PSF PGIM TOTAL RETURN BOND
PORTFOLIO
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A1
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A2
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A3
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A4
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A5
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A6
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A7
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A8
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A9
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A10
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A11
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A12
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A13
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A14
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A15
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A16
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A17
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A18
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A19
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A20
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A21
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A22
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A23
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A24
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A25
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A26
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A27
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A28
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A29
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A30
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A31
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A32
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A33
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A34
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A35
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A36
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A37
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
A38
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
Unfunded loan commitment outstanding
at September 30, 2022:
Borrower | Principal Amount (000)# | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||
TPC Group, Inc., DIP Facility, Term SOFR + 0.000%, 0.000%(c), Maturity Date 03/01/23 (cost $18,553) | 19 | $18,553 | $— | $— |
Options Purchased:
OTC Swaptions | ||||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Barclays Bank PLC | 10/19/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,600 | $— | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 10/19/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,510 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Deutsche Bank AG | 10/19/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,540 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | JPMorgan Chase Bank, N.A. | 10/19/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,600 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Bank of America, N.A. | 11/16/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,480 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Citibank, N.A. | 11/16/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,490 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 11/16/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,480 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 11/16/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,310 | — | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 11/16/22 | 0.35% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,310 | — | ||||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | Barclays Bank PLC | 10/19/22 | $100.50 | CDX.NA.HY.38.V2(Q) | 5.00%(Q) | 3,200 | 100,292 | ||||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | Deutsche Bank AG | 11/16/22 | $100.50 | CDX.NA.HY.38.V2(Q) | 5.00%(Q) | 3,210 | 120,107 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 10/19/22 | 0.88% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,510 | 78,918 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Deutsche Bank AG | 10/19/22 | 0.90% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,540 | 68,066 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Barclays Bank PLC | 10/19/22 | 0.93% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,600 | 54,122 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | JPMorgan Chase Bank, N.A. | 10/19/22 | 0.93% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,600 | 54,122 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 11/16/22 | 0.85% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,310 | 96,446 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 11/16/22 | 0.88% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,310 | 87,322 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 11/16/22 | 0.90% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,480 | 86,552 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Citibank, N.A. | 11/16/22 | 0.93% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,490 | 78,408 | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 11/16/22 | 0.93% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,480 | 78,350 | ||||||||||
Total Options Purchased (cost $552,351) | $902,705 |
A39
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
Options Written:
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Call | Barclays Bank PLC | 10/19/22 | $102.00 | CDX.NA.HY.38.V2(Q) | 5.00%(Q) | 3,200 | $(1,938) | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Call | Deutsche Bank AG | 11/16/22 | $102.00 | CDX.NA.HY.38.V2(Q) | 5.00%(Q) | 3,210 | (4,974) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | BNP Paribas S.A. | 10/19/22 | 0.80% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,510 | (1,434) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Deutsche Bank AG | 10/19/22 | 0.80% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,540 | (1,438) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Barclays Bank PLC | 10/19/22 | 0.83% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,600 | (1,971) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | JPMorgan Chase Bank, N.A. | 10/19/22 | 0.83% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,600 | (1,971) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 11/16/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,310 | (2,419) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Morgan Stanley & Co. International PLC | 11/16/22 | 0.75% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 12,310 | (2,419) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Bank of America, N.A. | 11/16/22 | 0.78% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,480 | (3,503) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Goldman Sachs International | 11/16/22 | 0.78% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,480 | (3,503) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | Citibank, N.A. | 11/16/22 | 0.80% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,490 | (4,840) | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 10/19/22 | $95.00 | 5.00%(Q) | CDX.NA.HY.38.V2(Q) | 3,700 | (18,123) | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | Barclays Bank PLC | 10/19/22 | $97.00 | 5.00%(Q) | CDX.NA.HY.38.V2(Q) | 3,200 | (32,584) | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | Deutsche Bank AG | 11/16/22 | $96.00 | 5.00%(Q) | CDX.NA.HY.38.V2(Q) | 3,210 | (48,417) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | BNP Paribas S.A. | 10/19/22 | 1.18% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,510 | (10,559) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Barclays Bank PLC | 10/19/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,600 | (8,321) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Deutsche Bank AG | 10/19/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,540 | (8,942) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | JPMorgan Chase Bank, N.A. | 10/19/22 | 1.23% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,600 | (7,048) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 11/16/22 | 1.15% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,310 | (29,937) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Morgan Stanley & Co. International PLC | 11/16/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 12,310 | (24,798) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Bank of America, N.A. | 11/16/22 | 1.23% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,480 | (24,744) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 11/16/22 | 1.25% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,480 | (22,565) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Citibank, N.A. | 11/16/22 | 1.28% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,490 | (20,609) |
A40
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
Options Written (continued):
OTC Swaptions | ||||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | ||||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | Goldman Sachs International | 01/18/23 | 3.00% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 11,160 | $(3,068) | ||||||||||
CDX.NA.IG.39.V1, 12/20/27 | Put | BNP Paribas S.A. | 11/16/22 | 1.38% | 1.00%(Q) | CDX.NA.IG.39.V1(Q) | 12,980 | (21,383) | ||||||||||
GS_21-PJ2A^ | Put | Goldman Sachs International | 11/15/24 | 0.50% | 0.50%(M) | GS_21-PJ2A(M) | 7,830 | (168) | ||||||||||
GS_21-PJA††^ | Put | Goldman Sachs International | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 15,090 | (318) | ||||||||||
Total Options Written (premiums received $631,288) | $(311,994) |
†† | The value of the contract, GS_21-PJA is derived from the aggregate credit performance of a pool of senior prime jumbo mortgages. The pool of prime jumbo mortgages is reset monthly. |
Options Purchased: |
Centrally Cleared Swaptions | ||||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.39.V1, 12/20/27 | Put | 11/16/22 | $85.00 | CDX.NA.HY.39.V1(Q) | 5.00%(Q) | 1,850 | $5,230 | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | 12/21/22 | 0.93% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,510 | 96,921 | |||||||||
Total Centrally Cleared Swaptions (cost $63,600) | $102,151 |
Options Written: |
Centrally Cleared Swaptions | ||||||||||||||||
Description | Call/ Put | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Call | 12/21/22 | 0.83% | CDX.NA.IG.38.V1(Q) | 1.00%(Q) | 13,510 | $(11,252) | |||||||||
CDX.NA.HY.38.V2, 06/20/27 | Put | 12/21/22 | $91.00 | 5.00%(Q) | CDX.NA.HY.38.V2(Q) | 2,620 | (28,301) | |||||||||
CDX.NA.HY.39.V1, 12/20/27 | Put | 01/18/23 | $90.00 | 5.00%(Q) | CDX.NA.HY.39.V1(Q) | 3,700 | (67,618) | |||||||||
CDX.NA.IG.38.V1, 06/20/27 | Put | 12/21/22 | 1.20% | 1.00%(Q) | CDX.NA.IG.38.V1(Q) | 13,510 | (46,060) | |||||||||
CDX.NA.IG.39.V1, 12/20/27 | Put | 12/21/22 | 1.50% | 1.00%(Q) | CDX.NA.IG.39.V1(Q) | 12,980 | (30,161) | |||||||||
Total Centrally Cleared Swaptions (premiums received $194,714) | $(183,392) |
Futures contracts outstanding at September 30, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
608 | 2 Year U.S. Treasury Notes | Dec. 2022 | $124,877,501 | $(2,034,322) | ||||
623 | 5 Year U.S. Treasury Notes | Dec. 2022 | 66,977,366 | (2,238,840) | ||||
652 | 10 Year U.S. Treasury Notes | Dec. 2022 | 73,064,750 | (3,368,953) | ||||
235 | 10 Year U.S. Ultra Treasury Notes | Dec. 2022 | 27,843,829 | (1,782,711) | ||||
356 | 30 Year U.S. Ultra Treasury Bonds | Dec. 2022 | 48,772,000 | (4,391,808) | ||||
(13,816,634) |
A41
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
Futures contracts outstanding at September 30, 2022 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions: | ||||||||
87 | 5 Year Euro-Bobl | Dec. 2022 | $10,210,406 | $266,712 | ||||
136 | 10 Year Euro-Bund | Dec. 2022 | 18,458,889 | 945,751 | ||||
261 | 20 Year U.S. Treasury Bonds | Dec. 2022 | 32,992,031 | 2,377,479 | ||||
48 | Euro Schatz Index | Dec. 2022 | 5,041,299 | 44,914 | ||||
3,634,856 | ||||||||
$(10,181,778) |
Forward foreign currency exchange
contracts outstanding at September 30, 2022:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 10/04/22 | Morgan Stanley & Co. International PLC | GBP | 12,283 | $13,288,447 | $13,715,969 | $427,522 | $— | ||||||
Euro, | |||||||||||||
Expiring 10/04/22 | Barclays Bank PLC | EUR | 1,188 | 1,202,901 | 1,164,421 | — | (38,480) | ||||||
Expiring 10/04/22 | UBS AG | EUR | 103,707 | 100,121,689 | 101,665,282 | 1,543,593 | — | ||||||
Expiring 11/02/22 | Morgan Stanley & Co. International PLC | EUR | 2,604 | 2,555,551 | 2,557,419 | 1,868 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 12/21/22 | HSBC Bank PLC | MXN | 15,980 | 779,860 | 781,837 | 1,977 | — | ||||||
$117,948,448 | $119,884,928 | 1,974,960 | (38,480) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
British Pound, | |||||||||||||
Expiring 10/04/22 | HSBC Bank PLC | GBP | 12,283 | $14,527,612 | $13,715,969 | $811,643 | $— | ||||||
Expiring 11/02/22 | Morgan Stanley & Co. International PLC | GBP | 12,283 | 13,296,063 | 13,724,108 | — | (428,045) | ||||||
Euro, | |||||||||||||
Expiring 10/04/22 | Barclays Bank PLC | EUR | 102,661 | 102,503,550 | 100,639,873 | 1,863,677 | — | ||||||
Expiring 10/04/22 | HSBC Bank PLC | EUR | 2,234 | 2,250,893 | 2,189,830 | 61,063 | — | ||||||
Expiring 11/02/22 | UBS AG | EUR | 103,707 | 100,330,658 | 101,869,185 | — | (1,538,527) | ||||||
South African Rand, | |||||||||||||
Expiring 12/21/22 | Morgan Stanley & Co. International PLC | ZAR | 11,532 | 660,217 | 632,519 | 27,698 | — | ||||||
$233,568,993 | $232,771,484 | 2,764,081 | (1,966,572) | ||||||||||
$4,739,041 | $(2,005,052) |
Credit default swap agreements
outstanding at September 30, 2022:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at September 30, 2022(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed and/or mortgage-backed securities - Sell Protection(2)^: | |||||||||||||||||
GS_21-PJ2A | 10/14/22 | 0.500%(M) | 3,568 | 0.500% | $2,327 | $(46) | $2,373 | Goldman Sachs International | |||||||||
GS_21-PJA | 10/14/22 | 0.250%(M) | 6,876 | * | 2,243 | (44) | 2,287 | Goldman Sachs International | |||||||||
$4,570 | $(90) | $4,660 |
A42
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
Credit default swap agreements
outstanding at September 30, 2022: (continued)
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 665 | $(1,720) | $702 | $(2,422) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 655 | (1,695) | 1,751 | (3,446) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (569) | 659 | (1,228) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 220 | (569) | 605 | (1,174) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 215 | (557) | 213 | (770) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 115 | (298) | 121 | (419) | Citibank, N.A. | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 160 | 613 | 501 | 112 | Citibank, N.A. | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 130 | 497 | 487 | 10 | Citibank, N.A. | |||||||||
$(4,298) | $5,039 | $(9,337) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at September 30, 2022(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
International Bank for Reconstruction & Development | 06/20/23 | 0.250%(Q) | 10,710 | 0.179% | $6,275 | $7,669 | $(1,394) | Bank of America, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 2,205 | 4.362% | (51,421) | (10,678) | (40,743) | Credit Suisse International | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 550 | 4.362% | (12,826) | (5,156) | (7,670) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 545 | 4.362% | (12,709) | (6,133) | (6,576) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 4.362% | (4,315) | (2,134) | (2,181) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 185 | 4.362% | (4,314) | (2,095) | (2,219) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 180 | 4.362% | (4,197) | (1,695) | (2,502) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 90 | 4.362% | (2,099) | (843) | (1,256) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 160 | 6.097% | (16,110) | (6,708) | (9,402) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 130 | 6.097% | (13,089) | (5,514) | (7,575) | Citibank, N.A. | |||||||||
$(114,805) | $(33,287) | $(81,518) |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at September 30, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreements on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.HY.38.V2 | 06/20/27 | 5.000%(Q) | 1,026 | $23,357 | $21,649 | $(1,708) | ||||||||
CDX.NA.IG.39.V1 | 12/20/27 | 1.000%(Q) | 98,330 | (85,853) | 307,462 | 393,315 | ||||||||
$(62,496) | $329,111 | $391,607 |
The Portfolio entered into credit
default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference
entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as
the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) | If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the |
A43
PSF PGIM TOTAL RETURN BOND
PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS | as of September 30, 2022 (unaudited) |
referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | |
(3) | Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
* | When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Portfolio is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest rate swap agreements
outstanding at September 30, 2022:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at September 30, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
GBP | 635 | 05/08/23 | 0.950%(A) | 1 Day SONIA(1)(A) | $(14,468) | $18,334 | $32,802 | |||||||
GBP | 3,946 | 05/08/26 | 1.000%(A) | 1 Day SONIA(1)(A) | (184,608) | 609,377 | 793,985 | |||||||
GBP | 2,920 | 05/08/27 | 1.050%(A) | 1 Day SONIA(1)(A) | 150,731 | 545,592 | 394,861 | |||||||
GBP | 977 | 10/22/28 | 0.680%(A) | 1 Day SONIA(1)(A) | — | 234,389 | 234,389 | |||||||
GBP | 2,100 | 05/08/30 | 1.100%(A) | 1 Day SONIA(1)(A) | (145,549) | 519,880 | 665,429 | |||||||
GBP | 767 | 05/08/31 | 1.150%(A) | 1 Day SONIA(2)(A) | 42,423 | (201,657) | (244,080) | |||||||
GBP | 740 | 05/08/32 | 1.150%(A) | 1 Day SONIA(1)(A) | 52,659 | 211,297 | 158,638 | |||||||
GBP | 230 | 05/08/34 | 1.200%(A) | 1 Day SONIA(1)(A) | (9,088) | 71,290 | 80,378 | |||||||
$(107,900) | $2,008,502 | $2,116,402 |
(1) | The Portfolio pays the fixed rate and receives the floating rate. |
(2) | The Portfolio pays the floating rate and receives the fixed rate. |
Other information
regarding the Portfolio is available in the Portfolio’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
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