Form NPORT-P 1WS Credit Income Fund For: Apr 30

June 23, 2021 4:53 PM EDT

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    NPORT-P
    false
    
      
      
        
          0001748680
          XXXXXXXX
        
      
      
      
    
  
  
    
      1WS CREDIT INCOME FUND
      811-23368
      0001748680
      549300B58HSKB8RHUQ19
      299 PARK AVENUE 25TH FLOOR
      NEW YORK
      
      10171
      2129572500
      1WS Credit Income Fund
      549300B58HSKB8RHUQ19
      2021-10-31
      2021-04-30
      N
    
    
      129862112.97
      25209114.98
      104652997.99
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      24685560.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      2292372.65000000
      
        
          USD
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
    
    
      
        Lendingpoint Asset Securitization Trust
        N/A
        Lendingpoint Asset Securitization Trust, Class C
        U5255PAC6
        
          
        
        1842258.50000000
        PA
        USD
        1855154.31000000
        1.772671921140
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2021-12-15
          Fixed
          4.50400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        IGJSJL3JD5P30I6NJZ34
        Markit Cdx Hy S33 5y Tranche 15-25% 12/24 Otc
        N/A
        
          
        
        1.00000000
        NC
        USD
        -107900.00000000
        -0.10310263640
        N/A
        DCR
        CORP
        US
        N
        2
        
          
            
              Morgan Stanley
              IGJSJL3JD5P30I6NJZ34
            
            
              
                Markit NA High Yield Index
                2I65BRYN4
              
            
            Y
            
            Underlying Performance
            2024-12-20
            0.00000000
            USD
            125000.00000000
            USD
            -5000000.00000000
            USD
            17100.00000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -340560.00000000
        NS
        USD
        -340560.00000000
        -0.32541829335
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.07713000
          2021-07-28
          
            
              -340560.00000000
              USD
              671891.40910000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Kkr Financial Clo Ltd
        549300N7FISC1W1QKR21
        KKR CLO 10, Ltd. Series 10 Class ER
        48250JAG9
        
          
        
        505000.00000000
        PA
        USD
        503283.00000000
        0.480906433323
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2029-09-15
          Floating
          6.68388000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bluemountain Clo Ltd
        5493005B0MT8TYWD7W93
        BlueMountain CLO, Ltd., Series 2018-1X, Class ER
        G13545AC5
        
          
        
        500000.00000000
        PA
        USD
        492450.00000000
        0.470555081515
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2027-04-20
          Floating
          5.73825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -517000.00000000
        NS
        USD
        -517000.00000000
        -0.49401355902
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.77575000
          2021-07-23
          
            
              -517000.00000000
              USD
              647270.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -381000.00000000
        NS
        USD
        -381000.00000000
        -0.36406028237
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.18750000
          2021-07-13
          
            
              -381000.00000000
              USD
              503287.16110000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Banc Of America Merrill Lynch Large Loan Inc
        N/A
        BAMLL Commercial Mortgage Securities Trust, Class C
        05525DAJ5
        
          
        
        1097000.00000000
        PA
        USD
        1090088.90000000
        1.041622238193
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2034-03-15
          Floating
          2.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        549300KR7NUJOX0UJ040
        Exeter Automobile Receivables Trust 2019-1, Class E
        30167DAE7
        
          
        
        480000.00000000
        PA
        USD
        505008.00000000
        0.482554737751
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2023-03-15
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -545000.00000000
        NS
        USD
        -545000.00000000
        -0.52076864539
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.59263000
          2021-08-06
          
            
              -545000.00000000
              USD
              782700.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -523000.00000000
        NS
        USD
        -523000.00000000
        -0.49974679182
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.43975000
          2021-10-19
          
            
              -523000.00000000
              USD
              819900.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        549300JFGR0M7ULHWG48
        New York Mortgage Trust, Inc., Class D
        649604881
        
          
        
        8071.00000000
        NS
        USD
        197739.50000000
        0.188947764323
        Long
        EP
        CORP
        US
        N
        1
        
          N
          N
          N
        
      
      
        Domi
        724500YH04ZH2QORR597
        Domi 2020-1 BV, Class F
        BCC2MYWL6
        
          
        
        500000.00000000
        PA
        
        604133.35000000
        0.577272855630
        Long
        ABS-MBS
        CORP
        NL
        N
        2
        
          2052-04-15
          Floating
          5.96200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citicorp Residential Mortgage Securities, Inc.
        N/A
        Citicorp Residential Mortgage Trust, Class M2
        17310EAH1
        
          
        
        2000000.00000000
        PA
        USD
        1979200.00000000
        1.891202390770
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          5.26200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Trust, Class 1A5
        75115CAE7
        
          
        
        966040.29120000
        PA
        USD
        711681.88000000
        0.680039648809
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          0.80613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -153000.00000000
        NS
        USD
        -153000.00000000
        -0.14619743623
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.52288000
          2021-07-21
          
            
              -153000.00000000
              USD
              244100.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -897000.00000000
        NS
        USD
        -897000.00000000
        -0.85711830260
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.28375000
          2021-07-15
          
            
              -897000.00000000
              USD
              1201860.40000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Latitude Australia Credit Card Loan Note Trust
        N/A
        Latitude Australia Credit Card Master Trust Series 2017-2, Class E
        BCC2EDR45
        
          
        
        502000.00000000
        PA
        
        393792.98000000
        0.376284471122
        Long
        ABS-O
        CORP
        AU
        N
        2
        
          2023-08-22
          Floating
          5.01520000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -520000.00000000
        NS
        USD
        -520000.00000000
        -0.49688017542
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.07713000
          2021-07-28
          
            
              -520000.00000000
              USD
              826600.00030000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Lanebrook Mortgage Transaction
        213800UED4FTYXU1KI98
        Lanebrook Mortgage Transaction 2020-1, Class E
        BCC2PG078
        
          
        
        500000.00000000
        PA
        
        730019.75000000
        0.697562195083
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2024-09-12
          Floating
          5.04890000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gsamp Trust
        CU46ESEFJB81SUVBJO28
        GSAMP Trust, Class M2
        362341PV5
        
          
        
        721789.13830000
        PA
        USD
        659426.56000000
        0.630107663101
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-09-25
          Floating
          0.88613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -650000.00000000
        NS
        USD
        -650000.00000000
        -0.62110021928
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.33375000
          2021-07-14
          
            
              -650000.00000000
              USD
              1662800.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Loan Trust
        N/A
        National Collegiate Student Loan Trust, Class B
        63543TAJ7
        
          
        
        1846000.00000000
        PA
        USD
        1462585.80000000
        1.397557478611
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2037-07-27
          Floating
          0.60863000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -856000.00000000
        NS
        USD
        -856000.00000000
        -0.81794121185
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          0.73538000
          2021-09-09
          
            
              -856000.00000000
              USD
              970020.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Bluemountain Clo Ltd
        5493005B0MT8TYWD7W93
        BlueMountain CLO Ltd., Series 2016-1A, Class ER
        09628RAE3
        
          
        
        296000.00000000
        PA
        USD
        291530.40000000
        0.278568608257
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2027-04-20
          Floating
          5.73825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Twin Bridges
        213800DOYEU7P7SSOK83
        Twin Bridges PLC, Series 2021-1, Class X2
        N/A
        
          
        
        363000.00000000
        PA
        
        490390.14000000
        0.468586805364
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2026-03-12
          Floating
          5.04859000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fremont Home Loan Trust
        N/A
        Fremont Home Loan Trust, Class M3
        35729PEV8
        
          
        
        136347.91500000
        PA
        USD
        142210.88000000
        0.135888013464
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Floating
          1.83113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        College Ave Student Loans
        N/A
        College Ave Student Loans Series, 2021-A, CLass C
        19424KAD5
        
          
        
        500000.00000000
        PA
        USD
        503800.00000000
        0.481400446882
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2032-02-25
          Floating
          2.92000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -1412000.00000000
        NS
        USD
        -1412000.00000000
        -1.34922078403
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.82575000
          2021-07-23
          
            
              -1412000.00000000
              USD
              2488901.87800000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Dryden Senior Loan Fund
        549300ARO9JRDQL4OE07
        Dryden Senior Loan Fund, Series 2015-38X, Class SUB
        G2848EAB0
        
          
        
        1415000.00000000
        PA
        USD
        749950.00000000
        0.716606322230
        Long
        ABS-CBDO
        CORP
        KY
        N
        3
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -588000.00000000
        NS
        USD
        -588000.00000000
        -0.56185681374
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.83250000
          2021-06-10
          
            
              -588000.00000000
              USD
              805890.77240000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Finsbury Square
        213800Z663D4MD7UAR41
        Finsbury Square 2019-3 PLC, Class X
        BCC2LE5R8
        
          
        
        196849.75000000
        PA
        
        271912.50000000
        0.259822943654
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2069-12-16
          Floating
          3.94830000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Alternative Loan Trust, Class 1A17
        12668AA47
        
          
        
        288581.30000000
        PA
        USD
        192512.59000000
        0.183953249020
        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 2006-BNC3, Class A4
        86361KAD9
        
          
        
        860000.00000000
        PA
        USD
        529330.00000000
        0.505795352418
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-09-25
          Floating
          0.41613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust, Class D
        04410RAL0
        
          
        
        554000.00000000
        PA
        USD
        545745.40000000
        0.521480904017
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2035-04-16
          Floating
          2.21500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -721000.00000000
        NS
        USD
        -721000.00000000
        -0.68894347400
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.40750000
          2021-07-13
          
            
              -721000.00000000
              USD
              933910.50290000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        EUREX DEUTSCHLAND
        529900UT4DG0LG5R9O07
        EURO-BOBL FUTURE  Jun21
        N/A
        
          
        
        -3.00000000
        NC
        
        -485939.62000000
        -0.46433416082
        N/A
        DIR
        CORP
        DE
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                EUREX DEUTSCHLAND
                EURO-BOBL FUTURE  Jun21
                
                  
                  
                
              
            
            2021-06-08
            -485939.62000000
            EUR
            841.02000000
          
        
        
          N
          N
          N
        
      
      
        Jpmbb Commercial Mortgage Securities Trust
        N/A
        JPMBB Commercial Mortgage Securities Trust, Class D
        46642EAJ5
        
          
        
        526000.00000000
        PA
        USD
        506590.60000000
        0.484066973454
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2024-07-17
          Floating
          4.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Gsaa Home Equity Trust
        N/A
        GSAA Home Equity Trust, Class A4
        38144RAD9
        
          
        
        547742.83830000
        PA
        USD
        327550.22000000
        0.312986943796
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-08-25
          Floating
          0.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Mortgage Securities
        54930041T52UP3IPLN03
        Residential Mortgage Securities 32X, Class F1
        N/A
        
          
        
        500000.00000000
        PA
        
        741482.41000000
        0.708515211452
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2070-06-20
          Floating
          6.54830000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taberna Prefered Funding Ltd
        U03UUQ0VYFBPHFC9G558
        Taberna Preferred Funding, Ltd., Series 2005-3X, Class B1
        G8655GAE8
        
          
        
        1000000.00000000
        PA
        USD
        365000.00000000
        0.348771661596
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2036-02-05
          Floating
          0.99513000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Mortgage Trust
        N/A
        JP Morgan Mortgage Trust, Class TB1
        466247SV6
        
          
        
        188304.37000000
        PA
        USD
        185423.31000000
        0.177179166924
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Floating
          2.90800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Reremic
        N/A
        JP Morgan Resecuritization Trust, Class 3A2
        46644NAN4
        
          
        
        394939.10600000
        PA
        USD
        339805.61000000
        0.324697444436
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2037-09-26
          Floating
          5.35700000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Shackleton Clo Ltd
        549300VJPG28RMYCYW83
        Shackleton CLO, Ltd., Series 2017-8X, Class ER
        G8103HAD6
        
          
        
        1000000.00000000
        PA
        USD
        953800.00000000
        0.911392906384
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2027-10-20
          Floating
          5.52825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        PBLD0EJDB5FWOLXP3B76
        US 2Yr Note Future
        N/A
        
          
        
        -5.00000000
        NC
        USD
        -1103789.06000000
        -1.05471327262
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                Chicago Board of Trade
                US 2Yr Note Future
                
                  
                  
                
              
            
            2021-06-30
            -1103789.06000000
            USD
            -75.08000000
          
        
        
          N
          N
          N
        
      
      
        Keycorp Student Loan Trust
        N/A
        KeyCorp Student Loan Trust, Class 2C
        49327HAJ4
        
          
        
        2000000.00000000
        PA
        USD
        1660600.00000000
        1.586767729443
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2042-03-27
          Floating
          1.34300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -302000.00000000
        NS
        USD
        -302000.00000000
        -0.28857271726
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.69538000
          2021-08-06
          
            
              -302000.00000000
              USD
              531652.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        CME GLOBEX
        N/A
        AUDUSD Crncy Fut  Jun21
        N/A
        
          
        
        -15.00000000
        NC
        USD
        -1155900.00000000
        -1.10450729764
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                CME GLOBEX
                AUDUSD Crncy Fut  Jun21
                
                  
                  
                
              
            
            2021-06-14
            -1155900.00000000
            USD
            -4222.42000000
          
        
        
          N
          N
          N
        
      
      
        Mp Clo Viii, Ltd
        549300D60LKSR31DKI65
        MP CLO, Ltd., Series 2015-2X, Class ER
        G6337VAA3
        
          
        
        750000.00000000
        PA
        USD
        707175.00000000
        0.675733150107
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2027-10-28
          Floating
          5.63400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust 2005-8, Class M2
        86358EXR2
        
          
        
        953858.14510000
        PA
        USD
        954525.85000000
        0.912086484222
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-10-25
          Floating
          0.85613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital Clo Ltd
        549300687XYK5L55VX28
        Anchorage Capital CLO Series 14-5RA, Ltd. Class E
        03329YAA1
        
          
        
        508000.00000000
        PA
        USD
        499821.20000000
        0.477598549109
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2030-01-15
          Floating
          5.58375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        635400RHPRXUESO7KB48
        Tower Bridge Funding, Series 21-1, Class X
        BCC2R4Q75
        
          
        
        359000.00000000
        PA
        
        497034.21000000
        0.474935472032
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2024-04-21
          Floating
          4.54818000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dowson
        213800EQQBXA3JAZGE58
        Dowson 2020-1 PLC, Class D
        BCC2N3JB0
        
          
        
        376000.00000000
        PA
        
        520570.65000000
        0.497425453640
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2027-04-20
          Floating
          4.54820000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -417000.00000000
        NS
        USD
        -417000.00000000
        -0.39845967913
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.08138000
          2021-08-19
          
            
              -417000.00000000
              USD
              506650.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Freed Abs Trust
        N/A
        FREED ABS Trust, Class C
        35634TAC0
        
          
        
        500000.00000000
        PA
        USD
        513700.00000000
        0.490860280991
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2027-03-18
          Fixed
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point Clo Ltd
        5493006VH6ZUE3FHGC30
        SOUND POINT CLO,Series 13-2RA Class D
        83611RAA5
        
          
        
        1500000.00000000
        PA
        USD
        1373550.00000000
        1.312480317220
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2029-04-15
          Floating
          6.18375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital Clo Ltd
        549300PKM3N9LK4JM015
        Anchorage Capital CLO, Ltd., Series 2016-8X, Class ER
        G0419UAE1
        
          
        
        500000.00000000
        PA
        USD
        492700.00000000
        0.470793966214
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2028-07-28
          Floating
          5.93400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust, Class M2
        83611MJM1
        
          
        
        672698.65130000
        PA
        USD
        669200.62000000
        0.639447156653
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-12-25
          Floating
          0.93113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Trust, Class 1A2
        75114HAB3
        
          
        
        935061.74250000
        PA
        USD
        904017.69000000
        0.863823977681
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2046-05-25
          Floating
          0.48613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Program Llc
        N/A
        Sofi Professional Loan Program, Class R1
        U83414208
        
          
        
        56770.00000000
        PA
        USD
        1262438.26000000
        1.206308738637
        Long
        ABS-O
        CORP
        US
        N
        3
        
          2048-08-17
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ll Abs Trust
        N/A
        LL ABS Trust 2020-1A, Class C
        50202HAC7
        
          
        
        500000.00000000
        PA
        USD
        522500.00000000
        0.499269022422
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2023-11-15
          Fixed
          6.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
        549300UF4R84F48NCH34
        LONG GILT FUTURE  Jun21
        N/A
        
          
        
        -1.00000000
        NC
        
        -176317.86000000
        -0.16847855616
        N/A
        DIR
        CORP
        GB
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                ICE FUTURES EUROPE - FINANCIAL PRODUCTS DIVISION
                LONG GILT FUTURE  Jun21
                
                  
                  
                
              
            
            2021-06-28
            -176317.86000000
            GBP
            1688.41000000
          
        
        
          N
          N
          N
        
      
      
        Colony Mortgage Capital Ltd
        N/A
        CLNY Trust 2019-IKPR, Class C
        12564NAJ1
        
          
        
        556000.00000000
        PA
        USD
        553220.00000000
        0.528623174324
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-11-15
          Floating
          1.79100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fontainebleau Miami Beach Trust
        N/A
        Fontainebleau Miami Beach Trust 2019-FBLU, Series 2019-FBLU, Class C
        34461LAJ3
        
          
        
        500000.00000000
        PA
        USD
        518600.00000000
        0.495542421106
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2024-12-10
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Kvk Clo Ltd
        5493007VGL59COTLZY21
        KVK CLO, Series 2013-1A, Class ER
        48274GAD4
        
          
        
        500000.00000000
        PA
        USD
        499800.00000000
        0.477578291687
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2028-01-14
          Floating
          6.12575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sofi Consumer Loan Program Trust
        N/A
        SoFi Consumer Loan Program, Class R2
        83405J204
        
          
        
        9390.00000000
        PA
        USD
        305169.37000000
        0.291601173268
        Long
        ABS-O
        CORP
        US
        Y
        3
        
          2026-05-26
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Silk Finance
        213800D3OXAL3N7T1S19
        TAGUS - SILK, Class D
        N/A
        
          
        
        500000.00000000
        PA
        
        619041.32000000
        0.591517999378
        Long
        ABS-O
        CORP
        PT
        N
        2
        
          2035-02-25
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Loan Trust
        N/A
        National Collegiate Student Loan Trust, Class A4
        63543XAD1
        
          
        
        1183620.82170000
        PA
        USD
        1124794.87000000
        1.074785139081
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2033-10-25
          Floating
          0.41113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion Clo Ltd
        549300CJP8HGT746II19
        Battalion Clo Series 20-15A, Ltd. Class E
        07131CAA8
        
          
        
        506000.00000000
        PA
        USD
        500838.80000000
        0.478570905391
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2033-01-17
          Floating
          6.53975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investors Trust
        N/A
        Merrill Lynch Mortgage Investors Trust HE1, Class M2
        59020U3F0
        
          
        
        2000000.00000000
        PA
        USD
        1898800.00000000
        1.814377071339
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-12-25
          Floating
          0.70613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Popular Abs Mortgage Pass-through Trust
        N/A
        Popular ABS Mortgage Pass-Through Trust, Class M1
        73316PHR4
        
          
        
        389212.10800000
        PA
        USD
        358386.51000000
        0.342452215305
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Floating
          5.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -360000.00000000
        NS
        USD
        -360000.00000000
        -0.34399396760
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.49538000
          2021-05-10
          
            
              -360000.00000000
              USD
              496766.86820000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Gsr Mortgage Loan Trust
        CU46ESEFJB81SUVBJO28
        GSR Mortgage Loan Trust, Series 2005-5F, Class B1
        36242D7X5
        
          
        
        451894.86400000
        PA
        USD
        461249.09000000
        0.440741401449
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          5.70800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -175000.00000000
        NS
        USD
        -175000.00000000
        -0.16721928980
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.54263000
          2021-08-06
          
            
              -175000.00000000
              USD
              275495.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Carlyle Global Market Strategies
        N/A
        Carlyle Global Market Strategies CLO 2015-1A, Ltd., Class ER
        14311EAY0
        
          
        
        1095000.00000000
        PA
        USD
        1094343.00000000
        1.045687195797
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-07-20
          Floating
          7.12825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Voya Clo Ltd
        549300L8S87K3SMP0R77
        Voya CLO, Ltd., Series 2014-2X, Class SUB
        G9401VAF7
        
          
        
        761000.00000000
        PA
        USD
        153189.30000000
        0.146378319725
        Long
        ABS-CBDO
        CORP
        KY
        N
        3
        
          N
          N
          N
        
      
      
        Cps Auto Trust
        N/A
        CPS Auto Trust, Series 2018-C, Class E
        12655CAE6
        
          
        
        500000.00000000
        PA
        USD
        526850.00000000
        0.503425616197
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2025-09-15
          Fixed
          6.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Mortgage Securities
        549300XVA6X7K4580L26
        Residential Mortgage Securities 31 PLC, Class F2
        N/A
        
          
        
        509000.00000000
        PA
        
        697257.39000000
        0.666256488960
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2021-09-20
          Floating
          4.08350000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Atrium Hotel Portfolio Trust
        5493005J860FXWR4WJ55
        Atrium Hotel Portfolio Trust, Class F
        04965KAS9
        
          
        
        1194000.00000000
        PA
        USD
        1013228.40000000
        0.968179048341
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-06-15
          Floating
          4.11500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -437000.00000000
        NS
        USD
        -437000.00000000
        -0.41757045511
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.43750000
          2021-10-12
          
            
              -437000.00000000
              USD
              646196.63680000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Jp Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D
        46646JAF8
        
          
        
        652000.00000000
        PA
        USD
        645284.40000000
        0.616594280520
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-10-05
          Floating
          4.14300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hilton Usa Trust
        N/A
        Hilton Orlando Trust 2018-ORL, Class D
        432885AL5
        
          
        
        750000.00000000
        PA
        USD
        748350.00000000
        0.715077460152
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2034-12-15
          Floating
          1.96463000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Resorts Owner Trust
        N/A
        Diamond Resorts Owner Trust 2021-1
        25273CAC4
        
          
        
        549000.00000000
        PA
        USD
        552623.40000000
        0.528053099876
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2033-11-21
          Fixed
          2.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust
        N/A
        New Century Home Equity Loan Trust, Class MI1
        64352VGK1
        
          
        
        755333.37000000
        PA
        USD
        775576.30000000
        0.741093246152
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2034-08-25
          Floating
          4.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -156000.00000000
        NS
        USD
        -156000.00000000
        -0.14906405262
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.59738000
          2021-07-08
          
            
              -156000.00000000
              USD
              249850.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Zip Master Trust
        N/A
        Zip Master Trust Series 2021-1
        N/A
        
          
        
        500000.00000000
        PA
        
        386138.31000000
        0.368970136944
        Long
        ABS-O
        CORP
        AU
        N
        2
        
          2024-04-10
          Floating
          5.71500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -355000.00000000
        NS
        USD
        -355000.00000000
        -0.33921627360
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.54688000
          2021-09-22
          
            
              -355000.00000000
              USD
              515050.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Gls Auto Receivables Trust
        N/A
        GLS Auto Receivables Issuer Trust 2020-2, Class D
        38014RAG9
        
          
        
        1560000.00000000
        PA
        USD
        1733316.00000000
        1.656250688743
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2027-04-15
          Fixed
          7.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bellemeade Re Lt
        N/A
        Bellemeade Re, Ltd.,Series 21-1A, Class M2
        07876MAD9
        
          
        
        500000.00000000
        PA
        USD
        504150.00000000
        0.481734885462
        Long
        ABS-O
        CORP
        BM
        Y
        2
        
          2031-03-25
          Floating
          4.86567000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, 2016-Wiki Class C
        46646JAE1
        
          
        
        750000.00000000
        PA
        USD
        751800.00000000
        0.718374069008
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-10-05
          Fixed
          3.55400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        549300KR7NUJOX0UJ040
        Exeter Automobile Receivables Trust 2020-2, Class E
        30167YAJ0
        
          
        
        832000.00000000
        PA
        USD
        920108.80000000
        0.879199657603
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2024-07-15
          Fixed
          7.19000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        E-carat Plc
        213800P8XQG7CEH4YG57
        E-Carat 11 PLC, Class G
        000CZN804
        
          
        
        481351.12000000
        PA
        
        666295.94000000
        0.636671622215
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2024-01-18
          Floating
          5.04820000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Corp., Class M3
        46626LHD5
        
          
        
        814557.61890000
        PA
        USD
        714611.40000000
        0.682838918831
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-02-25
          Floating
          0.66113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -399000.00000000
        NS
        USD
        -399000.00000000
        -0.38125998075
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.52288000
          2021-07-21
          
            
              -399000.00000000
              USD
              640057.60000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Oaktree Clo Ltd
        N/A
        Oaktree CLO 2019-3, Ltd.
        67400GAA7
        
          
        
        517000.00000000
        PA
        USD
        512657.20000000
        0.489863845132
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-07-20
          Floating
          6.95825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jubilee Place
        7245009KXOSYFG657V11
        Jubilee Place, Trust 2021-1, Class X
        BCC2RB4M0
        
          
        
        500000.00000000
        PA
        
        605636.17000000
        0.578708858448
        Long
        ABS-MBS
        CORP
        NL
        N
        2
        
          2058-07-17
          Floating
          4.46451000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lehman Mortgage Trust
        N/A
        Lehman Mortgage Trust, Series 2007-5 Class 6A1
        52521RBR1
        
          
        
        892593.25000000
        PA
        USD
        485392.21000000
        0.463811089335
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-10-25
          Floating
          0.42613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sound Point Clo Ltd
        5493006UE7EGV6XUOE47
        SOUND POINT CLO , Series 2017-3A, Class D
        83611FAA1
        
          
        
        526000.00000000
        PA
        USD
        513639.00000000
        0.490801993125
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2030-10-20
          Floating
          6.68825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Honours Plc
        213800IQ162GN31K9S35
        Honours PLC, Class B
        N/A
        
          
        
        592977.00000000
        PA
        
        595687.65000000
        0.569202661596
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2029-04-10
          Floating
          1.04750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Baml Trust
        N/A
        Morgan Stanley Bank of America Merrill Lynch Trust, Class A4
        61764RBF4
        
          
        
        1000000.00000000
        PA
        USD
        1075200.00000000
        1.027395316570
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2024-12-17
          Fixed
          3.24900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -113000.00000000
        NS
        USD
        -113000.00000000
        -0.10797588427
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.08250000
          2021-06-10
          
            
              -113000.00000000
              USD
              147018.20000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5Yr Note Future
        N/A
        
          
        
        -336.00000000
        NC
        USD
        -41643000.00000000
        -39.7915022023
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                Chicago Board of Trade
                US 5Yr Note Future
                
                  
                  
                
              
            
            2021-06-30
            -41643000.00000000
            USD
            256649.98000000
          
        
        
          N
          N
          N
        
      
      
        Wind River Clo Ltd
        635400WBNY8VGBBADK15
        Wind River CLO, Ltd., Series 2016-1X, Class ER
        G8832AAC1
        
          
        
        750000.00000000
        PA
        USD
        744450.00000000
        0.711350858836
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2028-07-15
          Floating
          5.73375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -526000.00000000
        NS
        USD
        -526000.00000000
        -0.50261340821
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.68200000
          2021-06-16
          
            
              -526000.00000000
              USD
              844493.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        BNY Mellon Liquidity Funds plc
        N/A
        BNY Mellon U.S. Treasury Fund, Institutional Class
        G1206E136
        
          
        
        2698880.84000000
        NS
        USD
        2698880.84000000
        2.578885356211
        Long
        STIV
        RF
        IE
        N
        1
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10 Yr Note Future
        N/A
        
          
        
        -9.00000000
        NC
        USD
        -1188281.25000000
        -1.13544883837
        N/A
        DIR
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                Chicago Board of Trade
                US 10 Yr Note Future
                
                  
                  
                
              
            
            2021-06-21
            -1188281.25000000
            USD
            17437.50000000
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -314000.00000000
        NS
        USD
        -314000.00000000
        -0.30003918285
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.47575000
          2021-07-23
          
            
              -314000.00000000
              USD
              555401.36740000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Fta Santander Consumo
        98450072AC11A1C80548
        FTA Santander Consumo 4
        BCC2QM3E6
        
          
        
        500000.00000000
        PA
        
        613210.38000000
        0.585946309974
        Long
        ABS-O
        CORP
        ES
        N
        2
        
          2032-09-18
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Soundview Home Equity Loan Trust
        N/A
        Soundview Home Loan Trust, Class M1
        83612QAE8
        
          
        
        912764.80920000
        PA
        USD
        888667.82000000
        0.849156581338
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Floating
          0.45613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comm Mortgage Trust
        N/A
        COMM 2014-FL5 Mortgage Trust
        12635HAM2
        
          
        
        934303.68600000
        PA
        USD
        801912.85000000
        0.766258841506
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2031-08-15
          Floating
          4.60600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital Clo Ltd
        54930064GO7DB3TVDY21
        Anchorage Capital CLO, Ltd., Series 2015-6X, Class ER
        G04190AF4
        
          
        
        700000.00000000
        PA
        USD
        691040.00000000
        0.660315531587
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2030-07-15
          Floating
          6.53375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sofi Consumer Loan Program Trust
        N/A
        SoFi Consumer Loan Program, Class R1
        83407A102
        
          
        
        14000.00000000
        PA
        USD
        456288.89000000
        0.436001737899
        Long
        ABS-O
        CORP
        US
        Y
        3
        
          2029-01-25
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital Clo Ltd
        549300V7DN3VJ8H1GE96
        Anchorage Capital CLO, Series 2014-3RA, Class E
        03330BAA8
        
          
        
        551000.00000000
        PA
        USD
        532210.90000000
        0.508548164144
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-01-28
          Floating
          5.68400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -773000.00000000
        NS
        USD
        -773000.00000000
        -0.73863149154
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.55088000
          2021-08-06
          
            
              -770000.00000000
              USD
              1021752.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -219000.00000000
        NS
        USD
        -219000.00000000
        -0.20926299695
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.59738000
          2021-07-08
          
            
              -219000.00000000
              USD
              299493.40000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        CME GLOBEX
        N/A
        BP CURRENCY FUT   Jun21
        N/A
        
          
        
        -128.00000000
        NC
        USD
        -11048800.00000000
        -10.5575570812
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                CME GLOBEX
                BP CURRENCY FUT   Jun21
                
                  
                  
                
              
            
            2021-06-14
            -11048800.00000000
            USD
            75678.80000000
          
        
        
          N
          N
          N
        
      
      
        Jp Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, Class D
        46648PAL9
        
          
        
        500000.00000000
        PA
        USD
        484350.00000000
        0.462815217244
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2032-10-15
          Floating
          2.25463000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nationstar Home Equity Loan Trust
        N/A
        Nationstar Home Equity Loan Trust, Class M2
        63860LAG5
        
          
        
        1027595.59330000
        PA
        USD
        1467509.27000000
        1.402262045221
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-04-25
          Floating
          0.57613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Trust, Class D
        12656DAJ2
        
          
        
        307000.00000000
        PA
        USD
        280444.50000000
        0.267975600686
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2029-12-17
          Floating
          3.39300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New York Mortgage Trust
        549300JFGR0M7ULHWG48
        New York Mortgage Trust, Inc., Class E
        649604873
        
          
        
        17808.00000000
        NS
        USD
        432734.40000000
        0.413494508816
        Long
        EP
        CORP
        US
        N
        1
        
          N
          N
          N
        
      
      
        Aps Resecuritization Trust
        549300FP1DPPUKF3RF96
        APS Resecuritization Trust, Class 1M
        00191PAB9
        
          
        
        2207356.63270000
        PA
        USD
        566628.45000000
        0.541435468532
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2054-08-28
          Floating
          1.58000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF, Class C
        39152TAJ9
        
          
        
        500000.00000000
        PA
        USD
        497800.00000000
        0.475667214089
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2024-12-15
          Floating
          1.74800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, Class E
        46648PAN5
        
          
        
        504000.00000000
        PA
        USD
        471996.00000000
        0.451010490922
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2032-10-15
          Floating
          4.13463000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lansdowne Mortgage Securities Plc
        549300M5JCJD5NA85U45
        Lansdowne Mortgage Securities No 1 PLC, Class M2
        N/A
        
          
        
        500000.00000000
        PA
        
        403897.71000000
        0.385939932689
        Long
        ABS-MBS
        CORP
        IE
        N
        2
        
          2045-06-15
          Floating
          0.29800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cfg Investments Limited
        549300C3OD89QRWQ1Y92
        CFG Investments, Ltd.
        12528GAE2
        
          
        
        1196000.00000000
        PA
        USD
        1199827.20000000
        1.146481441568
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2025-10-20
          Fixed
          5.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cgdb Commercial Mortgage Trust
        N/A
        Alternative Loan Trust, Class F
        125284AL3
        
          
        
        526000.00000000
        PA
        USD
        523370.00000000
        0.500100341177
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-11-15
          Floating
          2.66463000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -471000.00000000
        NS
        USD
        -471000.00000000
        -0.45005877427
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.17288000
          2021-07-21
          
            
              -471000.00000000
              USD
              669565.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Blackrock Liquidity Funds T-fund
        5493002L9DNZ83RX7V61
        BlackRock Liquidity Funds T-Fund
        09248U718
        
          
        
        10073906.14000000
        NS
        USD
        10073906.14000000
        9.626008173184
        Long
        STIV
        RF
        US
        N
        1
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Countrywide Alternative Loan Trust, 05-13CB, Class A1
        12667GAA1
        
          
        
        534950.79760000
        PA
        USD
        468723.89000000
        0.447883862863
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-05-25
          Floating
          0.60613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -371000.00000000
        NS
        USD
        -371000.00000000
        -0.35450489438
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.67713000
          2021-07-28
          
            
              -371000.00000000
              USD
              612096.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -1228000.00000000
        NS
        USD
        -1228000.00000000
        -1.17340164504
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.77575000
          2021-07-23
          
            
              -1228000.00000000
              USD
              1899800.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Slide 2018-fun
        N/A
        SLIDE 2018-FUN, Class D
        831350AL7
        
          
        
        947893.20630000
        PA
        USD
        931305.08000000
        0.889898137546
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-06-15
          Floating
          1.96500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -702000.00000000
        NS
        USD
        -702000.00000000
        -0.67078823682
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.51750000
          2021-07-13
          
            
              -702000.00000000
              USD
              1013825.40000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding
        6354008YXSM4DT8B8S69
        Tower Bridge Funding 2020-1 PLC, Class E
        N/A
        
          
        
        500000.00000000
        PA
        
        721457.28000000
        0.689380422784
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2063-09-20
          Floating
          5.29830000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dowson
        213800MIBTQLAPXDOM66
        Dowson 2021-1 PLC
        N/A
        
          
        
        363000.00000000
        PA
        
        502572.19000000
        0.480227226790
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2028-03-20
          Floating
          3.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -375000.00000000
        NS
        USD
        -375000.00000000
        -0.35832704958
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.18375000
          2021-07-21
          
            
              -375000.00000000
              USD
              504400.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Autoflorence
        815600AE1950B3B44247
        AutoFlorence 1 Srl, Class E
        N/A
        
          
        
        365365.49000000
        PA
        
        443435.64000000
        0.423719958832
        Long
        ABS-O
        CORP
        IT
        N
        2
        
          2042-12-25
          Floating
          3.94500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bain Capital Credit Clo, Limited
        N/A
        Bain Capital Credit CLO, Class E
        05683MAA2
        
          
        
        563000.00000000
        PA
        USD
        529726.70000000
        0.506174414659
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-04-23
          Floating
          5.52288000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ocp Clo Ltd
        2549001TBA76KDJQIQ68
        OCP CLO Ltd, Series 2014-6A, Class DR
        67106HAG9
        
          
        
        757000.00000000
        PA
        USD
        743601.10000000
        0.710539701950
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2030-10-17
          Floating
          6.70975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cit Mortgage Loan Trust
        N/A
        CIT Mortgage Loan Trust, Class 1M2
        12559QAH5
        
          
        
        1000000.00000000
        PA
        USD
        883800.00000000
        0.844505190462
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2022-05-25
          Floating
          1.85613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Structured Asset Investment Loan Trust
        N/A
        Structured Asset Investment Loan Trust 2005-9, Class M2
        86358EYG5
        
          
        
        539079.92750000
        PA
        USD
        560319.68000000
        0.535407194023
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          0.78113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dowson
        213800MIBTQLAPXDOM66
        Dowson 2021-1 PLC
        N/A
        
          
        
        363000.00000000
        PA
        
        502572.19000000
        0.480227226790
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2028-03-20
          Floating
          4.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fta Santander Consumo
        98450072AC11A1C80548
        FTA Santander Consumo 4
        BCC2QM3F3
        
          
        
        500000.00000000
        PA
        
        605636.17000000
        0.578708858448
        Long
        ABS-O
        CORP
        ES
        N
        2
        
          2032-09-18
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Jp Morgan Chase Commercial Mortgage Sec Trust
        N/A
        J.P. Morgan Chase Commercial Mortgage Securities Trust, Class B
        46646JAD3
        
          
        
        750000.00000000
        PA
        USD
        746625.00000000
        0.713429155724
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-10-05
          Fixed
          3.20100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Auto Credit Securitization Trust
        N/A
        United Auto Credit Securitization Trust, Class E
        90943UAE4
        
          
        
        500000.00000000
        PA
        USD
        505500.00000000
        0.483024862840
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2024-01-10
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        New Century Home Equity Loan Trust
        N/A
        New Century Home Equity Loan Trust, Class M6
        64352VKY6
        
          
        
        302999.30980000
        PA
        USD
        301423.71000000
        0.288022049811
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-06-25
          Floating
          1.12613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sierra Receivables Funding Co Llc
        N/A
        Sierra Timeshare 2020-2 Receivables Funding LLC, Series 2020-2A, Class D
        826525AD9
        
          
        
        535140.19000000
        PA
        USD
        554244.69000000
        0.529602305375
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2037-07-20
          Fixed
          6.59000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -264000.00000000
        NS
        USD
        -264000.00000000
        -0.25226224290
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.49263000
          2021-05-07
          
            
              -264000.00000000
              USD
              355392.00000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -296000.00000000
        NS
        USD
        -296000.00000000
        -0.28283948447
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.43750000
          2021-10-12
          
            
              -296000.00000000
              USD
              442657.68880000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Ll Abs Trust 2019-1
        N/A
        LL ABS Trust 2019-1, Class C
        50202AAC2
        
          
        
        500000.00000000
        PA
        USD
        508200.00000000
        0.485604817597
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2027-03-15
          Fixed
          5.07000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dowson
        213800MIBTQLAPXDOM66
        Dowson 2021-1 PLC
        N/A
        
          
        
        363000.00000000
        PA
        
        502572.19000000
        0.480227226790
        Long
        ABS-O
        CORP
        GB
        N
        2
        
          2028-03-20
          Floating
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cfg Investments Limited
        549300C3OD89QRWQ1Y92
        CFG Investments, Ltd.
        12528GAF9
        
          
        
        500000.00000000
        PA
        USD
        502050.00000000
        0.479728253984
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2026-05-20
          Fixed
          7.48000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding Trust
        N/A
        Bear Stearns Mortgage Funding Trust 2006-AR1
        07401LAB9
        
          
        
        386938.77140000
        PA
        USD
        494933.38000000
        0.472928047457
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          0.35613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -591000.00000000
        NS
        USD
        -591000.00000000
        -0.56472343014
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.08250000
          2021-06-10
          
            
              -591000.00000000
              USD
              772674.60000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Ashford Hospitality Trust
        N/A
        Ashford Hospitality Trust, Class C
        04410RAJ5
        
          
        
        500000.00000000
        PA
        USD
        499400.00000000
        0.477196076167
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2035-04-15
          Floating
          1.51500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cig Auto Receivables Trust
        N/A
        CIG Auto Receivables Trust 2020-1, Class E
        12597UAE7
        
          
        
        1150000.00000000
        PA
        USD
        1184615.00000000
        1.131945594251
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2027-02-12
          Fixed
          4.43000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -673000.00000000
        NS
        USD
        -673000.00000000
        -0.64307761165
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.83250000
          2021-06-10
          
            
              -673000.00000000
              USD
              912374.68060000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Tower Bridge Funding 2020-1 PLC
        6354008YXSM4DT8B8S69
        Tower Bridge Funding 2020-1 PLC, Class X
        000C1Y908
        
          
        
        186100.87000000
        PA
        
        253415.27000000
        0.242148122717
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2063-09-20
          Floating
          2.54950000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Great Wolf Trust
        N/A
        Great Wolf Trust 2019-WOLF, Class D
        39152TAL4
        
          
        
        750000.00000000
        PA
        USD
        741075.00000000
        0.708125915390
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2024-12-15
          Floating
          2.04800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -357000.00000000
        NS
        USD
        -357000.00000000
        -0.34112735120
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.59738000
          2021-07-08
          
            
              -357000.00000000
              USD
              532210.90000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -412000.00000000
        NS
        USD
        -412000.00000000
        -0.39368198514
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.07713000
          2021-07-28
          
            
              -412000.00000000
              USD
              660364.88920000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Romark Clo Ltd
        N/A
        Romark CLO II, Ltd., Class D
        77587EAJ7
        
          
        
        531000.00000000
        PA
        USD
        515070.00000000
        0.492169369146
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-07-25
          Floating
          6.42575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -186000.00000000
        NS
        USD
        -186000.00000000
        -0.17773021659
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.54263000
          2021-08-06
          
            
              -186000.00000000
              USD
              269486.40000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-1, Ltd.
        26983BAD3
        
          
        
        500000.00000000
        PA
        USD
        501700.00000000
        0.479393815405
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2033-10-25
          Floating
          4.46467000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Program Llc
        549300RC6OGKQI1MHM67
        SoFi Professional Loan Program, Series 2017-D, Class R1
        78471C109
        
          
        
        16181.00000000
        PA
        USD
        450757.42000000
        0.430716203699
        Long
        ABS-MBS
        CORP
        US
        Y
        3
        
          2040-09-25
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Comm Mortgage Trust
        N/A
        Commercial Mortgage Trust, Class D
        12593JBL9
        
          
        
        274000.00000000
        PA
        USD
        248627.60000000
        0.237573318275
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2025-08-12
          Floating
          3.46300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Stratton Mortgage Funding Plc
        635400KUSIALYCFALE10
        Stratton Mortgage Funding, Class X
        BCC2QXYI9
        
          
        
        957286.53000000
        PA
        
        1315312.14000000
        1.256831782426
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2060-07-20
          Floating
          4.04810000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Race Point Clo Ltd
        5493008ABAJEYBWITR69
        Race Point CLO Ltd, series 13-8A Class ER
        74982KAE2
        
          
        
        640000.00000000
        PA
        USD
        612032.00000000
        0.584820322164
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2030-02-20
          Floating
          7.03238000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pagaya Ai Debt Selection Trust
        5493001XFSNPU74AZ410
        Pagaya AI Debt Selection, Trust 2021-1, Class C
        69547JAC7
        
          
        
        1070000.00000000
        PA
        USD
        1076420.00000000
        1.028561073905
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2027-11-15
          Floating
          4.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Delft
        724500XOGMV0BMF6EK71
        Delft 2020 BV, Class F
        N/A
        
          
        
        500000.00000000
        PA
        
        592651.81000000
        0.566301798689
        Long
        ABS-MBS
        CORP
        NL
        N
        2
        
          2023-04-17
          Floating
          2.76300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        First Franklin Mtg Loan Asset Backed Certificates
        N/A
        First Franklin Mortgage Loan Trust, Class M3
        32027NXY2
        
          
        
        1948901.25870000
        PA
        USD
        1466548.20000000
        1.401343705547
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-11-25
          Floating
          0.85613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -350000.00000000
        NS
        USD
        -350000.00000000
        -0.33443857961
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.17288000
          2021-07-21
          
            
              -350000.00000000
              USD
              561730.74450000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Gallatin Funding Ltd
        N/A
        Gallatin CLO IX, Ltd., Series 2018-1A, Class E
        36361XAA2
        
          
        
        805000.00000000
        PA
        USD
        798318.50000000
        0.762824300624
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2028-01-21
          Floating
          5.65600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credito Real Usa Auto Receivables Trust
        N/A
        Credito Real USA Auto Receivables Trust 2021-1
        22551EAE6
        
          
        
        1108000.00000000
        PA
        USD
        1107889.20000000
        1.058631115475
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2024-06-17
          Fixed
          4.37000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2019-3, Class C
        91678WAE9
        
          
        
        750000.00000000
        PA
        USD
        775275.00000000
        0.740805342312
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2030-01-21
          Fixed
          5.38100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation Clo Ltd
        N/A
        Elevation CLO 2021-12A, Ltd. Class E
        28623NAA5
        
          
        
        510000.00000000
        PA
        USD
        499902.00000000
        0.477675756644
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2032-04-20
          Floating
          7.47189000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Alm Loan Funding
        549300OB3NG2PMZ54Z49
        ALM Series 2016-18A, Class DR
        00165LAC8
        
          
        
        275000.00000000
        PA
        USD
        271012.50000000
        0.258962958735
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2028-01-15
          Floating
          5.68375000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -400000.00000000
        NS
        USD
        -400000.00000000
        -0.38221551955
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.18138000
          2021-07-21
          
            
              -400000.00000000
              USD
              521500.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -217000.00000000
        NS
        USD
        -217000.00000000
        -0.20735191935
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          2.18425000
          2021-06-03
          
            
              -217000.00000000
              USD
              357544.82460000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Loan Trust
        N/A
        National Collegiate Student Loan Trust 2006-3, Class B
        63543VAG8
        
          
        
        784000.00000000
        PA
        USD
        639195.20000000
        0.610775813666
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2032-01-26
          Floating
          0.46613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cfg Investments Limited
        549300C3OD89QRWQ1Y92
        CFG Investments, Ltd.
        12528GAD4
        
          
        
        1350000.00000000
        PA
        USD
        1371330.00000000
        1.310359021087
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2024-11-20
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -380000.00000000
        NS
        USD
        -380000.00000000
        -0.36310474357
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.18750000
          2021-07-13
          
            
              -380000.00000000
              USD
              484377.65640000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        CME GLOBEX
        N/A
        EURO FX CURR FUT  Jun21
        N/A
        
          
        
        -51.00000000
        NC
        USD
        -7670718.75000000
        -7.32966938102
        N/A
        DFE
        CORP
        US
        N
        1
        
          
            
              Wells Fargo Securities, LLC
              PBLD0EJDB5FWOLXP3B76
            
            Short
            
              
                CME GLOBEX
                EURO FX CURR FUT  Jun21
                
                  
                  
                
              
            
            2021-06-14
            -7670718.75000000
            USD
            -74680.27000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Home Equity Loan Inc
        N/A
        Nomura Home Equity Loan, Inc. Home Equity Loan Trust, Class M2
        65536MAF4
        
          
        
        2796520.02040000
        PA
        USD
        2485267.34000000
        2.374769368993
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-03-25
          Floating
          0.44613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Genworth Mortgage Insurance Corporation
        N/A
        Triangle Re 2021-2, Ltd.
        89600GAC5
        
          
        
        500000.00000000
        PA
        USD
        505050.00000000
        0.482594870381
        Long
        ABS-O
        CORP
        BM
        Y
        2
        
          2033-10-25
          Floating
          4.61013000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Autonoria
        959800QDWD3FK96ATG53
        Autonoria Spain, Series 2019-SP, Class F
        BCC2LZU85
        
          
        
        433819.55000000
        PA
        
        522500.73000000
        0.499269719965
        Long
        ABS-O
        CORP
        ES
        N
        2
        
          2035-12-25
          Floating
          3.44500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Miravet Sarl
        222100N4914C4WCYHB56
        Miravet Sarl - Compartment 2020-1, Class E
        BCC2PRGQ5
        
          
        
        1000000.00000000
        PA
        
        1103069.36000000
        1.054025571350
        Long
        ABS-MBS
        CORP
        LU
        N
        2
        
          2065-05-26
          Floating
          3.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barings Clo Ltd
        54930079SUKCXYW8DR07
        Barings CLO, Ltd., Class ER
        06760EAJ5
        
          
        
        514000.00000000
        PA
        USD
        490921.40000000
        0.469094444907
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2028-01-20
          Floating
          5.38825000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Apex Credit Clo Llc
        254900VJGL23NNLC3592
        Apex Credit CLO, LLC, Series 2015-2X, Class ER
        G0476AAA3
        
          
        
        500000.00000000
        PA
        USD
        475150.00000000
        0.454024260294
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2026-10-17
          Floating
          6.32338000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        American Credit Acceptance Receivables Trust
        N/A
        American Credit Acceptance Receivables Trust, Class E
        02529VAJ8
        
          
        
        243000.00000000
        PA
        USD
        249682.50000000
        0.238581316154
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2026-03-13
          Fixed
          3.32000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bl Consumer Issuance Platform Ii
        549300BCEKCIKD7MN312
        BL Consumer Credit, Series 2021-1, Class G
        N/A
        
          
        
        410000.00000000
        PA
        
        496621.66000000
        0.474541264501
        Long
        ABS-O
        CORP
        LU
        N
        2
        
          2038-09-25
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities Trust, Class A4
        94984WAD4
        
          
        
        N/A
        PA
        USD
        74052.71000000
        0.070760237568
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -439000.00000000
        NS
        USD
        -439000.00000000
        -0.41948153271
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.08375000
          2021-07-21
          
            
              -439000.00000000
              USD
              553337.10000000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Countrywide Alternative Loan Trust
        N/A
        Countrywide Alternative Loan Trust, 07-16CB, Class 2A1
        02152AAL3
        
          
        
        1280469.77510000
        PA
        USD
        500023.45000000
        0.477791806831
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-08-25
          Floating
          0.55613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Residential Accredit Loans, Inc.
        N/A
        RALI Trust, Class 1A16
        75115CAR8
        
          
        
        655265.46000000
        PA
        USD
        487451.98000000
        0.465779279487
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          0.75613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Mortgage Backed Securities Trust
        N/A
        Wells Fargo Mortgage Backed Securities Trust, Class A8
        94984WAH5
        
          
        
        N/A
        PA
        USD
        52450.43000000
        0.050118420883
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-02-25
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -727000.00000000
        NS
        USD
        -727000.00000000
        -0.69467670679
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.17288000
          2021-07-21
          
            
              -727000.00000000
              USD
              1125505.03300000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Cgdb Commercial Mortgage Trust
        N/A
        CGDB Commercial Mortgage Trust, Class G
        125284AN9
        
          
        
        1524000.00000000
        PA
        USD
        1474470.00000000
        1.408913292804
        Long
        ABS-MBS
        CORP
        US
        Y
        2
        
          2021-11-15
          Floating
          3.10637000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Zip Master Trust
        N/A
        Zip Master Trust Series 2021-1
        BCC2RBDR9
        
          
        
        500000.00000000
        PA
        
        386138.31000000
        0.368970136944
        Long
        ABS-O
        CORP
        AU
        N
        2
        
          2024-04-10
          Floating
          3.71500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -315000.00000000
        NS
        USD
        -315000.00000000
        -0.30099472165
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.69550000
          2021-11-03
          
            
              -315000.00000000
              USD
              499800.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -1080000.00000000
        NS
        USD
        -1080000.00000000
        -1.03198190280
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.23375000
          2021-07-15
          
            
              -1080000.00000000
              USD
              1371465.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Venture Cdo Ltd
        549300BWBX8PTZD3W768
        Venture CDO, Ltd., Series 2016-23X, Class ER
        G9390LAA3
        
          
        
        500000.00000000
        PA
        USD
        475950.00000000
        0.454788691333
        Long
        ABS-CBDO
        CORP
        KY
        N
        2
        
          2028-07-19
          Floating
          6.13975000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        REVERSE REPO
        N/A
        
          
        
        -325000.00000000
        NS
        USD
        -325000.00000000
        -0.31055010964
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.23975000
          2021-07-19
          
            
              -325000.00000000
              USD
              472827.54360000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Hsi Asset Securitization Corporation Trust
        2138004J9K5ER1VNP306
        HSI Asset Securitization Corp. Trust, Class M5
        40430HEE4
        
          
        
        1000000.01400000
        PA
        USD
        826100.01000000
        0.789370611321
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-01-25
          Floating
          0.91613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -817000.00000000
        NS
        USD
        -817000.00000000
        -0.78067519869
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.43750000
          2021-10-12
          
            
              -817000.00000000
              USD
              1213324.24300000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Popular Abs Mortgage Pass-through Trust
        N/A
        Popular ABS Mortgage Pass-Through Trust, Class MF1
        73316PGL8
        
          
        
        390850.25400000
        PA
        USD
        295951.81000000
        0.282793437057
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-11-25
          Floating
          3.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -390000.00000000
        NS
        USD
        -390000.00000000
        -0.37266013156
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.44513000
          2021-09-24
          
            
              -390000.00000000
              USD
              504864.00000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Banc Of America Funding Corporation
        N/A
        Banc of America Funding , Class CA8
        059523BM1
        
          
        
        3377965.30000000
        PA
        USD
        671877.30000000
        0.642004828246
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-07-25
          Floating
          5.24387000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Galaxy Clo Ltd
        5493000B2531UL3WQV87
        Galaxy XIX CLO, Ltd.
        36319RAQ3
        
          
        
        507000.00000000
        PA
        USD
        500155.50000000
        0.477917985730
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2030-07-24
          Floating
          6.70575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Domi
        724500YH04ZH2QORR597
        Domi 2020-1 BV, Class X2
        BCC2MYWN2
        
          
        
        500000.00000000
        PA
        
        613210.38000000
        0.585946309974
        Long
        ABS-MBS
        CORP
        NL
        N
        2
        
          2052-04-15
          Floating
          6.21200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Domi
        724500YH04ZH2QORR597
        Domi 2020-1 BV, Class X1
        BCC2MYWM4
        
          
        
        327917.61000000
        PA
        
        395423.45000000
        0.377842448467
        Long
        ABS-MBS
        CORP
        NL
        N
        2
        
          2052-04-15
          Floating
          4.41200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Miravet
        222100N4914C4WCYHB56
        Miravet SARL, Class E
        N/A
        
          
        
        500000.00000000
        PA
        
        540654.27000000
        0.516616131772
        Long
        ABS-MBS
        CORP
        LU
        N
        2
        
          2065-05-26
          Floating
          2.46100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ownit Mortgage Loan Asset-backed Certificates
        N/A
        Ownit Mortgage Loan Trust, Class M1
        69121PAY9
        
          
        
        1254107.60630000
        PA
        USD
        1210339.25000000
        1.156526113199
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-08-25
          Floating
          0.93113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Diamond Resorts Owner Trust
        N/A
        Diamond Resorts Owner Trust 2021-1
        25273CAD2
        
          
        
        500000.00000000
        PA
        USD
        503750.00000000
        0.481352669942
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2033-11-21
          Fixed
          3.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables Trust
        549300KR7NUJOX0UJ040
        Exeter Automobile Receivables Trust, Class E
        30167LAJ8
        
          
        
        1730000.00000000
        PA
        USD
        1819095.00000000
        1.738215851373
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2023-06-15
          Fixed
          4.68000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Countrywide Asset-backed Certificates
        N/A
        Countrywide Asset-Backed Certificates, Series 05-2, Class M6
        126673ZH8
        
          
        
        516171.38250000
        PA
        USD
        522365.44000000
        0.499140445121
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-08-25
          Floating
          2.13113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -415000.00000000
        NS
        USD
        -415000.00000000
        -0.39654860154
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.22288000
          2021-07-21
          
            
              -415000.00000000
              USD
              554191.18700000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Jp Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Trust, Class M2
        46625SAG1
        
          
        
        1043655.19230000
        PA
        USD
        1208552.71000000
        1.154819004913
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2036-07-25
          Floating
          0.42613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Upstart Securitization Trust
        N/A
        Upstart Securitization Trust 2020-3, Class C
        91680EAC9
        
          
        
        1250000.00000000
        PA
        USD
        1335750.00000000
        1.276360950622
        Long
        ABS-O
        CORP
        US
        Y
        2
        
          2030-11-20
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ocp Clo Ltd
        254900NXH68CRC058O44
        OCP CLO 2014-5, Ltd.
        67103SAJ2
        
          
        
        525000.00000000
        PA
        USD
        509932.50000000
        0.487260288566
        Long
        ABS-CBDO
        CORP
        KY
        Y
        2
        
          2031-04-26
          Floating
          5.87575000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Syon Securities 2020-2
        5493000H7F78QNDVY831
        SYON 2020-2, Class B
        N/A
        
          
        
        1136936.97000000
        PA
        
        1664526.34000000
        1.590519499650
        Long
        ABS-MBS
        CORP
        GB
        N
        2
        
          2027-12-17
          Floating
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        National Collegiate Student Loan Trust
        N/A
        National Collegiate Student Loan Trust, Class A3A2
        63544EAF7
        
          
        
        157000.00000000
        PA
        USD
        157376.80000000
        0.150379638445
        Long
        ABS-O
        CORP
        US
        N
        2
        
          2038-03-25
          Floating
          3.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        N/A
        N/A
        Reverse Repo
        N/A
        
          
        
        -255000.00000000
        NS
        USD
        -255000.00000000
        -0.24366239371
        Short
        RA
        CORP
        US
        N
        2
        
          Reverse repurchase
          
            
              
            
          
          N
          1.62575000
          2021-07-23
          
            
              -255000.00000000
              USD
              439168.01730000
              USD
              PLCMO
            
          
        
        
          N
          N
          N
        
      
      
        Jp Morgan Mortgage Acquisition Corp
        N/A
        JP Morgan Mortgage Acquisition Corp., Class M7
        46626LES5
        
          
        
        208455.74510000
        PA
        USD
        221921.99000000
        0.212055071772
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2035-12-25
          Floating
          2.58113000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bear Stearns Mortgage Funding Trust
        N/A
        Bear Stearns Mortgage Funding Trust 2006-AR5, Class 2A2
        07401NAQ2
        
          
        
        1137944.00440000
        PA
        USD
        1440978.49000000
        1.376910855566
        Long
        ABS-MBS
        CORP
        US
        N
        2
        
          2037-01-25
          Floating
          0.33613000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Social Professional Loan Program Llc
        N/A
        Sofi Professional Loan Program, Series 2018-D Class R1
        83401A108
        
          
        
        21839.00000000
        PA
        USD
        422318.21000000
        0.403541435134
        Long
        ABS-O
        CORP
        US
        Y
        3
        
          2048-02-25
          Fixed
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      2021-05-30
      1WS CREDIT INCOME FUND
      Stephanie Dolan
      Stephanie Dolan
      Chief Financial Officer and Principal Accounting Officer
    
  





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