PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 95.2% | |||||
Asset-Backed Securities 52.8% | |||||
Automobiles 4.1% | |||||
Ally Auto Receivables Trust, Series 2017-03, Class R, IO, 144A^ | 0.000 % | 01/16/24 | 1 | $219,960 | |
OneMain Direct Auto Receivables Trust, | |||||
Series 2017-02A, Class E, 144A | 4.740 | 11/14/25 | 800 | 805,155 | |
Series 2019-01A, Class B, 144A | 3.950 | 11/14/28 | 100 | 102,776 | |
1,127,891 | |||||
Collateralized Loan Obligations 37.4% | |||||
Anchorage Capital Europe CLO (Ireland), Series 01X, Class A2 | 1.500 | 01/15/31 | EUR | 500 | 560,630 |
Aurium CLO DAC (Ireland), Series 04A, Class A2, 144A | 1.620 | 01/16/31 | EUR | 450 | 504,924 |
BlueMountain Fuji CLO DAC (Ireland), Series 04A, Class B2, 144A | 2.900 | 03/30/32 | EUR | 750 | 855,541 |
Cathedral Lake CLO Ltd. (Cayman Islands), Series 2016-04A, Class BR, 144A, 3 Month LIBOR + 2.250% (Cap N/A, Floor 2.250%) | 4.216(c) | 10/20/28 | 250 | 249,998 | |
Elevation CLO Ltd. (Cayman Islands), Series 2015-04A, Class BR, 144A, 3 Month LIBOR + 1.670% (Cap N/A, Floor 0.000%) | 3.673(c) | 04/18/27 | 500 | 499,150 | |
Ellington CLO Ltd. (Cayman Islands), | |||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 3.610(c) | 02/15/29 | 750 | 746,282 | |
Series 2019-04A, Class A, 144A, 3 Month LIBOR + 1.840% (Cap N/A, Floor 1.840%) | 3.841(c) | 04/15/29 | 500 | 497,501 | |
Jefferson Mill CLO Ltd. (Cayman Islands), Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 0.000%) | 3.916(c) | 10/20/31 | 300 | 298,827 | |
KVK CLO Ltd. (Cayman Islands), Series 2018-01A, Class B, 144A, 3 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) | 3.549(c) | 05/20/29 | 500 | 495,272 | |
MidOcean Credit CLO (Cayman Islands), Series 2018-08A, Class B, 144A, 3 Month LIBOR + 1.650% (Cap N/A, Floor 0.000%) | 3.549(c) | 02/20/31 | 1,000 | 984,685 | |
OCP Euro CLO DAC (Ireland), Series 2019-03A, Class B2, 144A | 2.450 | 04/20/30 | EUR | 250 | 280,185 |
OZLM Ltd. (Cayman Islands), | |||||
Series 2014-06A, Class A2AS, 144A, 3 Month LIBOR + 1.750% (Cap N/A, Floor 0.000%) | 3.752(c) | 04/17/31 | 250 | 248,720 |
1
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities(Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
OZLM Ltd. (Cayman Islands), (cont’d.) | |||||
Series 2014-09A, Class A2RR, 144A, 3 Month LIBOR + 1.900% (Cap N/A, Floor 1.900%) | 3.866 %(c) | 10/20/31 | 500 | $492,677 | |
Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands), Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.480% (Cap N/A, Floor 1.480%) | 3.390(c) | 05/15/32 | 500 | 499,948 | |
Trimaran Cavu Ltd. (Cayman Islands), Series 2019-01A, Class B, 144A, 3 Month LIBOR + 2.200% (Cap N/A, Floor 2.200%) | 4.166(c) | 07/20/32 | 500 | 495,367 | |
Trinitas CLO Ltd. (Cayman Islands), | |||||
Series 2015-03A, Class BR, 144A, 3 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) | 3.401(c) | 07/15/27 | 750 | 742,344 | |
Series 2016-04A, Class BR, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 0.000%) | 3.953(c) | 10/18/31 | 500 | 495,185 | |
Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 3.540(c) | 01/25/31 | 500 | 488,689 | |
Zais CLO Ltd. (Cayman Islands), Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% (Cap N/A, Floor 0.000%) | 4.191(c) | 07/15/31 | 975 | 947,558 | |
10,383,483 | |||||
Consumer Loans 4.2% | |||||
OneMain Financial Issuance Trust, Series 2017-01A, Class C, 144A | 3.350 | 09/14/32 | 100 | 100,219 | |
Oportun Funding LLC, | |||||
Series 2017-B, Class B, 144A | 4.260 | 10/10/23 | 250 | 251,814 | |
Series 2018-C, Class C, 144A | 5.520 | 10/08/24 | 500 | 513,125 | |
PNMAC GMSR Issuer Trust, | |||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 4.642(c) | 02/25/23 | 100 | 100,590 | |
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 4.442(c) | 08/25/25 | 100 | 100,339 | |
Springleaf Funding Trust, Series 2017-AA, Class C, 144A | 3.860 | 07/15/30 | 100 | 100,659 | |
1,166,746 |
2
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities(Continued) | |||||
Home Equity Loans 0.6% | |||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2003-AR01, Class M3, 1 Month LIBOR + 4.500% (Cap N/A, Floor 3.000%) | 3.885 %(c) | 01/25/33 | 166 | $166,357 | |
Other 1.3% | |||||
PNMAC FMSR Issuer Trust, Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) | 4.142(c) | 04/25/23 | 360 | 360,381 | |
Residential Mortgage-Backed Securities 3.1% | |||||
CWABS Asset-Backed Certificates Trust, Series 2004-13, Class AF5A | 4.790(cc) | 05/25/35 | 126 | 126,227 | |
Legacy Mortgage Asset Trust, Series 2019-GS04, Class A1, 144A | 3.438 | 05/25/59 | 94 | 94,608 | |
TFS (Spain), Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% | 2.900(c) | 03/16/23 | EUR | 576 | 644,446 |
865,281 | |||||
Student Loans 2.1% | |||||
Laurel Road Prime Student Loan Trust, Series 2019-A, Class R, 144A | 0.000 | 10/25/48 | 2,700 | 196,897 | |
SLM Student Loan Trust, Series 2007-02, Class B, 3 Month LIBOR + 0.170% (Cap N/A, Floor 0.000%) | 2.110(c) | 07/25/25 | 200 | 183,794 | |
SoFi Alternative Trust, Series 2019-D, Class 1PT, 144A | 2.460(cc) | 01/16/46 | 192 | 196,424 | |
577,115 | |||||
Total Asset-Backed Securities (cost $14,764,664) | 14,647,254 | ||||
Bank Loans 3.9% | |||||
Chemicals 0.4% | |||||
Solenis International LP, First Lien Initial Dollar Term Loan, 3 Month LIBOR + 4.000% | 5.909(c) | 06/26/25 | 124 | 122,711 |
3
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans(Continued) | |||||
Pharmaceuticals 1.2% | |||||
Arbor Pharmaceuticals LLC, Initial Term Loan, 3 Month LIBOR + 5.000% | 6.945 %(c) | 07/05/23 | 122 | $106,986 | |
Mallinckrodt International Finance SA, 2017 Term B Loan, 3 Month LIBOR + 2.750% | 4.695(c) | 09/24/24 | 125 | 100,874 | |
NVA Holdings, Inc., Term B-3 Loan (First Lien), PRIME + 1.750% | 6.500(c) | 02/02/25 | 124 | 124,195 | |
332,055 | |||||
Software 1.1% | |||||
Boxer Parent Co., Inc., Initial Dollar Term Loan, 1 Month LIBOR + 4.250% | 6.049(c) | 10/02/25 | 124 | 122,759 | |
Exela Intermediate LLC, 2018 Repriced Term Loan, 3 - 6 Month LIBOR + 6.500% | 8.382(c) | 07/12/23 | 123 | 53,717 | |
Finastra USA, Inc., First Lien Dollar Term Loan, 3 Month LIBOR + 3.500% | 5.696(c) | 06/13/24 | 124 | 123,346 | |
299,822 | |||||
Telecommunications 1.2% | |||||
GTT Communications, Inc., Closing Date U.S. Term Loan, 1 Month LIBOR + 2.750% | 4.550(c) | 05/30/25 | 125 | 102,950 | |
Sprint Communications, Inc., Initial Term Loan, 1 Month LIBOR + 2.500% | 4.313(c) | 02/02/24 | 125 | 123,550 | |
West Corp., Initial Term B Loan, 1 - 3 Month LIBOR + 4.000% | 5.702(c) | 10/10/24 | 124 | 104,933 | |
331,433 | |||||
Total Bank Loans (cost $1,165,581) | 1,086,021 | ||||
Commercial Mortgage-Backed Securities 28.2% | |||||
20 Times Square Trust, | |||||
Series 2018-20TS, Class G, 144A | 3.100(cc) | 05/15/35 | 100 | 96,955 | |
Series 2018-20TS, Class H, 144A | 3.100(cc) | 05/15/35 | 100 | 95,174 | |
BBCMS Mortgage Trust, | |||||
Series 2016-ETC, Class E, 144A | 3.609(cc) | 08/14/36 | 250 | 238,406 | |
Series 2018-CHRS, Class D, 144A | 4.267(cc) | 08/05/38 | 270 | 274,283 |
4
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities(Continued) | |||||
BBCMS Mortgage Trust, (cont’d.) | |||||
Series 2018-TALL, Class D, 144A, 1 Month LIBOR + 1.449% (Cap N/A, Floor 1.449%) | 3.188 %(c) | 03/15/37 | 210 | $209,257 | |
Benchmark Mortgage Trust, Series 2018-B02, Class A5 | 3.882(cc) | 02/15/51 | 600 | 654,240 | |
BX Commercial Mortgage Trust, Series 2019-XL, Class J, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) | 4.390(c) | 10/15/36 | 150 | 150,059 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class E, 144A | 4.745(cc) | 01/10/36 | 500 | 513,304 | |
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE04, Class F, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) | 4.390(c) | 05/15/36 | 150 | 150,304 | |
Credit Suisse Mortgage Trust, | |||||
Series 2016-NXSR, Class A4 | 3.795(cc) | 12/15/49 | 500 | 536,440 | |
Series 2017-LSTK, Class D, 144A | 3.331(cc) | 04/05/33 | 250 | 249,656 | |
Series 2017-LSTK, Class E, 144A | 3.331(cc) | 04/05/33 | 295 | 293,945 | |
CSAIL Commercial Mortgage Trust, | |||||
Series 2015-C04, Class XB, IO | 0.250(cc) | 11/15/48 | 25,076 | 319,488 | |
Series 2016-C06, Class A3 | 2.956 | 01/15/49 | 46 | 46,420 | |
DBGS Mortgage Trust, | |||||
Series 2018-BIOD, Class E, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 3.440(c) | 05/15/35 | 93 | 91,607 | |
Series 2018-BIOD, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) | 3.740(c) | 05/15/35 | 163 | 159,922 | |
DBWF Mortgage Trust, | |||||
Series 2016-85T, Class D, 144A | 3.808(cc) | 12/10/36 | 375 | 386,032 | |
Series 2016-85T, Class E, 144A | 3.808(cc) | 12/10/36 | 500 | 504,006 | |
FHLMC Multifamily Structured Pass-Through Certificates, | |||||
Series K006, Class AX1, IO | 0.788(cc) | 01/25/20 | 306 | 12 | |
Series K019, Class X1, IO | 1.591(cc) | 03/25/22 | 961 | 26,227 | |
Series K026, Class X1, IO | 0.979(cc) | 11/25/22 | 1,489 | 33,332 | |
Series K052, Class X1, IO | 0.661(cc) | 11/25/25 | 2,297 | 72,318 | |
Series K058, Class X1, IO | 0.927(cc) | 08/25/26 | 3,696 | 191,654 | |
Series K715, Class X1, IO | 1.092(cc) | 01/25/21 | 1,491 | 10,738 | |
FREMF Mortgage Trust, Series 2012-K20, Class X2A, IO, 144A | 0.200 | 05/25/45 | 24,359 | 86,873 | |
GS Mortgage Securities Trust, Series 2018-GS10, Class A3 | 4.261(cc) | 07/10/51 | 500 | 543,092 | |
Independence Plaza Trust, Series 2018-INDP, Class E, 144A | 4.996 | 07/10/35 | 100 | 105,990 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class XB | 0.342(cc) | 12/15/48 | 1,620 | 32,547 |
5
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities(Continued) | |||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class E, 144A | 4.613 %(cc) | 07/05/31 | 300 | $309,745 | |
MAD Commercial Mortgage Trust, Series 2019-650M, Class A, 144A | 3.575 | 12/12/34 | 350 | 306,052 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XB, 144A | 0.299(cc) | 03/15/48 | 10,000 | 156,879 | |
Morgan Stanley Capital I Trust, Series 2019-MEAD, Class E, 144A | 3.177 | 11/10/36 | 275 | 262,578 | |
UBS Commercial Mortgage Trust, Series 2018-C15, Class A4 | 4.341 | 12/15/51 | 500 | 564,993 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-P02, Class XB | 0.485(cc) | 12/15/48 | 6,400 | 166,126 | |
Total Commercial Mortgage-Backed Securities (cost $7,845,822) | 7,838,654 | ||||
Corporate Bonds 4.7% | |||||
Aerospace & Defense 0.2% | |||||
Bombardier, Inc. (Canada), Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 50 | 51,516 | |
Banks 3.7% | |||||
Bank of America Corp., Jr. Sub. Notes, Series JJ | 5.125(ff) | –(rr) | 500 | 527,490 | |
JPMorgan Chase & Co., Jr. Sub. Notes, Series FF | 5.000(ff) | –(rr) | 500 | 522,446 | |
1,049,936 | |||||
Electric 0.2% | |||||
Calpine Corp., Sr. Unsec’d. Notes | 5.750 | 01/15/25 | 50 | 51,421 | |
Healthcare-Services 0.2% | |||||
MEDNAX, Inc., Gtd. Notes, 144A | 6.250 | 01/15/27 | 50 | 51,268 | |
Home Builders 0.2% | |||||
William Lyon Homes, Inc., Gtd. Notes, 144A | 6.625 | 07/15/27 | 50 | 54,000 |
6
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds(Continued) | |||||
Telecommunications 0.2% | |||||
CenturyLink, Inc., Sr. Unsec’d. Notes, Series U | 7.650 % | 03/15/42 | 50 | $52,446 | |
Total Corporate Bonds (cost $1,259,769) | 1,310,587 | ||||
Residential Mortgage-Backed Securities 5.6% | |||||
Bellemeade Re Ltd. (Bermuda), | |||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 3.392(c) | 04/25/28 | 128 | 128,486 | |
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 3.392(c) | 08/25/28 | 150 | 150,521 | |
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) | 3.642(c) | 10/25/28 | 220 | 220,417 | |
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 0.000%) | 3.942(c) | 09/25/31 | 50 | 50,291 | |
Fannie Mae Connecticut Avenue Securities, Series 2018-C06, Class 1M2, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) | 3.792(c) | 03/25/31 | 237 | 237,684 | |
Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 4.442(c) | 01/25/49 | 60 | 61,036 | |
GCAT LLC, Series 2019-04, Class A1, 144A | 3.228 | 11/26/49 | 296 | 296,172 | |
IndyMac INDX Mortgage Loan Trust, Series 2004-AR15, Class 3A1 | 4.057(cc) | 02/25/35 | 125 | 124,925 | |
Legacy Mortgage Asset Trust, Series 2019-PR01, Class A1, 144A | 3.858 | 09/25/59 | 197 | 196,825 | |
LSTAR Securities Investment Trust, Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) | 3.281(c) | 04/01/24 | 86 | 85,224 | |
Total Residential Mortgage-Backed Securities (cost $1,550,652) | 1,551,581 | ||||
Total Long-Term Investments (cost $26,586,488) | 26,434,097 |
7
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Description | Shares | Value | |||
Short-Term Investment 2.9% | |||||
Affiliated Mutual Fund | |||||
PGIM Core Ultra Short Bond Fund (cost $819,148)(w) | 819,148 | $819,148 | |||
TOTAL INVESTMENTS 98.1% (cost $27,405,636) | 27,253,245 | ||||
Other assets in excess of liabilities(z) 1.9% | 522,569 | ||||
Net Assets 100.0% | $27,775,814 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
EUR—Euro |
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers. | |
A—Annual payment frequency for swaps | |
CAS—Connecticut Avenue Securities | |
CLO—Collateralized Loan Obligation | |
EURIBOR—Euro Interbank Offered Rate | |
GMAC—General Motors Acceptance Corporation | |
IO—Interest Only (Principal amount represents notional) | |
LIBOR—London Interbank Offered Rate | |
M—Monthly payment frequency for swaps | |
OTC—Over-the-counter | |
Q—Quarterly payment frequency for swaps | |
S—Semiannual payment frequency for swaps | |
T—Swap payment upon termination | |
USOIS—United States Overnight Index Swap |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $221,518 and 0.8% of net assets. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2019. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2019. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
(ff) | Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end. |
(rr) | Perpetual security with no stated maturity date. |
(w) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
8
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at December 31, 2019:
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
OTC Forward Foreign Currency Exchange Contracts: | ||||||||||||||
Euro, | ||||||||||||||
Expiring 01/09/20 | Citibank, N.A. | EUR | 47 | $53,141 | $53,113 | $28 | $— | |||||||
Expiring 01/09/20 | UBS AG | EUR | 2,471 | 2,729,068 | 2,773,448 | — | (44,380) | |||||||
$2,782,209 | $2,826,561 | $28 | $(44,380) |
Credit default swap agreements outstanding at December 31, 2019:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^: | |||||||||||||||||
Anchorage CLO | 01/22/20 | 0.500%(M) | EUR | 26 | * | $20 | $— | $20 | Goldman Sachs International | ||||||||
AngeloGordon CLO | 01/22/20 | 1.000%(M) | 7 | * | 7 | — | 7 | Goldman Sachs International | |||||||||
Bear Stearns Asset Backed Securities | 01/31/20 | 1.250%(M) | 7 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
Canyon CLO | 01/22/20 | 0.500%(M) | 4 | * | 2 | — | 2 | Goldman Sachs International | |||||||||
Carlyle CLO | 01/22/20 | 0.500%(M) | 7 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
CAS | 01/31/20 | 1.250%(M) | 67 | * | 79 | — | 79 | Goldman Sachs International | |||||||||
CAS | 01/31/20 | 1.250%(M) | 4 | * | 5 | — | 5 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 26 | * | 30 | — | 30 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 20 | * | 23 | — | 23 | Goldman Sachs International |
9
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 19 | * | $21 | $— | $21 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 14 | * | 16 | — | 16 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 13 | * | 15 | — | 15 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/30/20 | 1.250%(M) | 9 | * | 11 | — | 11 | Goldman Sachs International | |||||||||
Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 102 | * | 120 | — | 120 | Goldman Sachs International | |||||||||
Countrywide Home Equity | 01/31/20 | 1.250%(M) | 7 | * | (75) | — | (75) | Goldman Sachs International | |||||||||
Countrywide POA | 01/31/20 | 1.250%(M) | 243 | * | 287 | — | 287 | Goldman Sachs International | |||||||||
Covenant | 01/22/20 | 0.500%(M) | 3 | * | 2 | — | 2 | Goldman Sachs International | |||||||||
DFG CLO | 01/22/20 | 0.500%(M) | 10 | * | 5 | — | 5 | Goldman Sachs International | |||||||||
DFG CLO | 01/22/20 | 1.000%(M) | 3 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 67 | * | 79 | — | 79 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 63 | * | 74 | — | 74 | Goldman Sachs International |
10
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 43 | * | $50 | $— | $50 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 23 | * | 27 | — | 27 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 13 | * | 16 | — | 16 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 9 | * | 11 | — | 11 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 8 | * | 9 | — | 9 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 3 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 3 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Fannie Mae Connecticut Avenue Securities | 01/31/20 | 1.250%(M) | 2 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
Freddie Mac | 01/31/20 | 1.250%(M) | 4 | * | 5 | — | 5 | Goldman Sachs International | |||||||||
Freddie Mac | 01/31/20 | 1.250%(M) | 3 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Freddie Mac | 01/31/20 | 1.250%(M) | 2 | * | 3 | — | 3 | Goldman Sachs International |
11
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
GMAC Home Equity | 01/31/20 | 1.250%(M) | 40 | * | $47 | $— | $47 | Goldman Sachs International | |||||||||
GMAC Home Equity | 01/31/20 | 1.250%(M) | 12 | * | 14 | — | 14 | Goldman Sachs International | |||||||||
GS Mortgage Securities Trust | 01/30/20 | 1.250%(M) | 12 | * | 13 | — | 13 | Goldman Sachs International | |||||||||
GSAMP Trust | 01/31/20 | 1.250%(M) | 17 | * | 20 | — | 20 | Goldman Sachs International | |||||||||
GSRPM Mortgage Loan Trust | 01/31/20 | 1.250%(M) | 8 | * | (92) | — | (92) | Goldman Sachs International | |||||||||
ICG CLO | 01/22/20 | 0.500%(M) | 9 | * | 5 | — | 5 | Goldman Sachs International | |||||||||
Indymac ALTA Mortgage | 01/31/20 | 1.250%(M) | 34 | * | 40 | — | 40 | Goldman Sachs International | |||||||||
JPMBB Commercial Mortgage Securities Trust | 01/30/20 | 1.250%(M) | 29 | * | 33 | — | 33 | Goldman Sachs International | |||||||||
JPMBB Commercial Mortgage Securities Trust | 01/30/20 | 1.250%(M) | 20 | * | 23 | — | 23 | Goldman Sachs International | |||||||||
JPMorgan Chase Commercial Mortgage Acquisition Corp. | 01/31/20 | 1.250%(M) | 17 | * | 21 | — | 21 | Goldman Sachs International | |||||||||
JPMorgan Chase Commercial Mortgage Securities | 01/30/20 | 1.250%(M) | 12 | * | 13 | — | 13 | Goldman Sachs International | |||||||||
JPMorgan Mortgage Trust | 01/31/20 | 1.250%(M) | 7 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
JPMorgan Mortgage Trust | 01/31/20 | 1.250%(M) | 6 | * | 8 | — | 8 | Goldman Sachs International |
12
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
LSTAR Securities Investment LTD. | 01/31/20 | 1.250%(M) | 14 | * | $17 | $— | $17 | Goldman Sachs International | |||||||||
MidOcean CLO | 01/22/20 | 0.500%(M) | 30 | * | 15 | — | 15 | Goldman Sachs International | |||||||||
MJX CLO | 01/22/20 | 1.000%(M) | 11 | * | 11 | — | 11 | Goldman Sachs International | |||||||||
MJX CLO | 01/22/20 | 1.000%(M) | 8 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
MJX CLO | 01/22/20 | 0.500%(M) | 4 | * | 2 | — | 2 | Goldman Sachs International | |||||||||
MJX CLO | 01/22/20 | 1.000%(M) | 3 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
MJX CLO | 01/22/20 | 1.000%(M) | 2 | * | 2 | — | 2 | Goldman Sachs International | |||||||||
Morgan Stanley BAML Trust | 01/30/20 | 1.250%(M) | 14 | * | 16 | — | 16 | Goldman Sachs International | |||||||||
Morgan Stanley Capital I Trust | 01/30/20 | 1.250%(M) | 21 | * | 25 | — | 25 | Goldman Sachs International | |||||||||
Oaktree CLO | 01/22/20 | 0.500%(M) | EUR | 13 | * | 10 | — | 10 | Goldman Sachs International | ||||||||
Pretium | 01/22/20 | 0.500%(M) | 50 | * | 25 | — | 25 | Goldman Sachs International | |||||||||
Saratoga CLO | 01/22/20 | 0.500%(M) | 92 | * | 46 | — | 46 | Goldman Sachs International | |||||||||
Steele Creek | 01/22/20 | 0.500%(M) | 11 | * | 6 | — | 6 | Goldman Sachs International |
13
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Steele Creek | 01/22/20 | 1.000%(M) | 9 | * | $9 | $— | $9 | Goldman Sachs International | |||||||||
Structured Agency Credit Risk | 01/31/20 | 1.250%(M) | 59 | * | 69 | — | 69 | Goldman Sachs International | |||||||||
Structured Agency Credit Risk | 01/31/20 | 1.250%(M) | 37 | * | 44 | — | 44 | Goldman Sachs International | |||||||||
Structured Agency Credit Risk | 01/31/20 | 1.250%(M) | 17 | * | 20 | — | 20 | Goldman Sachs International | |||||||||
Structured Agency Credit Risk | 01/31/20 | 1.250%(M) | 11 | * | 13 | — | 13 | Goldman Sachs International | |||||||||
Structured Agency Credit Risk | 01/31/20 | 1.250%(M) | 6 | * | 7 | — | 7 | Goldman Sachs International | |||||||||
Towd Point Mortgage Trust | 07/25/56 | 0.450%(M) | 992 | * | 74 | — | 74 | Citigroup Global Markets, Inc. | |||||||||
Tralee CLO Ltd. | 01/22/20 | 1.000%(M) | 4 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Voya CLO | 01/22/20 | 1.000%(M) | 9 | * | 9 | — | 9 | Goldman Sachs International | |||||||||
WAMU POA | 01/31/20 | 1.250%(M) | 7 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
Wellfleet CLO | 01/22/20 | 0.500%(M) | 26 | * | 13 | — | 13 | Goldman Sachs International | |||||||||
Wellfleet CLO | 01/22/20 | 0.500%(M) | 5 | * | 3 | — | 3 | Goldman Sachs International | |||||||||
Wells Fargo Commercial Mortgage Trust | 01/30/20 | 1.250%(M) | 39 | * | 45 | — | 45 | Goldman Sachs International |
14
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2019 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2019(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^ (cont’d.): | |||||||||||||||||
Wells Fargo Commercial Mortgage Trust | 01/30/20 | 1.250%(M) | 7 | * | $8 | $— | $8 | Goldman Sachs International | |||||||||
Wells Fargo Home Equity | 01/31/20 | 1.250%(M) | 9 | * | 11 | — | 11 | Goldman Sachs International | |||||||||
Zais CLO | 01/22/20 | 1.000%(M) | 8 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
Zais CLO 9 Ltd. | 01/22/20 | 1.000%(M) | 4 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
$1,558 | $— | $1,558 |
The Fund 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 Fund 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 Fund 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 Fund 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 Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the 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 Fund 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 Fund 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 |
15
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2019 (unaudited) (continued)
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 Fund 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 December 31, 2019:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2019 | Unrealized Appreciaton (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
EUR | 400 | 12/06/21 | 0.095%(A) | 6 Month EURIBOR(1)(S) | $(5,160) | $(3,581) | $1,579 | |||||||
EUR | 1,195 | 05/11/24 | 0.396%(A) | 6 Month EURIBOR(1)(S) | (40,792) | (37,225) | 3,567 | |||||||
EUR | 450 | 05/11/29 | 0.750%(A) | 6 Month EURIBOR(1)(S) | (30,053) | (31,209) | (1,156) | |||||||
16,000 | 03/10/20 | 1.550%(T) | 1 Day USOIS(2)(T) | (17) | (346) | (329) | ||||||||
3,810 | 05/11/20 | 1.763%(S) | 3 Month LIBOR(1)(Q) | 10,401 | 2,451 | (7,950) | ||||||||
1,565 | 06/14/21 | 1.142%(S) | 3 Month LIBOR(1)(Q) | 19,820 | 13,466 | (6,354) | ||||||||
1,015 | 05/11/22 | 1.982%(S) | 3 Month LIBOR(1)(Q) | (8,690) | (7,251) | 1,439 | ||||||||
565 | 05/11/23 | 2.000%(S) | 3 Month LIBOR(2)(Q) | 5,595 | 5,857 | 262 | ||||||||
220 | 11/07/23 | 1.479%(S) | 3 Month LIBOR(1)(Q) | 2,441 | 1,943 | (498) | ||||||||
3,955 | 05/11/24 | 2.139%(S) | 3 Month LIBOR(1)(Q) | (78,196) | (72,353) | 5,843 | ||||||||
760 | 05/11/26 | 1.900%(S) | 3 Month LIBOR(1)(Q) | (3,528) | (5,820) | (2,292) | ||||||||
495 | 06/14/26 | 1.959%(S) | 3 Month LIBOR(1)(Q) | (4,124) | (5,564) | (1,440) | ||||||||
570 | 05/11/27 | 2.305%(S) | 3 Month LIBOR(1)(Q) | (26,736) | (20,009) | 6,727 | ||||||||
1,415 | 05/11/29 | 2.000%(S) | 3 Month LIBOR(1)(Q) | (46,505) | (15,522) | 30,983 | ||||||||
$(205,544) | $(175,163) | $30,381 |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
16