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Form NPORT-P PRUDENTIAL INVESTMENT For: Mar 31

May 26, 2022 4:56 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000887991
          XXXXXXXX
        
      
      
      
      
        S000065752
        C000212601
        C000212600
        C000212603
        C000212602
      
      
    
  
  
    
      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
      2022-09-30
      2022-03-31
      N
    
    
      78878770.67
      965956.18
      77912814.49
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      724318.62000000
      
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          USD
          
          
        
      
      
      
      N
      
        
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        Battalion CLO LTD
        549300JIE0P78OIZGS60
        Battalion CLO XII Ltd
        07133RAS4
        
          
        
        500000.00000000
        PA
        USD
        496912.00000000
        0.637779553020
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2031-05-17
          Floating
          2.54871000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS THPT_18-THL
        000000000
        
          
        
        1.00000000
        NC
        USD
        264.59000000
        0.000339597538
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -7.93000000
            USD
            246011.00000000
            USD
            272.52000000
          
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2015-P2
        95000AAY3
        
          
        
        6400000.00000000
        PA
        USD
        103800.96000000
        0.133227070128
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          0.42749800
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2022-1 Ltd
        078774AC0
        
          
        
        510000.00000000
        PA
        USD
        489875.45000000
        0.628748240204
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2032-01-26
          Floating
          3.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -8396.84000000
        -0.01077722587
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -1913704.16000000
            EUR
            2111068.30000000
            USD
            2022-05-06
            -8396.84000000
          
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AK5
        
          
        
        212500.00000000
        PA
        USD
        207972.16000000
        0.266929338083
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          2.69700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONNECT FINCO SARL
        2594001KNYIQ456J2792
        Connect Finco SARL
        000000000
        
          
          
        
        266243.70870000
        PA
        USD
        263636.65000000
        0.338373926966
        Long
        LON
        CORP
        LU
        
        N
        
        2
        
          2026-12-12
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-BIOA
        056057AQ5
        
          
        
        908798.43000000
        PA
        USD
        892409.34000000
        1.145394818351
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          2.86805000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 10 Year Euro BUND
        000000000
        
          
          
        
        -1.00000000
        NC
        
        9343.73000000
        0.011992545849
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2022-06-08
            -184944.91000000
            USD
            9343.73000000
          
        
        
          N
          N
          N
        
      
      
        SYNIVERSE HOLDINGS INC
        549300CYZBHMZC8VLL59
        Syniverse Holdings Inc
        87164GAM5
        
          
          
        
        335000.00000000
        PA
        USD
        324615.00000000
        0.416638780314
        Long
        LON
        CORP
        US
        N
        
        2
        
          2023-03-09
          Floating
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2012-K20 Mortgage Trust
        30290QAE8
        
          
        
        2786520.22000000
        PA
        USD
        27.87000000
        0.000035770752
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-05-25
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-2 Ltd
        43730VAA6
        
          
        
        1164000.00000000
        PA
        USD
        1154397.12000000
        1.481652443896
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-01-25
          Floating
          1.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BOPHO_6X-E
        000000000
        
          
        
        1.00000000
        NC
        
        422.30000000
        0.000542016101
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -13.08000000
            USD
            458091.00000000
            EUR
            435.38000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS IMM_05-8
        000000000
        
          
        
        1.00000000
        NC
        USD
        11.92000000
        0.000015299152
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -0.37000000
            USD
            27631.00000000
            USD
            12.29000000
          
        
        
          N
          N
          N
        
      
      
        JP Morgan Chase Commercial Mor
        N/A
        JP Morgan Chase Commercial Mortgage Securities Trust 2021-NYAH
        46654EAQ4
        
          
        
        1300000.00000000
        PA
        USD
        1247778.09000000
        1.601505603625
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-06-15
          Floating
          3.78700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST
        N/A
        PMT Credit Risk Transfer Trust 2020-2R
        69355XAA1
        
          
        
        359449.20000000
        PA
        USD
        358632.06000000
        0.460299197696
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2022-12-25
          Floating
          4.26014000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BSP98
        
          
        
        3602171.47000000
        PA
        USD
        123503.69000000
        0.158515246571
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-08-25
          Variable
          0.92001600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Trimaran Advisors CAVU 2019-1
        549300IGMQ24BLOIU872
        Trimaran Cavu 2019-1 Ltd
        89624CAE2
        
          
        
        500000.00000000
        PA
        USD
        496638.30000000
        0.637428262925
        Long
        ABS-CBDO
        CORP
        KY
        
        N
        
        2
        
          2032-07-20
          Floating
          2.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MHC Commercial Mortgage Trust
        N/A
        MHC Commercial Mortgage Trust 2021-MHC
        55316VAL8
        
          
        
        300000.00000000
        PA
        USD
        292467.57000000
        0.375378006704
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-04-15
          Floating
          2.99796200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FREMF_19-KC03
        000000000
        
          
        
        1.00000000
        NC
        USD
        214.25000000
        0.000274986857
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -6.42000000
            USD
            199098.00000000
            USD
            220.67000000
          
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 2 Year Euro SCHATZ
        000000000
        
          
          
        
        4.00000000
        NC
        
        -4892.99000000
        -0.00628008374
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Long
            
              
                BUNDESSCHATZANWEISUNGEN
                Bundesschatzanweisungen
                
                  
                  
                  
                
              
            
            2022-06-08
            495119.04000000
            USD
            -4892.99000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2018-BIOA
        056057AN2
        
          
        
        636158.90000000
        PA
        USD
        625790.08000000
        0.803192753459
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          2.34805000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS RAMC_07-2
        000000000
        
          
        
        1.00000000
        NC
        USD
        44.17000000
        0.000056691572
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -1.38000000
            USD
            41102.00000000
            USD
            45.55000000
          
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re VII Ltd
        67389JAB4
        
          
        
        200000.00000000
        PA
        USD
        191779.44000000
        0.246146210036
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          2.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMC ENTERTAINMENT HLDGS
        549300ZO77UNR6NRBR11
        AMC Entertainment Holdings Inc
        00165CAP9
        
          
          
        
        60923.00000000
        PA
        USD
        54662.12000000
        0.070158061106
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-06-15
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        18906.16000000
        0.024265790067
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2026-05-11
            1279.50000000
            USD
            0.00000000
            USD
            -300000.00000000
            USD
            17626.66000000
          
        
        
          N
          N
          N
        
      
      
        Madison Park Funding Ltd
        N/A
        Madison Park Funding XXXIII Ltd
        55819JAN3
        
          
        
        1500000.00000000
        PA
        USD
        1488556.65000000
        1.910541494032
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-10-15
          Floating
          1.44876000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        GBP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        6195.26000000
        0.007951528950
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1060666.57000000
            GBP
            1399245.13000000
            USD
            2022-05-06
            6195.26000000
          
        
        
          N
          N
          N
        
      
      
        JPMBB Commercial Mortgage Secu
        N/A
        JPMBB Commercial Mortgage Securities Trust 2015-C33
        46645JAL6
        
          
        
        1620000.00000000
        PA
        USD
        19520.19000000
        0.025053888924
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-12-15
          Variable
          0.33717400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAD1
        
          
        
        1490000.00000000
        PA
        USD
        1447390.32000000
        1.857705089303
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-10-25
          Floating
          3.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dreyfus Government Cash Management
        5493000Q69I5Q3QZIA91
        Dreyfus Government Cash Management
        262006208
        
          
          
        
        7762032.17000000
        NS
        USD
        7762032.17000000
        9.962458962378
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R02
        20754BAF8
        
          
        
        620000.00000000
        PA
        USD
        585048.93000000
        0.750902061271
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-25
          Floating
          4.59900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS MCMLT_21-NMR1
        000000000
        
          
        
        1.00000000
        NC
        USD
        78.39000000
        0.000100612460
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -2.44000000
            USD
            91088.00000000
            USD
            80.83000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        110000.00000000
        PA
        USD
        107248.04000000
        0.137651348756
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.09900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2018-R07
        20753QAF6
        
          
        
        1600000.00000000
        PA
        USD
        1616035.36000000
        2.074158622786
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-04-25
          Floating
          4.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS SPAUL_7X-ERR
        000000000
        
          
        
        1.00000000
        NC
        
        358.75000000
        0.000460450572
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -11.10000000
            USD
            389145.00000000
            EUR
            369.85000000
          
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        Oportun Funding XIV LLC
        68377BAA5
        
          
        
        1500000.00000000
        PA
        USD
        1456357.95000000
        1.869214916099
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-03-08
          Fixed
          1.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        705.06000000
        0.000904934579
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -136298.95000000
            USD
            123832.00000000
            EUR
            2022-04-04
            705.06000000
          
        
        
          N
          N
          N
        
      
      
        Taurus CMBS
        635400SG2ZVJCYHITE32
        Taurus 2021-1 UK DAC
        000000000
        
          
        
        248177.20000000
        PA
        
        320520.99000000
        0.411384176143
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2031-05-17
          Floating
          2.75522000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TFS_18-3-A1
        N/A
        TFS_18-3-A1
        000000000
        
          
        
        311009.98000000
        PA
        
        344054.79000000
        0.441589476971
        Long
        ABS-MBS
        CORP
        LU
        N
        
        2
        
          2023-03-16
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FREMF_21-KHG3
        000000000
        
          
        
        1.00000000
        NC
        USD
        240.95000000
        0.000309255931
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -7.22000000
            USD
            223905.00000000
            USD
            248.17000000
          
        
        
          N
          N
          N
        
      
      
        Race Point CLO Ltd
        5493008ABAJEYBWITR69
        Race Point VIII CLO Ltd
        74982LAY6
        
          
        
        1974654.57000000
        PA
        USD
        1963470.13000000
        2.520086256480
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-02-20
          Floating
          1.51957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FMBT_19-FBLU
        000000000
        
          
        
        1.00000000
        NC
        USD
        79.95000000
        0.000102614698
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -2.40000000
            USD
            74297.00000000
            USD
            82.35000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA3
        35565WBD3
        
          
        
        72935.15000000
        PA
        USD
        75497.72000000
        0.096900260238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-06-25
          Floating
          5.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAL0
        
          
        
        2353000.00000000
        PA
        USD
        2299754.43000000
        2.951702418984
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CLYDESDALE ACQUISITION
        N/A
        Clydesdale Acquisition Holdings Inc
        000000000
        
          
        
        200000.00000000
        PA
        USD
        196535.80000000
        0.252250931103
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-03-30
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        Eurex 5 Year Euro BOBL
        000000000
        
          
          
        
        -3.00000000
        NC
        
        13692.18000000
        0.017573720176
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2022-06-08
            -441545.78000000
            USD
            13692.18000000
          
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT1
        69354WAC0
        
          
        
        100000.00000000
        PA
        USD
        99568.74000000
        0.127795075369
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          3.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALLEN MEDIA LLC
        N/A
        Allen Media LLC
        01771JAG8
        
          
          
        
        299619.22980000
        PA
        USD
        296747.98000000
        0.380871852650
        Long
        LON
        CORP
        US
        N
        
        2
        
          2027-02-10
          Floating
          5.64730000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2022-AHP
        05610FAF4
        
          
        
        1450000.00000000
        PA
        USD
        1447187.73000000
        1.857445067891
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-01-17
          Floating
          3.34116000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ADTALEM GLOBAL EDUCATION
        549300Z467EZLMODV621
        Adtalem Global Education Inc
        00737RAE0
        
          
          
        
        168019.91000000
        PA
        USD
        167109.75000000
        0.214483010392
        Long
        LON
        CORP
        US
        N
        
        2
        
          2028-08-12
          Floating
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CMLTI_19-E
        000000000
        
          
        
        1.00000000
        NC
        USD
        328.48000000
        0.000421599453
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -10.22000000
            USD
            381752.00000000
            USD
            338.70000000
          
        
        
          N
          N
          N
        
      
      
        BX Trust
        N/A
        BX Commercial Mortgage Trust 2021-CIP
        12434FAL1
        
          
        
        346750.00000000
        PA
        USD
        336303.25000000
        0.431640484561
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-12-15
          Floating
          3.21700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        100000.00000000
        PA
        USD
        99013.00000000
        0.127081790907
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          3.10657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        Credit Suisse Mortgage Capital Certificates 2019-ICE4
        12653VAJ5
        
          
          
        
        150000.00000000
        PA
        USD
        147183.41000000
        0.188907833664
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-05-15
          Floating
          2.54700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loandepot GMSR Master Trust
        N/A
        LOANDEPOT GMSR Master Trust Seres 2018-GT1
        53946TAB8
        
          
        
        400000.00000000
        PA
        USD
        400374.00000000
        0.513874389753
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-10-16
          Floating
          3.23057000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Elevation CLO Ltd
        635400HAVYYWWB139K27
        Elevation CLO 2014-2 Ltd
        28622QAB7
        
          
        
        490419.68000000
        PA
        USD
        487731.49000000
        0.625996497742
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-10-15
          Floating
          1.47129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIGHTSTONE HOLDCO LLC
        549300VXK6UGDG7H3G98
        Lightstone Holdco LLC
        53226GAG6
        
          
          
        
        189321.94000000
        PA
        USD
        169727.12000000
        0.217842367922
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-01-30
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        20754KAF8
        
          
        
        90000.00000000
        PA
        USD
        83470.15000000
        0.107132761852
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.39900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        EUR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        52967.08000000
        0.067982501141
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2037536.16000000
            EUR
            2307235.94000000
            USD
            2022-04-04
            52967.08000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS HARVT_22X-E
        000000000
        
          
        
        1.00000000
        NC
        
        230.80000000
        0.000296228549
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -7.15000000
            USD
            250355.00000000
            EUR
            237.95000000
          
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        BBCMS 2018-CHRS Mortgage Trust
        05491VAJ5
        
          
        
        490000.00000000
        PA
        USD
        437555.74000000
        0.561596629340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-08-05
          Variable
          4.26650000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GROUP LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group LLC
        25277BAG3
        
          
          
        
        464059.30200000
        PA
        USD
        157683.64000000
        0.202384730974
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-24
          Floating
          3.44500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900I4ZKD8IMM1O953
        Bellemeade Re 2019-2 Ltd
        07877BAG5
        
          
        
        2500000.00000000
        PA
        USD
        2459273.75000000
        3.156443219382
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-04-25
          Floating
          3.55657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2019-2 Ltd
        75049TAB7
        
          
        
        1101699.36000000
        PA
        USD
        1100673.79000000
        1.412699306532
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-06-25
          Floating
          2.20657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BT7
        
          
          
        
        50000.00000000
        PA
        USD
        48968.47000000
        0.062850341526
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2027-04-15
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS RAMC_06-2
        000000000
        
          
        
        1.00000000
        NC
        USD
        13.80000000
        0.000017712105
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -0.43000000
            USD
            12824.00000000
            USD
            14.23000000
          
        
        
          N
          N
          N
        
      
      
        European Residential Loan Secu
        N/A
        European Residential Loan Securitisation
        000000000
        
          
        
        381126.69000000
        PA
        
        416150.00000000
        0.534122663549
        Long
        ABS-O
        CORP
        LU
        
        N
        
        2
        
          2060-11-25
          Floating
          1.52700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS SPAUL_6X-F
        000000000
        
          
        
        1.00000000
        NC
        
        275.76000000
        0.000353934075
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -8.54000000
            USD
            221575.00000000
            EUR
            284.30000000
          
        
        
          N
          N
          N
        
      
      
        MKT 2020-525M Mortgage Trust
        N/A
        MKT 2020-525M Mortgage Trust
        55316PAN7
        
          
        
        250000.00000000
        PA
        USD
        188022.33000000
        0.241324012270
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2040-02-12
          Variable
          2.94060000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        One New York Plaza Trust 2020-
        N/A
        One New York Plaza Trust 2020-1NYP
        68249DAJ8
        
          
        
        100000.00000000
        PA
        USD
        98498.20000000
        0.126421052358
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-15
          Floating
          3.14700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oaktown Re Ltd
        N/A
        Oaktown Re V Ltd
        67401JAB8
        
          
        
        107353.02000000
        PA
        USD
        107426.43000000
        0.137880309809
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          4.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        100000.00000000
        PA
        USD
        105014.65000000
        0.134784824149
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Commercial Mortgage
        N/A
        Citigroup COmmercial Mortgage Trust 2019-SMRT
        29429MAL7
        
          
        
        726000.00000000
        PA
        USD
        718330.97000000
        0.921967682340
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-01-10
          Variable
          4.74493600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-1 Ltd
        26983BAC5
        
          
        
        295000.00000000
        PA
        USD
        296431.02000000
        0.380465038954
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-10-25
          Floating
          2.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTERCONTINENTAL EXCHANGE, INC.
        5493000F4ZO33MV32P92
        CDS CDX.NA.HY.37.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        128516.75000000
        0.164949438473
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              INTERCONTINENTAL EXCHANGE, INC.
              5493000F4ZO33MV32P92
            
            
              
                IHS MARKIT LTD
                CDX.NA.HY.37.V1
                
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            136798.57000000
            USD
            0.00000000
            USD
            1985000.00000000
            USD
            -8281.82000000
          
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        254900L82OLW9QTLJ788
        Eagle RE 2019-1 Ltd
        269822AC6
        
          
        
        1000000.00000000
        PA
        USD
        1000983.50000000
        1.284748223449
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2029-04-25
          Floating
          3.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BABSE_19-1X-ER
        000000000
        
          
        
        1.00000000
        NC
        
        172.63000000
        0.000221568173
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -5.34000000
            USD
            187170.00000000
            EUR
            177.97000000
          
        
        
          N
          N
          N
        
      
      
        CHANGE HEALTHCARE HOLDINGS
        549300GHXFJ3EKF50583
        Change Healthcare Holdings LLC
        15911AAC7
        
          
          
        
        450000.00000000
        PA
        USD
        447187.50000000
        0.573958857637
        Long
        LON
        CORP
        US
        Y
        
        2
        
          2024-03-01
          Floating
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS AHT1_18-KEYS
        000000000
        
          
        
        1.00000000
        NC
        USD
        314.10000000
        0.000403142925
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -9.42000000
            USD
            292009.00000000
            USD
            323.52000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KBD0
        
          
        
        250000.00000000
        PA
        USD
        221378.30000000
        0.284135929948
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-01-25
          Floating
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS PRPM_21-10
        000000000
        
          
        
        1.00000000
        NC
        USD
        34.77000000
        0.000044626805
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -1.08000000
            USD
            80744.00000000
            USD
            35.85000000
          
        
        
          N
          N
          N
        
      
      
        arbor multifamily mortgage sec
        N/A
        Arbor Multifamily Mortgage Securities Trust 2022-MF4
        03882LAJ9
        
          
        
        1400000.00000000
        PA
        USD
        1390196.78000000
        1.784297986281
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2055-02-15
          Variable
          3.29347200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ellington CLO LTD
        254900YE647HYXEP3N43
        Ellington Clo II Ltd
        28852EAA7
        
          
        
        487917.13000000
        PA
        USD
        487687.27000000
        0.625939741995
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-02-15
          Floating
          2.20643000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DBGS Mortgage Trust
        N/A
        DBGS 2018-BIOD Mortgage Trust
        23306GAL1
        
          
        
        159908.47000000
        PA
        USD
        155866.35000000
        0.200052264855
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Floating
          2.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-FCMT
        95003EAG1
        
          
        
        340000.00000000
        PA
        USD
        334041.30000000
        0.428737303595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          3.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eagle Re Ltd
        N/A
        Eagle RE 2021-2 Ltd
        26982AAC8
        
          
        
        240000.00000000
        PA
        USD
        228094.22000000
        0.292755718674
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-04-25
          Floating
          3.54900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300XSCUX0ONI5KZ96
        MidOcean Credit CLO III
        59802UAN9
        
          
        
        250000.00000000
        PA
        USD
        247747.28000000
        0.317980144372
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-21
          Floating
          2.05514000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FINASTRA USA INC
        549300ZB2RO6QC7YTK71
        Finastra USA Inc
        02034DAC1
        
          
          
        
        234353.36130000
        PA
        USD
        230984.53000000
        0.296465390849
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-06-13
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Revolving Single Family Home N
        N/A
        ZH Trust 2021-1
        98879EAA9
        
          
        
        140000.00000000
        PA
        USD
        137823.06000000
        0.176893956279
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-02-18
          Fixed
          2.25250000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust 2020-ICE5
        193051AQ2
        
          
        
        1292632.54000000
        PA
        USD
        1278094.04000000
        1.640415698452
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          3.16217000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-2 Ltd
        078782AC3
        
          
        
        142978.89000000
        PA
        USD
        143628.49000000
        0.184345143915
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2030-08-26
          Floating
          4.45657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS RAMC_07-3
        000000000
        
          
        
        1.00000000
        NC
        USD
        33.45000000
        0.000042932603
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -1.04000000
            USD
            31069.00000000
            USD
            34.49000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS SPAUL_3RX-ER
        000000000
        
          
        
        1.00000000
        NC
        
        79.54000000
        0.000102088469
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -2.46000000
            USD
            86278.00000000
            EUR
            82.00000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS COMM_13-CR7
        000000000
        
          
        
        1.00000000
        NC
        USD
        221.41000000
        0.000284176616
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -6.63000000
            USD
            205754.00000000
            USD
            228.04000000
          
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-1 Ltd
        437307AC5
        
          
        
        150000.00000000
        PA
        USD
        149094.18000000
        0.191360280046
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-07-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC FMSR ISSUER TRUST 2018-FT1
        69346MAA7
        
          
        
        710000.00000000
        PA
        USD
        701221.84000000
        0.900008354967
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-04-25
          Floating
          2.80657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIAMOND SPORTS GROUP LLC
        5493002K6DHWNZH8YA34
        Diamond Sports Group LLC
        25277BAE8
        
          
          
        
        50222.10000000
        PA
        USD
        50896.98000000
        0.065325556948
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-05-25
          Floating
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS PRVD_3X-ER
        000000000
        
          
        
        1.00000000
        NC
        
        208.02000000
        0.000266990740
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -6.44000000
            USD
            225657.00000000
            EUR
            214.46000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        140000.00000000
        PA
        USD
        136461.63000000
        0.175146580050
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-2 Ltd
        43730VAC2
        
          
        
        410000.00000000
        PA
        USD
        386480.51000000
        0.496042291027
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-01-25
          Floating
          2.89900000
          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
        478302.83000000
        0.613894945434
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-11-10
          Variable
          3.17709700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS AMSR_20-SFR3
        000000000
        
          
        
        1.00000000
        NC
        USD
        154.48000000
        0.000198272904
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -4.81000000
            USD
            143633.00000000
            USD
            159.29000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MV0
        
          
          
        
        700000.00000000
        PA
        USD
        662099.65000000
        0.849795575136
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS HARVT-9X-ER
        000000000
        
          
        
        1.00000000
        NC
        
        82.91000000
        0.000106413817
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -2.57000000
            USD
            89939.00000000
            EUR
            85.48000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FP4
        
          
          
        
        550000.00000000
        PA
        USD
        554278.35000000
        0.711408455243
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables
        N/A
        Exeter Automobile Receivables Trust
        30167JAG9
        
          
        
        1200000.00000000
        PA
        USD
        1158752.04000000
        1.487241922378
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Retiro Mortgage Securities
        635400CU9HBU644YSL41
        Retiro Mortgage Securities DAC
        000000000
        
          
        
        279926.79000000
        PA
        
        308599.93000000
        0.396083663541
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2075-07-30
          Floating
          1.45300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAG6
        
          
          
        
        80000.00000000
        PA
        USD
        77104.39000000
        0.098962398553
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2020-1 Ltd
        43731WAC9
        
          
        
        200000.00000000
        PA
        USD
        200804.08000000
        0.257729208365
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2030-10-25
          Floating
          4.60657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BMTY2
        
          
        
        2199178.21000000
        PA
        USD
        43542.41000000
        0.055886069942
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-11-25
          Variable
          0.64413300
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -51507.42000000
        -0.06610904809
        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
            83155.58000000
          
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corportation Trust 2021-IP
        36262MAJ7
        
          
        
        1950000.00000000
        PA
        USD
        1895907.78000000
        2.433370931868
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          3.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        150000.00000000
        PA
        USD
        142008.50000000
        0.182265909567
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        BBCMS 2016-ETC Mortgage Trust
        05491LAJ7
        
          
        
        250000.00000000
        PA
        USD
        206163.53000000
        0.264607986952
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-08-14
          Variable
          3.60890000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CGMSE_15-1X-DR
        000000000
        
          
        
        1.00000000
        NC
        
        165.38000000
        0.000212262900
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -5.12000000
            USD
            179312.00000000
            EUR
            170.50000000
          
        
        
          N
          N
          N
        
      
      
        St Pauls CLO
        N/A
        St Pauls CLO
        000000000
        
          
        
        750000.00000000
        PA
        
        788272.49000000
        1.011736638138
        Long
        ABS-CBDO
        CORP
        IE
        
        N
        
        2
        
          2032-01-17
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HERITAGE POWER LLC
        9845009CA1DFDE381P22
        Heritage Power LLC
        42727CAC1
        
          
          
        
        125000.00000000
        PA
        USD
        73515.63000000
        0.094356275641
        Long
        LON
        CORP
        US
        N
        
        2
        
          2026-08-02
          Floating
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTELSAT JACKSON HLDG
        8XJ8KF85PBKK1TLMFN29
        Intelsat Jackson Holdings SA
        000000000
        
          
        
        301000.00000000
        PA
        USD
        295858.02000000
        0.379729601525
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2029-02-01
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX Commercial Mortgage Trust 2
        N/A
        BX Commercial Mortgage Trust 2019-XL
        056054AL3
        
          
        
        765000.00000000
        PA
        USD
        746978.44000000
        0.958736306587
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          3.04700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Last Mile Logistics Pan Euro F
        635400NOPX1IKIAX7N90
        Last Mile Logistics Pan Euro Finance DAC
        000000000
        
          
        
        99553.88000000
        PA
        
        107304.98000000
        0.137724430444
        Long
        ABS-MBS
        CORP
        IE
        N
        
        2
        
          2033-08-17
          Floating
          1.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FREMF_19-KF70
        000000000
        
          
        
        1.00000000
        NC
        USD
        402.27000000
        0.000516307879
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -12.05000000
            USD
            373817.00000000
            USD
            414.32000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -2047.17000000
        -0.00262751386
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-05-11
            0.00000000
            USD
            -29758.00000000
            USD
            -885000.00000000
            EUR
            27710.83000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -30359.65000000
        -0.03896618316
        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
            25123.28000000
          
        
        
          N
          N
          N
        
      
      
        TFS_18-3
        N/A
        TFS_18-3
        000000000
        
          
        
        1.00000000
        PA
        
        354.00000000
        0.000454354013
        Long
        ABS-MBS
        CORP
        N/A
        N
        
        3
        
          2040-04-16
          Fixed
          0.00000100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BABSE_18-2X-E
        000000000
        
          
        
        1.00000000
        NC
        
        248.77000000
        0.000319292791
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -7.71000000
            USD
            269721.00000000
            EUR
            256.48000000
          
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAQ3
        
          
        
        100000.00000000
        PA
        USD
        91248.18000000
        0.117115753804
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.09990000
          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
        15507.81000000
        0.019904055708
        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 Ltd
        07876MAC1
        
          
        
        150000.00000000
        PA
        USD
        149202.77000000
        0.191499653781
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2031-03-25
          Floating
          3.04900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900SCWI9IDKK5LV64
        Bellemeade Re 2019-3 Ltd
        07877GAB5
        
          
        
        852973.08000000
        PA
        USD
        851995.23000000
        1.093523877396
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-07-25
          Floating
          2.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS JUBIL_14-12X-ER
        000000000
        
          
        
        1.00000000
        NC
        
        328.77000000
        0.000421971664
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -10.18000000
            USD
            356457.00000000
            EUR
            338.95000000
          
        
        
          N
          N
          N
        
      
      
        Arbor Realty Collateralized Lo
        N/A
        Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd
        03880XAA4
        
          
        
        1900000.00000000
        PA
        USD
        1888360.98000000
        2.423684720364
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2037-01-15
          Floating
          1.49967000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BM2
        
          
          
        
        21000.00000000
        PA
        USD
        21110.91000000
        0.027095555638
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2025-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS RALI_06-QA6
        000000000
        
          
        
        1.00000000
        NC
        USD
        28.22000000
        0.000036219972
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -0.88000000
            USD
            65561.00000000
            USD
            29.10000000
          
        
        
          N
          N
          N
        
      
      
        Taurus CMBS
        6354001CXJE7XMMVG324
        Taurus 2021-4 UK DAC
        000000000
        
          
          
        
        243060.15000000
        PA
        
        318044.95000000
        0.408206213678
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2031-08-17
          Floating
          2.25522000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SREIT Trust
        N/A
        SREIT Trust 2021-MFP
        78472UAL2
        
          
        
        260000.00000000
        PA
        USD
        250547.26000000
        0.321573879264
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2038-11-15
          Floating
          3.02147000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-FCMT
        95003EAJ5
        
          
        
        1000000.00000000
        PA
        USD
        979974.00000000
        1.257782826117
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          4.89700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHESAPEAKE ENERGY FLLO BACKSTOP
        N/A
        CHESAPEAKE ENERGY FLLO BACKSTOP
        000000000
        
          
        
        42.00000000
        NS
        USD
        3654.00000000
        0.004689857533
        Long
        EC
        CORP
        US
        N
        
        2
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        48128BAF8
        
          
          
        
        500000.00000000
        PA
        USD
        496830.05000000
        0.637674371349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        43559.45000000
        0.055907940542
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1060666.57000000
            GBP
            1436853.18000000
            USD
            2022-04-04
            43559.45000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACL
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HAS9
        
          
        
        800000.00000000
        PA
        USD
        801398.32000000
        1.028583456066
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-01-25
          Fixed
          6.68400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAL4
        
          
        
        100000.00000000
        PA
        USD
        93642.39000000
        0.120188688616
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.09990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GTT COMMUNICATIONS INC
        549300ETSL7K1ZX05H30
        GTT Communications Inc
        36250LAP9
        
          
          
        
        62089.39380000
        PA
        USD
        50416.59000000
        0.064708983149
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-05-31
          Floating
          3.25430000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        120058.71000000
        PA
        USD
        119661.94000000
        0.153584414557
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          2.30657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KJA8
        
          
        
        890000.00000000
        PA
        USD
        829747.09000000
        1.064968703070
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2034-01-25
          Floating
          3.14900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B1BT8
        
          
          
        
        1397297.27000000
        PA
        USD
        5674.01000000
        0.007282511916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-11-25
          Variable
          0.92886600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Commercial Mortgage S
        N/A
        BBCMS 2018-TALL Mortgage Trust
        05548WAG2
        
          
        
        210000.00000000
        PA
        USD
        198961.92000000
        0.255364821951
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-03-15
          Floating
          1.84550000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BAFC_07-A
        000000000
        
          
        
        1.00000000
        NC
        USD
        106.40000000
        0.000136562901
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -3.32000000
            USD
            247364.00000000
            USD
            109.72000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP CDS GS_21-PJ-A
        000000000
        
          
        
        -630000.00000000
        OU
        Other
        USD
        -23.14000000
        -0.00002969986
        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
            -23.14000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        5493003FQV7GR462GO02
        Freddie Mac Stacr Remic Trust 2020-DNA1
        35565HBD6
        
          
        
        900000.00000000
        PA
        USD
        859786.83000000
        1.103524286252
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2050-01-25
          Floating
          2.75657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ICG US CLO Ltd
        25490037AMBNS8P47972
        ICG US CLO 2015-2R Ltd
        44933WAC3
        
          
        
        2000000.00000000
        PA
        USD
        1983115.80000000
        2.545301197217
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2033-01-16
          Floating
          2.04129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38144GAG6
        
          
          
        
        760000.00000000
        PA
        USD
        695277.26000000
        0.892378570266
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Santander Bank Auto Credit-Lin
        N/A
        Santander Bank NA - SBCLN
        80290CAJ3
        
          
        
        600000.00000000
        PA
        USD
        576105.72000000
        0.739423577201
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-12-15
          Fixed
          5.00400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAN0
        
          
        
        200000.00000000
        PA
        USD
        184809.54000000
        0.237200441557
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.09990000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oportun Funding LLC
        N/A
        Oportun Funding XIV LLC
        68377BAD9
        
          
        
        500000.00000000
        PA
        USD
        484393.70000000
        0.621712491290
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-03-08
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT US Long Bond
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4540.44000000
        -0.00582759078
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            154602.94000000
            USD
            -4540.44000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KPN3
        
          
        
        260000.00000000
        PA
        USD
        233686.73000000
        0.299933626489
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          3.84900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2021-R01
        20754RAF3
        
          
        
        130000.00000000
        PA
        USD
        119609.75000000
        0.153517429427
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          3.19900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GS_21-PJ2-A
        000000000
        
          
        
        1.00000000
        NC
        USD
        234.67000000
        0.000301195639
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-14
            0.00000000
            USD
            -25.45000000
            USD
            272541.00000000
            USD
            260.12000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS ACCUN_3X-F
        000000000
        
          
        
        1.00000000
        NC
        
        58.47000000
        0.000075045421
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -1.80000000
            USD
            46980.00000000
            EUR
            60.27000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MK4
        
          
          
        
        605000.00000000
        PA
        USD
        578701.21000000
        0.742754852058
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIGHTSTONE HOLDCO LLC
        549300VXK6UGDG7H3G98
        Lightstone Holdco LLC
        53226GAH4
        
          
          
        
        10678.06000000
        PA
        USD
        9572.88000000
        0.012286656646
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-01-30
          Floating
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WEST CORP
        5493005Z5DB0O5S30R71
        Intrado Corp
        68162RAC5
        
          
          
        
        303648.40900000
        PA
        USD
        276753.97000000
        0.355209822429
        Long
        LON
        CORP
        US
        N
        
        2
        
          2024-10-10
          Floating
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHA 3 BV
        549300RVASWYF4HCO804
        Alpha 3 BV
        000000000
        
          
          
        
        149265.68450000
        PA
        USD
        147213.28000000
        0.188946171388
        Long
        LON
        CORP
        NL
        
        N
        
        2
        
          2028-03-18
          Floating
          3.00000000
          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
        595491.48000000
        0.764304927113
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-07-05
          Variable
          4.61320000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA5
        35566ABD0
        
          
        
        120000.00000000
        PA
        USD
        121801.46000000
        0.156330458342
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-10-25
          Floating
          4.89900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BOPHO_4X-F
        000000000
        
          
        
        1.00000000
        NC
        
        141.27000000
        0.000181318055
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -4.37000000
            USD
            113461.00000000
            EUR
            145.64000000
          
        
        
          N
          N
          N
        
      
      
        Santander Consumer Auto Receiv
        N/A
        Santander Consumer Auto Receivables Trust 2021-A
        80282YAH9
        
          
        
        750000.00000000
        PA
        USD
        713088.38000000
        0.915238891917
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 2 Year US Treasury Note
        000000000
        
          
          
        
        -14.00000000
        NC
        USD
        23171.40000000
        0.029740165532
        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
                
                  
                  
                  
                
              
            
            2022-06-30
            -2990077.66000000
            USD
            23171.40000000
          
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        Sofi Alternative Trust 2019-D
        83406DAE7
        
          
        
        67227.30000000
        PA
        USD
        66829.01000000
        0.085774093051
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-16
          Variable
          2.95641000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Radnor Re LTD
        N/A
        Radnor RE 2021-2 Ltd
        75049GAB5
        
          
        
        300000.00000000
        PA
        USD
        290965.05000000
        0.373449543447
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-11-25
          Floating
          3.79900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corportation Trust 2021-IP
        36262MAL2
        
          
        
        140000.00000000
        PA
        USD
        136200.85000000
        0.174811872593
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-10-15
          Floating
          4.94700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        N/A
        Bellemeade Re 2020-4 Ltd
        07876UAB5
        
          
        
        619449.02000000
        PA
        USD
        620138.40000000
        0.795938901783
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2030-06-25
          Floating
          4.05657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lendmark Funding Trust
        N/A
        Lendmark Funding Trust 2021-1
        52607MAD1
        
          
        
        500000.00000000
        PA
        USD
        450503.05000000
        0.578214319363
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2031-11-20
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 10 Year US Treasury Note
        000000000
        
          
          
        
        -1.00000000
        NC
        USD
        3530.03000000
        0.004530743784
        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
                
                  
                  
                  
                
              
            
            2022-06-21
            -126405.03000000
            USD
            3530.03000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        CBOT 5 Year US Treasury Note
        000000000
        
          
          
        
        -49.00000000
        NC
        USD
        133268.24000000
        0.171047908963
        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
                
                  
                  
                  
                
              
            
            2022-06-30
            -5752955.74000000
            USD
            133268.24000000
          
        
        
          N
          N
          N
        
      
      
        Independence Plaza Trust
        N/A
        Independence Plaza Trust 2018-INDP
        45378YAS3
        
          
        
        100000.00000000
        PA
        USD
        91485.94000000
        0.117420915415
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-07-10
          Fixed
          4.99600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS CRSNT_21-MOON
        000000000
        
          
        
        1.00000000
        NC
        USD
        170.76000000
        0.000219168054
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -5.12000000
            USD
            158793.00000000
            USD
            175.88000000
          
        
        
          N
          N
          N
        
      
      
        Marble Point CLO XXI Ltd.
        N/A
        Marble Point CLO XXI Ltd
        56606KAA3
        
          
        
        500000.00000000
        PA
        USD
        494165.40000000
        0.634254330606
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-17
          Floating
          1.48129000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deco
        549300BXZQDWLENUZL17
        Deco 2019-RAM DAC
        000000000
        
          
        
        183712.65000000
        PA
        
        210762.41000000
        0.270510584657
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2030-08-07
          Floating
          4.29420000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS OZLME_3X-E
        000000000
        
          
        
        1.00000000
        NC
        
        180.79000000
        0.000232041418
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -5.61000000
            USD
            196114.00000000
            EUR
            186.40000000
          
        
        
          N
          N
          N
        
      
      
        TEXAS CAPITAL BANK NA
        38PG5GG0OEQK4QMSKE59
        Texas Capital Bank NA
        88225GAA6
        
          
        
        600000.00000000
        PA
        USD
        590256.07000000
        0.757585352119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-09-30
          Floating
          4.72375000
          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
        87004.00000000
        0.111668408553
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-03-15
          Variable
          0.27790000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT_21-4F
        N/A
        BVRT_21-4F
        000000000
        
          
        
        208996.22000000
        PA
        USD
        208996.22000000
        0.268243704669
        Long
        ABS-MBS
        CORP
        US
        N
        
        3
        
          2026-09-12
          Floating
          2.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TH MSR ISSUER TRUST
        N/A
        TH MSR issuer Trust
        87271AAA4
        
          
        
        620000.00000000
        PA
        USD
        607835.85000000
        0.780148752138
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2024-06-25
          Floating
          3.25657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA6
        35564KLU1
        
          
        
        1500000.00000000
        PA
        USD
        1383845.55000000
        1.776146272032
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-10-25
          Floating
          3.49900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCAFEE CORP
        2549009UKR8UEZYVCR93
        McAfee Corp
        000000000
        
          
        
        250000.00000000
        PA
        USD
        247437.50000000
        0.317582546105
        Long
        LON
        CORP
        US
        N
        
        2
        
          2029-03-01
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP IRS CDS GS_21-PJ-A
        000000000
        
          
        
        -330000.00000000
        OU
        Other
        USD
        -13.21000000
        -0.00001695484
        N/A
        DIR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    IRS CDS GS_21-PJ-A
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                  
                    
                      
                    
                  
                  2031-12-17
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            -330000.00000000
            USD
            0.50000000
            USD
            2024-11-15
            XXXX
            -13.21000000
          
        
        
          N
          N
          N
        
      
      
        FREMF Mortgage Trust
        N/A
        FREMF 2019-K735 Mortgage Trust
        30298FAG9
        
          
        
        94285162.53000000
        PA
        USD
        312979.60000000
        0.401704908298
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-05-25
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS JUBIL_18-21X-FR
        000000000
        
          
        
        1.00000000
        NC
        
        204.72000000
        0.000262755236
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -6.33000000
            USD
            164414.00000000
            EUR
            211.05000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BABSE_18-1X-E
        000000000
        
          
        
        1.00000000
        NC
        
        466.53000000
        0.000598784683
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -14.44000000
            USD
            505813.00000000
            EUR
            480.97000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        8362.87000000
        0.010733625854
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -2108901.98000000
            USD
            1913704.16000000
            EUR
            2022-04-04
            8362.87000000
          
        
        
          N
          N
          N
        
      
      
        Madison Avenue Trust
        N/A
        MAD Commercial Mortgage Trust 2019-650M
        55283JAA8
        
          
        
        350000.00000000
        PA
        USD
        288790.67000000
        0.370658757343
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-12-12
          Variable
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505GB4
        
          
          
        
        700000.00000000
        PA
        USD
        658583.27000000
        0.845282350934
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -6149.74000000
        -0.00789310467
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -1399443.47000000
            USD
            1060666.57000000
            GBP
            2022-04-04
            -6149.74000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FREMF_19-KF59
        000000000
        
          
        
        1.00000000
        NC
        USD
        32.15000000
        0.000041264072
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -0.97000000
            USD
            29883.00000000
            USD
            33.12000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R03
        20753XAF1
        
          
        
        75000.00000000
        PA
        USD
        76772.75000000
        0.098536743284
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-03-25
          Floating
          6.34900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS COMM_13-CR7
        000000000
        
          
        
        1.00000000
        NC
        USD
        578.25000000
        0.000742175730
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -17.33000000
            USD
            537354.00000000
            USD
            595.58000000
          
        
        
          N
          N
          N
        
      
      
        TCW Gem Ltd
        N/A
        TCW CLO 2019-2 Ltd
        87242BBA7
        
          
        
        1000000.00000000
        PA
        USD
        994201.10000000
        1.276043108579
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2032-10-20
          Floating
          2.09078000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GS_21-PJ-A
        000000000
        
          
        
        1.00000000
        NC
        USD
        336.01000000
        0.000431264102
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-14
            0.00000000
            USD
            -48.59000000
            USD
            520306.00000000
            USD
            384.60000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS PRET_21-RN4
        000000000
        
          
        
        1.00000000
        NC
        USD
        12.54000000
        0.000016094913
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-28
            0.00000000
            USD
            -0.39000000
            USD
            29139.00000000
            USD
            12.93000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA3
        35564KKK4
        
          
        
        90000.00000000
        PA
        USD
        80306.69000000
        0.103072505499
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-09-25
          Floating
          3.44900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BSREP_21-DC
        000000000
        
          
        
        1.00000000
        NC
        USD
        96.27000000
        0.000123561189
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -2.89000000
            USD
            89508.00000000
            USD
            99.16000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RBD4
        
          
        
        120000.00000000
        PA
        USD
        122702.21000000
        0.157486558280
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-25
          Floating
          5.70657000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS BLACK_17-2X-E
        000000000
        
          
        
        1.00000000
        NC
        
        120.64000000
        0.000154839740
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-04-26
            0.00000000
            USD
            -3.72000000
            USD
            130790.00000000
            EUR
            124.36000000
          
        
        
          N
          N
          N
        
      
      
        CSAIL Commercial Mortgage Trus
        54930025J96YEH8FQE77
        CSAIL 2015-C4 Commercial Mortgage Trust
        12635RBA5
        
          
        
        25076000.00000000
        PA
        USD
        193092.72000000
        0.247831786419
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2048-11-15
          Variable
          0.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deco
        549300BXZQDWLENUZL17
        Deco 2019-RAM DAC
        000000000
        
          
          
        
        395097.33000000
        PA
        
        509220.77000000
        0.653577685947
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2030-08-07
          Floating
          2.69420000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Laurel Road Prime Student Loan
        N/A
        Laurel Road Prime Student Loan Trust 2019-A
        51889RAD1
        
          
        
        854447.60500000
        PA
        USD
        178824.78000000
        0.229519086392
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2048-10-25
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TICP CLO Ltd
        549300T5OQR4UD880D68
        TICP CLO IX Ltd
        87249AAA3
        
          
        
        1000000.00000000
        PA
        USD
        994392.00000000
        1.276288126040
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-01-20
          Floating
          1.39400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS FREMF_16-K57
        000000000
        
          
        
        1.00000000
        NC
        USD
        17.18000000
        0.000022050288
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                FEDERAL HOME LOAN MORTGAGE CORPORATION
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-04-27
            0.00000000
            USD
            -0.51000000
            USD
            15968.00000000
            USD
            17.69000000
          
        
        
          N
          N
          N
        
      
      
        DBWF Mortgage Trust
        N/A
        DBWF 2016-85T Mortgage Trust
        23307CAL9
        
          
        
        500000.00000000
        PA
        USD
        446783.90000000
        0.573440842722
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-12-10
          Variable
          3.80810000
          N
          N
          N
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2022-05-24
      Prudential Investment Portfolios 8
      Christian J. Kelly
      Christian J. Kelly
      Treasurer and Principal Financial and Accounting Officer
    
  





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