A
N/A
REVERSE REPO
N/A
-360000.00000000
NS
USD
-360000.00000000
-0.12506317715
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.86000000
2024-05-13
-360000.00000000
USD
479727.00000000
USD
PLCMO
N
N
N
N/A
N/A
REVERSE REPO
RP679WAB4
-404000.00000000
NS
USD
-404000.00000000
-0.14034867658
Short
RA
CORP
US
N
2
Reverse repurchase
N
6.25000000
2024-05-16
-404000.00000000
USD
504294.11000000
USD
PLCMO
N
N
N
Syon Securities 2020-2 Designated Activity Company
5493000H7F78QNDVY831
SYON, Series 2020-2, Class E
BCC2PP9E4
905473.67000000
PA
1167637.77000000
0.405634692445
Long
ABS-MBS
CORP
US
N
2
2027-12-17
Floating
11.47090000
N
N
N
N
N
N
Dbwf Mortgage Trust
N/A
DBWF, Series 2024-LCRS Mortgage Trust, Class E
23307KAJ6
1000000.00000000
PA
USD
1000800.00000000
0.347675632486
Long
ABS-MBS
CORP
US
Y
2
2029-04-15
Floating
9.48700000
N
N
N
N
N
N
Newday Funding
213800GBPRAJHSB5YK19
NewDay Funding, Series 2024-1X, Class E
BCC3F3ZB9
393000.00000000
PA
492888.95000000
0.171228494641
Long
ABS-O
CORP
GB
N
2
2027-03-15
Floating
10.00600000
N
N
N
N
N
N
Twin Bridges
2138009CPSZVO86ALM43
Twin Bridges PLC, Series 2022-2, Class E
BCC36Y565
241000.00000000
PA
303640.31000000
0.105483949667
Long
ABS-MBS
CORP
GB
N
2
2055-06-12
Floating
10.71100000
N
N
N
N
N
N
Jp Morgan Mortgage Acquisition Corp
N/A
JP Morgan Mortgage Acquisition Corp., Series 2005-OPT2, Class M7
46626LES5
240921.83510000
PA
USD
183437.89000000
0.063725903704
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
7.90648000
N
N
N
N
N
N
Kinbane Dac
6354003NQB1EMN3EGI88
Kinbane 2024-RPL 1 DAC, Series 2024-RPL1X, Class F
BCC3DXKZ8
749000.00000000
PA
751613.82000000
0.261108923115
Long
ABS-MBS
CORP
IE
N
2
2065-01-26
Floating
9.13500000
N
N
N
N
N
N
Wells Fargo
N/A
Recv Irs 4.108 04/04/29
N/A
1.00000000
NC
USD
501345.76000000
0.174166371105
N/A
DIR
CORP
US
N
2
Wells Fargo Securities, LLC
N/A
US Dollar
US Dollar
Y
2029-04-04
0.00000000
USD
0.00000000
USD
29896000.00000000
USD
501345.76000000
N
N
N
Pagaya Ai Debt Selection Trust
N/A
Pagaya AI Debt Trust, Series 2023-5, Class D
69546PAD2
3499970.42500000
PA
USD
3355421.65000000
1.165665811773
Long
ABS-O
CORP
US
Y
2
2031-04-15
Fixed
9.00000000
N
N
N
N
N
N
Tagus Sociedade De Titularizacao De Creditos
213800D3OXAL3N7T1S19
Vasco Finance, Series 2023-1, Class F
BCC3BYVP8
200000.00000000
PA
218349.47000000
0.075854106799
Long
ABS-O
CORP
PT
N
2
2029-07-27
Fixed
15.00000000
N
N
N
N
N
N
Bear Stearns Mortgage Funding Trust
N/A
Bear Stearns Mortgage Funding Trust, Series 2006-AR5, Class 2A2
07401NAQ2
751970.05440000
PA
USD
670080.52000000
0.232784441055
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.89148000
N
N
N
N
N
N
Social Professional Loan Program Llc
N/A
SoFi Professional Loan Program , Series 2018-D, Class R1
83401A108
27236.00000000
PA
USD
131005.16000000
0.045510893147
Long
ABS-O
CORP
US
Y
3
N
N
N
Brignole Co
8156006B7CA110881F08
Brignole Co. 2021 SRL, Series 2021-2021, Class F
BCC31CW19
424000.00000000
PA
452176.77000000
0.157085176364
Long
ABS-O
CORP
IT
N
2
2036-07-24
Floating
9.71900000
N
N
N
N
N
N
2024-05-30
1WS CREDIT INCOME FUND
Stephanie Dolan
Stephanie Dolan
Chief Financial Officer and Principal Accounting Officer