PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 93.3% | |||||
Asset-Backed Securities 37.5% | |||||
Automobiles 7.5% | |||||
AmeriCredit Automobile Receivables Trust, Series 2021-01, Class B | 0.680 % | 10/19/26 | 800 | $761,348 | |
Exeter Automobile Receivables Trust, Series 2022-01A, Class E, 144A | 5.020 | 10/15/29 | 1,200 | 1,000,935 | |
JPMorgan Chase Bank NA - CACLN, Series 2020-01, Class F, 144A | 6.684 | 01/25/28 | 800 | 789,383 | |
OneMain Direct Auto Receivables Trust, Series 2021-01A, Class C, 144A | 1.420 | 07/14/28 | 800 | 679,460 | |
Santander Bank Auto Credit-Linked Notes, | |||||
Series 2022-A, Class C, 144A | 7.375 | 05/15/32 | 567 | 553,924 | |
Series 2022-C, Class E, 144A | 11.366 | 12/15/32 | 300 | 300,041 | |
Santander Bank, NA, Series 2021-01A, Class D, 144A | 5.004 | 12/15/31 | 600 | 551,818 | |
Santander Consumer Auto Receivables Trust, Series 2021-AA, Class E, 144A | 3.280 | 03/15/27 | 750 | 675,340 | |
5,312,249 | |||||
Collateralized Loan Obligations 23.3% | |||||
Anchorage Capital CLO Ltd. (Cayman Islands), Series 2021-17A, Class A1, 144A, 3 Month LIBOR + 1.170% (Cap N/A, Floor 1.170%) | 5.249(c) | 07/15/34 | 500 | 486,051 | |
Atlas Static Senior Loan Fund Ltd. (Cayman Islands), Series 2022-01A, Class B, 144A, 3 Month SOFR + 3.400% (Cap N/A, Floor 3.400%) | 5.900(c) | 07/15/30 | 500 | 494,921 | |
Avoca Capital CLO Ltd. (Ireland), Series 10A, Class B1RR, 144A, 3 Month EURIBOR + 1.350% (Cap N/A, Floor 1.350%) | 2.728(c) | 04/15/35 | EUR | 750 | 742,728 |
Battalion CLO Ltd. (Cayman Islands), | |||||
Series 2015-08A, Class A1R2, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%) | 5.264(c) | 07/18/30 | 493 | 484,706 | |
Series 2018-12A, Class B2R, 144A, 3 Month LIBOR + 2.080% (Cap N/A, Floor 2.080%) | 6.730(c) | 05/17/31 | 500 | 474,331 | |
Carlyle Global Market Strategies Euro CLO Ltd. (Ireland), Series 2014-02A, Class AR1, 144A, 3 Month EURIBOR + 0.750% (Cap N/A, Floor 0.750%) | 2.548(c) | 11/15/31 | EUR | 1,100 | 1,137,804 |
Crosthwaite Park CLO DAC (Ireland), Series 01A, Class A2AR, 144A, 3 Month EURIBOR + 1.600% (Cap N/A, Floor 1.600%) | 3.646(c) | 03/15/34 | EUR | 1,500 | 1,486,648 |
1
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Elevation CLO Ltd. (Cayman Islands), Series 2014-02A, Class A1R, 144A, 3 Month SOFR + 1.492% (Cap N/A, Floor 0.000%) | 5.355 %(c) | 10/15/29 | 420 | $417,229 | |
Ellington CLO Ltd. (Cayman Islands), Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 6.306(c) | 02/15/29 | 238 | 236,103 | |
ICG US CLO Ltd. (Cayman Islands), Series 2015-02RA, Class A2, 144A, 3 Month LIBOR + 1.800% (Cap N/A, Floor 0.000%) | 5.879(c) | 01/16/33 | 2,000 | 1,920,751 | |
Jubilee CLO DAC (Ireland), Series 2016-17X, Class B1RR, 3 Month EURIBOR + 1.280% (Cap N/A, Floor 1.280%) | 2.658(c) | 04/15/31 | EUR | 500 | 503,067 |
Madison Park Funding Ltd. (Cayman Islands), Series 2019-33A, Class AR, 144A, 3 Month SOFR + 1.290% (Cap N/A, Floor 1.290%) | 5.154(c) | 10/15/32 | 1,500 | 1,471,072 | |
Marble Point CLO Ltd. (Cayman Islands), Series 2021-03A, Class A1, 144A, 3 Month LIBOR + 1.240% (Cap N/A, Floor 1.240%) | 5.319(c) | 10/17/34 | 500 | 483,749 | |
MidOcean Credit CLO (Cayman Islands), | |||||
Series 2014-03A, Class BR, 144A, 3 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%) | 6.078(c) | 04/21/31 | 250 | 235,316 | |
Series 2017-07A, Class A1R, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%) | 5.119(c) | 07/15/29 | 539 | 532,093 | |
Series 2019-10A, Class BR, 144A, 3 Month LIBOR + 1.900% (Cap N/A, Floor 1.900%) | 6.225(c) | 10/23/34 | 480 | 451,923 | |
Race Point CLO Ltd. (Cayman Islands), Series 2013-08A, Class AR2, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 1.040%) | 5.715(c) | 02/20/30 | 1,873 | 1,844,723 | |
St. Pauls CLO (Ireland), Series 11A, Class C2R, 144A | 2.500 | 01/17/32 | EUR | 750 | 653,782 |
TCW CLO Ltd. (Cayman Islands), Series 2019-02A, Class BR, 144A, 3 Month SOFR + 1.850% (Cap N/A, Floor 1.850%) | 5.813(c) | 10/20/32 | 1,000 | 961,585 | |
TICP CLO Ltd. (Cayman Islands), Series 2017-09A, Class A, 144A, 3 Month LIBOR + 1.140% (Cap N/A, Floor 1.140%) | 5.383(c) | 01/20/31 | 1,000 | 989,102 | |
Trimaran Cavu Ltd., Series 2019-01A, Class B, 144A, 3 Month LIBOR + 2.200% (Cap N/A, Floor 2.200%) | 6.443(c) | 07/20/32 | 500 | 487,038 | |
16,494,722 |
2
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Consumer Loans 3.3% | |||||
Lendmark Funding Trust, Series 2021-01A, Class D, 144A | 5.050 % | 11/20/31 | 500 | $374,957 | |
OneMain Financial Issuance Trust, Series 2022-02A, Class D, 144A | 6.550 | 10/14/34 | 880 | 841,737 | |
Oportun Funding XIV LLC, Series 2021-A, Class A, 144A | 1.210 | 03/08/28 | 700 | 651,825 | |
Oportun Issuance Trust, Series 2022-02, Class A, 144A | 5.940 | 10/09/29 | 505 | 500,672 | |
2,369,191 | |||||
Other 2.3% | |||||
Loandepot GMSR Master Trust, Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) | 7.126(c) | 10/16/23 | 400 | 372,348 | |
PNMAC FMSR Issuer Trust, Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) | 6.739(c) | 04/25/23 | 710 | 666,812 | |
TH MSR Issuer Trust, Series 2019-FT01, Class A, 144A, 1 Month LIBOR + 2.800% (Cap N/A, Floor 2.800%) | 7.189(c) | 06/25/24 | 620 | 580,096 | |
1,619,256 | |||||
Residential Mortgage-Backed Securities 0.9% | |||||
LSF11 Boson Investments Sarl Compartment 2 (Spain), Series 2021-NPLA, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap N/A, Floor 2.000%) | 3.898(c) | 11/25/60 | EUR | 331 | 337,379 |
TFS (Spain), | |||||
Series 2018-03^ | 0.000(s) | 04/16/40 | EUR | —(r) | 343 |
Series 2018-03, Class A1, 1 Month EURIBOR + 3.000%^ | 4.686(c) | 04/16/23 | EUR | 266 | 270,058 |
607,780 | |||||
Student Loan 0.2% | |||||
Laurel Road Prime Student Loan Trust, Series 2019-A, Class R, 144A | 0.000 | 10/25/48 | 684 | 146,029 | |
Total Asset-Backed Securities (cost $27,464,240) | 26,549,227 |
3
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities 21.0% | |||||
20 Times Square Trust, | |||||
Series 2018-20TS, Class F, 144A (original cost $483,088; purchased 08/26/20 - 04/07/22)(f) | 3.100 %(cc) | 05/15/35 | 520 | $429,442 | |
Series 2018-20TS, Class G, 144A (original cost $184,522; purchased 06/28/19 - 08/26/20)(f) | 3.100(cc) | 05/15/35 | 200 | 159,206 | |
Series 2018-20TS, Class H, 144A (original cost $94,181; purchased 06/28/19)(f) | 3.100(cc) | 05/15/35 | 100 | 74,117 | |
Barclays Commercial Mortgage Securities Trust, | |||||
Series 2016-ETC, Class E, 144A | 3.609(cc) | 08/14/36 | 250 | 186,893 | |
Series 2018-CHRS, Class D, 144A | 4.267(cc) | 08/05/38 | 490 | 312,668 | |
BX Commercial Mortgage Trust, | |||||
Series 2019-XL, Class G, 144A, 1 Month SOFR + 2.414% (Cap N/A, Floor 2.414%) | 6.750(c) | 10/15/36 | 213 | 203,405 | |
Series 2019-XL, Class J, 144A, 1 Month SOFR + 2.764% (Cap N/A, Floor 2.764%) | 7.100(c) | 10/15/36 | 765 | 728,796 | |
Series 2021-CIP, Class E, 144A, 1 Month LIBOR + 2.820% (Cap N/A, Floor 2.820%) | 7.138(c) | 12/15/38 | 347 | 318,929 | |
Series 2022-AHP, Class E, 144A, 1 Month SOFR + 3.040% (Cap N/A, Floor 3.040%) | 7.376(c) | 01/17/39 | 1,450 | 1,352,045 | |
Citigroup Commercial Mortgage Trust, Series 2019-SMRT, Class E, 144A | 4.745(cc) | 01/10/36 | 726 | 691,239 | |
Cold Storage Trust, Series 2020-ICE05, Class E, 144A, 1 Month LIBOR + 2.766% (Cap N/A, Floor 2.833%) | 7.083(c) | 11/15/37 | 1,293 | 1,239,085 | |
Credit Suisse Mortgage Capital Certificates, Series 2019-ICE04, Class E, 144A, 1 Month LIBOR + 2.150% (Cap N/A, Floor 2.150%) | 6.468(c) | 05/15/36 | 150 | 145,079 | |
CSAIL Commercial Mortgage Trust, Series 2015-C04, Class XB, IO | 0.250(cc) | 11/15/48 | 25,076 | 144,363 | |
DBGS Mortgage Trust, Series 2018-BIOD, Class F, 144A, 1 Month LIBOR + 2.000% (Cap N/A, Floor 2.000%) | 6.236(c) | 05/15/35 | 525 | 495,067 | |
DBWF Mortgage Trust, Series 2016-85T, Class E, 144A | 3.808(cc) | 12/10/36 | 500 | 374,474 | |
Deco DAC (United Kingdom), | |||||
Series 2019-RAM, Class A, SONIA + 2.007% (Cap N/A, Floor 2.007%) | 5.178(c) | 08/07/30 | GBP | 375 | 417,836 |
Series 2019-RAM, Class B, SONIA + 3.607% (Cap N/A, Floor 3.607%) | 6.778(c) | 08/07/30 | GBP | 174 | 179,615 |
FHLMC Multifamily Mortgage Trust, Series 2019-K735, Class X2A, IO, 144A | 0.100 | 05/25/26 | 93,434 | 233,061 | |
FHLMC Multifamily Structured Pass-Through Certificates, | |||||
Series K052, Class X1, IO | 0.636(cc) | 11/25/25 | 2,163 | 31,560 |
4
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
FHLMC Multifamily Structured Pass-Through Certificates, (cont’d.) | |||||
Series K058, Class X1, IO | 0.915 %(cc) | 08/25/26 | 3,548 | $96,312 | |
GS Mortgage Securities Corp. Trust, | |||||
Series 2021-IP, Class E, 144A, 1 Month LIBOR + 3.550% (Cap N/A, Floor 3.550%) | 7.868(c) | 10/15/36 | 1,950 | 1,835,666 | |
Series 2021-IP, Class F, 144A, 1 Month LIBOR + 4.550% (Cap N/A, Floor 4.550%) | 8.868(c) | 10/15/36 | 140 | 131,788 | |
Independence Plaza Trust, Series 2018-INDP, Class E, 144A | 4.996 | 07/10/35 | 100 | 89,915 | |
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class XB, IO | 0.345(cc) | 12/15/48 | 1,620 | 15,574 | |
JPMorgan Chase Commercial Mortgage Securities Trust, | |||||
Series 2018-AON, Class E, 144A | 4.613(cc) | 07/05/31 | 600 | 500,783 | |
Series 2021-NYAH, Class H, 144A, 1 Month LIBOR + 3.390% (Cap N/A, Floor 3.390%) | 7.708(c) | 06/15/38 | 1,300 | 1,201,972 | |
Last Mile Logistics Pan Euro Finance DAC (Ireland), Series 01A, Class D, 144A, 3 Month EURIBOR + 1.900% (Cap N/A, Floor 1.900%) | 3.695(c) | 08/17/33 | EUR | 100 | 94,303 |
MHC Commercial Mortgage Trust, Series 2021-MHC, Class F, 144A, 1 Month LIBOR + 2.601% (Cap N/A, Floor 2.601%) | 6.919(c) | 04/15/38 | 300 | 281,199 | |
MKT Mortgage Trust, Series 2020-525M, Class F, 144A | 2.941(cc) | 02/12/40 | 250 | 134,319 | |
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C21, Class XB, IO, 144A | 0.275(cc) | 03/15/48 | 10,000 | 62,803 | |
Morgan Stanley Capital I Trust, Series 2019-MEAD, Class E, 144A | 3.177(cc) | 11/10/36 | 525 | 436,344 | |
One New York Plaza Trust, Series 2020-01NYP, Class D, 144A, 1 Month LIBOR + 2.750% (Cap N/A, Floor 2.750%) | 7.068(c) | 01/15/36 | 300 | 262,567 | |
SREIT Trust, Series 2021-MFP, Class F, 144A, 1 Month LIBOR + 2.625% (Cap N/A, Floor 2.625%) | 6.943(c) | 11/15/38 | 260 | 242,397 | |
Taurus DAC (United Kingdom), | |||||
Series 2021-UK1A, Class D, 144A, SONIA + 2.600% (Cap N/A, Floor 2.600%) | 5.851(c) | 05/17/31 | GBP | 248 | 275,352 |
Series 2021-UK4A, Class D, 144A, SONIA + 2.100% (Cap N/A, Floor 2.100%) | 5.351(c) | 08/17/31 | GBP | 238 | 254,279 |
Wells Fargo Commercial Mortgage Trust, | |||||
Series 2015-P02, Class XB, IO | 0.413(cc) | 12/15/48 | 6,400 | 77,045 | |
Series 2021-FCMT, Class D, 144A, 1 Month LIBOR + 3.500% (Cap N/A, Floor 3.500%) | 7.818(c) | 05/15/31 | 340 | 302,286 |
5
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
Wells Fargo Commercial Mortgage Trust, (cont’d.) | |||||
Series 2021-FCMT, Class E, 144A, 1 Month LIBOR + 4.500% (Cap N/A, Floor 4.500%) | 8.818 %(c) | 05/15/31 | 1,000 | $881,090 | |
Total Commercial Mortgage-Backed Securities (cost $16,617,272) | 14,892,874 | ||||
Corporate Bonds 5.8% | |||||
Aerospace & Defense 0.1% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 7.500 | 03/15/25 | 21 | 20,784 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 50 | 48,594 | |
69,378 | |||||
Banks 5.5% | |||||
Bank of America Corp., | |||||
Jr. Sub. Notes, Series JJ | 5.125(ff) | 06/20/24(oo) | 550 | 512,636 | |
Jr. Sub. Notes, Series RR | 4.375(ff) | 01/27/27(oo) | 700 | 594,876 | |
Citigroup, Inc., | |||||
Jr. Sub. Notes | 3.875(ff) | 02/18/26(oo) | 700 | 598,351 | |
Jr. Sub. Notes, Series V | 4.700(ff) | 01/30/25(oo) | 605 | 503,778 | |
Goldman Sachs Group, Inc. (The), Jr. Sub. Notes, Series U | 3.650(ff) | 08/10/26(oo) | 760 | 615,389 | |
JPMorgan Chase & Co., | |||||
Jr. Sub. Notes, Series FF | 5.000(ff) | 08/01/24(oo) | 500 | 459,518 | |
Jr. Sub. Notes, Series HH | 4.600(ff) | 02/01/25(oo) | 80 | 71,034 | |
Texas Capital Bank NA, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 4.500% | 9.254(c) | 09/30/24 | 600 | 581,544 | |
3,937,126 | |||||
Entertainment 0.0% | |||||
AMC Entertainment Holdings, Inc., Sec’d. Notes, 144A, Cash coupon 10.000% or PIK 12.000% or Cash coupon 5.000% and PIK 6.000% | 10.000 | 06/15/26 | 61 | 25,282 | |
Media 0.0% | |||||
Diamond Sports Group LLC/Diamond Sports Finance Co., Gtd. Notes, 144A (original cost $72,188; purchased 01/23/20)(f) | 6.625 | 08/15/27 | 75 | 839 |
6
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pipelines 0.2% | |||||
Energy Transfer LP, Jr. Sub. Notes, Series G | 7.125 %(ff) | 05/15/30(oo) | 140 | $116,954 | |
Total Corporate Bonds (cost $4,799,581) | 4,149,579 | ||||
Floating Rate and other Loans 4.1% | |||||
Commercial Services 0.6% | |||||
Adtalem Global Education, Inc., Term B Loan, 1 Month LIBOR + 4.000% | 8.389(c) | 08/12/28 | 131 | 129,740 | |
Fly Funding II Sarl (Luxembourg), Term Loan B, 3 Month LIBOR + 1.750% | 6.310(c) | 08/11/25 | 380 | 308,473 | |
438,213 | |||||
Computers 0.3% | |||||
McAfee Corp., Tranche B-1 Term Loan, 1 Month SOFR + 3.750% | 7.974(c) | 03/01/29 | 249 | 231,027 | |
Electric 0.3% | |||||
Heritage Power LLC, Term Loan B, 3 Month LIBOR + 6.000% | 10.415(c) | 07/30/26 | 122 | 40,205 | |
Lightstone HoldCo LLC, | |||||
Extended Term C Loan, 1 Month SOFR + 5.750% | 10.073(c) | 02/01/27 | 10 | 9,114 | |
Extended Term Loan B, 1 Month SOFR + 5.750% | 10.073(c) | 02/01/27 | 176 | 161,141 | |
210,460 | |||||
Entertainment 0.3% | |||||
Allen Media LLC, Term B Loan, 3 Month SOFR + 5.650% | 10.230(c) | 02/10/27 | 297 | 242,075 | |
Media 0.2% | |||||
Diamond Sports Group LLC, | |||||
First Lien Term Loan, 1 Month SOFR + 8.100%^ | 12.317(c) | 05/25/26 | 50 | 46,356 | |
Second Lien Term loan, 1 Month SOFR + 3.350% | 7.567(c) | 08/24/26 | 459 | 55,513 | |
101,869 | |||||
Packaging & Containers 0.5% | |||||
Clydesdale Acquisition Holdings, Inc., Term B Loan, 1 Month SOFR + 4.275% | 8.598(c) | 04/13/29 | 398 | 378,444 |
7
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Floating Rate and other Loans (Continued) | |||||
Retail 0.5% | |||||
Fogo de Chao, Inc., 2018 Refinancing Term Loan, 1 Month LIBOR + 4.250% | 8.634 %(c) | 04/07/25 | 349 | $328,154 | |
Software 0.3% | |||||
Finastra USA, Inc., First Lien Dollar Term Loan, 6 Month LIBOR + 3.500% | 6.871(c) | 06/13/24 | 233 | 205,724 | |
Telecommunications 1.1% | |||||
Connect Finco Sarl (United Kingdom), Amendment No. 1 Refinancing Term Loan, 1 Month LIBOR + 3.500% | 7.890(c) | 12/11/26 | 264 | 260,118 | |
Intelsat Jackson Holdings SA (Luxembourg), Term B Loan, 6 Month SOFR + 4.500% | 7.445(c) | 02/01/29 | 265 | 255,034 | |
West Corp., Initial Term B Loan, 3 Month LIBOR + 4.000% | 8.415(c) | 10/10/24 | 304 | 277,459 | |
792,611 | |||||
Total Floating Rate and other Loans (cost $3,316,142) | 2,928,577 | ||||
Residential Mortgage-Backed Securities 24.9% | |||||
Bellemeade Re Ltd., | |||||
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) | 6.239(c) | 10/25/28 | 18 | 18,344 | |
Series 2019-04A, Class M2, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 7.239(c) | 10/25/29 | 1,490 | 1,423,711 | |
Series 2020-02A, Class M1C, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) | 8.387(c) | 08/26/30 | 4 | 3,566 | |
Series 2021-01A, Class M1C, 144A, 30 Day Average SOFR + 2.950% (Cap N/A, Floor 2.950%) | 6.878(c) | 03/25/31 | 150 | 143,294 | |
Series 2022-01, Class M1C, 144A, 30 Day Average SOFR + 3.700% (Cap N/A, Floor 3.700%) | 7.628(c) | 01/26/32 | 510 | 425,900 | |
BVRT Financing Trust, Series 2021-04, Class F, 144A, 1 Month SOFR + 2.000%^ | 5.807(c) | 09/12/26 | 110 | 109,629 | |
Connecticut Avenue Securities Trust, | |||||
Series 2018-R07, Class 1B1, 144A, 1 Month LIBOR + 4.350% (Cap N/A, Floor 0.000%) | 8.739(c) | 04/25/31 | 1,600 | 1,625,790 |
8
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
Connecticut Avenue Securities Trust, (cont’d.) | |||||
Series 2021-R01, Class 1B1, 144A, 30 Day Average SOFR + 3.100% (Cap N/A, Floor 0.000%) | 7.028 %(c) | 10/25/41 | 130 | $122,182 | |
Series 2021-R03, Class 1B1, 144A, 30 Day Average SOFR + 2.750% (Cap N/A, Floor 2.750%) | 6.678(c) | 12/25/41 | 90 | 83,025 | |
Series 2022-R02, Class 2B1, 144A, 30 Day Average SOFR + 4.500% (Cap N/A, Floor 0.000%) | 8.428(c) | 01/25/42 | 520 | 491,907 | |
Series 2022-R03, Class 1B1, 144A, 30 Day Average SOFR + 6.250% (Cap N/A, Floor 0.000%) | 10.178(c) | 03/25/42 | 75 | 77,979 | |
Series 2022-R04, Class 1B1, 144A, 30 Day Average SOFR + 5.250% (Cap N/A, Floor 0.000%) | 9.178(c) | 03/25/42 | 60 | 60,000 | |
Eagle Re Ltd., | |||||
Series 2019-01, Class M2, 144A, 1 Month LIBOR + 3.300% (Cap N/A, Floor 0.000%) | 7.689(c) | 04/25/29 | 1,000 | 955,629 | |
Series 2021-01, Class M1C, 144A, 30 Day Average SOFR + 2.700% (Cap N/A, Floor 2.700%) | 6.628(c) | 10/25/33 | 295 | 292,180 | |
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%) | 7.928(c) | 11/25/50 | 110 | 105,050 | |
Series 2021-DNA02, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 7.328(c) | 08/25/33 | 500 | 461,790 | |
FHLMC Structured Agency Credit Risk REMIC Trust, | |||||
Series 2020-DNA01, Class B1, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 0.000%) | 6.689(c) | 01/25/50 | 900 | 848,650 | |
Series 2020-DNA03, Class B1, 144A, 1 Month LIBOR + 5.100% (Cap N/A, Floor 0.000%) | 9.489(c) | 06/25/50 | 60 | 62,294 | |
Series 2020-DNA04, Class B1, 144A, 1 Month LIBOR + 6.000% (Cap N/A, Floor 0.000%) | 10.389(c) | 08/25/50 | 97 | 103,517 | |
Series 2020-DNA05, Class B1, 144A, 30 Day Average SOFR + 4.800% (Cap N/A, Floor 0.000%) | 8.728(c) | 10/25/50 | 120 | 122,867 | |
Series 2020-HQA04, Class B1, 144A, 1 Month LIBOR + 5.250% (Cap N/A, Floor 0.000%) | 9.639(c) | 09/25/50 | 120 | 122,550 | |
Series 2021-DNA01, Class B1, 144A, 30 Day Average SOFR + 2.650% (Cap N/A, Floor 0.000%) | 6.578(c) | 01/25/51 | 350 | 314,707 |
9
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (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 2021-DNA05, Class B1, 144A, 30 Day Average SOFR + 3.050% (Cap N/A, Floor 0.000%) | 6.978 %(c) | 01/25/34 | 890 | $812,809 | |
Series 2021-DNA06, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 7.328(c) | 10/25/41 | 900 | 838,890 | |
Series 2021-DNA06, Class M2, 144A, 30 Day Average SOFR + 1.500% (Cap N/A, Floor 0.000%) | 5.428(c) | 10/25/41 | 120 | 113,996 | |
Series 2021-DNA07, Class M2, 144A, 30 Day Average SOFR + 1.800% (Cap N/A, Floor 0.000%) | 5.728(c) | 11/25/41 | 1,000 | 939,182 | |
Series 2021-HQA03, Class B1, 144A, 30 Day Average SOFR + 3.350% (Cap N/A, Floor 0.000%) | 7.278(c) | 09/25/41 | 90 | 76,870 | |
Series 2021-HQA04, Class M1, 144A, 30 Day Average SOFR + 0.950% (Cap N/A, Floor 0.000%) | 4.878(c) | 12/25/41 | 2,313 | 2,194,796 | |
Series 2022-DNA02, Class M1B, 144A, 30 Day Average SOFR + 2.400% (Cap N/A, Floor 0.000%) | 6.328(c) | 02/25/42 | 1,000 | 972,518 | |
Series 2022-DNA06, Class M1B, 144A, 30 Day Average SOFR + 3.700% (Cap N/A, Floor 0.000%) | 7.628(c) | 09/25/42 | 500 | 509,947 | |
Series 2022-HQA03, Class M1B, 144A, 30 Day Average SOFR + 3.550% (Cap N/A, Floor 0.000%) | 7.478(c) | 08/25/42 | 600 | 594,756 | |
Home Re Ltd., | |||||
Series 2020-01, Class M1C, 144A, 1 Month LIBOR + 4.150% (Cap N/A, Floor 4.150%) | 8.539(c) | 10/25/30 | 75 | 74,679 | |
Series 2021-01, Class M1C, 144A, 1 Month LIBOR + 2.300% (Cap N/A, Floor 0.000%) | 6.689(c) | 07/25/33 | 150 | 145,246 | |
Legacy Mortgage Asset Trust, Series 2021-SL02, Class A, 144A | 1.875 | 10/25/68 | 659 | 591,651 | |
Oaktown Re V Ltd., Series 2020-02A, Class M1B, 144A, 1 Month LIBOR + 3.600% (Cap N/A, Floor 3.600%) | 7.989(c) | 10/25/30 | 13 | 12,775 | |
Oaktown Re VII Ltd., Series 2021-02, Class M1B, 144A, 30 Day Average SOFR + 2.900% (Cap N/A, Floor 2.900%) | 6.828(c) | 04/25/34 | 200 | 177,752 | |
PNMAC GMSR Issuer Trust, | |||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 7.239(c) | 02/25/23 | 100 | 97,734 |
10
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
PNMAC GMSR Issuer Trust, (cont’d.) | |||||
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 7.039 %(c) | 08/25/25 | 100 | $98,152 | |
Radnor Re Ltd., | |||||
Series 2019-01, Class B1, 144A, 1 Month LIBOR + 4.450% (Cap N/A, Floor 4.450%) | 8.839(c) | 02/25/29 | 1,000 | 971,275 | |
Series 2021-02, Class M1B, 144A, 30 Day Average SOFR + 3.700% (Cap N/A, Floor 3.700%) | 7.628(c) | 11/25/31 | 300 | 283,384 | |
Retiro Mortgage Securities DAC (Spain), Series 01A, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap 5.000%, Floor 0.000%) | 3.578(c) | 07/30/75 | EUR | 164 | 173,331 |
Total Residential Mortgage-Backed Securities (cost $18,056,962) | 17,654,304 | ||||
Total Long-Term Investments (cost $70,254,197) | 66,174,561 |
Shares | |||||
Short-Term Investment 5.4% | |||||
Unaffiliated Fund | |||||
Dreyfus Government Cash Management (Institutional Shares) (cost $3,813,613) | 3,813,613 | 3,813,613 | |||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 98.7% (cost $74,067,810) | 69,988,174 | ||||
Options Written*~ (0.0)% | |||||
(premiums received $0) | (10) | ||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 98.7% (cost $74,067,810) | 69,988,164 | ||||
Other assets in excess of liabilities(z) 1.3% | 888,206 | ||||
Net Assets 100.0% | $70,876,370 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
EUR—Euro | |
GBP—British Pound |
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 | |
BOA—Bank of America, N.A. |
11
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
CDS—Credit Default Swap | |
CDX—Credit Derivative Index | |
CLO—Collateralized Loan Obligation | |
EURIBOR—Euro Interbank Offered Rate | |
FHLMC—Federal Home Loan Mortgage Corporation | |
GS—Goldman Sachs & Co. LLC | |
GSI—Goldman Sachs International | |
IO—Interest Only (Principal amount represents notional) | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
M—Monthly payment frequency for swaps | |
MSI—Morgan Stanley & Co International PLC | |
OTC—Over-the-counter | |
PIK—Payment-in-Kind | |
Q—Quarterly payment frequency for swaps | |
REMIC—Real Estate Mortgage Investment Conduit | |
SCB—Standard Chartered Bank | |
SOFR—Secured Overnight Financing Rate | |
SONIA—Sterling Overnight Index Average | |
UAG—UBS AG | |
USOIS—United States Overnight Index Swap |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
~ | See tables subsequent to the Schedule of Investments for options detail. |
^ | Indicates a Level 3 instrument. The aggregate value of Level 3 instruments is $436,676 and 0.6% of net assets. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at December 31, 2022. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of December 31, 2022. 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. |
(f) | Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $833,979. The aggregate value of $663,604 is 0.9% of net assets. |
(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. |
(oo) | Perpetual security. Maturity date represents next call date. |
(r) | Principal or notional amount is less than $500 par. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Written:
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
GS_21-PJA^ | Put | GSI | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 630 | $(10) | |||||||||
(premiums received $0) |
12
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Futures contracts outstanding at December 31, 2022: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Position: | ||||||||
1 | 20 Year U.S. Treasury Bonds | Mar. 2023 | $125,344 | $(1,111) | ||||
Short Positions: | ||||||||
24 | 2 Year U.S. Treasury Notes | Mar. 2023 | 4,921,875 | 7,031 | ||||
4 | 5 Year Euro-Bobl | Mar. 2023 | 495,618 | 15,640 | ||||
36 | 5 Year U.S. Treasury Notes | Mar. 2023 | 3,885,469 | 1,496 | ||||
10 | 10 Year U.S. Treasury Notes | Mar. 2023 | 1,122,969 | 5,768 | ||||
3 | Euro Schatz Index | Mar. 2023 | 338,541 | 4,156 | ||||
34,091 | ||||||||
$32,980 |
Forward foreign currency exchange contracts outstanding at December 31, 2022:
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 01/12/23 | MSI | GBP | 996 | $1,192,536 | $1,205,111 | $— | $(12,575) | ||||||
Euro, | |||||||||||||
Expiring 01/12/23 | BOA | EUR | 471 | 502,175 | 504,339 | — | (2,164) | ||||||
Expiring 01/12/23 | SCB | EUR | 1,350 | 1,422,340 | 1,446,434 | — | (24,094) | ||||||
Expiring 01/12/23 | UAG | EUR | 2,251 | 2,343,038 | 2,411,624 | — | (68,586) | ||||||
Expiring 01/12/23 | UAG | EUR | 1,038 | 1,097,509 | 1,112,079 | — | (14,570) | ||||||
$6,557,598 | $6,679,587 | $— | $(121,989) |
Credit default swap agreements outstanding at December 31, 2022:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 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)^: | |||||||||||||||||
Angelogordon CLO | 01/27/23 | 1.000%(M) | EUR | 134 | * | $131 | $(4) | $135 | GSI | ||||||||
Assured CLO | 01/27/23 | 1.000%(M) | EUR | 319 | * | 313 | (8) | 321 | GSI | ||||||||
Bayview Opportunity Master Fund Trust | 01/30/23 | 0.500%(M) | 36 | * | 18 | — | 18 | GSI | |||||||||
Blackstone CLO | 01/27/23 | 1.000%(M) | EUR | 346 | 1.000% | 340 | (9) | 349 | GSI |
13
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2022: (continued)
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 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)^ (cont’d.): | |||||||||||||||||
BNPP AM CLO | 01/27/23 | 1.000%(M) | EUR | 510 | * | $500 | $(14) | $514 | GSI | ||||||||
BNPP AM CLO | 01/27/23 | 1.000%(M) | EUR | 449 | * | 440 | (12) | 452 | GSI | ||||||||
BRAVO Residential Funding Trust | 01/30/23 | 0.500%(M) | 2,308 | 11.901% | 1,118 | (30) | 1,148 | GSI | |||||||||
Cairn CLO BV | 01/27/23 | 1.000%(M) | EUR | 646 | 1.000% | 633 | (17) | 650 | GSI | ||||||||
Carlyle CLO | 01/27/23 | 1.000%(M) | EUR | 371 | * | 363 | (10) | 373 | GSI | ||||||||
Credit Suisse Mortgage Capital | 01/30/23 | 1.250%(M) | 142 | * | 171 | (5) | 176 | GSI | |||||||||
CVC CLO | 01/27/23 | 1.000%(M) | EUR | 478 | * | 468 | (13) | 481 | GSI | ||||||||
CVC CLO | 01/27/23 | 1.000%(M) | EUR | 241 | * | 237 | (6) | 243 | GSI | ||||||||
CVC CLO | 01/27/23 | 1.000%(M) | EUR | 100 | * | 98 | (3) | 101 | GSI | ||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | 01/30/23 | 0.500%(M) | 290 | * | 140 | (4) | 144 | GSI | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | 01/30/23 | 0.500%(M) | 195 | * | 94 | (3) | 97 | GSI | |||||||||
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust | 01/30/23 | 0.500%(M) | 59 | * | 28 | (1) | 29 | GSI | |||||||||
EMC Mortgage Loan Trust | 01/30/23 | 1.250%(M) | 75 | * | 91 | (2) | 93 | GSI | |||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 101 | * | 115 | (3) | 118 | GSI | |||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 88 | 4.670% | 100 | (3) | 103 | GSI | |||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 64 | * | 72 | (2) | 74 | GSI | |||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 54 | 4.670% | 61 | (2) | 63 | GSI |
14
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2022: (continued)
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 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)^ (cont’d.): | |||||||||||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 23 | 4.670% | $26 | $(1) | $27 | GSI | |||||||||
Federal Home Loan Mortgage Corp. | 01/26/23 | 1.250%(M) | 18 | 4.670% | 20 | (1) | 21 | GSI | |||||||||
GreenPoint Mortgage Funding Trust | 01/30/23 | 0.500%(M) | 54 | * | 26 | (1) | 27 | GSI | |||||||||
GS Mortgage Backed Securities | 01/30/23 | 0.500%(M) | 35 | * | 17 | — | 17 | GSI | |||||||||
GS Mortgage Backed Securities | 01/30/23 | 0.500%(M) | 29 | * | 14 | — | 14 | GSI | |||||||||
GS Mortgage Securities Corp. Trust | 01/26/23 | 1.250%(M) | 23 | 4.670% | 26 | (1) | 27 | GSI | |||||||||
GS_21-PJ-A | 01/14/23 | 0.250%(M) | 353 | * | 120 | (2) | 122 | GSI | |||||||||
Home Re Ltd. | 01/30/23 | 1.250%(M) | 127 | * | 154 | (4) | 158 | GSI | |||||||||
ICG CLO | 01/27/23 | 1.000%(M) | EUR | 579 | * | 568 | (15) | 583 | GSI | ||||||||
IndyMac INDX Mortgage Loan Trust | 01/30/23 | 0.500%(M) | 848 | * | 410 | (11) | 421 | GSI | |||||||||
Investcorp CLO | 01/27/23 | 1.000%(M) | EUR | 110 | * | 107 | (3) | 110 | GSI | ||||||||
JPMorgan Alternative Loan Trust | 01/30/23 | 0.500%(M) | 483 | * | 234 | (6) | 240 | GSI | |||||||||
Legacy Mortgage Asset Trust | 01/30/23 | 0.500%(M) | 399 | * | 193 | (5) | 198 | GSI | |||||||||
Legacy Mortgage Asset Trust | 01/30/23 | 0.500%(M) | 318 | * | 154 | (4) | 158 | GSI | |||||||||
Legacy Mortgage Asset Trust | 01/30/23 | 0.500%(M) | 64 | * | 31 | (1) | 32 | GSI | |||||||||
Lehman Brothers Alta Mortgage | 01/30/23 | 0.500%(M) | 131 | * | 63 | (2) | 65 | GSI | |||||||||
Lehman Brothers Prime Mortgage | 01/30/23 | 0.500%(M) | 31 | * | 15 | — | 15 | GSI | |||||||||
Onex CLO | 01/27/23 | 1.000%(M) | EUR | 107 | * | 105 | (3) | 108 | GSI |
15
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2022: (continued)
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 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)^ (cont’d.): | |||||||||||||||||
Ownit Mortgage Loan Asset-Backed Certificates | 01/30/23 | 1.250%(M) | 36 | * | $4 | $(1) | $5 | GSI | |||||||||
Partners CLO | 01/27/23 | 1.000%(M) | EUR | 335 | * | 328 | (9) | 337 | GSI | ||||||||
Preston Ridge Partners Mortgage Trust | 01/30/23 | 0.500%(M) | 896 | * | 433 | (12) | 445 | GSI | |||||||||
Preston Ridge Partners Mortgage Trust | 01/30/23 | 0.500%(M) | 380 | * | 184 | (5) | 189 | GSI | |||||||||
Preston Ridge Partners Mortgage Trust | 01/30/23 | 0.500%(M) | 170 | * | 82 | (2) | 84 | GSI | |||||||||
Preston Ridge Partners Mortgage Trust | 01/30/23 | 0.500%(M) | 79 | * | 38 | (1) | 39 | GSI | |||||||||
Pretium Mortgage Credit Partners LLC | 01/30/23 | 0.500%(M) | 1,163 | * | 563 | (15) | 578 | GSI | |||||||||
Pretium Mortgage Credit Partners LLC | 01/30/23 | 0.500%(M) | 260 | * | 126 | (3) | 129 | GSI | |||||||||
Pretium Mortgage Credit Partners LLC | 01/30/23 | 0.500%(M) | 211 | * | 102 | (3) | 105 | GSI | |||||||||
Pretium Mortgage Credit Partners LLC | 01/30/23 | 0.500%(M) | 166 | * | 81 | (2) | 83 | GSI | |||||||||
Residential Accredit Loans, Inc. | 01/30/23 | 0.500%(M) | 27 | * | 14 | — | 14 | GSI | |||||||||
Residential Asset Mortgage Products, Inc. | 01/30/23 | 1.250%(M) | 34 | * | 41 | (1) | 42 | GSI | |||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 1.000%(M) | 167 | * | 161 | (4) | 165 | GSI |
16
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
Credit default swap agreements outstanding at December 31, 2022: (continued)
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at December 31, 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)^ (cont’d.): | |||||||||||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 0.500%(M) | 160 | * | $78 | $(2) | $80 | GSI | |||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 0.500%(M) | 122 | * | 58 | (2) | 60 | GSI | |||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 0.500%(M) | 43 | * | 20 | (1) | 21 | GSI | |||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 0.500%(M) | 41 | * | 19 | (1) | 20 | GSI | |||||||||
Vericrest Opportunity Loan Trust | 01/30/23 | 0.500%(M) | 17 | * | 8 | — | 8 | GSI | |||||||||
Verus Securitization Trust | 01/30/23 | 1.250%(M) | 121 | * | 146 | (4) | 150 | GSI | |||||||||
$10,300 | $(279) | $10,579 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at December 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.IG.39.V1 | 12/20/27 | 1.000%(Q) | 9,155 | $(12,830) | $(76,018) | $(63,188) |
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 |
17
PGIM Securitized Credit Fund
Schedule of Investments as of December 31, 2022 (unaudited) (continued)
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 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, 2022:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at December 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreement: | ||||||||||||||
2,100 | 05/11/23 | 2.250%(A) | 1 Day USOIS(1)(A)/ 4.330% | $(134,663) | $22,743 | $157,406 |
(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).
18