0001752724-20-242024.txt : 20201123
0001752724-20-242024.hdr.sgml : 20201123
20201123164718
ACCESSION NUMBER: 0001752724-20-242024
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200930
FILED AS OF DATE: 20201123
PERIOD START: 20200930
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: 201338365
BUSINESS ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 17TH FLOOR
CITY: NEWARK
STATE: NJ
ZIP: 07102
BUSINESS PHONE: (973) 367-8982
MAIL ADDRESS:
STREET 1: 655 BROAD STREET
STREET 2: 17TH 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
C000212603
C000212601
C000212602
C000212600
Prudential Investment Portfolios 8
811-06677
0000887991
549300VRUTQ35U0X1D46
655 Broad Street
17th Floor
Newark
07102-4077
1-800-225-1852
PGIM Securitized Credit Fund
S000065752
549300GWAUUOGWWFGS88
2020-09-30
2020-09-30
N
28563544.40
463914.34
28099630.06
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
195000.00000000
0.00000000
0.00000000
172856.00000000
EUR
USD
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137B1BT8
1459406.24000000
PA
USD
23731.99000000
0.084456592308
Long
ABS-MBS
USGSE
US
N
2
2022-11-25
Variable
1.08614000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-CHRS Mortgage Trust
05491VAJ5
390000.00000000
PA
USD
322658.00000000
1.148264227361
Long
ABS-MBS
CORP
US
N
2
2038-08-05
Variable
4.40871700
N
N
N
N
N
N
JEFFERSON MILL CLO LTD
549300RV1TCF15DHXS87
Jefferson Mill CLO Ltd
47421MAY9
300000.00000000
PA
USD
295698.30000000
1.052320971374
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
2.22175000
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FORWARD
000000000
1.00000000
NC
USD
-14504.17000000
-0.05161694288
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1669456.14000000
EUR
1944223.58000000
USD
2020-11-03
-14504.17000000
N
N
N
JPMBB Commercial Mortgage Secu
N/A
JPMBB Commercial Mortgage Securities Trust 2015-C33
46645JAL6
1620000.00000000
PA
USD
28228.01000000
0.100456874128
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
0.49104800
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS2
52475BAA0
789764.68000000
PA
USD
801484.00000000
2.852293778560
Long
ABS-O
CORP
US
N
2
2059-01-25
Variable
3.75000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DCH0
78136.76000000
PA
USD
78357.19000000
0.278854881123
Long
ABS-O
CORP
US
N
2
2025-05-25
Fixed
3.42000000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
54930025J96YEH8FQE77
CSAIL 2015-C4 Commercial Mortgage Trust
12635RBA5
25076000.00000000
PA
USD
275432.28000000
0.980198954263
Long
ABS-MBS
CORP
US
N
2
2048-11-15
Variable
0.25000000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WBD3
75000.00000000
PA
USD
76479.85000000
0.272173867900
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
5.24813000
N
N
N
N
N
N
Chase Auto Credit Linked Notes
7H6GLXDRUGQFU57RNE97
Chase Auto Credit Linked Notes Series 2020-1
46591HAS9
800000.00000000
PA
USD
802735.12000000
2.856746221519
Long
ABS-O
CORP
US
N
2
2028-01-25
Fixed
6.68400000
N
N
N
N
N
N
BlueMountain EUR CLO
635400HJC6QIB41LHM93
BlueMountain Fuji Eur CLO IV DAC
000000000
750000.00000000
PA
877628.42000000
3.123273929678
Long
ABS-CBDO
CORP
IE
N
2
2032-03-30
Fixed
2.90000000
N
N
N
N
N
N
Springleaf Funding Trust
N/A
Springleaf Funding Trust 2017-A
85172PAC1
100000.00000000
PA
USD
100110.35000000
0.356269281076
Long
ABS-O
CORP
US
N
2
2030-07-15
Fixed
3.86000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS COMM MORTGAGE TRUST
000000000
1.00000000
NC
USD
25.76000000
0.000091673804
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
23198.00000000
USD
25.76000000
N
N
N
ARBOR PHARMACEUTICALS
549300KF2BE7P33CQW43
Arbor Pharmaceuticals LLC
03879RAB8
118150.68000000
PA
USD
109092.42000000
0.388234363822
Long
LON
CORP
US
N
2
2023-07-05
Floating
6.00000000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAJ6
225000.00000000
PA
USD
219602.79000000
0.781514879488
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BMTY2
2269085.17000000
PA
USD
66407.05000000
0.236327132628
Long
ABS-MBS
USGSE
US
N
2
2025-11-25
Variable
0.79010400
N
N
N
N
N
N
Oaktown Re Ltd
N/A
Oaktown Re IV Ltd
67389KAG0
200000.00000000
PA
USD
199834.18000000
0.711163028030
Long
ABS-MBS
CORP
US
N
2
2030-07-25
Floating
4.89813000
N
N
N
N
N
N
OneMain Direct Auto Receivable
N/A
OneMain Direct Auto Receivables Trust 2019-1
68267EAB0
100000.00000000
PA
USD
108375.83000000
0.385684187900
Long
ABS-O
CORP
US
N
2
2028-11-14
Fixed
3.95000000
N
N
N
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2016-ETC Mortgage Trust
05491LAJ7
250000.00000000
PA
USD
175824.55000000
0.625718380009
Long
ABS-MBS
CORP
US
N
2
2036-08-14
Variable
3.72919700
N
N
N
N
N
N
Ellington CLO LTD
254900YE647HYXEP3N43
Ellington Clo II Ltd
28852EAA7
725433.38000000
PA
USD
717397.03000000
2.553047952831
Long
ABS-CBDO
CORP
KY
N
2
2029-02-15
Floating
1.98013000
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAJ6
92813.89000000
PA
USD
91353.27000000
0.325104885028
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
1.85238000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-36809.01000000
-0.13099464271
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-05-11
0.00000000
USD
-22092.21000000
USD
-330000.00000000
EUR
-14716.80000000
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137FUZE7
1574497.22000000
PA
USD
202745.17000000
0.721522559432
Long
ABS-MBS
USGSE
US
N
2
2030-05-25
Variable
1.68192600
N
N
N
N
N
N
TFS_18-3-A1
N/A
TFS_18-3-A1
000000000
543363.33000000
PA
598842.36000000
2.131139658142
Long
ABS-MBS
CORP
LU
N
2
2023-03-16
Floating
2.90000160
N
N
N
N
N
N
Wellfleet CLO 2020-1 Ltd
N/A
WELF_20-1A
94949GAA9
350000.00000000
PA
USD
347294.19000000
1.235938655627
Long
ABS-CBDO
CORP
KY
N
2
2033-04-15
Floating
2.49180000
N
N
N
N
N
N
JP Morgan Chase Commercial Mor
N/A
JP Morgan Chase Commercial Mortgage Securities Corp
46649XAN7
600000.00000000
PA
USD
603149.76000000
2.146468685573
Long
ABS-MBS
CORP
US
N
2
2031-07-05
Variable
4.76697300
N
N
N
N
N
N
Trimaran Advisors CAVU 2019-1
549300IGMQ24BLOIU872
Trimaran Cavu 2019-1 Ltd
89624CAE2
500000.00000000
PA
USD
498769.50000000
1.775003795192
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
2.47175000
N
N
N
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAP9
55000.00000000
PA
USD
14839.65000000
0.052810837610
Long
DBT
CORP
US
N
2
2026-06-15
Fixed
12.00000000
N
N
Y
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS MORGAN STANLEY CAPITAL I TRUST
000000000
1.00000000
NC
USD
21.19000000
0.000075410245
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
19076.00000000
USD
21.19000000
N
N
N
Ally Auto Receivables Trust
N/A
Ally Auto Receivables Trust 2017-3
02007E108
1200.00000000
PA
USD
198924.00000000
0.707923910653
Long
ABS-O
CORP
US
N
3
2024-01-16
None
0.00000000
N
N
N
N
N
N
Hayfin Kingsland IX Ltd
5493007TDTFGTUF8ZZ81
Hayfin Kingsland IX Ltd
42086QAC5
500000.00000000
PA
USD
492881.60000000
1.754050138551
Long
ABS-CBDO
CORP
KY
N
2
2031-04-28
Floating
2.04675000
N
N
N
N
N
N
CITIGROUP INC
6SHGI4ZSSLCXXQSBB395
Citigroup Inc
172967MK4
605000.00000000
PA
USD
585532.98000000
2.083774692939
Long
DBT
CORP
US
N
2
N/A
Fixed
4.70000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
000000000
1.00000000
NC
USD
20.89000000
0.000074342615
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
18794.00000000
USD
20.89000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-34551.24000000
-0.12295976824
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-05-11
0.00000000
USD
-29758.00000000
USD
-885000.00000000
EUR
-4793.24000000
N
N
N
Morgan Stanley Capital I Trust
N/A
Morgan Stanley Capital I Trust 2019-MEAD
61771LAL6
400000.00000000
PA
USD
306458.44000000
1.090613788671
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.28300000
N
N
N
N
N
N
BELLEMEADE RE LT
2549002JVH34IWRT3X93
Bellemeade Re 2018-2 Ltd
07877DAC0
150000.00000000
PA
USD
147492.08000000
0.524889757214
Long
ABS-MBS
CORP
BM
N
2
2028-08-25
Floating
1.74813000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-HQA3
35565MAH7
250000.00000000
PA
USD
251251.83000000
0.894146397883
Long
ABS-MBS
CORP
US
N
2
2050-07-25
Floating
3.74813000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2020-BXLP
05607QBA5
499542.78000000
PA
USD
492650.84000000
1.753228917776
Long
ABS-MBS
CORP
US
N
2
2036-12-15
Floating
2.65238000
N
N
N
N
N
N
EXELA INTERMEDIATE LLC
N/A
Exela Intermediate LLC
30162EAD2
117647.06000000
PA
USD
34705.88000000
0.123510095776
Long
LON
CORP
US
N
2
2023-07-12
Floating
7.50000000
N
N
N
N
N
N
Cathedral Lake LTD
N/A
Cathedral Lake CLO 2016-4 Ltd
14918KAL1
250000.00000000
PA
USD
249998.23000000
0.889685129185
Long
ABS-CBDO
CORP
KY
N
2
2028-10-20
Floating
2.52175000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-2 Ltd
078782AB5
220000.00000000
PA
USD
221628.00000000
0.788722127397
Long
ABS-MBS
CORP
US
N
2
2030-08-26
Floating
3.34813000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-LSTK
12651PAQ4
295000.00000000
PA
USD
278571.66000000
0.991371272166
Long
ABS-MBS
CORP
US
N
2
2033-04-05
Variable
3.44152700
N
N
N
N
N
N
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
EUR/USD FORWARD
000000000
1.00000000
NC
USD
14505.18000000
0.051620537242
N/A
DFE
CORP
US
N
2
UBS SECURITIES LLC
T6FIZBDPKLYJKFCRVK44
-1942929.75000000
USD
1669456.14000000
EUR
2020-10-02
14505.18000000
N
N
N
Trinitas CLO Ltd
549300F3XEPDOX3FOP69
Trinitas Clo VII Ltd
89641CAC5
500000.00000000
PA
USD
491550.45000000
1.749312887573
Long
ABS-CBDO
CORP
KY
N
2
2031-01-25
Floating
1.84450000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AE8
25000.00000000
PA
USD
22438.76000000
0.079854289725
Long
DBT
CORP
CA
N
2
2027-02-01
Fixed
7.12500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAL0
150000.00000000
PA
USD
147184.01000000
0.523793408260
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.80238000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC FMSR ISSUER TRUST 2018-FT1
69346MAA7
610000.00000000
PA
USD
587169.77000000
2.089599645070
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
2.49813000
N
N
N
N
N
N
OZLM Ltd
N/A
OZLM IX Ltd
67109KAU8
500000.00000000
PA
USD
491288.85000000
1.748381914462
Long
ABS-CBDO
CORP
KY
N
2
2031-10-20
Floating
2.17175000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DBQ1
78050.38000000
PA
USD
78257.19000000
0.278499004552
Long
ABS-O
CORP
US
N
2
2024-02-25
Fixed
3.29000000
N
N
N
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-XL
056054AL3
427184.02000000
PA
USD
416600.66000000
1.482584144739
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.80238000
N
N
N
N
N
N
Citigroup Commercial Mortgage
N/A
Citigroup COmmercial Mortgage Trust 2019-SMRT
29429MAL7
500000.00000000
PA
USD
500925.95000000
1.782678095513
Long
ABS-MBS
CORP
US
N
2
2036-01-10
Variable
4.90310200
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAL4
100000.00000000
PA
USD
91406.44000000
0.325294104601
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
CSAIL Commercial Mortgage Trus
549300C2HE5FJAWYZL57
CSAIL 2016-C6 Commercial Mortgage Trust
12636MAC2
39798.78000000
PA
USD
39947.68000000
0.142164433890
Long
ABS-MBS
CORP
US
N
2
2049-01-15
Fixed
2.95620000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-40237.70000000
-0.14319654712
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2050-05-11
0.00000000
USD
-47897.17000000
USD
-115000.00000000
USD
7659.47000000
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAQ3
100000.00000000
PA
USD
82057.01000000
0.292021673683
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-244085.97000000
-0.86864478101
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-05-11
0.00000000
USD
-106114.12000000
USD
-3230000.00000000
USD
-137971.85000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-62036.85000000
-0.22077461471
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-11
0.00000000
USD
-55482.93000000
USD
-1355000.00000000
USD
-6553.92000000
N
N
N
Countrywide Asset-Backed Certi
N/A
CWABS Asset-Backed Certificates Trust 2004-13
126673QW5
64751.13000000
PA
USD
65230.53000000
0.232140173592
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Variable
5.19200000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAF8
500000.00000000
PA
USD
498930.37000000
1.775576293832
Long
DBT
CORP
US
N
2
N/A
Fixed
5.00000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BM2
25000.00000000
PA
USD
18744.16000000
0.066706073923
Long
DBT
CORP
CA
N
2
2025-03-15
Fixed
7.50000000
N
N
N
N
N
N
Hertz Vehicle Financing LLC
549300FPK70TCB78NG05
Hertz Vehicle Financing II LP
42806DAU3
115128.10000000
PA
USD
115624.03000000
0.411478833540
Long
ABS-O
CORP
US
N
2
2022-03-25
Fixed
2.95000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
USD/EUR FORWARD
000000000
1.00000000
NC
USD
20.37000000
0.000072492057
N/A
DFE
CORP
US
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
-24698.24000000
USD
21082.00000000
EUR
2020-10-02
20.37000000
N
N
N
LSTAR Securities Investment Lt
N/A
LSTAR Securities Investment Trust 2019-2
54912QAA4
261605.91000000
PA
USD
259393.46000000
0.923120551573
Long
ABS-MBS
CORP
US
N
2
2024-04-01
Floating
1.65513000
N
N
N
N
N
N
MALLINCKRODT INTERNATIONAL
549300MQQ92LN1A0B514
Mallinckrodt International Finance SA
000000000
124038.47000000
PA
USD
103572.12000000
0.368588909458
Long
LON
CORP
LU
N
2
2024-09-24
Floating
3.50000000
N
N
N
N
N
N
AMC ENTERTAINMENT HLDGS
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165CAR5
6000.00000000
PA
USD
4320.00000000
0.015373867879
Long
DBT
CORP
US
N
2
2026-04-24
Fixed
10.50000000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-1 Ltd
07876TAB8
150000.00000000
PA
USD
152044.76000000
0.541091678699
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
3.54813000
N
N
N
N
N
N
MKT 2020-525M Mortgage Trust
N/A
MKT 2020-525M Mortgage Trust
55316PAN7
175000.00000000
PA
USD
156685.45000000
0.557606807155
Long
ABS-MBS
CORP
US
N
2
2040-02-12
Variable
2.94060000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA3
35565WAH5
335000.00000000
PA
USD
335838.87000000
1.195171855582
Long
ABS-MBS
CORP
US
N
2
2050-06-25
Floating
3.14813000
N
N
N
N
N
N
Independence Plaza Trust
N/A
Independence Plaza Trust 2018-INDP
45378YAS3
100000.00000000
PA
USD
96789.28000000
0.344450371030
Long
ABS-MBS
CORP
US
N
2
2035-07-10
Fixed
4.99600000
N
N
N
N
N
N
PGIM Core Ultra Short Bond Fund
1VRLPVAWKZCB406TIT84
PGIM Core Ultra Short Bond Fund
000000000
268151.38000000
NS
USD
268151.38000000
0.954287936985
Long
STIV
RF
US
N
1
N
N
N
OneMain Financial Issuance Tru
N/A
OneMain Financial Issuance Trust 2020-2
682696AC3
300000.00000000
PA
USD
302859.42000000
1.077805719695
Long
ABS-O
CORP
US
N
2
2035-09-14
Fixed
2.76000000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137ASNK6
939308.74000000
PA
USD
17762.61000000
0.063212967437
Long
ABS-MBS
USGSE
US
N
2
2022-03-25
Variable
1.73010700
N
N
N
N
N
N
ANTERO RESOURCES CORP
APVBKPOULHUX7YZLKU17
Antero Resources Corp
03674PAL7
75000.00000000
PA
USD
72109.85000000
0.256622061735
Long
DBT
CORP
US
N
2
2021-11-01
Fixed
5.37500000
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
133667.00000000
0.475689536533
Long
ABS-MBS
CORP
US
N
2
2048-03-15
Variable
0.42717000
N
N
N
N
N
N
VECTOR GROUP LTD
549300TUIF4WWN6NDN50
Vector Group Ltd
92240MBF4
75000.00000000
PA
USD
75032.00000000
0.267021308963
Long
DBT
CORP
US
N
2
2025-02-01
Fixed
6.12500000
N
N
N
N
N
N
Shackleton CLO LTD
549300IM8C0HSUTXDD32
Shackleton 2017-X CLO Ltd
81883DAK9
250000.00000000
PA
USD
246080.03000000
0.875741173369
Long
ABS-CBDO
CORP
KY
N
2
2029-04-20
Floating
1.82175000
N
N
N
N
N
N
MEG ENERGY CORP
5493002WXPTG5ZC1T326
MEG Energy Corp
552704AC2
30000.00000000
PA
USD
28129.56000000
0.100106513644
Long
DBT
CORP
CA
N
2
2024-03-31
Fixed
7.00000000
N
N
N
N
N
N
20 TSQ GroundCo LLC
N/A
20 Times Square Trust 2018-20TS
90137LAN0
200000.00000000
PA
USD
177236.62000000
0.630743606309
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Variable
3.20323000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-13139.82000000
-0.04676154088
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2021-06-14
0.00000000
USD
-755.50000000
USD
-1355000.00000000
USD
-12384.32000000
N
N
N
Barclays Commercial Mortgage S
N/A
BBCMS 2018-TALL Mortgage Trust
05548WAG2
210000.00000000
PA
USD
196892.12000000
0.700692925777
Long
ABS-MBS
CORP
US
N
2
2037-03-15
Floating
1.60088000
N
N
N
N
N
N
OneMain Financial Issuance Tru
549300KQ3WN93FBBU117
OneMain Financial Issuance Trust 2017-1
68267LAD0
100000.00000000
PA
USD
100298.49000000
0.356938827257
Long
ABS-O
CORP
US
N
2
2032-09-14
Fixed
3.35000000
N
N
N
N
N
N
Freddie Mac - STACR
5493007222WHFWMBOC78
Freddie Mac STACR Trust 2019-DNA1
35563KAH3
53201.64000000
PA
USD
52677.02000000
0.187465172628
Long
ABS-MBS
CORP
US
N
2
2049-01-25
Floating
2.79813000
N
N
N
N
N
N
TERRIER MEDIA BUYER INC
N/A
Terrier Media Buyer Inc
88146LAA1
25000.00000000
PA
USD
25192.96000000
0.089655842252
Long
DBT
CORP
US
N
2
2027-12-15
Fixed
8.87500000
N
N
N
N
N
N
Citibank, National Association
E57ODZWZ7FF32TWEFA76
EUR/USD FORWARD
000000000
1.00000000
NC
USD
15004.25000000
0.053396610446
N/A
DFE
CORP
US
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
-1690538.14000000
EUR
1997157.80000000
USD
2020-10-02
15004.25000000
N
N
N
FREDDIE MAC - STACR
N/A
FREDDIE MAC STACR REMIC TRUST 2020-HQA4
35565RBD4
120000.00000000
PA
USD
120873.50000000
0.430160467386
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
5.40188000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BSP98
3674127.46000000
PA
USD
176426.46000000
0.627860436679
Long
ABS-MBS
USGSE
US
N
2
2026-08-25
Variable
1.05315900
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-PR1
52475MAB4
183032.67000000
PA
USD
183000.07000000
0.651254374556
Long
ABS-MBS
CORP
US
N
2
2059-09-25
Variable
3.85800000
N
N
N
N
N
N
GTT COMMUNICATIONS INC
549300ETSL7K1ZX05H30
GTT Communications Inc
36250LAP9
123421.70000000
PA
USD
105756.97000000
0.376364278726
Long
LON
CORP
US
N
2
2025-05-31
Floating
2.99090000
N
N
N
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XAH3
80000.00000000
PA
USD
80964.84000000
0.288134896534
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
3.89813000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT2
69354WAD8
100000.00000000
PA
USD
96483.72000000
0.343362954579
Long
ABS-O
CORP
US
N
2
2025-08-25
Floating
2.79813000
N
N
N
N
N
N
FREDDIE MAC - STACR
N/A
FREDDIE MAC STACR REMIC TRUST 2020-HQA4
35565RAH6
85000.00000000
PA
USD
85227.54000000
0.303304847138
Long
ABS-MBS
CORP
US
N
2
2050-09-25
Floating
3.30188000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS4
52473CAA0
86816.11000000
PA
USD
87003.14000000
0.309623791538
Long
ABS-MBS
CORP
US
N
2
2059-05-25
Variable
3.43800000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Trust 2017-LSTK
12651PAN1
250000.00000000
PA
USD
241017.88000000
0.857726167516
Long
ABS-MBS
CORP
US
N
2
2033-04-05
Variable
3.44152700
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FP4
550000.00000000
PA
USD
566704.17000000
2.016767369498
Long
DBT
CORP
US
N
2
N/A
Fixed
5.12500000
N
N
N
N
N
N
Anchorage Capital Europe CLO
N/A
Anchorage Capital Europe 1 CLO
000000000
500000.00000000
PA
585646.40000000
2.084178328147
Long
ABS-CBDO
CORP
IE
N
2
2031-01-15
Fixed
1.50000000
N
N
N
N
N
N
DIAMOND SPORTS GR/DIAMON
N/A
Diamond Sports Group LLC / Diamond Sports Finance Co
25277LAC0
75000.00000000
PA
USD
39000.93000000
0.138795172451
Long
DBT
CORP
US
N
2
2027-08-15
Fixed
6.62500000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-1 Ltd
07876TAA0
150000.00000000
PA
USD
150308.34000000
0.534912166740
Long
ABS-MBS
CORP
BM
N
2
2030-06-25
Floating
2.79813000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST
000000000
1.00000000
NC
USD
52.26000000
0.000185981096
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
47035.00000000
USD
52.26000000
N
N
N
Madison Avenue Trust
N/A
MAD Commercial Mortgage Trust 2019-650M
55283JAA8
350000.00000000
PA
USD
308882.07000000
1.099238920015
Long
ABS-MBS
CORP
US
N
2
2034-12-12
Variable
3.57500000
N
N
N
N
N
N
Ellington CLO LTD
25490064KF1PM0300Z69
Ellington CLO IV Ltd
28853RAA7
750000.00000000
PA
USD
725913.68000000
2.583356714839
Long
ABS-CBDO
CORP
KY
N
2
2029-04-15
Floating
2.11500000
N
N
N
N
N
N
FHLMC Multifamily Structured P
N/A
Freddie Mac Multifamily Structured Pass Through Certificates
3137BAHB1
1235416.30000000
PA
USD
2111.33000000
0.007513728812
Long
ABS-MBS
USGSE
US
N
2
2021-01-25
Variable
1.26640100
N
N
N
N
N
N
Trinitas CLO Ltd
635400UFTIJ9NEWTCB16
TRINITAS CLO IV LTD
89640XAR7
500000.00000000
PA
USD
493740.55000000
1.757106940360
Long
ABS-CBDO
CORP
KY
N
2
2031-10-18
Floating
2.22175000
N
N
N
N
N
N
BELLEMEADE RE LT
N/A
Bellemeade Re 2020-2 Ltd
078782AC3
205000.00000000
PA
USD
205244.22000000
0.730416092887
Long
ABS-MBS
CORP
US
N
2
2030-08-26
Floating
4.14813000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)
000000000
-1.00000000
NC
USD
-364.33000000
-0.00129656511
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
2020-12-21
-139166.92000000
USD
-364.33000000
N
N
N
Wells Fargo Commercial Mortgag
N/A
Wells Fargo Commercial Mortgage Trust 2015-P2
95000AAY3
6400000.00000000
PA
USD
142095.36000000
0.505684095116
Long
ABS-MBS
CORP
US
N
2
2048-12-15
Variable
0.63942200
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS BANK_18-BN14
000000000
1.00000000
NC
USD
92.16000000
0.000327975848
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
82965.00000000
USD
92.16000000
N
N
N
BELLEMEADE RE LT
2549009SOTYJD2MZFC61
Bellemeade Re 2018-3 Ltd
07877TAB7
120058.71000000
PA
USD
119201.79000000
0.424211243156
Long
ABS-MBS
CORP
BM
N
2
2028-10-25
Floating
1.99813000
N
N
N
N
N
N
ENERGY TRANSFER OPERATNG
5493008K8W3OKZE54J59
Energy Transfer Operating LP
29278NAT0
140000.00000000
PA
USD
110461.50000000
0.393106598784
Long
DBT
CORP
US
N
2
N/A
Fixed
7.12500000
N
N
N
N
N
N
AMC Entertainment Holdings Inc
549300ZO77UNR6NRBR11
AMC Entertainment Holdings Inc
00165C104
225.00000000
NS
USD
1059.75000000
0.003771401964
Long
EC
CORP
US
N
1
N
N
N
BX Trust
N/A
BX Commercial Mortgage Trust 2019-XL
056054AK5
237324.45000000
PA
USD
233467.33000000
0.830855529063
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Floating
2.45238000
N
N
N
N
N
N
BELLEMEADE RE LT
549300O2GEH6GH9NO762
Bellemeade Re 2018-1 Ltd
078768AD0
62351.84000000
PA
USD
61738.31000000
0.219712180794
Long
ABS-MBS
CORP
BM
N
2
2028-04-25
Floating
1.74813000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 2019-ICE4
12653VAJ5
150000.00000000
PA
USD
147929.81000000
0.526447535729
Long
ABS-MBS
CORP
US
N
2
2036-05-15
Floating
2.30238000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS GSMORTGAGE SECURITIES TRUST
000000000
1.00000000
NC
USD
30.22000000
0.000107545899
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
27199.00000000
USD
30.22000000
N
N
N
Laurel Road Prime Student Loan
N/A
Laurel Road Prime Student Loan Trust 2019-A
51889RAD1
1832016.54600000
PA
USD
128241.16000000
0.456380243178
Long
ABS-O
CORP
US
N
2
2048-10-25
None
0.00000000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAJ4
375000.00000000
PA
USD
380912.21000000
1.355577312536
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.93503700
N
N
N
N
N
N
TH MSR ISSUER TRUST
N/A
TH MSR issuer Trust
87271AAA4
620000.00000000
PA
USD
584747.11000000
2.080977965729
Long
ABS-O
CORP
US
N
2
2024-06-25
Floating
2.94813000
N
N
N
N
N
N
DBWF Mortgage Trust
N/A
DBWF 2016-85T Mortgage Trust
23307CAL9
500000.00000000
PA
USD
478556.05000000
1.703068862394
Long
ABS-MBS
CORP
US
N
2
2036-12-10
Variable
3.93503700
N
N
N
N
N
N
DBGS Mortgage Trust
N/A
DBGS 2018-BIOD Mortgage Trust
23306GAL1
162424.31000000
PA
USD
159741.14000000
0.568481291956
Long
ABS-MBS
CORP
US
N
2
2035-05-15
Floating
2.15238000
N
N
N
N
N
N
Radnor Re LTD
N/A
Radnor RE 2020-2 Ltd
75049UAC2
195000.00000000
PA
USD
195000.00000000
0.693959313996
Long
ABS-MBS
CORP
US
N
2
2030-10-25
Floating
4.74613000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-3879.63000000
-0.01380669422
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2021-12-06
0.00000000
USD
-5160.18000000
USD
-400000.00000000
EUR
1280.55000000
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMorgan Chase & Co
48128BAG6
80000.00000000
PA
USD
77733.06000000
0.276633748679
Long
DBT
CORP
US
N
2
N/A
Fixed
4.60000000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2019-K735 Mortgage Trust
30298FAG9
94802314.17000000
PA
USD
414238.71000000
1.474178518064
Long
ABS-MBS
USGSE
US
N
2
2026-05-25
Fixed
0.10000000
N
N
N
N
N
N
CHESAPEAKE ENERGY CORP
X2MT1W32SPAZ9WSKLE78
Chesapeake Energy Corp
16516FAH2
125000.00000000
PA
USD
87500.00000000
0.311391999870
Long
LON
CORP
US
N
2
2024-06-23
Floating
9.00000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS SALLIE MAE BANK
000000000
1.00000000
NC
USD
2598.60000000
0.009247808581
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-28
0.00000000
USD
-243.63000000
USD
1670635.00000000
USD
2842.23000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS COMM MORTGAGE TRUST
000000000
1.00000000
NC
USD
37.22000000
0.000132457259
N/A
DCR
CORP
GB
N
3
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
Default Event
2020-10-29
0.00000000
USD
0.00000000
USD
33500.00000000
USD
37.22000000
N
N
N
SoFi Alternative Trust
N/A
Sofi Alternative Trust 2019-D
83406DAE7
148300.91000000
PA
USD
152804.01000000
0.543793671566
Long
ABS-O
CORP
US
N
2
2046-01-16
Variable
2.59245000
N
N
N
N
N
N
Pnmac Gmsr Issuer Trust
N/A
PNMAC GMSR ISSUER TRUST 2018-GT1
69354WAC0
100000.00000000
PA
USD
97601.38000000
0.347340444666
Long
ABS-O
CORP
US
N
2
2023-02-25
Floating
2.99813000
N
N
N
N
N
N
WEST CORP
5493005Z5DB0O5S30R71
Intrado Corp
68162RAC5
123413.70000000
PA
USD
111953.87000000
0.398417593971
Long
LON
CORP
US
N
2
2024-10-10
Floating
5.00000000
N
N
N
N
N
N
BOMBARDIER INC
W7L3VLU8EHQY34Z36697
Bombardier Inc
097751BT7
50000.00000000
PA
USD
37656.43000000
0.134010411950
Long
DBT
CORP
CA
N
2
2027-04-15
Fixed
7.87500000
N
N
N
N
N
N
FREMF Mortgage Trust
N/A
FREMF 2012-K20 Mortgage Trust
30290QAE8
23852255.25000000
PA
USD
61815.50000000
0.219986881919
Long
ABS-MBS
CORP
US
N
2
2045-05-25
Fixed
0.20000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-140891.97000000
-0.50140151204
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-05-11
0.00000000
USD
-134663.00000000
USD
-2100000.00000000
USD
-6228.97000000
N
N
N
Elevation CLO Ltd
549300FXZU8M44ED2J89
Elevation CLO 2015-4 Ltd
28623DAC3
500000.00000000
PA
USD
499111.25000000
1.776220003374
Long
ABS-CBDO
CORP
KY
N
2
2027-04-18
Floating
1.94175000
N
N
N
N
N
N
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
CDS TOWD POINT MORTGAGE TRUST TPMT_16-4
000000000
1.00000000
NC
USD
55.60000000
0.000197867373
N/A
DCR
CORP
US
N
3
CITIGROUP GLOBAL MARKETS INC.
MBNUM2BPBDO7JBLYG310
Y
Default Event
2056-07-25
0.00000000
USD
0.00000000
USD
741325.62000000
USD
55.60000000
N
N
N
Freddie Mac - STACR
N/A
Freddie Mac STACR REMIC Trust 2020-DNA4
35565XBD1
100000.00000000
PA
USD
103311.98000000
0.367663132145
Long
ABS-MBS
CORP
US
N
2
2050-08-25
Floating
6.14813000
N
N
N
N
N
N
Oportun Funding LLC
N/A
Oportun Funding X LLC
68376PAC1
500000.00000000
PA
USD
503096.85000000
1.790403819999
Long
ABS-O
CORP
US
N
2
2024-10-08
Fixed
5.52000000
N
N
N
N
N
N
Fannie Mae - CAS
N/A
Connecticut Avenue Securities Trust 2019-R03
20753MAF5
29297.09000000
PA
USD
29180.88000000
0.103847915213
Long
ABS-MBS
CORP
US
N
2
2031-09-25
Floating
2.29813000
N
N
N
N
N
N
ZAIS CLO 3, LTD
549300SYHU0CNKIXQ691
Zais CLO 3 Ltd
98887HAL8
975000.00000000
PA
USD
969285.43000000
3.449459754204
Long
ABS-CBDO
CORP
KY
N
2
2031-07-15
Floating
2.46500000
N
N
N
N
N
N
GCAT
N/A
GCAT 2019-4 LLC
36167WAA0
259473.61000000
PA
USD
259929.40000000
0.925027836469
Long
ABS-MBS
CORP
US
N
2
2049-11-26
Variable
3.22800000
N
N
N
N
N
N
2020-11-23
Prudential Investment Portfolios 8
Christian J. Kelly
Christian J. Kelly
Treasurer and Principal Financial and Accounting Officer