PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 95.7% | |||||
Asset-Backed Securities 41.3% | |||||
Automobiles 3.9% | |||||
Ally Auto Receivables Trust, Series 2017-03, Class R, 144A^ | 0.000 % | 01/16/24 | 1 | $197,640 | |
Chase Auto Credit Linked Notes, Series 2020-01, Class F, 144A | 6.684 | 01/25/28 | 800 | 831,562 | |
OneMain Direct Auto Receivables Trust, Series 2019-01A, Class B, 144A | 3.950 | 11/14/28 | 100 | 110,069 | |
1,139,271 | |||||
Collateralized Loan Obligations 23.2% | |||||
Anchorage Capital Europe CLO (Ireland), Series 01X, Class A2 | 1.500 | 01/15/31 | EUR | 500 | 609,923 |
BlueMountain Fuji CLO DAC (Ireland), Series 04A, Class B2, 144A | 2.900 | 03/30/32 | EUR | 750 | 916,430 |
Cathedral Lake CLO Ltd. (Cayman Islands), Series 2016-04A, Class BR, 144A, 3 Month LIBOR + 2.250% (Cap N/A, Floor 2.250%) | 2.468(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%) | 1.888(c) | 04/18/27 | 500 | 499,504 | |
Ellington CLO Ltd. (Cayman Islands), | |||||
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 1.921(c) | 02/15/29 | 717 | 715,495 | |
Series 2019-04A, Class A, 144A, 3 Month LIBOR + 1.840% (Cap N/A, Floor 1.840%) | 2.077(c) | 04/15/29 | 750 | 747,986 | |
Jefferson Mill CLO Ltd. (Cayman Islands), Series 2015-01A, Class BR, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 0.000%) | 2.168(c) | 10/20/31 | 300 | 299,945 | |
OZLM Ltd. (Cayman Islands), Series 2014-09A, Class A2RR, 144A, 3 Month LIBOR + 1.900% (Cap N/A, Floor 1.900%) | 2.118(c) | 10/20/31 | 500 | 500,027 | |
Shackleton CLO Ltd. (Cayman Islands), Series 2017-10A, Class BR, 144A, 3 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) | 1.768(c) | 04/20/29 | 250 | 247,772 | |
Trimaran Cavu Ltd. (Cayman Islands), Series 2019-01A, Class B, 144A, 3 Month LIBOR + 2.200% (Cap N/A, Floor 2.200%) | 2.418(c) | 07/20/32 | 500 | 499,742 |
1
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Trinitas CLO Ltd. (Cayman Islands), Series 2017-07A, Class B, 144A, 3 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 1.815 %(c) | 01/25/31 | 500 | $496,903 | |
Zais CLO Ltd. (Cayman Islands), Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% (Cap N/A, Floor 0.000%) | 2.427(c) | 07/15/31 | 975 | 967,676 | |
6,751,401 | |||||
Consumer Loans 4.2% | |||||
OneMain Financial Issuance Trust, | |||||
Series 2017-01A, Class C, 144A | 3.350 | 09/14/32 | 100 | 100,256 | |
Series 2020-02A, Class C, 144A | 2.760 | 09/14/35 | 300 | 307,807 | |
Oportun Funding X LLC, Series 2018-C, Class C, 144A | 5.520 | 10/08/24 | 500 | 504,874 | |
PNMAC GMSR Issuer Trust, | |||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 2.998(c) | 02/25/23 | 100 | 98,309 | |
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 2.798(c) | 08/25/25 | 100 | 96,550 | |
Springleaf Funding Trust, Series 2017-AA, Class C, 144A | 3.860 | 07/15/30 | 100 | 100,903 | |
1,208,699 | |||||
Other 4.1% | |||||
PNMAC FMSR Issuer Trust, Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) | 2.498(c) | 04/25/23 | 610 | 590,025 | |
TH MSR Issuer Trust, Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) | 2.948(c) | 06/25/24 | 620 | 599,181 | |
1,189,206 | |||||
Residential Mortgage-Backed Securities 5.0% | |||||
Countrywide Asset-Backed Certificates Trust, Series 2004-13, Class AF5A | 5.692(cc) | 05/25/35 | 42 | 42,102 | |
Legacy Mortgage Asset Trust, | |||||
Series 2019-GS02, Class A1, 144A | 3.750 | 01/25/59 | 742 | 744,286 | |
Series 2019-GS04, Class A1, 144A | 3.438 | 05/25/59 | 83 | 83,570 |
2
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Residential Mortgage-Backed Securities (cont’d.) | |||||
TFS (Spain), Series 2018-03, Class A1, 1 Month EURIBOR + 2.900% | 2.900 %(c) | 04/16/23 | EUR | 520 | $572,143 |
1,442,101 | |||||
Student Loans 0.9% | |||||
Laurel Road Prime Student Loan Trust, Series 2019-A, Class R, 144A | 0.000 | 10/25/48 | 1,592 | 135,305 | |
SoFi Alternative Trust, Series 2019-D, Class 1PT, 144A | 2.639(cc) | 01/16/46 | 129 | 133,736 | |
269,041 | |||||
Total Asset-Backed Securities (cost $11,790,657) | 11,999,719 | ||||
Bank Loans 1.6% | |||||
Oil & Gas 0.3% | |||||
Chesapeake Energy Corp., Class A Loan, 3 Month LIBOR + 8.000% (Cap N/A, Floor 1.000%) | 9.000(c) | 06/24/24 | 125 | 100,625 | |
Pharmaceuticals 0.4% | |||||
Arbor Pharmaceuticals LLC, Initial Term Loan, 6 Month LIBOR + 5.000% | 6.000(c) | 07/05/23^ | 115 | 110,137 | |
Software 0.1% | |||||
Exela Intermediate LLC, 2018 Repriced Term Loan, 3 Month LIBOR + 6.500% | 7.500(c) | 07/12/23 | 116 | 37,511 | |
Telecommunications 0.8% | |||||
GTT Communications BV, Initial Term Loan, 1 Month LIBOR + 7.500% | 8.500(c) | 12/31/21 | 12 | 10,775 |
3
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Telecommunications (cont’d.) | |||||
GTT Communications, Inc., Closing Date U.S. Term Loan, 3 Month LIBOR + 2.750% | 3.000 %(c) | 05/30/25 | 123 | $95,519 | |
West Corp., Initial Term B Loan, 3 Month LIBOR + 4.000% | 5.000(c) | 10/10/24 | 123 | 118,519 | |
224,813 | |||||
Total Bank Loans (cost $583,408) | 473,086 | ||||
Commercial Mortgage-Backed Securities 29.7% | |||||
20 Times Square Trust, | |||||
Series 2018-20TS, Class F, 144A | 3.100(cc) | 05/15/35 | 100 | 95,307 | |
Series 2018-20TS, Class G, 144A | 3.100(cc) | 05/15/35 | 200 | 179,933 | |
Series 2018-20TS, Class H, 144A | 3.100(cc) | 05/15/35 | 100 | 83,893 | |
Barclays Commercial Mortgage Securities Trust, | |||||
Series 2016-ETC, Class E, 144A | 3.609(cc) | 08/14/36 | 250 | 168,783 | |
Series 2018-CHRS, Class D, 144A | 4.267(cc) | 08/05/38 | 390 | 324,629 | |
Series 2018-TALL, Class D, 144A, 1 Month LIBOR + 1.449% (Cap N/A, Floor 1.449%) | 1.607(c) | 03/15/37 | 210 | 201,716 | |
Series 2019-CLP, Class D, 144A, 1 Month LIBOR + 1.728% (Cap N/A, Floor 1.728%) | 1.887(c) | 12/15/31 | 421 | 418,556 | |
BX Commercial Mortgage Trust, | |||||
Series 2019-XL, Class G, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 2.300%) | 2.459(c) | 10/15/36 | 237 | 235,411 | |
Series 2019-XL, Class J, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) | 2.809(c) | 10/15/36 | 570 | 559,695 | |
Series 2020-BXLP, Class G, 144A, 1 Month LIBOR + 2.500% (Cap N/A, Floor 2.500%) | 2.659(c) | 12/15/36 | 499 | 488,397 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class E, 144A | 4.745(cc) | 01/10/36 | 500 | 505,163 | |
Cold Storage Trust, Series 2020-ICE05, Class E, 144A, 1 Month LIBOR + 2.766% (Cap N/A, Floor 2.833%) | 2.924(c) | 11/15/37 | 225 | 224,436 | |
Credit Suisse Mortgage Capital Certificates, | |||||
Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) | 2.309(c) | 05/15/36 | 150 | 149,120 | |
Series 2019-ICE04, Class F, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) | 2.809(c) | 05/15/36 | 150 | 148,143 | |
Credit Suisse Mortgage Trust, | |||||
Series 2017-LSTK, Class D, 144A | 3.331(cc) | 04/05/33 | 250 | 245,122 | |
Series 2017-LSTK, Class E, 144A | 3.331(cc) | 04/05/33 | 295 | 286,489 |
4
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
CSAIL Commercial Mortgage Trust, Series 2015-C04, Class XB, IO | 0.250 %(cc) | 11/15/48 | 25,076 | $262,363 | |
DBGS Mortgage Trust, | |||||
Series 2018-BIOD, Class E, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 1.859(c) | 05/15/35 | 93 | 92,791 | |
Series 2018-BIOD, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) | 2.159(c) | 05/15/35 | 162 | 161,767 | |
DBWF Mortgage Trust, Series 2016-85T, Class E, 144A | 3.808(cc) | 12/10/36 | 500 | 482,287 | |
FHLMC Multifamily Structured Pass-Through Certificates, | |||||
Series K019, Class X1, IO | 1.585(cc) | 03/25/22 | 921 | 11,625 | |
Series K026, Class X1, IO | 0.957(cc) | 11/25/22 | 1,449 | 20,207 | |
Series K052, Class X1, IO | 0.654(cc) | 11/25/25 | 2,258 | 62,569 | |
Series K058, Class X1, IO | 0.924(cc) | 08/25/26 | 3,665 | 169,075 | |
Series K111, Class X1, IO | 1.572(cc) | 05/25/30 | 1,574 | 198,494 | |
Series K715, Class X1, IO | 1.092(cc) | 01/25/21 | 164 | 2 | |
FREMF Mortgage Trust, | |||||
Series 2012-K20, Class X2A, IO, 144A | 0.200 | 05/25/45 | 23,511 | 50,113 | |
Series 2019-K735, Class X2A, IO, 144A | 0.100 | 05/25/26 | 94,799 | 436,113 | |
Independence Plaza Trust, Series 2018-INDP, Class E, 144A | 4.996 | 07/10/35 | 100 | 97,863 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class XB, IO | 0.337(cc) | 12/15/48 | 1,620 | 26,691 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class E, 144A | 4.613(cc) | 07/05/31 | 600 | 608,776 | |
MAD Commercial Mortgage Trust, Series 2019-650M, Class A, 144A | 3.460(cc) | 12/12/34 | 350 | 310,594 | |
MKT Mortgage Trust, | |||||
Series 2020-525M, Class D, 144A | 2.941(cc) | 02/12/40 | 334 | 332,226 | |
Series 2020-525M, Class F, 144A | 2.941(cc) | 02/12/40 | 175 | 159,712 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XB, IO, 144A | 0.289(cc) | 03/15/48 | 10,000 | 127,838 | |
Morgan Stanley Capital I Trust, Series 2019-MEAD, Class E, 144A | 3.177(cc) | 11/10/36 | 400 | 313,663 | |
One New York Plaza Trust, | |||||
Series 2020-01NYP, Class C, 144A | 0.000(cc) | 01/15/26 | 150 | 149,855 | |
Series 2020-01NYP, Class D, 144A | 0.000(cc) | 01/15/26 | 100 | 99,905 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-P02, Class XB, IO | 0.430(cc) | 12/15/48 | 6,400 | 135,942 | |
Total Commercial Mortgage-Backed Securities (cost $8,758,285) | 8,625,264 |
5
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds 7.6% | |||||
Agriculture 0.3% | |||||
Vector Group Ltd., Sr. Sec’d. Notes, 144A | 6.125 % | 02/01/25 | 75 | $76,220 | |
Banks 6.2% | |||||
Bank of America Corp., Jr. Sub. Notes, Series JJ | 5.125(ff) | –(rr) | 550 | 579,758 | |
Citigroup, Inc., Jr. Sub. Notes, Series V | 4.700(ff) | –(rr) | 605 | 621,611 | |
JPMorgan Chase & Co., | |||||
Jr. Sub. Notes, Series FF | 5.000(ff) | –(rr) | 500 | 525,223 | |
Jr. Sub. Notes, Series HH | 4.600(ff) | –(rr) | 80 | 82,518 | |
1,809,110 | |||||
Entertainment 0.1% | |||||
AMC Entertainment Holdings, Inc., | |||||
Sec’d. Notes, 144A, Cash coupon 10.000% / PIK 12.000% or Cash coupon 5.000% and PIK 6.000% | 12.000 | 06/15/26 | 57 | 12,560 | |
Sr. Sec’d. Notes, 144A | 10.500 | 04/24/26 | 6 | 4,068 | |
16,628 | |||||
Media 0.1% | |||||
Diamond Sports Group LLC/Diamond Sports Finance Co., Gtd. Notes, 144A | 6.625 | 08/15/27 | 75 | 45,369 | |
Miscellaneous Manufacturing 0.2% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 25 | 23,305 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 50 | 45,972 | |
69,277 | |||||
Oil & Gas 0.2% | |||||
MEG Energy Corp. (Canada), | |||||
Gtd. Notes, 144A | 7.000 | 03/31/24 | 30 | 30,298 | |
Gtd. Notes, 144A | 7.125 | 02/01/27 | 25 | 25,836 | |
56,134 |
6
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pipelines 0.5% | |||||
Energy Transfer Operating LP, Jr. Sub. Notes, Series G | 7.125 %(ff) | –(rr) | 140 | $133,850 | |
Total Corporate Bonds (cost $2,227,780) | 2,206,588 | ||||
Residential Mortgage-Backed Securities 15.5% | |||||
Bellemeade Re Ltd. (Bermuda), | |||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 1.748(c) | 04/25/28 | 62 | 62,255 | |
Series 2018-02A, Class M1C, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 1.748(c) | 08/25/28 | 94 | 94,273 | |
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) | 1.998(c) | 10/25/28 | 120 | 119,826 | |
Series 2020-01A, Class M1A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 2.798(c) | 06/25/30 | 72 | 72,237 | |
Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 3.400% (Cap N/A, Floor 0.000%) | 3.548(c) | 06/25/30 | 150 | 151,540 | |
Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.200% (Cap N/A, Floor 3.200%) | 3.348(c) | 08/26/30 | 220 | 222,339 | |
Series 2020-02A, Class M1C, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) | 4.148(c) | 08/26/30 | 205 | 209,293 | |
Series 2020-04A, Class M2B, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 3.600%) | 3.750(c) | 06/25/30 | 165 | 165,068 | |
Connecticut Avenue Securities Trust, Series 2019-R03, Class 1M2, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 0.000%) | 2.298(c) | 09/25/31 | 29 | 29,058 | |
Eagle Re Ltd. (Bermuda), Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.500% (Cap N/A, Floor 0.000%) | 4.648(c) | 10/25/30 | 230 | 234,001 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2020-HQA05, Class B1, 144A, 30 Day Average SOFR + 4.000% (Cap N/A, Floor 0.000%) | 4.082(c) | 11/25/50 | 110 | 111,920 | |
FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
Series 2020-DNA03, Class B1, 144A, 1 Month LIBOR + 5.100% (Cap N/A, Floor 0.000%) | 5.248(c) | 06/25/50 | 75 | 77,910 | |
Series 2020-DNA04, Class B1, 144A, 1 Month LIBOR + 6.000% (Cap N/A, Floor 0.000%) | 6.148(c) | 08/25/50 | 100 | 106,116 | |
Series 2020-DNA04, Class M2, 144A, 1 Month LIBOR + 3.750% (Cap N/A, Floor 0.000%) | 3.898(c) | 08/25/50 | 80 | 81,118 |
7
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
FHLMC Structured Agency Credit Risk REMIC Trust, (cont’d.) | |||||
Series 2020-DNA05, Class B1, 144A, 30 Day Average SOFR + 4.800% (Cap N/A, Floor 0.000%) | 4.882 %(c) | 10/25/50 | 120 | $124,729 | |
Series 2020-HQA03, Class M2, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 0.000%) | 3.748(c) | 07/25/50 | 250 | 251,730 | |
Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) | 5.398(c) | 09/25/50 | 120 | 125,083 | |
Series 2020-HQA04, Class M2, 144A, 1 Month LIBOR + 3.150% (Cap N/A, Floor 0.000%) | 3.298(c) | 09/25/50 | 85 | 85,783 | |
FHLMC Structured Agency Credit Risk Trust, Series 2019-DNA01, Class M2, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 2.798(c) | 01/25/49 | 53 | 53,067 | |
GCAT LLC, Series 2019-04, Class A1, 144A | 3.228 | 11/26/49 | 242 | 242,705 | |
Home Re Ltd. (Bermuda), Series 2020-01, Class M1C, 144A, 1 Month LIBOR + 4.150% (Cap N/A, Floor 4.150%) | 4.298(c) | 10/25/30 | 200 | 204,459 | |
Legacy Mortgage Asset Trust, Series 2019-PR01, Class A1, 144A | 3.858 | 09/25/59 | 177 | 176,635 | |
LSTAR Securities Investment Trust, Series 2019-02, Class A1, 144A, 1 Month LIBOR + 1.500% (Cap N/A, Floor 0.000%) | 1.655(c) | 04/01/24 | 251 | 249,789 | |
Oaktown Re IV Ltd. (Bermuda), Series 2020-01A, Class M1B, 144A, 1 Month LIBOR + 4.750% (Cap N/A, Floor 4.750%) | 4.898(c) | 07/25/30 | 200 | 202,026 | |
Oaktown Re V Ltd. (Bermuda), Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 3.600%) | 3.748(c) | 10/25/30 | 165 | 166,365 | |
PMT Credit Risk Transfer Trust , Series 2020-02R, Class A, 144A, 1 Month LIBOR + 3.815% (Cap N/A, Floor 3.815%) | 3.967(c) | 12/25/22 | 680 | 680,047 | |
Radnor Re Ltd. (Bermuda), Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.600% (Cap N/A, Floor 4.600%) | 4.748(c) | 10/25/30 | 195 | 198,401 | |
Total Residential Mortgage-Backed Securities (cost $4,450,547) | 4,497,773 | ||||
Total Long-Term Investments (cost $27,810,677) | 27,802,430 |
8
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Description | Shares | Value | |||
Short-Term Investment 2.4% | |||||
Affiliated Mutual Fund | |||||
PGIM Core Ultra Short Bond Fund (cost $704,589)(w) | 704,589 | $704,589 | |||
TOTAL INVESTMENTS 98.1% (cost $28,515,266) | 28,507,019 | ||||
Other assets in excess of liabilities(z) 1.9% | 558,566 | ||||
Net Assets 100.0% | $29,065,585 |
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 | |
CLO—Collateralized Loan Obligation | |
CMBX—Commercial Mortgage-Backed Index | |
EURIBOR—Euro Interbank Offered Rate | |
FHLMC—Federal Home Loan Mortgage Corporation | |
IO—Interest Only (Principal amount represents notional) | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
M—Monthly payment frequency for swaps | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
Q—Quarterly payment frequency for swaps | |
S—Semiannual payment frequency for swaps | |
SOFR—Secured Overnight Financing Rate | |
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 $309,787 and 1.1% of net assets. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2020. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2020. 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: |
9
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Unfunded loan commitment outstanding at December 31, 2020:
Borrower | Principal Amount (000)# | Current Value | Unrealized Appreciation | Unrealized Depreciation | ||||
GTT Communications, Inc., Delayed Draw, 1 Month LIBOR + 7.500%, 8.500%, Maturity Date 11/30/21 (cost $18,862) | 21 | $18,857 | $— | $(5) |
Futures contracts outstanding at December 31, 2020: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Position: | ||||||||
1 | 10 Year U.S. Treasury Notes | Mar. 2021 | $138,078 | $(164) |
Forward foreign currency exchange contracts outstanding at December 31, 2020:
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Euro, | |||||||||||||
Expiring 01/12/21 | HSBC Bank USA, N.A. | EUR | 1,650 | $1,959,962 | $2,015,827 | $— | $(55,865) |
Credit default swap agreements outstanding at December 31, 2020:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on asset-backed securities - Sell Protection(2)^: | |||||||||||||||||
Alcentra CLO | 01/26/21 | 1.000%(M) | 16 | 1.000% | $16 | $— | $16 | Goldman Sachs International | |||||||||
Alcentra CLO | 01/26/21 | 0.500%(M) | 12 | 0.500% | 6 | — | 6 | Goldman Sachs International | |||||||||
Allianz CLO | 01/26/21 | 0.500%(M) | 37 | * | 19 | — | 19 | Goldman Sachs International | |||||||||
AMMC CLO Ltd. | 01/26/21 | 0.500%(M) | 2 | 0.500% | 1 | — | 1 | Goldman Sachs International | |||||||||
Angelo Gordon CLO | 01/26/21 | 0.500%(M) | 3 | 0.500% | 2 | — | 2 | Goldman Sachs International |
10
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Apollo CLO | 01/26/21 | 0.500%(M) | 23 | 0.500% | $12 | $— | $12 | Goldman Sachs International | |||||||||
AXA CLO | 01/26/21 | 1.000%(M) | 14 | 1.000% | 15 | — | 15 | Goldman Sachs International | |||||||||
Bain CLO | 01/26/21 | 0.500%(M) | 75 | 0.500% | 38 | — | 38 | Goldman Sachs International | |||||||||
Bain CLO | 01/26/21 | 1.000%(M) | 39 | 1.000% | 41 | — | 41 | Goldman Sachs International | |||||||||
Bank 2018-BN14 | 01/28/21 | 1.250%(M) | 18 | * | 19 | — | 19 | Goldman Sachs International | |||||||||
Bardin Hill CLO | 01/26/21 | 0.500%(M) | 49 | 0.500% | 25 | — | 25 | Goldman Sachs International | |||||||||
Bardin Hill CLO | 01/26/21 | 1.000%(M) | 13 | 1.000% | 14 | — | 14 | Goldman Sachs International | |||||||||
Barings CLO | 01/26/21 | 1.350%(M) | 22 | 1.000% | 31 | — | 31 | Goldman Sachs International | |||||||||
Black Diamond CLO | 01/26/21 | 1.350%(M) | 16 | 1.000% | 22 | — | 22 | Goldman Sachs International | |||||||||
BlueMountain CLO | 01/26/21 | 1.000%(M) | 64 | * | 65 | — | 65 | Goldman Sachs International | |||||||||
BlueMountain CLO | 01/26/21 | 1.000%(M) | 22 | * | 23 | — | 23 | Goldman Sachs International | |||||||||
Canyon CLO | 01/26/21 | 0.500%(M) | 9 | 0.500% | 5 | — | 5 | Goldman Sachs International | |||||||||
Carlson CLO | 01/26/21 | 1.000%(M) | 14 | 1.000% | 14 | — | 14 | Goldman Sachs International |
11
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Carlyle CLO | 01/26/21 | 0.500%(M) | 26 | 0.500% | $13 | $— | $13 | Goldman Sachs International | |||||||||
Carlyle CLO | 01/26/21 | 1.000%(M) | 4 | 1.000% | 4 | — | 4 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/28/21 | 1.250%(M) | 8 | 6.940% | 8 | — | 8 | Goldman Sachs International | |||||||||
COMM Mortgage Trust | 01/28/21 | 1.250%(M) | 8 | * | 9 | — | 9 | Goldman Sachs International | |||||||||
Covenant | 01/26/21 | 0.500%(M) | 8 | 0.500% | 4 | — | 4 | Goldman Sachs International | |||||||||
Crescent CLO | 01/26/21 | 1.000%(M) | 19 | 1.000% | 19 | — | 19 | Goldman Sachs International | |||||||||
CSAM CLO | 01/26/21 | 1.000%(M) | 98 | * | 100 | — | 100 | Goldman Sachs International | |||||||||
CSAM CLO | 01/26/21 | 1.000%(M) | 2 | 1.000% | 2 | — | 2 | Goldman Sachs International | |||||||||
DFG CLO | 01/26/21 | 0.500%(M) | 38 | 0.500% | 19 | — | 19 | Goldman Sachs International | |||||||||
DoubleLine | 01/26/21 | 0.500%(M) | 6 | 0.500% | 3 | — | 3 | Goldman Sachs International | |||||||||
Ellington CLO | 01/26/21 | 1.000%(M) | 200 | 1.000% | 205 | — | 205 | Goldman Sachs International | |||||||||
Ellington CLO | 01/26/21 | 1.000%(M) | 174 | 1.000% | 179 | — | 179 | Goldman Sachs International | |||||||||
ICG CLO | 01/26/21 | 0.500%(M) | 42 | 0.500% | 22 | — | 22 | Goldman Sachs International |
12
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Jefferies CLO | 01/26/21 | 1.000%(M) | 52 | 1.000% | $53 | $— | $53 | Goldman Sachs International | |||||||||
LCM CLO | 01/26/21 | 1.000%(M) | 9 | 1.000% | 9 | — | 9 | Goldman Sachs International | |||||||||
Loomis Sayles & Co. LP | 01/26/21 | 0.500%(M) | 4 | 0.500% | 2 | — | 2 | Goldman Sachs International | |||||||||
Marathon Bancorp | 01/26/21 | 0.500%(M) | 3 | 0.500% | 2 | — | 2 | Goldman Sachs International | |||||||||
MJX CLO | 01/26/21 | 1.000%(M) | 26 | 1.000% | 26 | — | 26 | Goldman Sachs International | |||||||||
MJX CLO | 01/26/21 | 1.000%(M) | 12 | 1.000% | 13 | — | 13 | Goldman Sachs International | |||||||||
MJX CLO | 01/26/21 | 0.500%(M) | 9 | 0.500% | 4 | — | 4 | Goldman Sachs International | |||||||||
MJX CLO | 01/26/21 | 1.000%(M) | 9 | 1.000% | 10 | — | 10 | Goldman Sachs International | |||||||||
Oaktree CLO | 01/26/21 | 1.000%(M) | 2 | * | 2 | — | 2 | Goldman Sachs International | |||||||||
Och-Ziff CLO | 01/26/21 | 1.000%(M) | 67 | 1.000% | 69 | — | 69 | Goldman Sachs International | |||||||||
Och-Ziff CLO | 01/26/21 | 1.000%(M) | 30 | 1.000% | 31 | — | 31 | Goldman Sachs International | |||||||||
Octagon CLO | 01/26/21 | 0.500%(M) | 15 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
Octagon CLO | 01/26/21 | 0.500%(M) | 3 | * | 2 | — | 2 | Goldman Sachs International |
13
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Octagon CLO | 01/26/21 | 0.500%(M) | 3 | * | $2 | $— | $2 | Goldman Sachs International | |||||||||
ONEX CLO | 01/26/21 | 0.500%(M) | 65 | 0.500% | 34 | — | 34 | Goldman Sachs International | |||||||||
Palmer Square CLO | 01/26/21 | 1.000%(M) | 5 | 1.000% | 5 | — | 5 | Goldman Sachs International | |||||||||
Par-Four | 01/26/21 | 0.500%(M) | 68 | 0.500% | 35 | — | 35 | Goldman Sachs International | |||||||||
Pretium | 01/26/21 | 0.500%(M) | 222 | 0.500% | 114 | — | 114 | Goldman Sachs International | |||||||||
Providence CLO | 01/26/21 | 1.000%(M) | 13 | 1.000% | 14 | — | 14 | Goldman Sachs International | |||||||||
Providence CLO | 01/26/21 | 1.000%(M) | 10 | 1.000% | 11 | — | 11 | Goldman Sachs International | |||||||||
Saratoga CLO | 01/26/21 | 0.500%(M) | 240 | 0.500% | 124 | — | 124 | Goldman Sachs International | |||||||||
Saratoga CLO | 01/26/21 | 1.000%(M) | 31 | 1.000% | 32 | — | 32 | Goldman Sachs International | |||||||||
Shenkman Capital | 01/26/21 | 0.500%(M) | 3 | 0.500% | 2 | — | 2 | Goldman Sachs International | |||||||||
Sound Point CLO Ltd. | 01/26/21 | 1.000%(M) | 36 | 1.000% | 37 | — | 37 | Goldman Sachs International | |||||||||
Sound Point CLO Ltd. | 01/26/21 | 1.000%(M) | 23 | 1.000% | 24 | — | 24 | Goldman Sachs International | |||||||||
Sound Point CLO Ltd. | 01/26/21 | 1.000%(M) | 21 | 1.000% | 21 | — | 21 | Goldman Sachs International |
14
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Sound Point CLO Ltd. | 01/26/21 | 0.500%(M) | 7 | * | $4 | $— | $4 | Goldman Sachs International | |||||||||
Symphony CLO | 01/26/21 | 0.500%(M) | 69 | * | 35 | — | 35 | Goldman Sachs International | |||||||||
Symphony CLO | 01/26/21 | 1.000%(M) | 22 | 1.000% | 23 | — | 23 | Goldman Sachs International | |||||||||
TCW CLO | 01/26/21 | 0.500%(M) | 18 | 0.500% | 9 | — | 9 | Goldman Sachs International | |||||||||
THL CLO | 01/26/21 | 1.000%(M) | 43 | 1.000% | 44 | — | 44 | Goldman Sachs International | |||||||||
THL CLO | 01/26/21 | 0.500%(M) | 12 | 0.500% | 6 | — | 6 | Goldman Sachs International | |||||||||
THL CLO | 01/26/21 | 0.500%(M) | 6 | 0.500% | 3 | — | 3 | Goldman Sachs International | |||||||||
TIAA CLO | 01/26/21 | 1.000%(M) | 7 | * | 7 | — | 7 | Goldman Sachs International | |||||||||
Towd Point Mortgage Trust | 07/25/56 | 0.450%(M) | 639 | * | 32 | — | 32 | Citigroup Global Markets, Inc. | |||||||||
Trimaran CLO | 01/26/21 | 1.000%(M) | 142 | 1.000% | 145 | — | 145 | Goldman Sachs International | |||||||||
Trimaran CLO | 01/26/21 | 1.000%(M) | 21 | * | 22 | — | 22 | Goldman Sachs International | |||||||||
Trinitas CLO | 01/26/21 | 0.500%(M) | 15 | * | 8 | — | 8 | Goldman Sachs International | |||||||||
Voya CLO | 01/26/21 | 0.500%(M) | 36 | * | 18 | — | 18 | Goldman Sachs International |
15
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2020 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 2020(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.): | |||||||||||||||||
Wamco | 01/26/21 | 0.500%(M) | 7 | 0.500% | $3 | $— | $3 | Goldman Sachs International | |||||||||
WellFleet CLO | 01/26/21 | 0.500%(M) | 3 | 0.500% | 2 | — | 2 | Goldman Sachs International | |||||||||
ZAIS CLO | 01/26/21 | 1.000%(M) | 8 | 1.000% | 8 | — | 8 | Goldman Sachs International | |||||||||
$2,010 | $— | $2,010 |
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 Agreement on credit indices - Buy Protection(1): | ||||||||||||||||
CMBX.NA.BBB.12 | 08/17/61 | 3.000%(M) | 300 | $23,517 | $62,001 | $(38,484) | Morgan Stanley & Co. International PLC |
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. |
16
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2020 (unaudited) (continued)
(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 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, 2020:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2020 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
EUR | 400 | 12/06/21 | 0.095%(A) | 6 Month EURIBOR(1)(S) | $(5,160) | $(3,032) | $2,128 | |||||||
EUR | 885 | 05/11/24 | 0.396%(A) | 6 Month EURIBOR(1)(S) | (29,758) | (36,622) | (6,864) | |||||||
EUR | 330 | 05/11/29 | 0.750%(A) | 6 Month EURIBOR(1)(S) | (22,092) | (39,941) | (17,849) | |||||||
1,355 | 06/14/21 | 1.142%(S) | 3 Month LIBOR(1)(Q) | (755) | (6,414) | (5,659) | ||||||||
1,355 | 05/11/22 | 2.300%(A) | 1 Day USOIS(1)(A) | (55,483) | (61,368) | (5,885) | ||||||||
2,100 | 05/11/23 | 2.250%(A) | 1 Day USOIS(1)(A) | (134,663) | (138,233) | (3,570) | ||||||||
3,230 | 05/11/24 | 2.139%(S) | 3 Month LIBOR(1)(Q) | (106,114) | (211,960) | (105,846) | ||||||||
270 | 05/11/30 | 2.450%(A) | 1 Day USOIS(2)(A) | 48,924 | 48,191 | (733) | ||||||||
115 | 05/11/50 | 2.400%(S) | 3 Month LIBOR(1)(Q) | (47,897) | (29,526) | 18,371 | ||||||||
$(352,998) | $(478,905) | $(125,907) |
(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).
17