0001752724-23-260656.txt : 20231121
0001752724-23-260656.hdr.sgml : 20231121
20231121124134
ACCESSION NUMBER: 0001752724-23-260656
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20230929
FILED AS OF DATE: 20231121
DATE AS OF CHANGE: 20231121
PERIOD START: 20230930
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PRUDENTIAL INVESTMENT PORTFOLIOS 8
CENTRAL INDEX KEY: 0000887991
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0930
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-06677
FILM NUMBER: 231426161
BUSINESS ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 6TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102
BUSINESS PHONE: (973) 802-5032
MAIL ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 6TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102
FORMER COMPANY:
FORMER CONFORMED NAME: DRYDEN INDEX SERIES FUND
DATE OF NAME CHANGE: 20030716
FORMER COMPANY:
FORMER CONFORMED NAME: PRUDENTIAL INDEX SERIES FUND
DATE OF NAME CHANGE: 19980123
FORMER COMPANY:
FORMER CONFORMED NAME: PRUDENTIAL DRYDEN FUND
DATE OF NAME CHANGE: 19970620
0000887991
S000065752
PGIM Securitized Credit Fund
C000212600
Class Z
SCFZX
C000212601
Class A
SCFOX
C000212602
Class C
SCFVX
C000212603
Class R6
SCFQX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000887991
XXXXXXXX
S000065752
C000212601
C000212600
C000212603
C000212602
Prudential Investment Portfolios 8
811-06677
0000887991
549300VRUTQ35U0X1D46
655 Broad Street
Newark
07102-4077
1-800-225-1852
PGIM Securitized Credit Fund
S000065752
549300GWAUUOGWWFGS88
2023-09-30
2023-09-29
N
141549111.73
5154216.90
136394894.83
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
400000.00000000
0.00000000
0.00000000
470762.43000000
EUR
GBP
USD
N
PGIM Securitized Credit Fund - ExDerivatives
N/A
Lightstone HoldCo LLC
549300VXK6UGDG7H3G98
Lightstone Holdco LLC
53226GAK7
174956.28000000
PA
USD
162490.65000000
0.119132501405
Long
LON
CORP
US
N
2
2027-01-29
Floating
11.06608000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AE9
1000000.00000000
PA
USD
919620.10000000
0.674233519624
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
6.54648000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAL1
1500398.34000000
PA
USD
1447922.66000000
1.061566609076
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
7.62801000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAE6
1000000.00000000
PA
USD
801355.40000000
0.587525948825
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.40871700
N
N
N
N
N
N
TH MSR ISSUER TRUST
N/A
TH MSR issuer Trust
87271AAA4
200000.00000000
PA
USD
194475.08000000
0.142582374686
Long
ABS-O
CORP
US
N
2
2024-06-25
Floating
8.23416800
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2022-2
68268VAD7
880000.00000000
PA
USD
844056.40000000
0.618832839053
Long
ABS-O
CORP
US
N
2
2034-10-14
Fixed
6.55000000
N
N
N
N
N
N
BlueMountain EUR CLO
635400IYPG2G6NM3OV52
BlueMountain Fuji Eur CLO V DAC
000000000
1500000.00000000
PA
1527034.91000000
1.119568963268
Long
ABS-CBDO
CORP
IE
N
2
2033-01-15
Floating
5.21300000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTY2
2124792.79000000
PA
USD
23062.50000000
0.016908624057
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Variable
0.76302700
N
N
N
N
N
N
Mountain View CLO Ltd
549300URXZ1TS31FK720
Mountain View CLO IX Ltd
62432BAQ6
750000.00000000
PA
USD
737625.00000000
0.540801032853
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
7.34957000
N
N
N
N
N
N
FHLMC Multifamily Structured P
S6XOOCT0IEG5ABCC6L87
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSP98
3489013.24000000
PA
USD
74417.16000000
0.054560077261
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Variable
1.03833100
N
N
N
N
N
N
ENERGY TRANSFER LP
MTLVN9N7JE8MIBIJ1H73
Energy Transfer LP
29273VAM2
140000.00000000
PA
USD
120785.15000000
0.088555477205
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R08
20755DAF3
700000.00000000
PA
USD
756286.16000000
0.554482747277
Long
ABS-MBS
CORP
US
N
2
2042-07-25
Floating
10.91495000
N
N
N
N
N
N
MidOcean Credit CLO
5493004MLF21SFT7F415
Midocean Credit Clo VII
59801WAM8
378281.93000000
PA
USD
376593.01000000
0.276104916147
Long
ABS-CBDO
CORP
KY
N
2
2029-07-15
Floating
6.60957000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AJ8
1250000.00000000
PA
USD
1138542.50000000
0.834739820298
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
7.19648000
N
N
N
N
N
N
Venture CDO Ltd
549300KIDQKDB48YU144
Venture XIX CLO Ltd
92330EAP2
1750000.00000000
PA
USD
1739804.15000000
1.275563980725
Long
ABS-CBDO
CORP
KY
N
2
2032-01-15
Floating
6.82957000
N
N
N
N
N
N
Rockford Tower Europe CLO
N/A
Rockford Tower Europe CLO 2019-1 DAC
000000000
900000.00000000
PA
822254.33000000
0.602848318498
Long
ABS-CBDO
CORP
IE
N
2
2033-01-20
Fixed
2.20000000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
46654EAQ4
790000.00000000
PA
USD
651966.93000000
0.477999510768
Long
ABS-MBS
CORP
US
N
2
2038-06-15
Floating
8.83748000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C19
46641WAV9
1896087.78000000
PA
USD
1876153.07000000
1.375530273576
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
3.99650000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-3185.02000000
-0.00233514605
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2024-08-31
0.00000000
USD
0.00000000
USD
4135000.00000000
USD
-3185.02000000
N
N
N
Freddie Mac - STACR
5493007ZK0X40BI7UF30
Freddie Mac STACR Remic Trust 2020-DNA2
35565KBD9
1000000.00000000
PA
USD
1002498.30000000
0.734996937568
Long
ABS-MBS
CORP
US
N
2
2050-02-25
Floating
7.92943000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corportation Trust 2021-IP
36262MAL2
140000.00000000
PA
USD
125658.75000000
0.092128631468
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
9.99748000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/EUR FORWARD
000000000
1.00000000
NC
USD
-5014.19000000
-0.00367622996
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-9159795.01000000
USD
8657651.24000000
EUR
2023-10-03
-5014.19000000
N
N
N
Taurus CMBS
635400SG2ZVJCYHITE32
Taurus 2021-1 UK DAC
000000000
248177.20000000
PA
287751.79000000
0.210969619030
Long
ABS-MBS
CORP
IE
N
2
2031-05-17
Floating
7.81872000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank NA - SBCLN
80290CAJ3
600000.00000000
PA
USD
571722.78000000
0.419167286805
Long
ABS-O
CORP
US
N
2
2031-12-15
Fixed
5.00400000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXVIII Ltd
55821KAC0
750000.00000000
PA
USD
745350.00000000
0.546464734570
Long
ABS-CBDO
CORP
KY
N
2
2034-07-17
Floating
6.68957000
N
N
N
N
N
N
Sound Point CLO LTD
549300Q00FJ0WHHYC788
Sound Point CLO II Ltd
83608GAN6
734613.33000000
PA
USD
729525.91000000
0.534863061340
Long
ABS-CBDO
CORP
KY
N
2
2031-01-26
Floating
6.68225000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 5 YEAR TREASURY NOTE
000000000
-82.00000000
NC
USD
77466.19000000
0.056795520167
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
-8716935.35000000
USD
77466.19000000
N
N
N
TICP CLO Ltd
549300T5OQR4UD880D68
TICP CLO IX Ltd
87249AAA3
904225.23000000
PA
USD
903390.81000000
0.662334767826
Long
ABS-CBDO
CORP
KY
N
2
2031-01-20
Floating
6.72775000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISUYHCRLRBE46
Freddie Mac STACR REMIC Trust 2021-DNA3
35564KFG9
100000.00000000
PA
USD
103255.07000000
0.075703031355
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
8.81495000
N
N
N
N
N
N
Last Mile Logistics Pan Euro F
635400NOPX1IKIAX7N90
Last Mile Logistics Pan Euro Finance DAC
000000000
98185.62000000
PA
95891.17000000
0.070304075617
Long
ABS-MBS
CORP
IE
N
2
2033-08-17
Floating
5.68700000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2021-2 Ltd
75049GAB5
300000.00000000
PA
USD
307350.60000000
0.225338785871
Long
ABS-MBS
CORP
BM
Y
2
2031-11-25
Floating
9.01495000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
2 YEAR US TREASURY NOTE
000000000
-39.00000000
NC
USD
24629.60000000
0.018057567353
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-29
-7930356.17000000
USD
24629.60000000
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAF6
500000.00000000
PA
USD
502477.00000000
0.368398685761
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
8.46495000
N
N
N
N
N
N
Wind River CLO Ltd
N/A
Wind River 2016-1K CLO Ltd
97314DAC2
500000.00000000
PA
USD
486303.85000000
0.356541093862
Long
ABS-CBDO
CORP
KY
N
2
2034-10-15
Floating
7.06957000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R05
207942AB9
1600000.00000000
PA
USD
1639263.84000000
1.201851317120
Long
ABS-MBS
CORP
US
N
2
2043-06-25
Floating
8.41495000
N
N
N
N
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
USD/EUR FORWARD
000000000
1.00000000
NC
USD
192176.09000000
0.140896835060
N/A
DFE
CORP
US
N
2
State Street Bank and Trust Company
571474TGEMMWANRLN572
-8440191.33000000
EUR
9117010.27000000
USD
2023-10-03
192176.09000000
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAJ5
990000.00000000
PA
USD
667997.15000000
0.489752311354
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.40871700
N
N
N
N
N
N
OFSI Fund LTD
N/A
OFSI BSL XII Ltd
67115UAE4
1000000.00000000
PA
USD
1000038.90000000
0.733193790901
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
8.10471000
N
N
N
N
N
N
St Pauls CLO
N/A
St Pauls CLO
000000000
750000.00000000
PA
671207.24000000
0.492105837858
Long
ABS-CBDO
CORP
IE
N
2
2032-01-17
Fixed
2.50000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2022-AHP
05610FAF4
1450000.00000000
PA
USD
1370197.51000000
1.004581228430
Long
ABS-MBS
CORP
US
N
2
2039-01-17
Floating
8.37220000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup Commercial Mortgage Trust 2017-C4
17326FAD9
400000.00000000
PA
USD
361555.52000000
0.265079950720
Long
ABS-MBS
CORP
US
N
2
2050-10-12
Fixed
3.47100000
N
N
N
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2023-1 Ltd
26982EAA4
400000.00000000
PA
USD
400000.00000000
0.293266108308
Long
ABS-MBS
CORP
US
N
2
2033-09-26
Floating
7.31495000
N
N
N
N
N
N
Barrow Hanley CLO I Ltd
N/A
Barrow Hanley CLO I Ltd
068751AE6
825000.00000000
PA
USD
826980.00000000
0.606313015623
Long
ABS-CBDO
CORP
KY
N
2
2035-04-20
Floating
7.86655000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2021-SL2
52476TAA0
549809.24000000
PA
USD
506211.13000000
0.371136420194
Long
ABS-MBS
CORP
US
N
2
2068-10-25
Variable
1.87500000
N
N
N
N
N
N
Bain Capital Credit CLO, Limit
549300WZ8E2KQS66KT95
Bain Capital Credit CLO 2019-2
05682LAJ6
750000.00000000
PA
USD
744375.00000000
0.545749898431
Long
ABS-CBDO
CORP
KY
Y
2
2032-10-17
Floating
6.66957000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2021-1R
69356UAA6
840873.36000000
PA
USD
836697.58000000
0.613437607795
Long
ABS-MBS
CORP
US
Y
2
2024-02-27
Floating
8.33193000
N
N
N
N
N
N
Battalion CLO LTD
549300WH2OE0BGHQQP83
Battalion CLO VIII Ltd
07132ACC5
455982.57000000
PA
USD
453958.01000000
0.332826247320
Long
ABS-CBDO
CORP
KY
N
2
2030-07-18
Floating
6.64150000
N
N
N
N
N
N
Deco
549300BXZQDWLENUZL17
Deco 2019-RAM DAC
000000000
143419.52000000
PA
170869.61000000
0.125275663882
Long
ABS-MBS
CORP
IE
N
2
2030-08-07
Floating
7.21939000
N
N
N
N
N
N
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Three-Month SOFR
000000000
40.00000000
NC
USD
-73.20000000
-0.00005366769
N/A
DIR
CORP
US
N
1
CHICAGO MERCANTILE EXCHANGE INC.
SNZ2OJLFK8MNNCLQOF39
Long
THE SECURED OVERNIGHT FINANCING RATE
THE SECURED OVERNIGHT FINANCING RATE
2023-12-19
9463073.20000000
USD
-73.20000000
N
N
N
Diamond Sports Group LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC
25277BAG3
459418.70740000
PA
USD
10336.92000000
0.007578670750
Long
LON
CORP
US
N
2
2026-08-24
Floating
7.87550000
N
N
N
N
N
N
Ellington CLO LTD
254900YE647HYXEP3N43
Ellington Clo II Ltd
28852EAA7
102208.50000000
PA
USD
102008.22000000
0.074788884237
Long
ABS-CBDO
CORP
KY
N
2
2029-02-15
Floating
7.32618000
N
N
N
N
N
N
Greywolf CLO Ltd
5493002TWMA4NNPZ2B66
Greywolf CLO III Ltd
39809CAN4
750000.00000000
PA
USD
742962.75000000
0.544714485777
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
6.89557000
N
N
N
N
N
N
Carlyle Global Market Strategi
6354006SCMVW8LXU4P40
Carlyle Global Market Strategies Euro CLO 2014-2 Ltd
000000000
1099516.51000000
PA
1142297.41000000
0.837492789905
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Floating
4.53100000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2023-R06
20754EAB1
900000.00000000
PA
USD
904776.03000000
0.663350363023
Long
ABS-MBS
CORP
US
N
2
2043-07-25
Floating
8.01495000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2023-A
80290CBX1
250608.38000000
PA
USD
249819.97000000
0.183159325949
Long
ABS-O
CORP
US
N
2
2033-06-15
Fixed
10.06800000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ
000000000
1.00000000
NC
USD
235.05000000
0.000172330496
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2023-10-16
0.00000000
USD
-4.58000000
USD
353175.00000000
USD
239.63000000
N
N
N
Atlas Static Senior Loan Fund
N/A
Atlas Static Senior Loan Fund I Ltd
04942PAC1
500000.00000000
PA
USD
500950.00000000
0.367279142393
Long
ABS-CBDO
CORP
KY
N
2
2030-07-15
Floating
8.70796000
N
N
N
N
N
N
Bank
N/A
BANK 2021-BNK38
06540EAA1
686949.86000000
PA
USD
631701.71000000
0.463141755259
Long
ABS-MBS
CORP
US
N
2
2064-12-15
Fixed
1.27400000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAG1
690000.00000000
PA
USD
624190.77000000
0.457634994900
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
8.94748000
N
N
N
N
N
N
Retiro Mortgage Securities
635400CU9HBU644YSL41
Retiro Mortgage Securities DAC
000000000
60762.22000000
PA
63391.79000000
0.046476658880
Long
ABS-MBS
CORP
IE
N
2
2075-07-30
Floating
5.00000000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/GBP FORWARD
000000000
1.00000000
NC
USD
2434.64000000
0.001784993494
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-2585503.06000000
GBP
3157669.72000000
USD
2023-11-02
2434.64000000
N
N
N
Marble Point CLO XXI Ltd.
N/A
Marble Point CLO XXI Ltd
56606KAA3
500000.00000000
PA
USD
493739.30000000
0.361992507575
Long
ABS-CBDO
CORP
KY
N
2
2034-10-17
Floating
6.80957000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R07
20754MAF4
800000.00000000
PA
USD
882961.84000000
0.647356956505
Long
ABS-MBS
CORP
US
N
2
2042-06-25
Floating
12.11495000
N
N
N
N
N
N
Elevation CLO Ltd
635400HAVYYWWB139K27
Elevation CLO 2014-2 Ltd
28622QAB7
225637.45000000
PA
USD
225296.24000000
0.165179378803
Long
ABS-CBDO
CORP
KY
N
2
2029-10-15
Floating
6.79957000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R01
20754RAF3
2200000.00000000
PA
USD
2202739.88000000
1.614972380561
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.41495000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAC3
1000000.00000000
PA
USD
930000.00000000
0.681843701818
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
6.69748000
N
N
N
N
N
N
Freddie Mac - STACR
5493003FQV7GR462GO02
Freddie Mac Stacr Remic Trust 2020-DNA1
35565HBD6
900000.00000000
PA
USD
903942.00000000
0.662738881192
Long
ABS-MBS
CORP
US
Y
2
2050-01-25
Floating
7.72943000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KLU1
700000.00000000
PA
USD
707825.16000000
0.518952825090
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
8.71495000
N
N
N
N
N
N
OFSI Fund LTD
N/A
OFSI BSL XII Ltd
67115UAA2
1000000.00000000
PA
USD
1007047.50000000
0.738332253018
Long
ABS-CBDO
CORP
KY
N
2
2035-01-20
Floating
7.35471000
N
N
N
N
N
N
MHC Commercial Mortgage Trust
N/A
MHC Commercial Mortgage Trust 2021-MHC
55316VAL8
276747.29000000
PA
USD
268417.72000000
0.196794550363
Long
ABS-MBS
CORP
US
N
2
2038-04-15
Floating
8.04744200
N
N
N
N
N
N
Bank5
N/A
BANK5 2023-5YR3
06211EBE0
9000000.00000000
PA
USD
1107474.30000000
0.811961695032
Long
ABS-MBS
CORP
US
N
2
2056-09-15
Variable
3.31539000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/EUR FORWARD
000000000
1.00000000
NC
USD
6388.36000000
0.004683723689
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-217459.91000000
EUR
236335.00000000
USD
2023-10-03
6388.36000000
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re VII Ltd
67389JAB4
200000.00000000
PA
USD
201974.76000000
0.148080879604
Long
ABS-MBS
CORP
BM
N
2
2034-04-25
Floating
8.21495000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C33
46645JAL6
1620000.00000000
PA
USD
11638.73000000
0.008533112631
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
0.51601300
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2022-1
68269DAE4
1100000.00000000
PA
USD
1055788.80000000
0.774067681430
Long
ABS-O
CORP
US
N
2
2030-12-16
Fixed
5.90000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAJ5
1000000.00000000
PA
USD
869657.60000000
0.637602749783
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
9.94748000
N
N
N
N
N
N
Home Re Ltd
N/A
Home RE 2021-1 Ltd
437307AC5
147169.96000000
PA
USD
147831.77000000
0.108385119680
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
7.73420000
N
N
N
N
N
N
Carlyle Euro CLO
635400GXUD5SKWFXE966
Carlyle Euro CLO 2021-2 DAC
000000000
500000.00000000
PA
513751.71000000
0.376664911571
Long
ABS-CBDO
CORP
IE
N
2
2035-10-15
Floating
5.41300000
N
N
N
N
N
N
HPS Loan Management Ltd
2549009NI8GVCM3ROT27
HPS Loan Management 10-2016 Ltd
40436TAS5
1750000.00000000
PA
USD
1738317.18000000
1.274473785962
Long
ABS-CBDO
CORP
KY
N
2
2034-04-20
Floating
6.72775000
N
N
N
N
N
N
ONE Park Mortgage Trust
N/A
ONE 2021-PARK Mortgage Trust
682413AC3
500000.00000000
PA
USD
467187.10000000
0.342525356672
Long
ABS-MBS
CORP
US
N
2
2036-03-15
Floating
6.39648000
N
N
N
N
N
N
Master Credit Card Trust
549300G7G68IV2D8IM76
Master Credit Card Trust II
576339CP8
500000.00000000
PA
USD
468624.45000000
0.343579171774
Long
ABS-O
CORP
CA
N
2
2026-07-21
Fixed
2.27000000
N
N
N
N
N
N
CityLine Commercial Mortgage T
N/A
CityLine Commercial Mortgage Trust 2016-CLNE
178772AG4
1000000.00000000
PA
USD
880000.00000000
0.645185438279
Long
ABS-MBS
CORP
US
N
2
2031-11-10
Variable
2.87070300
N
N
N
N
N
N
GTT Communications Inc
549300ETSL7K1ZX05H30
GTT COMMUNICATIONS INC
36250LAV6
603.99000000
PA
USD
353.33000000
0.000259049285
Long
LON
CORP
US
N
2
2028-06-30
Floating
14.41597500
N
N
Y
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
100000.00000000
PA
USD
100073.38000000
0.073370326744
Long
ABS-MBS
CORP
US
N
2
2025-02-25
Floating
9.28420000
N
N
N
N
N
N
Heritage Power LLC
9845009CA1DFDE381P22
Heritage Power LLC
42727CAC1
121832.26000000
PA
USD
25051.76000000
0.018367080403
Long
LON
CORP
US
N
2
2026-07-30
Floating
12.50000000
N
N
N
N
N
N
Sierra Receivables Funding Co
N/A
Sierra Timeshare 2023-2 Receivables Funding LLC
82650BAD8
453599.26000000
PA
USD
454206.72000000
0.333008592855
Long
ABS-O
CORP
US
N
2
2040-04-20
Fixed
9.72000000
N
N
N
N
N
N
Gallatin Funding Ltd
N/A
Gallatin CLO X 2023-1 Ltd
36362MAE7
1000000.00000000
PA
USD
999921.00000000
0.733107350715
Long
ABS-CBDO
CORP
BM
N
2
2035-10-14
Floating
8.38490000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2021-R03
20754AAB9
800000.00000000
PA
USD
783516.24000000
0.574446896254
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
6.96495000
N
N
N
N
N
N
Northwoods Capital Ltd
N/A
Northwoods Capital 22 Ltd
66858HAN6
750000.00000000
PA
USD
745363.80000000
0.546474852250
Long
ABS-CBDO
CORP
KY
N
2
2031-09-01
Floating
6.72665000
N
N
N
N
N
N
Benefit Street Partners CLO Lt
N/A
Benefit Street Partners CLO XVI Ltd
08181VAN5
750000.00000000
PA
USD
746402.25000000
0.547236207726
Long
ABS-CBDO
CORP
KY
N
2
2032-01-17
Floating
6.59957000
N
N
N
N
N
N
BANK5 2023-5YR2
N/A
BANK5 2023-5YR2
06211CAM7
49985385.84000000
PA
USD
1125136.05000000
0.824910676753
Long
ABS-MBS
CORP
US
N
2
2028-06-15
Variable
0.77480100
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON
46649XAN7
600000.00000000
PA
USD
205694.10000000
0.150807770522
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
4.76697300
N
N
N
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2023-2
68269HAD7
1800000.00000000
PA
USD
1792033.56000000
1.313856770250
Long
ABS-O
CORP
US
N
2
2036-09-15
Fixed
7.52000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
212500.00000000
PA
USD
209003.14000000
0.153233843730
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
7.74668000
N
N
N
N
N
N
Battalion CLO LTD
549300RRK5G3IT4Y7N27
Battalion CLO X Ltd
07132JBC7
500000.00000000
PA
USD
495902.05000000
0.363578160764
Long
ABS-CBDO
CORP
KY
N
2
2035-01-25
Floating
6.77718000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
1645905.19000000
PA
USD
1634388.13000000
1.198276615878
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
7.53001000
N
N
N
N
N
N
Barrow Hanley CLO LTD
N/A
Barrow Hanley CLO II Ltd
06875RAE9
1000000.00000000
PA
USD
999926.00000000
0.733111016542
Long
ABS-CBDO
CORP
KY
N
2
2035-10-20
Floating
8.33862000
N
N
N
N
N
N
Loandepot GMSR Master Trust
N/A
LOANDEPOT GMSR Master Trust Seres 2018-GT1
53946TAB8
400000.00000000
PA
USD
361166.72000000
0.264794896062
Long
ABS-O
CORP
US
N
2
2023-10-16
Floating
8.24505000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R03
20753XAF1
1000000.00000000
PA
USD
1099397.00000000
0.806039699191
Long
ABS-MBS
CORP
US
N
2
2042-03-25
Floating
11.56495000
N
N
N
N
N
N
BELLEMEADE RE LT
254900KXN235YISGF415
Bellemeade Re 2019-4 Ltd
07876LAD1
1490000.00000000
PA
USD
1503083.99000000
1.102008980521
Long
ABS-MBS
CORP
BM
N
2
2029-10-25
Floating
8.28420000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
54930025J96YEH8FQE77
CSAIL 2015-C4 Commercial Mortgage Trust
12635RBA5
25076000.00000000
PA
USD
103097.47000000
0.075587484508
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.25000000
N
N
N
N
N
N
Battalion CLO LTD
549300JIE0P78OIZGS60
Battalion CLO XII Ltd
07133RAS4
500000.00000000
PA
USD
493574.65000000
0.361871791913
Long
ABS-CBDO
CORP
KY
N
2
2031-05-17
Floating
7.71809000
N
N
N
N
N
N
Oaktree CLO Ltd
N/A
Oaktree CLO 2021-1 Ltd
67402JAA9
1100000.00000000
PA
USD
1093400.44000000
0.801643229655
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.72957000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4M3TZMRB410
Freddie Mac STACR REMIC Trust 2022-DNA3
35564KUX5
1830000.00000000
PA
USD
1869289.00000000
1.370497775836
Long
ABS-MBS
CORP
US
N
2
2042-04-25
Floating
8.21495000
N
N
N
N
N
N
Mcafee Corp
2549009UKR8UEZYVCR93
McAfee Corp
57906HAD9
246875.00000000
PA
USD
240641.41000000
0.176429924521
Long
LON
CORP
US
N
2
2029-03-01
Floating
9.17968000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IT1PBTE7DAT80
Freddie Mac STACR REMIC Trust 2021-DNA1
35564KBD0
870000.00000000
PA
USD
852583.56000000
0.625084656623
Long
ABS-MBS
CORP
US
Y
2
2051-01-25
Floating
7.96495000
N
N
N
N
N
N
Madison Park Funding Ltd
N/A
Madison Park Funding XXXIII Ltd
55819JAN3
1500000.00000000
PA
USD
1487289.45000000
1.090428972326
Long
ABS-CBDO
CORP
KY
N
2
2032-10-15
Floating
6.59796000
N
N
N
N
N
N
One New York Plaza Trust 2020-
N/A
One New York Plaza Trust 2020-1NYP
68249DAJ8
300000.00000000
PA
USD
228000.00000000
0.167161681736
Long
ABS-MBS
CORP
US
N
2
2036-01-15
Floating
8.19748000
N
N
N
N
N
N
Madison Avenue Trust
N/A
Eleven Madison Trust 2015-11MD Mortgage Trust
556227AG1
350000.00000000
PA
USD
268932.41000000
0.197171903197
Long
ABS-MBS
CORP
US
N
2
2035-09-10
Variable
3.67329300
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-PR1
52475MAB4
579028.88000000
PA
USD
572090.90000000
0.419437179604
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
6.85800000
N
N
N
N
N
N
Tenneco Inc
549300U0EXXFAQFAD785
TENNECO INC
88037HAP9
425000.00000000
PA
USD
359656.25000000
0.263687471916
Long
LON
CORP
US
N
2
2028-11-17
Floating
10.48328000
N
N
N
N
N
N
CFCRE Commercial Mortgage Trus
N/A
CFCRE Commercial Mortgage Trust 2016-C7
12532BAD9
1000000.00000000
PA
USD
937685.40000000
0.687478370190
Long
ABS-MBS
CORP
US
N
2
2054-12-10
Fixed
3.83850000
N
N
N
N
N
N
European Residential Loan Secu
N/A
LSF11 Boson Investments Sarl Compartment 2
000000000
288653.53000000
PA
290682.94000000
0.213118636413
Long
ABS-O
CORP
LU
N
2
2060-11-25
Floating
5.82600000
N
N
N
N
N
N
SREIT Trust
N/A
SREIT Trust 2021-MFP
78472UAL2
260000.00000000
PA
USD
251321.33000000
0.184260070960
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Floating
8.07158000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS GS_21-PJ-A
000000000
-630000.00000000
OU
Other
USD
-2.90000000
-0.00000212617
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GS_21-PJ-A
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
Default Event
2021-08-14
0.00000000
USD
0.00000000
USD
N/A
N/A
-630000.00000000
USD
2.50000000
USD
2024-06-17
XXXX
-2.90000000
N
N
N
Avis Budget Rental Car Funding
IHXLB8SL0QWSSG2VG640
Avis Budget Rental Car Funding AESOP LLC
05377RHE7
1000000.00000000
PA
USD
981937.10000000
0.719922179802
Long
ABS-O
CORP
US
N
2
2028-04-20
Fixed
6.85000000
N
N
N
N
N
N
TFS_18-3-A1
N/A
TFS_18-3-A1
000000000
232309.36000000
PA
208767.71000000
0.153061234630
Long
ABS-MBS
CORP
LU
N
3
2026-03-15
Floating
0.01000000
N
N
N
N
N
N
Eaton Vance CDO Ltd
5493001O5CL3BBUIEH94
Eaton Vance CLO 2013-1 Ltd
27830BBN3
800000.00000000
PA
USD
796349.60000000
0.583855870113
Long
ABS-CBDO
CORP
KY
N
2
2034-01-15
Floating
6.81957000
N
N
N
N
N
N
Lightstone HoldCo LLC
549300VXK6UGDG7H3G98
Lightstone Holdco LLC
53226GAL5
9895.38000000
PA
USD
9190.33000000
0.006738030782
Long
LON
CORP
US
N
2
2027-01-29
Floating
11.06608000
N
N
N
N
N
N
(PIPA070) PGIM Core Government Money Market Fund
N/A
(PIPA070) PGIM Core Government Money Market Fund
000000000
16295741.47000000
NS
USD
16295741.47000000
11.94747170728
Long
STIV
RF
US
N
1
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAE2
500000.00000000
PA
USD
498050.00000000
0.365152963108
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
7.78775000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS4CDPWRMWB65
Freddie Mac STACR REMIC Trust 2022-DNA4
35564KWT2
500000.00000000
PA
USD
518230.35000000
0.379948494880
Long
ABS-MBS
CORP
US
N
2
2042-05-25
Floating
8.66495000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISU5NYXNHD479
Freddie Mac STACR REMIC Trust 2021-DNA5
35564KJA8
490000.00000000
PA
USD
491223.78000000
0.360148215673
Long
ABS-MBS
CORP
US
Y
2
2034-01-25
Floating
8.36495000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/EUR FORWARD
000000000
1.00000000
NC
USD
4498.54000000
0.003298173297
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-8657651.24000000
EUR
9171058.62000000
USD
2023-11-02
4498.54000000
N
N
N
Freddie Mac - STACR
5493000IRJ8RDHSNEL96
Freddie Mac STACR REMIC Trust 2022-HQA3
35564KE47
600000.00000000
PA
USD
620098.20000000
0.454634464708
Long
ABS-MBS
CORP
US
N
2
2042-08-25
Floating
8.86495000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2021-FCMT
95003EAE6
400000.00000000
PA
USD
368610.12000000
0.270252138439
Long
ABS-MBS
CORP
US
N
2
2031-05-15
Floating
7.84748000
N
N
N
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
GBP/USD FORWARD
000000000
1.00000000
NC
USD
-2513.11000000
-0.00184252497
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-3157157.79000000
USD
2585503.06000000
GBP
2023-10-03
-2513.11000000
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
7000.00000000
PA
USD
6982.50000000
0.005119326503
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
MidOcean Credit CLO
549300N3ZTBJCCPR2038
MidOcean Credit CLO X
59803AAY8
480000.00000000
PA
USD
469440.00000000
0.344177104711
Long
ABS-CBDO
CORP
KY
N
2
2034-10-23
Floating
7.50718000
N
N
N
N
N
N
Anchorage Capital CLO LTD
549300UNU854VTZYQ112
Anchorage Capital Clo 17 Ltd
03332PAA5
500000.00000000
PA
USD
494500.00000000
0.362550226396
Long
ABS-CBDO
CORP
KY
N
2
2034-07-15
Floating
6.73957000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
9195.09000000
0.006741520649
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-08-31
0.00000000
USD
0.00000000
USD
-2135000.00000000
USD
9195.09000000
N
N
N
Freddie Mac - STACR
5493000ISONLNOUKGB71
Freddie Mac STACR REMIC Trust 2021-DNA6
35564KKY4
220000.00000000
PA
USD
216838.60000000
0.158978530882
Long
ABS-MBS
CORP
US
N
2
2041-10-25
Floating
6.81495000
N
N
N
N
N
N
Crosthwaite Park CLO
54930071G03PWEE1JC86
Crosthwaite Park CLO DAC
000000000
1500000.00000000
PA
1499046.76000000
1.099049023695
Long
ABS-CBDO
CORP
IE
N
2
2034-03-15
Floating
5.44500000
N
N
N
N
N
N
Taurus CMBS
6354001CXJE7XMMVG324
Taurus 2021-4 UK DAC
000000000
234137.66000000
PA
266578.23000000
0.195445900179
Long
ABS-MBS
CORP
IE
N
2
2031-08-17
Floating
7.31872000
N
N
N
N
N
N
Diamond Sports Group LLC
5493002K6DHWNZH8YA34
Diamond Sports Group LLC
25277BAE8
49845.42000000
PA
USD
26251.94000000
0.019247010698
Long
LON
CORP
US
N
2
2026-05-25
Floating
13.43090000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2021-1
682687AC2
800000.00000000
PA
USD
719455.36000000
0.527479683823
Long
ABS-O
CORP
US
N
2
2028-07-14
Fixed
1.42000000
N
N
N
N
N
N
BX Commercial Mortgage Trust 2
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
765000.00000000
PA
USD
749363.71000000
0.549407447349
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.09668000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup COmmercial Mortgage Trust 2019-SMRT
29429MAL7
726000.00000000
PA
USD
724753.46000000
0.531364066744
Long
ABS-MBS
CORP
US
N
2
2036-01-10
Variable
4.90310100
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST
N/A
PMT Credit Risk Transfer Trust 2019-2R
69345WAA6
964138.09000000
PA
USD
962965.31000000
0.706012722250
Long
ABS-MBS
CORP
US
Y
2
2025-05-30
Floating
9.18193000
N
N
N
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2014-C23
46643ABE2
1560000.00000000
PA
USD
1518461.72000000
1.113283398101
Long
ABS-MBS
CORP
US
N
2
2047-09-15
Fixed
3.93420000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2022-1 Ltd
078774AC0
510000.00000000
PA
USD
514752.79000000
0.377398868661
Long
ABS-MBS
CORP
BM
N
2
2032-01-26
Floating
9.01495000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15
61763KBA1
2151091.11000000
PA
USD
2134874.68000000
1.565215972827
Long
ABS-MBS
CORP
US
N
2
2047-04-15
Fixed
4.05100000
N
N
N
N
N
N
Freddie Mac - STACR
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Agency Credit Risk Debt Notes
35564KDX4
1250000.00000000
PA
USD
1281296.38000000
0.939402007382
Long
ABS-MBS
CORP
US
N
2
2033-08-25
Floating
8.71495000
N
N
N
N
N
N
Freddie Mac - STACR
5493000IS30HKV5IAS29
Freddie Mac STACR REMIC Trust 2022-DNA6
35564KH44
500000.00000000
PA
USD
523905.00000000
0.384108951183
Long
ABS-MBS
CORP
US
N
2
2042-09-25
Floating
9.01495000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2016-ETC Mortgage Trust
05491LAC2
100000.00000000
PA
USD
83778.20000000
0.061423266687
Long
ABS-MBS
CORP
US
N
2
2036-08-14
Fixed
3.18900000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
-8.00000000
NC
USD
16301.48000000
0.011951678998
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
WI TREAS. NT/BD
United States Treasury Note/Bond - When Issued
2023-12-19
-880801.48000000
USD
16301.48000000
N
N
N
Intelsat Jackson Holdings SA
8XJ8KF85PBKK1TLMFN29
Intelsat Jackson Holdings SA
000000000
245518.92020000
PA
USD
244943.42000000
0.179584008848
Long
LON
CORP
LU
N
2
2029-02-01
Floating
9.77191000
N
N
N
N
N
N
Deco
549300BXZQDWLENUZL17
Deco 2019-RAM DAC
000000000
66671.47000000
PA
76870.21000000
0.056358568328
Long
ABS-MBS
CORP
IE
N
2
2030-08-07
Floating
8.81939000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-C
80290CBJ2
191062.59000000
PA
USD
192398.16000000
0.141059649072
Long
ABS-O
CORP
US
N
2
2032-12-15
Fixed
11.36600000
N
N
N
N
N
N
GoodLeap Sustainable Home Impr
N/A
Goodleap Sustainable Home Solutions Trust 2023-3
38237CAA6
490393.38000000
PA
USD
482291.54000000
0.353599407515
Long
ABS-O
CORP
US
N
2
2055-07-20
Fixed
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISA3AUOXQEF68
Freddie Mac STACR REMIC Trust 2022-DNA2
35564KRF8
2300000.00000000
PA
USD
2311567.85000000
1.694761268653
Long
ABS-MBS
CORP
US
N
2
2042-02-25
Floating
7.71495000
N
N
N
N
N
N
Adtalem Global Education Inc
549300Z467EZLMODV621
Adtalem Global Education Inc
00737RAE0
112425.05000000
PA
USD
112284.52000000
0.082323110509
Long
LON
CORP
US
N
2
2028-08-12
Floating
9.43805000
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Corportation Trust 2021-IP
36262MAJ7
1950000.00000000
PA
USD
1760224.83000000
1.290535714107
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
8.99748000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAL9
500000.00000000
PA
USD
310118.90000000
0.227368407290
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.93503700
N
N
N
N
N
N
Trinitas CLO Ltd
5493007IXHTJ7TQMIW41
Trinitas Clo XX Ltd
89640EAC2
1000000.00000000
PA
USD
995100.10000000
0.729572834262
Long
ABS-CBDO
CORP
BM
N
2
2035-07-20
Floating
7.78614000
N
N
N
N
N
N
TFS_18-3
N/A
TFS_18-3
000000000
1.00000000
PA
1.06000000
0.000000777155
Long
ABS-MBS
CORP
N/A
N
3
2040-04-16
Fixed
0.00000100
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re Ltd
07876MAC1
150000.00000000
PA
USD
152584.77000000
0.111869854212
Long
ABS-MBS
CORP
BM
N
2
2031-03-25
Floating
8.26495000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2016-ETC Mortgage Trust
05491LAE8
100000.00000000
PA
USD
81169.70000000
0.059510805079
Long
ABS-MBS
CORP
US
N
2
2036-08-14
Fixed
3.39100000
N
N
N
N
N
N
Jubilee CDO BV
635400JSFGFQPD2VOA16
Jubilee CLO 2016-XVII DAC
000000000
500000.00000000
PA
509734.06000000
0.373719310121
Long
ABS-CBDO
CORP
IE
N
2
2031-04-15
Floating
4.94300000
N
N
N
N
N
N
GTT Communications Inc
N/A
GTT RemainCo LLC
36250LAS3
210.81000000
PA
USD
179.98000000
0.000131955085
Long
LON
CORP
US
N
2
2027-12-30
Floating
12.42357000
N
N
Y
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
75000.00000000
PA
USD
1545.96000000
0.001133444182
Long
DBT
CORP
US
Y
2
2027-08-15
Fixed
6.62500000
Y
N
N
N
N
N
Hayfin Emerald CLO
549300E8ZEPKJLF1M088
Hayfin Emerald CLO II DAC
000000000
750000.00000000
PA
763951.04000000
0.560102371098
Long
ABS-CBDO
CORP
IE
N
2
2034-05-27
Floating
5.48400000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2022-R01
20754LAB5
100000.00000000
PA
USD
98125.00000000
0.071941842194
Long
ABS-MBS
CORP
US
N
2
2041-12-25
Floating
7.21495000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
605000.00000000
PA
USD
548522.28000000
0.402157485940
Long
DBT
CORP
US
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-P2
95000AAY3
6400000.00000000
PA
USD
57651.84000000
0.042268326884
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
0.56317000
N
N
N
N
N
N
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
USD/GBP FORWARD
000000000
1.00000000
NC
USD
109753.57000000
0.080467505867
N/A
DFE
CORP
US
N
2
MORGAN STANLEY & CO. LLC
9R7GPTSO7KV3UQJZQ078
-2585503.06000000
GBP
3264398.25000000
USD
2023-10-03
109753.57000000
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAQ3
100000.00000000
PA
USD
62541.58000000
0.045853314435
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2023-1 Ltd
75050KAA4
450000.00000000
PA
USD
452232.86000000
0.331561427254
Long
ABS-MBS
CORP
BM
N
2
2033-07-25
Floating
8.01495000
N
N
N
N
N
N
Allen Media LLC
549300ERNJNM4RN5JP79
Allen Media LLC
01771JAG8
294281.66000000
PA
USD
261297.69000000
0.191574391641
Long
LON
CORP
US
N
2
2027-02-10
Floating
10.89008000
N
N
N
N
N
N
JPMorgan Chase Bank, NA - CACL
N/A
JPMorgan Chase Bank NA - CACLN
46591HAS9
595642.07000000
PA
USD
595259.79000000
0.436423805115
Long
ABS-O
CORP
US
N
2
2028-01-25
Fixed
6.68400000
N
N
N
N
N
N
Santander Consumer Auto Receiv
N/A
Santander Consumer Auto Receivables Trust 2021-A
80282YAH9
750000.00000000
PA
USD
687831.30000000
0.504294021310
Long
ABS-O
CORP
US
N
2
2027-03-15
Fixed
3.28000000
N
N
N
N
N
N
Fly Funding II SARL
54930033GL3A930IIN33
Fly Funding II Sarl
000000000
328525.61000000
PA
USD
313023.14000000
0.229497695196
Long
LON
CORP
LU
N
2
2025-08-11
Floating
7.38000000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAJ1
1000000.00000000
PA
USD
834965.40000000
0.612167633576
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.28300000
N
N
N
N
N
N
Lendmark Funding Trust
N/A
Lendmark Funding Trust 2021-1
52607MAD1
500000.00000000
PA
USD
396994.05000000
0.291062250163
Long
ABS-O
CORP
US
N
2
2031-11-20
Fixed
5.05000000
N
N
N
N
N
N
TCW Gem Ltd
N/A
TCW CLO 2019-2 Ltd
87242BBA7
1000000.00000000
PA
USD
980100.00000000
0.718575281883
Long
ABS-CBDO
CORP
KY
N
2
2032-10-20
Floating
7.17614000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K735 Mortgage Trust
30298FAG9
92393049.73000000
PA
USD
176202.79000000
0.129185766241
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.10000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2016-ETC Mortgage Trust
05491LAJ7
250000.00000000
PA
USD
180703.55000000
0.132485567165
Long
ABS-MBS
CORP
US
N
2
2036-08-14
Variable
3.72919700
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
-9.00000000
NC
14828.07000000
0.010871425956
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESOBLIGATION
Bundesobligation
2023-12-07
-1142442.12000000
USD
14828.07000000
N
N
N
Eagle Re Ltd
N/A
Eagle RE 2021-1 Ltd
26983BAC5
208423.21000000
PA
USD
209437.19000000
0.153552074116
Long
ABS-MBS
CORP
US
N
2
2033-10-25
Floating
8.01495000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US TREASURY LONG BOND
000000000
-1.00000000
NC
USD
6615.37000000
0.004850159537
N/A
DIR
CORP
US
N
1
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Short
US TREASURY N/B
United States Treasury Note/Bond
2023-12-19
-120396.62000000
USD
6615.37000000
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAN0
200000.00000000
PA
USD
133083.16000000
0.097571951036
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
European Loan Conduit
635400BIYQM1LPPW1N05
Salus European Loan Conduit NO 33 DAC
000000000
2000000.00000000
PA
2358855.93000000
1.729431246631
Long
ABS-MBS
CORP
IE
N
2
2029-01-23
Floating
6.50000000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ITBQFEOXM0S98
Freddie Mac STACR REMIC Trust 2020-DNA6
35566CBD6
750000.00000000
PA
USD
737347.50000000
0.540597579490
Long
ABS-MBS
CORP
US
Y
2
2050-12-25
Floating
8.31495000
N
N
N
N
N
N
TEXAS CAPITAL BANK NA
38PG5GG0OEQK4QMSKE59
Texas Capital Bank NA
88225GAA6
436363.64000000
PA
USD
432460.02000000
0.317064667661
Long
DBT
CORP
US
N
2
2024-09-30
Floating
10.03786000
N
N
N
N
N
N
Battalion CLO LTD
549300JMWGEYZEC6GK98
Battalion CLO IX Ltd
07132EAJ4
2500000.00000000
PA
USD
2492391.75000000
1.827335072259
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
6.66957000
N
N
N
N
N
N
ICG US CLO Ltd
25490037AMBNS8P47972
ICG US CLO 2015-2R Ltd
44933WAC3
2000000.00000000
PA
USD
1960400.00000000
1.437297196822
Long
ABS-CBDO
CORP
KY
N
2
2033-01-16
Floating
7.36957000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAL4
520000.00000000
PA
USD
356416.22000000
0.261311994443
Long
ABS-MBS
CORP
US
Y
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
Avoca CLO
635400SFFWCTHJHBZK84
Avoca Capital CLO X Ltd
000000000
750000.00000000
PA
756091.04000000
0.554339692070
Long
ABS-CBDO
CORP
IE
N
2
2035-04-15
Floating
5.01300000
N
N
N
N
N
N
Morgan Stanley BAML Trust
N/A
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21
61764XAA3
10000000.00000000
PA
USD
40609.00000000
0.029773108480
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
0.40995400
N
N
N
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2019-A
51889RAD1
1166674.44300000
PA
USD
221562.05000000
0.162441600381
Long
ABS-O
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
-3.00000000
NC
1584.20000000
0.001161480421
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2023-12-07
-342023.24000000
USD
1584.20000000
N
N
N
Radnor Re LTD
254900JBDDKUTX6TX151
Radnor RE 2019-1 Ltd
75049SAD5
1000000.00000000
PA
USD
1026335.60000000
0.752473618077
Long
ABS-MBS
CORP
BM
N
2
2029-02-25
Floating
9.88420000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
549300818AKCJ4Q9TD76
CSMC 2014-USA OA LLC
12649AAA7
2679333.54000000
PA
USD
2234150.22000000
1.638001350992
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
3.30390000
N
N
N
N
N
N
Santander Bank Auto Credit-Lin
N/A
Santander Bank Auto Credit-Linked Notes Series 2022-A
80290CAT1
335847.28000000
PA
USD
333754.11000000
0.244696922429
Long
ABS-O
CORP
US
N
2
2032-05-15
Fixed
7.37500000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2018-R07
20753QAF6
1600000.00000000
PA
USD
1695924.48000000
1.243392930588
Long
ABS-MBS
CORP
US
N
2
2031-04-25
Floating
9.77943000
N
N
N
N
N
N
Carval CLO LTD
254900KRTGHP264UWC15
CarVal CLO VII-C Ltd
14686BAA5
1000000.00000000
PA
USD
1007874.00000000
0.738938214114
Long
ABS-CBDO
CORP
JE
N
2
2035-01-20
Floating
7.52614000
N
N
N
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAL6
525000.00000000
PA
USD
411041.30000000
0.301361206013
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.28300000
N
N
N
N
N
N
MidOcean Credit CLO
549300XSCUX0ONI5KZ96
MidOcean Credit CLO III
59802UAN9
250000.00000000
PA
USD
245925.00000000
0.180303669214
Long
ABS-CBDO
CORP
KY
N
2
2031-04-21
Floating
7.39513000
N
N
N
N
N
N
Freddie Mac - STACR
5493000ISOMSKCX2AW62
Freddie Mac STACR REMIC Trust 2021-DNA7
35564KMH9
1000000.00000000
PA
USD
976560.00000000
0.715979876825
Long
ABS-MBS
CORP
US
N
2
2041-11-25
Floating
7.11495000
N
N
N
N
N
N
Race Point CLO Ltd
5493008ABAJEYBWITR69
Race Point VIII CLO Ltd
74982LAY6
1551994.12000000
PA
USD
1546534.83000000
1.133865627395
Long
ABS-CBDO
CORP
KY
N
2
2030-02-20
Floating
6.68137000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2023-1
682685AD4
1000000.00000000
PA
USD
987296.00000000
0.723851139172
Long
ABS-O
CORP
US
N
2
2033-02-14
Fixed
7.07000000
N
N
N
N
N
N
2023-11-20
Prudential Investment Portfolios 8
Christian J. Kelly
Christian J. Kelly
Chief Financial Officer