PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Long-Term Investments 89.5% | |||||
Asset-Backed Securities 27.9% | |||||
Automobiles 0.2% | |||||
Hertz Vehicle Financing III LP, | |||||
Series 2021-02A, Class B, 144A | 2.120 % | 12/27/27 | 200 | $202,903 | |
Series 2021-02A, Class C, 144A | 2.520 | 12/27/27 | 100 | 101,748 | |
OneMain Direct Auto Receivables Trust, Series 2019-01A, Class B, 144A | 3.950 | 11/14/28 | 1,700 | 1,867,605 | |
2,172,256 | |||||
Collateralized Loan Obligations 19.2% | |||||
Anchorage Credit Opportunities CLO Ltd. (Cayman Islands), Series 2019-01A, Class A1, 144A, 3 Month LIBOR + 1.950% (Cap N/A, Floor 1.950%) | 2.084(c) | 01/20/32 | 15,000 | 15,020,578 | |
Ares European CLO DAC (Ireland), Series 2013-06A, Class B1RR, 144A, 3 Month EURIBOR + 1.250% (Cap N/A, Floor 1.250%) | 1.250(c) | 04/15/30 | EUR | 2,500 | 2,967,969 |
ArrowMark Colorado Holdings (Cayman Islands), Series 2017-06A, Class A1, 144A, 3 Month LIBOR + 1.280% (Cap N/A, Floor 0.000%) | 1.406(c) | 07/15/29 | 2,500 | 2,500,001 | |
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-01A, Class BR, 144A, 3 Month LIBOR + 1.350% (Cap N/A, Floor 0.000%) | 1.484(c) | 01/17/28 | 4,000 | 4,003,052 | |
Carlyle Euro CLO DAC (Ireland), | |||||
Series 2019-01A, Class A1R, 144A, 3 Month EURIBOR + 0.750% (Cap N/A, Floor 0.750%) | 0.750(c) | 03/15/32 | EUR | 1,750 | 2,073,678 |
Series 2019-01A, Class A2RB, 144A | 2.100 | 03/15/32 | EUR | 6,500 | 7,720,168 |
Elevation CLO Ltd. (Cayman Islands), Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.220% (Cap N/A, Floor 0.000%) | 1.346(c) | 07/15/30 | 4,000 | 4,000,190 | |
Ellington CLO Ltd. (Cayman Islands), Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 1.856(c) | 02/15/29 | 18,783 | 18,760,243 | |
KKR CLO Ltd. (Cayman Islands), | |||||
Series 11, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 0.000%) | 1.306(c) | 01/15/31 | 8,000 | 7,992,942 | |
Series 32A, Class A1, 144A, 3 Month LIBOR + 1.320% (Cap N/A, Floor 1.320%) | 1.446(c) | 01/15/32 | 5,000 | 5,002,642 | |
MidOcean Credit CLO (Cayman Islands), | |||||
Series 2014-03A, Class A1R, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 1.120%) | 1.254(c) | 04/21/31 | 7,411 | 7,411,390 |
1
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
MidOcean Credit CLO (Cayman Islands), (cont’d.) | |||||
Series 2014-03A, Class BR, 144A, 3 Month LIBOR + 1.800% (Cap N/A, Floor 1.800%) | 1.934 %(c) | 04/21/31 | 18,000 | $18,013,772 | |
Mountain View CLO Ltd. (Cayman Islands), Series 2019-01A, Class B, 144A, 3 Month LIBOR + 1.849% (Cap N/A, Floor 2.000%) | 2.027(c) | 04/15/29 | 3,750 | 3,751,326 | |
OZLM Ltd. (Cayman Islands), Series 2014-06A, Class A2AS, 144A, 3 Month LIBOR + 1.750% (Cap N/A, Floor 0.000%) | 1.884(c) | 04/17/31 | 4,000 | 3,989,964 | |
Palmer Square CLO Ltd. (Cayman Islands), Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%) | 1.264(c) | 01/17/31 | 5,000 | 5,003,686 | |
Penta CLO DAC (Ireland), Series 2018-05A, Class B1R, 144A, 3 Month EURIBOR + 1.550% (Cap N/A, Floor 1.550%) | 1.550(c) | 04/20/35 | EUR | 10,000 | 11,856,222 |
Romark CLO Ltd. (Cayman Islands), Series 2018-02A, Class A1, 144A, 3 Month LIBOR + 1.175% (Cap N/A, Floor 1.175%) | 1.300(c) | 07/25/31 | 5,000 | 5,000,013 | |
Romark WM-R Ltd. (Cayman Islands), Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%) | 1.164(c) | 04/20/31 | 1,484 | 1,484,153 | |
Strata CLO Ltd. (Cayman Islands), Series 2018-01A, Class A, 144A, 3 Month LIBOR + 1.590% (Cap N/A, Floor 1.590%) | 1.716(c) | 01/15/31 | 19,000 | 18,985,457 | |
Trinitas CLO Ltd. (Cayman Islands), Series 2017-07A, Class A, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) | 1.335(c) | 01/25/31 | 4,500 | 4,500,057 | |
Venture CLO Ltd. (Cayman Islands), Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%) | 1.006(c) | 07/15/27 | 2,717 | 2,717,402 | |
Voya CLO Ltd. (Cayman Islands), Series 2013-01A, Class A1AR, 144A, 3 Month LIBOR + 1.210% (Cap N/A, Floor 0.000%) | 1.336(c) | 10/15/30 | 2,739 | 2,739,072 | |
Wellfleet CLO Ltd. (Cayman Islands), Series 2017-03A, Class A1, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 1.150%) | 1.284(c) | 01/17/31 | 10,500 | 10,500,514 | |
York CLO Ltd. (Cayman Islands), Series 2015-01A, Class AR, 144A, 3 Month LIBOR + 1.150% (Cap N/A, Floor 0.000%) | 1.288(c) | 01/22/31 | 3,000 | 2,999,996 |
2
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Collateralized Loan Obligations (cont’d.) | |||||
Zais CLO Ltd. (Cayman Islands), | |||||
Series 2015-03A, Class A2R, 144A, 3 Month LIBOR + 2.190% (Cap N/A, Floor 0.000%) | 2.316 %(c) | 07/15/31 | 11,300 | $11,305,035 | |
Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%) | 1.416(c) | 04/15/30 | 4,642 | 4,641,052 | |
184,940,574 | |||||
Consumer Loans 1.4% | |||||
Lendmark Funding Trust, Series 2021-01A, Class C, 144A | 3.410 | 11/20/31 | 200 | 204,741 | |
Oportun Funding XII LLC, | |||||
Series 2018-D, Class A, 144A | 4.150 | 12/09/24 | 2,300 | 2,306,491 | |
Series 2018-D, Class B, 144A | 4.830 | 12/09/24 | 1,200 | 1,203,504 | |
Oportun Funding XIII LLC, Series 2019-A, Class B, 144A | 3.870 | 08/08/25 | 4,860 | 4,959,610 | |
PNMAC GMSR Issuer Trust, | |||||
Series 2018-GT01, Class A, 144A, 1 Month LIBOR + 2.850% (Cap N/A, Floor 2.850%) | 2.939(c) | 02/25/23 | 1,650 | 1,657,943 | |
Series 2018-GT02, Class A, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 0.000%) | 2.739(c) | 08/25/25 | 3,400 | 3,394,977 | |
13,727,266 | |||||
Home Equity Loans 1.5% | |||||
Accredited Mortgage Loan Trust, Series 2004-03, Class 2A2, 1 Month LIBOR + 1.200% (Cap 13.000%, Floor 1.200%) | 1.289(c) | 10/25/34 | 1,461 | 1,461,998 | |
Asset-Backed Securities Corp. Home Equity Loan Trust, | |||||
Series 2003-HE06, Class A2, 1 Month LIBOR + 0.680% (Cap N/A, Floor 0.680%) | 0.769(c) | 11/25/33 | 1,758 | 1,729,616 | |
Series 2003-HE06, Class A3B, 1 Month LIBOR + 0.960% (Cap N/A, Floor 0.960%) | 1.049(c) | 11/25/33 | 3,546 | 3,422,050 | |
Bear Stearns Asset-Backed Securities I Trust, Series 2004-HE11, Class M2, 1 Month LIBOR + 1.575% (Cap N/A, Floor 1.575%) | 1.664(c) | 12/25/34 | 571 | 571,885 | |
Bear Stearns Asset-Backed Securities Trust, | |||||
Series 2002-02, Class A1, 1 Month LIBOR + 0.660% (Cap 11.000%, Floor 0.660%) | 0.749(c) | 10/25/32 | 513 | 510,464 | |
Series 2003-03, Class A2, 1 Month LIBOR + 1.180% (Cap 11.000%, Floor 1.180%) | 1.269(c) | 06/25/43 | 88 | 87,709 |
3
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Home Equity Loans (cont’d.) | |||||
Bear Stearns Asset-Backed Securities Trust, (cont’d.) | |||||
Series 2003-HE01, Class M1, 1 Month LIBOR + 1.095% (Cap N/A, Floor 1.095%) | 1.184 %(c) | 01/25/34 | 2,418 | $2,419,502 | |
Home Equity Asset Trust, Series 2004-07, Class A2, 1 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%) | 0.929(c) | 01/25/35 | 1,050 | 1,033,010 | |
MASTR Asset-Backed Securities Trust, Series 2003-WMC02, Class M2, 1 Month LIBOR + 2.475% (Cap N/A, Floor 2.475%) | 2.564(c) | 08/25/33 | 831 | 838,235 | |
Morgan Stanley ABS Capital I, Inc. Trust, | |||||
Series 2003-HE03, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.109(c) | 10/25/33 | 1,260 | 1,258,967 | |
Series 2003-NC08, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.139(c) | 09/25/33 | 349 | 347,433 | |
Series 2003-NC10, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.109(c) | 10/25/33 | 378 | 377,365 | |
14,058,234 | |||||
Other 0.3% | |||||
PNMAC FMSR Issuer Trust, Series 2018-FT01, Class A, 144A, 1 Month LIBOR + 2.350% (Cap N/A, Floor 0.000%) | 2.439(c) | 04/25/23 | 3,200 | 3,189,573 | |
Residential Mortgage-Backed Securities 2.4% | |||||
Chase Funding Trust, | |||||
Series 2002-03, Class 2A1, 1 Month LIBOR + 0.640% (Cap N/A, Floor 0.640%) | 0.729(c) | 08/25/32 | 245 | 236,248 | |
Series 2003-04, Class 1A5 | 5.041 | 05/25/33 | 437 | 449,729 | |
Citigroup Mortgage Loan Trust, Inc., | |||||
Series 2005-OPT01, Class M1, 1 Month LIBOR + 0.630% (Cap N/A, Floor 0.630%) | 0.719(c) | 02/25/35 | 220 | 215,271 | |
Series 2005-WF01, Class A5 | 5.010(cc) | 11/25/34 | 1 | 1,000 | |
Countrywide Asset-Backed Certificates, | |||||
Series 2003-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.139(c) | 07/25/33 | 504 | 505,409 | |
Series 2004-01, Class M1, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) | 0.839(c) | 03/25/34 | 28 | 28,106 | |
Series 2004-BC04, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.139(c) | 11/25/34 | 260 | 260,954 | |
Credit-Based Asset Servicing & Securitization LLC, | |||||
Series 2003-CB03, Class AF1 | 3.379 | 12/25/32 | 93 | 93,645 |
4
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Residential Mortgage-Backed Securities (cont’d.) | |||||
Credit-Based Asset Servicing & Securitization LLC, (cont’d.) | |||||
Series 2003-CB05, Class M1, 1 Month LIBOR + 1.020% (Cap N/A, Floor 1.020%) | 1.109 %(c) | 11/25/33 | 452 | $447,940 | |
Finance America Mortgage Loan Trust, Series 2003-01, Class M1, 1 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%) | 1.139(c) | 09/25/33 | 1,276 | 1,262,703 | |
First Franklin Mortgage Loan Trust, Series 2004-FF05, Class A2, 1 Month LIBOR + 0.760% (Cap N/A, Floor 0.760%) | 0.849(c) | 08/25/34 | 609 | 610,858 | |
Fremont Home Loan Trust, Series 2004-04, Class M1, 1 Month LIBOR + 0.795% (Cap N/A, Floor 0.795%) | 0.884(c) | 03/25/35 | 1,992 | 1,964,455 | |
GSAMP Trust, | |||||
Series 2004-AR01, Class A2B, 1 Month LIBOR + 1.200% (Cap N/A, Floor 1.200%) | 1.289(c) | 06/25/34 | 123 | 125,897 | |
Series 2004-NC02, Class A1B, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 0.989(c) | 10/25/34 | 1,557 | 1,547,161 | |
Long Beach Mortgage Loan Trust, Series 2004-02, Class A1, 1 Month LIBOR + 0.440% (Cap N/A, Floor 0.440%) | 0.529(c) | 06/25/34 | 722 | 704,509 | |
Morgan Stanley ABS Capital I, Inc. Trust, Series 2004-NC05, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 0.989(c) | 05/25/34 | 197 | 191,331 | |
Specialty Underwriting & Residential Finance Trust, | |||||
Series 2003-BC04, Class M1, 1 Month LIBOR + 0.900% (Cap N/A, Floor 0.900%) | 0.989(c) | 11/25/34 | 616 | 607,006 | |
Series 2004-BC02, Class M1, 1 Month LIBOR + 0.825% (Cap N/A, Floor 0.825%) | 0.914(c) | 05/25/35 | 1,182 | 1,174,907 | |
Structured Asset Investment Loan Trust, Series 2004-BNC01, Class A2, 1 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) | 1.089(c) | 09/25/34 | 2,098 | 2,093,477 | |
TFS (Spain), Series 2018-03, Class A1, 1 Month EURIBOR + 3.000% | 3.000(c) | 04/16/23 | EUR | 9,929 | 10,188,175 |
22,708,781 | |||||
Student Loans 2.9% | |||||
Laurel Road Prime Student Loan Trust, | |||||
Series 2018-D, Class A, 144A | 0.000(cc) | 11/25/43 | 4,462 | 4,637,624 | |
Series 2019-A, Class R, IO, 144A | 0.000 | 10/25/48 | 3,463 | 513,720 |
5
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Asset-Backed Securities (Continued) | |||||
Student Loans (cont’d.) | |||||
SoFi Alternative Trust, | |||||
Series 2019-B, Class PT, 144A | 0.000 %(cc) | 12/15/45 | 5,261 | $5,448,971 | |
Series 2019-D, Class 1PT, 144A | 2.799(cc) | 01/16/46 | 5,593 | 5,793,377 | |
Series 2019-F, Class PT1, 144A | 3.932(cc) | 02/15/45 | 6,556 | 6,721,404 | |
SoFi RR Funding II Trust, Series 2019-01, Class A, 144A, 1 Month LIBOR + 1.250% (Cap N/A, Floor 1.250%) | 1.339(c) | 11/29/24 | 4,992 | 4,969,655 | |
28,084,751 | |||||
Total Asset-Backed Securities (cost $268,754,821) | 268,881,435 | ||||
Bank Loans 1.7% | |||||
Airlines 0.0% | |||||
United Airlines, Inc., Class B Term Loan, 1 Month LIBOR + 3.750% | 4.500(c) | 04/21/28 | 249 | 249,583 | |
Internet 0.3% | |||||
Speedster Bidco GmbH (Germany), Second Lien Term Loan, 1 - 3 Month EURIBOR + 6.250% (Cap N/A, Floor 0.000%) | 6.125(c) | 03/31/28 | EUR | 2,400 | 2,866,217 |
Media 0.0% | |||||
Diamond Sports Group LLC, Term Loan, 1 Month LIBOR + 3.250% | 3.360(c) | 08/24/26 | 379 | 208,114 | |
Oil & Gas 0.2% | |||||
Ascent Resources Utica Holdings LLC, Second Lien Term Loan, 3 Month LIBOR + 9.000% | 10.000(c) | 11/01/25 | 1,858 | 2,032,187 | |
Retail 0.9% | |||||
CD&R Firefly Bidco Ltd. (United Kingdom), Initial Term Loan, 3 Month GBP LIBOR + 7.750% | 8.406(c) | 06/21/26 | GBP | 3,300 | 4,546,864 |
6
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Bank Loans (Continued) | |||||
Retail (cont’d.) | |||||
Constellation Automotive (United Kingdom), Term Loan | — %(p) | 07/16/29 | 1,025 | $1,420,298 | |
Stonegate Pub Co. Ltd., First Lien Initial Term B Loan, 3 - 6 Month GBP LIBOR + 8.500% | 8.580(c) | 03/06/28 | GBP | 1,900 | 2,538,661 |
8,505,823 | |||||
Telecommunications 0.3% | |||||
West Corp., Initial Term B Loan, 3 Month LIBOR + 4.000% | 5.000(c) | 10/10/24 | 2,401 | 2,339,462 | |
Total Bank Loans (cost $15,510,243) | 16,201,386 | ||||
Commercial Mortgage-Backed Securities 7.9% | |||||
20 Times Square Trust, | |||||
Series 2018-20TS, Class G, 144A | 3.100(cc) | 05/15/35 | 2,700 | 2,503,020 | |
Series 2018-20TS, Class H, 144A | 3.100(cc) | 05/15/35 | 2,700 | 2,435,640 | |
Barclays Commercial Mortgage Securities Trust, Series 2018-TALL, Class D, 144A, 1 Month LIBOR + 1.449% (Cap N/A, Floor 1.449%) | 1.542(c) | 03/15/37 | 11,875 | 11,532,253 | |
BX Commercial Mortgage Trust, | |||||
Series 2019-XL, Class J, 144A, 1 Month LIBOR + 2.650% (Cap N/A, Floor 2.650%) | 2.743(c) | 10/15/36 | 5,943 | 5,959,688 | |
Series 2020-BXLP, Class G, 144A, 1 Month LIBOR + 2.500% (Cap N/A, Floor 2.500%) | 2.593(c) | 12/15/36 | 3,791 | 3,795,687 | |
Commercial Mortgage Trust, | |||||
Series 2012-CR01, Class XA, IO | 1.857(cc) | 05/15/45 | 8,469 | 57,527 | |
Series 2015-LC19, Class XB, IO, 144A | 0.251(cc) | 02/10/48 | 123,049 | 1,065,198 | |
DBWF Mortgage Trust, Series 2016-85T, Class E, 144A | 3.808(cc) | 12/10/36 | 15,500 | 15,272,947 | |
FHLMC Multifamily Structured Pass-Through Certificates, | |||||
Series K018, Class X1, IO | 1.225(cc) | 01/25/22 | 11,995 | 14,748 | |
Series K020, Class X1, IO | 1.334(cc) | 05/25/22 | 17,918 | 132,712 | |
Series K021, Class X1, IO | 1.376(cc) | 06/25/22 | 3,694 | 23,774 | |
Series K025, Class X1, IO | 0.786(cc) | 10/25/22 | 83,060 | 677,748 | |
Series K055, Class X1, IO | 1.358(cc) | 03/25/26 | 22,430 | 1,232,174 | |
Series KC02, Class X1, IO | 0.373(cc) | 03/25/24 | 141,358 | 1,220,331 | |
GS Mortgage Securities Corp., Series 2013-GC10, Class XB, IO, 144A | 0.487(cc) | 02/10/46 | 103,126 | 787,780 |
7
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Commercial Mortgage-Backed Securities (Continued) | |||||
GS Mortgage Securities Trust, Series 2014-GC20, Class XB, IO | 0.427 %(cc) | 04/10/47 | 28,307 | $317,823 | |
Independence Plaza Trust, Series 2018-INDP, Class E, 144A | 4.996 | 07/10/35 | 5,200 | 5,143,373 | |
JPMBB Commercial Mortgage Securities Trust, | |||||
Series 2014-C21, Class XB, IO | 0.306(cc) | 08/15/47 | 45,056 | 470,425 | |
Series 2015-C27, Class XB, IO | 0.408(cc) | 02/15/48 | 52,766 | 733,669 | |
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2018-AON, Class E, 144A | 4.613(cc) | 07/05/31 | 7,950 | 8,220,512 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XB, IO | 0.511(cc) | 04/15/46 | 34,956 | 299,795 | |
Morgan Stanley Bank of America Merrill Lynch Trust, | |||||
Series 2012-C05, Class XB, IO, 144A | 0.220(cc) | 08/15/45 | 65,968 | 150,374 | |
Series 2013-C08, Class XB, IO, 144A | 0.497(cc) | 12/15/48 | 68,276 | 418,853 | |
Salus European Loan Conduit DAC (United Kingdom), Series 33A, Class A, 144A, 3 Month GBP LIBOR + 1.500% (Cap 6.500%, Floor 1.500%) | 1.573(c) | 01/23/29 | GBP | 9,500 | 13,187,754 |
UBS-Barclays Commercial Mortgage Trust, Series 2013-C06, Class XB, IO, 144A | 0.376(cc) | 04/10/46 | 140,883 | 859,654 | |
Total Commercial Mortgage-Backed Securities (cost $74,429,288) | 76,513,459 | ||||
Convertible Bond 0.0% | |||||
Telecommunications | |||||
Digicel Group Holdings Ltd. (Jamaica), Sub. Notes, 144A, Cash coupon 7.000% or PIK N/A (cost $2,883) | 7.000 | 08/16/21(oo) | 41 | 31,742 | |
Corporate Bonds 29.4% | |||||
Advertising 0.1% | |||||
National CineMedia LLC, Sr. Unsec’d. Notes | 5.750 | 08/15/26 | 1,100 | 914,756 | |
Airlines 0.5% | |||||
American Airlines 2013-1 Class A Pass-Through Trust, Pass-Through Certificates | 4.000 | 01/15/27 | 1,704 | 1,637,367 |
8
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Airlines (cont’d.) | |||||
Continental Airlines 2007-1 Class A Pass-Through Trust, Pass-Through Certificates | 5.983 % | 10/19/23 | 438 | $446,168 | |
Continental Airlines 2012-2 Class A Pass-Through Trust, Pass-Through Certificates | 4.000 | 04/29/26 | 78 | 82,805 | |
United Airlines 2013-1 Class A Pass-Through Trust, Pass-Through Certificates | 4.300 | 02/15/27 | 1,661 | 1,803,053 | |
United Airlines, Inc., | |||||
Sr. Sec’d. Notes, 144A | 4.375 | 04/15/26 | 645 | 663,546 | |
Sr. Sec’d. Notes, 144A | 4.625 | 04/15/29 | 170 | 174,928 | |
4,807,867 | |||||
Auto Manufacturers 0.2% | |||||
General Motors Co., Sr. Unsec’d. Notes | 6.250 | 10/02/43 | 1,555 | 2,166,812 | |
Auto Parts & Equipment 0.7% | |||||
Adient Global Holdings Ltd., Gtd. Notes, 144A | 4.875 | 08/15/26 | 1,900 | 1,942,773 | |
American Axle & Manufacturing, Inc., Gtd. Notes(a) | 6.250 | 03/15/26 | 2,200 | 2,267,344 | |
Cooper-Standard Automotive, Inc., Gtd. Notes, 144A | 5.625 | 11/15/26 | 1,800 | 1,658,350 | |
Nemak SAB de CV (Mexico), Sr. Unsec’d. Notes, 144A | 3.625 | 06/28/31 | 350 | 350,186 | |
6,218,653 | |||||
Banks 6.1% | |||||
Banco de Credito del Peru (Peru), Sub. Notes, 144A, MTN | 3.250(ff) | 09/30/31 | 1,055 | 1,027,417 | |
Bank of America Corp., | |||||
Jr. Sub. Notes, Series JJ | 5.125(ff) | 06/20/24(oo) | 6,850 | 7,279,467 | |
Jr. Sub. Notes, Series MM | 4.300(ff) | 01/28/25(oo) | 5,545 | 5,718,094 | |
Sr. Unsec’d. Notes, MTN | 4.271(ff) | 07/23/29 | 1,450 | 1,672,558 | |
Citigroup, Inc., | |||||
Sr. Unsec’d. Notes | 2.976(ff) | 11/05/30 | 870 | 929,722 | |
Sr. Unsec’d. Notes | 3.200 | 10/21/26 | 1,145 | 1,248,434 | |
Sr. Unsec’d. Notes | 3.887(ff) | 01/10/28 | 980 | 1,094,657 | |
Sr. Unsec’d. Notes | 8.125 | 07/15/39 | 620 | 1,080,463 | |
Sub. Notes | 4.400 | 06/10/25 | 405 | 453,012 |
9
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Banks (cont’d.) | |||||
Credit Suisse Group AG (Switzerland), Sr. Unsec’d. Notes(a) | 3.750 % | 03/26/25 | 1,200 | $1,307,196 | |
Danske Bank A/S (Denmark), Sr. Unsec’d. Notes, 144A | 3.001(ff) | 09/20/22 | 5,460 | 5,476,684 | |
Development Bank of the Republic of Belarus JSC (Belarus), Sr. Unsec’d. Notes, 144A | 6.750 | 05/02/24 | 1,505 | 1,402,200 | |
Goldman Sachs Group, Inc. (The), | |||||
Sr. Unsec’d. Notes | 3.814(ff) | 04/23/29 | 35 | 39,422 | |
Sr. Unsec’d. Notes | 3.850 | 01/26/27 | 3,940 | 4,362,447 | |
Sr. Unsec’d. Notes | 4.223(ff) | 05/01/29 | 135 | 155,438 | |
Grupo Aval Ltd. (Colombia), Gtd. Notes, 144A | 4.375 | 02/04/30 | 2,170 | 2,146,247 | |
JPMorgan Chase & Co., | |||||
Jr. Sub. Notes, Series FF | 5.000(ff) | 08/01/24(oo) | 1,500 | 1,582,028 | |
Jr. Sub. Notes, Series HH | 4.600(ff) | 02/01/25(oo) | 15,325 | 15,852,045 | |
Jr. Sub. Notes, Series I, 3 Month LIBOR + 3.470% | 3.599(c) | 10/30/21(oo) | 64 | 64,227 | |
Mizrahi Tefahot Bank Ltd. (Israel), Sub. Notes, 144A | 3.077(ff) | 04/07/31 | 1,555 | 1,561,010 | |
Morgan Stanley, | |||||
Sr. Unsec’d. Notes | 4.375 | 01/22/47 | 1,260 | 1,606,206 | |
Sr. Unsec’d. Notes, GMTN | 3.772(ff) | 01/24/29 | 1,750 | 1,970,334 | |
Sr. Unsec’d. Notes, GMTN | 3.875 | 01/27/26 | 605 | 678,455 | |
People’s United Bank NA, Sub. Notes | 4.000 | 07/15/24 | 325 | 348,762 | |
59,056,525 | |||||
Beverages 0.0% | |||||
Anheuser-Busch InBev Worldwide, Inc. (Belgium), Gtd. Notes | 8.200 | 01/15/39 | 250 | 423,421 | |
Building Materials 0.1% | |||||
Cemex SAB de CV (Mexico), Sr. Sec’d. Notes, 144A(a) | 5.450 | 11/19/29 | 1,180 | 1,295,926 | |
Chemicals 2.2% | |||||
Ashland LLC, Gtd. Notes | 6.875 | 05/15/43 | 4,100 | 5,230,917 | |
Braskem Netherlands Finance BV (Brazil), Gtd. Notes, 144A | 4.500 | 01/10/28 | 1,630 | 1,724,702 |
10
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Chemicals (cont’d.) | |||||
Diamond BC BV, Gtd. Notes | 5.625 % | 08/15/25 | EUR | 6,085 | $7,327,364 |
LYB International Finance BV, Gtd. Notes | 5.250 | 07/15/43 | 175 | 232,288 | |
Nutrien Ltd. (Canada), Sr. Unsec’d. Notes | 4.900 | 06/01/43 | 1,350 | 1,756,078 | |
Sasol Financing International Ltd. (South Africa), Gtd. Notes | 4.500 | 11/14/22 | 2,415 | 2,472,038 | |
Sasol Financing USA LLC (South Africa), Gtd. Notes | 4.375 | 09/18/26 | 350 | 357,860 | |
TPC Group, Inc., | |||||
Sr. Sec’d. Notes, 144A | 10.500 | 08/01/24 | 1,700 | 1,674,287 | |
Sr. Sec’d. Notes, 144A | 10.875 | 08/01/24 | 419 | 453,823 | |
21,229,357 | |||||
Commercial Services 0.7% | |||||
ERAC USA Finance LLC, | |||||
Gtd. Notes, 144A | 6.700 | 06/01/34 | 110 | 157,307 | |
Gtd. Notes, 144A(h) | 7.000 | 10/15/37 | 1,725 | 2,619,406 | |
Nexi SpA (Italy), Sr. Unsec’d. Notes | 2.125 | 04/30/29 | EUR | 1,870 | 2,213,321 |
United Rentals North America, Inc., | |||||
Gtd. Notes | 3.750 | 01/15/32 | 325 | 325,000 | |
Gtd. Notes | 5.250 | 01/15/30 | 1,200 | 1,311,624 | |
6,626,658 | |||||
Diversified Financial Services 0.2% | |||||
Jefferies Group LLC, Sr. Unsec’d. Notes | 6.500 | 01/20/43 | 175 | 245,536 | |
Power Finance Corp. Ltd. (India), Sr. Unsec’d. Notes, EMTN | 5.250 | 08/10/28 | 1,100 | 1,235,728 | |
1,481,264 | |||||
Electric 1.3% | |||||
AES Panama Generation Holdings SRL (Panama), Sr. Sec’d. Notes, 144A | 4.375 | 05/31/30 | 1,065 | 1,104,596 | |
Calpine Corp., | |||||
Sr. Unsec’d. Notes, 144A | 4.625 | 02/01/29 | 1,500 | 1,489,421 | |
Sr. Unsec’d. Notes, 144A(a) | 5.000 | 02/01/31 | 2,275 | 2,297,766 | |
11
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Electric (cont’d.) | |||||
Clean Renewable Power Mauritius Pte Ltd. (India), Sr. Sec’d. Notes, 144A | 4.250 % | 03/25/27 | 475 | $473,313 | |
Duke Energy Carolinas LLC, First Ref. Mortgage | 4.000 | 09/30/42 | 50 | 60,260 | |
Eskom Holdings SOC Ltd. (South Africa), | |||||
Sr. Unsec’d. Notes, 144A | 7.125 | 02/11/25 | 2,145 | 2,257,542 | |
Sr. Unsec’d. Notes, 144A, MTN | 6.750 | 08/06/23 | 200 | 208,609 | |
Evergy Kansas Central, Inc., First Mortgage(h) | 4.100 | 04/01/43 | 325 | 392,182 | |
FEL Energy VI Sarl (Mexico), Sr. Sec’d. Notes, 144A | 5.750 | 12/01/40 | 1,865 | 1,973,368 | |
Instituto Costarricense de Electricidad (Costa Rica), Sr. Unsec’d. Notes, 144A | 6.950 | 11/10/21 | 500 | 505,153 | |
Mong Duong Finance Holdings BV (Vietnam), Sr. Sec’d. Notes | 5.125 | 05/07/29 | 1,295 | 1,283,033 | |
12,045,243 | |||||
Electronics 0.0% | |||||
Jabil, Inc., Sr. Unsec’d. Notes | 4.700 | 09/15/22 | 80 | 83,717 | |
Energy-Alternate Sources 0.3% | |||||
Aydem Yenilenebilir Enerji A/S (Turkey), Sr. Sec’d. Notes, 144A | 7.750 | 02/02/27 | 830 | 834,565 | |
Greenko Dutch BV (India), Gtd. Notes, 144A | 3.850 | 03/29/26 | 1,830 | 1,844,040 | |
2,678,605 | |||||
Engineering & Construction 0.4% | |||||
Cellnex Finance Co. SA (Spain), Gtd. Notes, EMTN | 2.000 | 02/15/33 | EUR | 1,100 | 1,317,204 |
Cellnex Telecom SA (Spain), Sr. Unsec’d. Notes, EMTN | 1.750 | 10/23/30 | EUR | 700 | 839,705 |
Mexico City Airport Trust (Mexico), Sr. Sec’d. Notes, 144A(a) | 3.875 | 04/30/28 | 2,000 | 2,115,528 | |
4,272,437 |
12
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Entertainment 0.7% | |||||
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% | 12.000 % | 06/15/26 | 502 | $447,639 | |
Caesars Resort Collection LLC/CRC Finco, Inc., Gtd. Notes, 144A | 5.250 | 10/15/25 | 1,725 | 1,738,070 | |
Codere Finance 2 Luxembourg SA (Spain), | |||||
Sr. Sec’d. Notes, Cash coupon 4.500% and PIK 6.250%(a) | 10.750 | 11/01/23 | EUR | 2,414 | 2,080,601 |
Sr. Sec’d. Notes, 144A | 10.750 | 09/30/23 | EUR | 1,216 | 1,546,442 |
Sr. Sec’d. Notes, 144A | 10.750 | 09/30/23 | EUR | 421 | 535,405 |
Scientific Games International, Inc., Gtd. Notes, 144A | 8.250 | 03/15/26 | 450 | 478,493 | |
6,826,650 | |||||
Foods 0.5% | |||||
JBS USA Food Co., Gtd. Notes, 144A | 5.750 | 01/15/28 | 950 | 1,004,244 | |
Kraft Heinz Foods Co., | |||||
Gtd. Notes | 4.625 | 10/01/39 | 440 | 521,341 | |
Gtd. Notes | 4.875 | 10/01/49 | 2,980 | 3,707,550 | |
5,233,135 | |||||
Forest Products & Paper 0.2% | |||||
Georgia-Pacific LLC, Sr. Unsec’d. Notes(h) | 7.375 | 12/01/25 | 400 | 508,479 | |
Suzano Austria GmbH (Brazil), Gtd. Notes | 6.000 | 01/15/29 | 1,000 | 1,191,818 | |
1,700,297 | |||||
Gas 0.8% | |||||
AmeriGas Partners LP/AmeriGas Finance Corp., Sr. Unsec’d. Notes | 5.500 | 05/20/25 | 2,900 | 3,197,082 | |
CenterPoint Energy Resources Corp., Sr. Unsec’d. Notes | 5.850 | 01/15/41 | 700 | 986,815 |
13
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Gas (cont’d.) | |||||
ENN Clean Energy International Investment Ltd. (China), Gtd. Notes, 144A | 3.375 % | 05/12/26 | 1,350 | $1,378,257 | |
Southern Co. Gas Capital Corp., Gtd. Notes | 4.400 | 06/01/43 | 1,375 | 1,671,805 | |
7,233,959 | |||||
Healthcare-Products 0.4% | |||||
Medtronic Global Holdings SCA, | |||||
Gtd. Notes | 1.625 | 03/07/31 | EUR | 160 | 214,022 |
Gtd. Notes | 2.250 | 03/07/39 | EUR | 705 | 1,024,458 |
Thermo Fisher Scientific, Inc., | |||||
Sr. Unsec’d. Notes, EMTN | 1.500 | 10/01/39 | EUR | 1,250 | 1,605,898 |
Sr. Unsec’d. Notes, EMTN | 1.875 | 10/01/49 | EUR | 825 | 1,111,783 |
3,956,161 | |||||
Healthcare-Services 0.3% | |||||
Aetna, Inc., | |||||
Sr. Unsec’d. Notes | 2.750 | 11/15/22 | 450 | 461,144 | |
Sr. Unsec’d. Notes | 4.500 | 05/15/42 | 530 | 650,452 | |
Anthem, Inc., | |||||
Sr. Unsec’d. Notes | 4.101 | 03/01/28 | 700 | 807,017 | |
Sr. Unsec’d. Notes | 4.650 | 01/15/43 | 120 | 152,940 | |
Sr. Unsec’d. Notes | 5.100 | 01/15/44 | 515 | 692,136 | |
Memorial Sloan-Kettering Cancer Center, Sr. Unsec’d. Notes | 4.125 | 07/01/52 | 75 | 97,676 | |
Tenet Healthcare Corp., Sec’d. Notes, 144A | 6.250 | 02/01/27 | 25 | 26,052 | |
2,887,417 | |||||
Home Builders 0.7% | |||||
Beazer Homes USA, Inc., Gtd. Notes | 7.250 | 10/15/29 | 3,625 | 3,980,435 | |
Taylor Morrison Communities, Inc., Gtd. Notes, 144A | 5.875 | 06/15/27 | 2,560 | 2,902,540 | |
6,882,975 |
14
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Insurance 1.2% | |||||
Hartford Financial Services Group, Inc. (The), | |||||
Sr. Unsec’d. Notes | 5.950 % | 10/15/36 | 215 | $302,106 | |
Sr. Unsec’d. Notes | 6.100 | 10/01/41 | 280 | 408,676 | |
Liberty Mutual Group, Inc., | |||||
Gtd. Notes, 144A | 4.250 | 06/15/23 | 436 | 465,382 | |
Gtd. Notes, 144A | 4.569 | 02/01/29 | 1,614 | 1,912,100 | |
Lincoln National Corp., Sr. Unsec’d. Notes | 7.000 | 06/15/40 | 695 | 1,090,397 | |
Markel Corp., Sr. Unsec’d. Notes | 5.000 | 03/30/43 | 3,125 | 3,918,499 | |
Principal Financial Group, Inc., Gtd. Notes | 4.350 | 05/15/43 | 975 | 1,203,597 | |
Teachers Insurance & Annuity Association of America, | |||||
Sub. Notes, 144A(h) | 4.900 | 09/15/44 | 1,950 | 2,592,081 | |
Sub. Notes, 144A | 6.850 | 12/16/39 | 54 | 83,147 | |
11,975,985 | |||||
Lodging 0.4% | |||||
Gohl Capital Ltd. (Malaysia), Gtd. Notes | 4.250 | 01/24/27 | 1,510 | 1,599,113 | |
Marriott International, Inc., Sr. Unsec’d. Notes | 3.250 | 09/15/22 | 75 | 76,528 | |
MGM China Holdings Ltd. (Macau), Sr. Unsec’d. Notes, 144A | 4.750 | 02/01/27 | 700 | 707,367 | |
Sands China Ltd. (Macau), Sr. Unsec’d. Notes(a) | 5.125 | 08/08/25 | 1,000 | 1,118,826 | |
3,501,834 | |||||
Machinery-Diversified 0.0% | |||||
Xylem, Inc., Sr. Unsec’d. Notes | 4.875 | 10/01/21 | 50 | 50,349 | |
Media 0.8% | |||||
CCO Holdings LLC/CCO Holdings Capital Corp., Sr. Unsec’d. Notes, 144A | 4.750 | 03/01/30 | 1,300 | 1,378,880 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, | |||||
Sr. Sec’d. Notes | 6.384 | 10/23/35 | 2,640 | 3,560,736 | |
Sr. Sec’d. Notes | 6.484 | 10/23/45 | 585 | 823,823 |
15
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Media (cont’d.) | |||||
Diamond Sports Group LLC/Diamond Sports Finance Co., Gtd. Notes, 144A | 6.625 % | 08/15/27 | 2,785 | $1,109,429 | |
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., Sr. Sec’d. Notes, 144A | 5.875 | 08/15/27 | 550 | 569,034 | |
7,441,902 | |||||
Mining 0.2% | |||||
Indonesia Asahan Aluminium Persero PT (Indonesia), Sr. Unsec’d. Notes | 6.530 | 11/15/28 | 1,650 | 2,022,017 | |
Miscellaneous Manufacturing 1.2% | |||||
Bombardier, Inc. (Canada), | |||||
Sr. Unsec’d. Notes, 144A | 7.500 | 12/01/24 | 5,325 | 5,543,107 | |
Sr. Unsec’d. Notes, 144A | 7.875 | 04/15/27 | 5,675 | 5,879,536 | |
11,422,643 | |||||
Oil & Gas 2.3% | |||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp., | |||||
Gtd. Notes, 144A | 7.000 | 11/01/26 | 1,225 | 1,266,042 | |
Gtd. Notes, 144A | 9.000 | 11/01/27 | 974 | 1,333,496 | |
Cenovus Energy, Inc. (Canada), Sr. Unsec’d. Notes(a) | 5.400 | 06/15/47 | 1,835 | 2,292,578 | |
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A | 9.250 | 08/01/24 | 450 | 448,816 | |
ConocoPhillips, Gtd. Notes, 144A(h) | 4.875 | 10/01/47 | 275 | 366,662 | |
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A | 5.500 | 01/30/26 | 2,700 | 2,781,084 | |
Energean Israel Finance Ltd. (Israel), | |||||
Sr. Sec’d. Notes, 144A | 4.875 | 03/30/26 | 450 | 460,307 | |
Sr. Sec’d. Notes, 144A | 5.375 | 03/30/28 | 720 | 736,758 | |
Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Unsec’d. Notes, 144A | 6.250 | 11/01/28 | 700 | 730,160 | |
Leviathan Bond Ltd. (Israel), Sr. Sec’d. Notes, 144A | 6.750 | 06/30/30 | 2,020 | 2,262,588 | |
Petrobras Global Finance BV (Brazil), Gtd. Notes | 5.375 | 10/01/29 | GBP | 800 | 1,220,296 |
16
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Oil & Gas (cont’d.) | |||||
Petroleos Mexicanos (Mexico), | |||||
Gtd. Notes | 4.750 % | 02/26/29 | EUR | 295 | $342,013 |
Gtd. Notes | 6.350 | 02/12/48 | 1,238 | 1,058,999 | |
Gtd. Notes | 6.500 | 03/13/27 | 260 | 276,249 | |
Gtd. Notes | 6.840 | 01/23/30 | 405 | 422,228 | |
Gtd. Notes, EMTN | 4.875 | 02/21/28 | EUR | 250 | 296,220 |
Qatar Petroleum (Qatar), Sr. Unsec’d. Notes, 144A | 3.125 | 07/12/41 | 425 | 441,218 | |
Range Resources Corp., Gtd. Notes(a) | 9.250 | 02/01/26 | 850 | 922,784 | |
Transocean, Inc., Gtd. Notes, 144A | 7.250 | 11/01/25 | 3,025 | 2,411,792 | |
Tullow Oil PLC (Ghana), Sr. Sec’d. Notes, 144A | 10.250 | 05/15/26 | 1,605 | 1,673,213 | |
21,743,503 | |||||
Oil & Gas Services 0.0% | |||||
Cameron International Corp., Gtd. Notes | 5.950 | 06/01/41 | 100 | 131,970 | |
Packaging & Containers 0.5% | |||||
ARD Finance SA (Luxembourg), Sr. Sec’d. Notes, 144A, Cash coupon 5.000% or PIK 5.750% | 5.000 | 06/30/27 | EUR | 3,000 | 3,657,004 |
WestRock RKT LLC, Gtd. Notes | 4.900 | 03/01/22 | 1,190 | 1,220,487 | |
4,877,491 | |||||
Pharmaceuticals 1.9% | |||||
AbbVie, Inc., | |||||
Sr. Unsec’d. Notes | 4.050 | 11/21/39 | 905 | 1,074,262 | |
Sr. Unsec’d. Notes | 4.550 | 03/15/35 | 4,155 | 5,124,225 | |
Bausch Health Cos., Inc., | |||||
Gtd. Notes, 144A | 5.000 | 01/30/28 | 400 | 382,407 | |
Gtd. Notes, 144A | 6.250 | 02/15/29 | 1,200 | 1,194,760 | |
Bristol-Myers Squibb Co., Sr. Unsec’d. Notes(h) | 4.125 | 06/15/39 | 615 | 758,265 | |
Cigna Corp., Gtd. Notes(h) | 4.375 | 10/15/28 | 3,990 | 4,693,712 |
17
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pharmaceuticals (cont’d.) | |||||
CVS Health Corp., | |||||
Sr. Unsec’d. Notes | 5.125 % | 07/20/45 | 1,315 | $1,741,412 | |
Sr. Unsec’d. Notes | 5.300 | 12/05/43 | 485 | 656,795 | |
Utah Acquisition Sub, Inc., Gtd. Notes | 5.250 | 06/15/46 | 520 | 647,556 | |
Viatris, Inc., Gtd. Notes, 144A | 4.000 | 06/22/50 | 2,190 | 2,369,357 | |
18,642,751 | |||||
Pipelines 1.7% | |||||
AI Candelaria Spain SLU (Colombia), Sr. Sec’d. Notes, 144A | 5.750 | 06/15/33 | 920 | 941,722 | |
Eastern Gas Transmission & Storage, Inc., Sr. Unsec’d. Notes, 144A | 4.600 | 12/15/44 | 125 | 151,949 | |
Energy Transfer LP, | |||||
Jr. Sub. Notes, Series G | 7.125(ff) | 05/15/30(oo) | 3,360 | 3,464,719 | |
Sr. Unsec’d. Notes | 5.150 | 03/15/45 | 55 | 63,979 | |
Sr. Unsec’d. Notes | 5.300 | 04/15/47 | 125 | 147,881 | |
Sr. Unsec’d. Notes | 5.400 | 10/01/47 | 60 | 72,255 | |
Sr. Unsec’d. Notes | 6.250 | 04/15/49 | 75 | 98,874 | |
Enterprise Products Operating LLC, Gtd. Notes | 4.950 | 10/15/54 | 1,825 | 2,366,062 | |
Magellan Midstream Partners LP, | |||||
Sr. Unsec’d. Notes | 4.200 | 12/01/42 | 125 | 138,109 | |
Sr. Unsec’d. Notes(h) | 5.150 | 10/15/43 | 1,350 | 1,714,804 | |
MPLX LP, Sr. Unsec’d. Notes | 5.200 | 03/01/47 | 145 | 179,785 | |
NGPL PipeCo LLC, Sr. Unsec’d. Notes, 144A | 4.875 | 08/15/27 | 500 | 577,298 | |
ONEOK, Inc., Gtd. Notes | 4.950 | 07/13/47 | 1,060 | 1,268,215 | |
Rockies Express Pipeline LLC, | |||||
Sr. Unsec’d. Notes, 144A | 3.600 | 05/15/25 | 775 | 791,217 | |
Sr. Unsec’d. Notes, 144A | 6.875 | 04/15/40 | 1,850 | 1,945,521 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., | |||||
Gtd. Notes, 144A | 5.500 | 01/15/28 | 1,000 | 1,026,315 | |
Gtd. Notes, 144A | 7.500 | 10/01/25 | 125 | 135,770 | |
Venture Global Calcasieu Pass LLC, | |||||
Sr. Sec’d. Notes, 144A | 3.875 | 08/15/29 | 75 | 76,604 | |
Sr. Sec’d. Notes, 144A | 4.125 | 08/15/31 | 75 | 77,347 |
18
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Pipelines (cont’d.) | |||||
Western Midstream Operating LP, Sr. Unsec’d. Notes | 5.300 % | 03/01/48 | 910 | $1,003,149 | |
16,241,575 | |||||
Real Estate 0.5% | |||||
Arabian Centres Sukuk Ltd. (Saudi Arabia), Gtd. Notes, 144A | 5.375 | 11/26/24 | 995 | 1,031,619 | |
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A | 5.750 | 12/01/25 | 3,575 | 3,659,574 | |
4,691,193 | |||||
Retail 1.0% | |||||
Brinker International, Inc., Gtd. Notes, 144A | 5.000 | 10/01/24 | 1,000 | 1,061,270 | |
eG Global Finance PLC (United Kingdom), | |||||
Sr. Sec’d. Notes | 6.250 | 10/30/25 | EUR | 250 | 303,976 |
Sr. Sec’d. Notes, 144A | 4.375 | 02/07/25 | EUR | 4,700 | 5,484,775 |
JSM Global Sarl (Brazil), Gtd. Notes, 144A(a) | 4.750 | 10/20/30 | 1,800 | 1,864,473 | |
Macy’s Retail Holdings LLC, Gtd. Notes | 4.300 | 02/15/43 | 705 | 579,233 | |
9,293,727 | |||||
Savings & Loans 0.0% | |||||
People’s United Financial, Inc., Sr. Unsec’d. Notes | 3.650 | 12/06/22 | 325 | 336,138 | |
Telecommunications 1.3% | |||||
AT&T, Inc., | |||||
Sr. Unsec’d. Notes, 144A | 2.550 | 12/01/33 | 1,542 | 1,555,490 | |
Sr. Unsec’d. Notes, 144A | 3.500 | 09/15/53 | 929 | 958,811 | |
Sr. Unsec’d. Notes, 144A | 3.650 | 09/15/59 | 318 | 329,561 | |
Digicel Group Holdings Ltd. (Jamaica), | |||||
Sr. Sec’d. Notes, Cash coupon 8.000% and PIK 2.000% | 10.000 | 04/01/24 | 801 | 783,004 | |
Sr. Unsec’d. Notes, 144A, Cash coupon 5.000% and PIK 3.000% | 8.000 | 04/01/25 | 248 | 215,901 | |
Digicel International Finance Ltd./Digicel International Holdings Ltd. (Jamaica), | |||||
Gtd. Notes, 144A | 8.000 | 12/31/26 | 454 | 441,337 |
19
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Corporate Bonds (Continued) | |||||
Telecommunications (cont’d.) | |||||
Digicel International Finance Ltd./Digicel International Holdings Ltd. (Jamaica), (cont’d.) | |||||
Gtd. Notes, 144A, Cash coupon 6.000% and PIK 7.000% | 13.000 % | 12/31/25 | 625 | $622,895 | |
Sr. Sec’d. Notes, 144A | 8.750 | 05/25/24 | 1,138 | 1,184,255 | |
Digicel Ltd. (Jamaica), Gtd. Notes, 144A | 6.750 | 03/01/23 | 2,050 | 1,935,899 | |
Intelsat Jackson Holdings SA (Luxembourg), Gtd. Notes | 5.500 | 08/01/23(d) | 2,000 | 1,100,287 | |
Level 3 Financing, Inc., Sr. Sec’d. Notes, 144A | 3.400 | 03/01/27 | 465 | 495,030 | |
Lumen Technologies, Inc., Sr. Unsec’d. Notes, Series P(a) | 7.600 | 09/15/39 | 825 | 941,039 | |
Millicom International Cellular SA (Colombia), Sr. Unsec’d. Notes, 144A | 4.500 | 04/27/31 | 515 | 535,659 | |
Verizon Communications, Inc., Sr. Unsec’d. Notes | 3.400 | 03/22/41 | 1,575 | 1,701,248 | |
12,800,416 | |||||
Textiles 0.0% | |||||
Mohawk Industries, Inc., Sr. Unsec’d. Notes | 3.850 | 02/01/23 | 104 | 108,348 | |
Total Corporate Bonds (cost $264,447,212) | 283,303,677 | ||||
Municipal Bonds 2.0% | |||||
California 0.5% | |||||
Bay Area Toll Authority, Revenue Bonds, BABs, Series F2 | 6.263 | 04/01/49 | 550 | 906,966 | |
Los Angeles Department of Water, Taxable, Revenue Bonds, BABs, Series C | 6.008 | 07/01/39 | 1,730 | 2,404,181 | |
University of California, | |||||
Taxable, Revenue Bonds, Series AP | 3.931 | 05/15/45 | 625 | 743,800 | |
Taxable, Revenue Bonds, Series J | 4.131 | 05/15/45 | 675 | 822,184 | |
4,877,131 | |||||
Colorado 0.2% | |||||
Regional Transportation District Sales Tax Revenue, Revenue Bonds, BABs, Series B | 5.844 | 11/01/50 | 1,190 | 1,939,676 |
20
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Municipal Bonds (Continued) | |||||
Illinois 0.2% | |||||
Chicago O’Hare International Airport, Revenue Bonds, BABs, Series B | 6.395 % | 01/01/40 | 360 | $557,856 | |
State of Illinois, General Obligation Unlimited, Taxable | 5.100 | 06/01/33 | 865 | 1,031,443 | |
1,589,299 | |||||
New Jersey 0.4% | |||||
New Jersey Turnpike Authority, Taxable, Revenue Bonds, BABs, Series F | 7.414 | 01/01/40 | 2,000 | 3,371,440 | |
Rutgers The State University of New Jersey, Taxable, Revenue Bonds, BABs, Series H | 5.665 | 05/01/40 | 200 | 277,006 | |
3,648,446 | |||||
Ohio 0.0% | |||||
Ohio State University (The), Taxable, Revenue Bonds, Series A | 4.800 | 06/01/2111 | 180 | 264,310 | |
Puerto Rico 0.7% | |||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds, Restructured, Series A-1 | 4.750 | 07/01/53 | 5,846 | 6,724,947 | |
Texas 0.0% | |||||
City of San Antonio TX Electric & Gas Systems Revenue, Taxable, Revenue Bonds | 4.427 | 02/01/42 | 120 | 152,500 | |
Total Municipal Bonds (cost $15,875,912) | 19,196,309 | ||||
Residential Mortgage-Backed Securities 3.4% | |||||
Banc of America Funding Corp., Series 2015-R03, Class 1A1, 144A, 1 Month LIBOR + 0.190% | 0.279(c) | 03/27/36 | 2,462 | 2,449,710 | |
Banc of America Funding Trust, | |||||
Series 2014-R02, Class 2A1, 144A, 1 Month LIBOR + 0.210% (Cap N/A, Floor 0.210%) | 0.296(c) | 05/26/37 | 127 | 126,184 | |
Series 2014-R05, Class 1A1, 144A, 6 Month LIBOR + 1.500% (Cap 11.000%, Floor 1.500%) | 1.659(c) | 09/26/45 | 677 | 684,402 | |
Bellemeade Re Ltd. (Bermuda), | |||||
Series 2018-01A, Class M1B, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 1.689(c) | 04/25/28 | 802 | 808,121 |
21
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
Bellemeade Re Ltd. (Bermuda), (cont’d.) | |||||
Series 2018-03A, Class M1B, 144A, 1 Month LIBOR + 1.850% (Cap N/A, Floor 1.850%) | 1.939 %(c) | 10/25/28 | 1,795 | $1,800,133 | |
Series 2021-01A, Class M1C, 144A, 30 Day Average SOFR + 2.950% (Cap N/A, Floor 2.950%) | 3.000(c) | 03/25/31 | 960 | 1,003,175 | |
BVRT Financing Trust, Series 2019-01, Class F, 144A^ | 2.250(cc) | 09/15/21 | 7,842 | 7,828,835 | |
Chase Mortgage Finance Trust, Series 2007-A01, Class 1A3 | 2.474(cc) | 02/25/37 | 58 | 58,640 | |
Connecticut Avenue Securities Trust, Series 2020-R01, Class 1M2, 144A, 1 Month LIBOR + 2.050% (Cap N/A, Floor 2.050%) | 2.139(c) | 01/25/40 | 146 | 146,872 | |
Eagle Re Ltd. (Bermuda), Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.700% (Cap N/A, Floor 1.700%) | 1.789(c) | 11/25/28 | 1,893 | 1,897,904 | |
FHLMC Structured Agency Credit Risk Debt Notes, Series 2021-DNA02, Class B1, 144A, 30 Day Average SOFR + 3.400% (Cap N/A, Floor 0.000%) | 3.450(c) | 08/25/33 | 3,260 | 3,356,514 | |
FHLMC Structured Agency Credit Risk REMIC Trust, Series 2021-DNA05, Class B1, 144A, 30 Day Average SOFR + 3.050% (Cap N/A, Floor 0.000%) | 3.100(c) | 01/25/34 | 600 | 610,300 | |
GSMSC Resecuritization Trust, | |||||
Series 2015-03R, Class 1A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) | 0.229(c) | 01/26/37 | 772 | 766,770 | |
Series 2015-03R, Class 2A1, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) | 0.229(c) | 10/26/36 | 604 | 601,142 | |
Series 2015-03R, Class 2A2, 144A, 1 Month LIBOR + 0.140% (Cap N/A, Floor 0.140%) | 0.229(c) | 10/26/36 | 1,400 | 1,353,666 | |
Home Re Ltd. (Bermuda), Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.600% (Cap N/A, Floor 0.000%) | 1.689(c) | 10/25/28 | 550 | 550,439 | |
JPMorgan Mortgage Trust, Series 2007-A01, Class 4A1 | 2.306(cc) | 07/25/35 | 45 | 45,335 | |
New Residential Mortgage Loan Trust, Series 2018-04A, Class A1S, 144A, 1 Month LIBOR + 0.750% (Cap N/A, Floor 0.750%) | 0.839(c) | 01/25/48 | 2,306 | 2,311,279 | |
Oaktown Re II Ltd. (Bermuda), Series 2018-01A, Class M1, 144A, 1 Month LIBOR + 1.550% (Cap N/A, Floor 0.000%) | 1.639(c) | 07/25/28 | 310 | 309,830 |
22
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Residential Mortgage-Backed Securities (Continued) | |||||
Radnor Re Ltd. (Bermuda), | |||||
Series 2018-01, Class M1, 144A, 1 Month LIBOR + 1.400% (Cap N/A, Floor 0.000%) | 1.489 %(c) | 03/25/28 | 92 | $92,262 | |
Series 2018-01, Class M2, 144A, 1 Month LIBOR + 2.700% (Cap N/A, Floor 0.000%) | 2.789(c) | 03/25/28 | 1,240 | 1,252,092 | |
Series 2020-02, Class M1B, 144A, 1 Month LIBOR + 4.000% (Cap N/A, Floor 4.000%) | 4.089(c) | 10/25/30 | 887 | 889,492 | |
Series 2020-02, Class M1C, 144A, 1 Month LIBOR + 4.600% (Cap N/A, Floor 4.600%) | 4.689(c) | 10/25/30 | 1,025 | 1,039,111 | |
Retiro Mortgage Securities DAC (Ireland), Series 01A, Class A1, 144A, 3 Month EURIBOR + 2.000% (Cap 5.000%, Floor 0.000%) | 1.453(c) | 07/30/75 | EUR | 1,741 | 2,053,248 |
Structured Asset Securities Corp., Series 2003-37A, Class 3A7 | 2.366(cc) | 12/25/33 | 323 | 326,871 | |
Total Residential Mortgage-Backed Securities (cost $31,696,340) | 32,362,327 | ||||
Sovereign Bonds 4.2% | |||||
Argentine Republic Government International Bond (Argentina), Sr. Unsec’d. Notes | 0.500(cc) | 07/09/30 | 494 | 179,454 | |
Bermuda Government International Bond (Bermuda), Sr. Unsec’d. Notes, 144A | 2.375 | 08/20/30 | 685 | 688,686 | |
Brazil Loan Trust 1 (Brazil), Gov’t. Gtd. Notes | 5.477 | 07/24/23 | 307 | 317,416 | |
Brazil Minas SPE via State of Minas Gerais (Brazil), Gov’t. Gtd. Notes | 5.333 | 02/15/28 | 2,303 | 2,488,443 | |
Dominican Republic International Bond (Dominican Republic), Sr. Unsec’d. Notes, 144A | 5.950 | 01/25/27 | 1,570 | 1,767,937 | |
Ghana Government International Bond (Ghana), Sr. Unsec’d. Notes, 144A | 6.375 | 02/11/27 | 505 | 498,204 | |
Hellenic Republic Government International Bond (Greece), | |||||
Sr. Unsec’d. Notes | 5.200 | 07/17/34 | EUR | 5,485 | 9,840,472 |
Sr. Unsec’d. Notes | 6.140 | 04/14/28 | EUR | 2,000 | 3,242,178 |
Indonesia Government International Bond (Indonesia), | |||||
Sr. Unsec’d. Notes | 1.100 | 03/12/33 | EUR | 410 | 476,635 |
Sr. Unsec’d. Notes | 1.450 | 09/18/26 | EUR | 805 | 995,516 |
Sr. Unsec’d. Notes | 3.375 | 07/30/25 | EUR | 2,655 | 3,519,559 |
23
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Interest Rate | Maturity Date | Principal Amount (000)# | Value | |
Sovereign Bonds (Continued) | |||||
Ivory Coast Government International Bond (Ivory Coast), | |||||
Sr. Unsec’d. Notes | 5.125 % | 06/15/25 | EUR | 500 | $662,995 |
Sr. Unsec’d. Notes, 144A | 5.125 | 06/15/25 | EUR | 1,650 | 2,187,882 |
Provincia de Buenos Aires (Argentina), Sr. Unsec’d. Notes, 144A | 6.500 | 02/15/23(d) | 600 | 284,412 | |
Romanian Government International Bond (Romania), Sr. Unsec’d. Notes, EMTN | 4.125 | 03/11/39 | EUR | 1,759 | 2,448,191 |
Serbia International Bond (Serbia), Sr. Unsec’d. Notes, 144A | 1.500 | 06/26/29 | EUR | 1,660 | 1,996,288 |
Ukraine Government International Bond (Ukraine), | |||||
Sr. Unsec’d. Notes | 1.258(cc) | 05/31/40 | 950 | 1,106,455 | |
Sr. Unsec’d. Notes | 7.750 | 09/01/21 | 350 | 351,520 | |
Sr. Unsec’d. Notes | 8.994 | 02/01/24 | 350 | 385,801 | |
Sr. Unsec’d. Notes, 144A | 4.375 | 01/27/30 | EUR | 1,465 | 1,616,915 |
Sr. Unsec’d. Notes, 144A | 7.750 | 09/01/22 | 1,960 | 2,047,965 | |
Sr. Unsec’d. Notes, 144A | 8.994 | 02/01/24 | 800 | 881,832 | |
Sr. Unsec’d. Notes, 144A | 9.750 | 11/01/28 | 1,800 | 2,142,906 | |
Total Sovereign Bonds (cost $33,799,949) | 40,127,662 | ||||
U.S. Treasury Obligations 11.2% | |||||
U.S. Treasury Bonds(h)(k) | 1.375 | 11/15/40 | 15,930 | 14,809,922 | |
U.S. Treasury Bonds | 1.875 | 02/15/51 | 2,755 | 2,734,768 | |
U.S. Treasury Bonds | 2.250 | 05/15/41 | 3,810 | 4,093,369 | |
U.S. Treasury Bonds(h)(k) | 2.500 | 02/15/45 | 3,505 | 3,920,671 | |
U.S. Treasury Bonds(k) | 3.625 | 08/15/43 | 1,570 | 2,081,477 | |
U.S. Treasury Notes | 1.375 | 01/31/25 | 32,840 | 33,891,906 | |
U.S. Treasury Notes(k) | 2.250 | 11/15/24 | 41,705 | 44,207,300 | |
U.S. Treasury Notes | 2.250 | 11/15/27 | 150 | 162,457 | |
U.S. Treasury Strips Coupon(k) | 2.415(s) | 11/15/40 | 1,200 | 824,109 | |
U.S. Treasury Strips Coupon | 3.019(s) | 11/15/35 | 870 | 681,387 | |
Total U.S. Treasury Obligations (cost $105,602,240) | 107,407,366 |
Shares | |||||
Common Stocks 1.8% | |||||
Gas Utilities 0.4% | |||||
Ferrellgas Partners LP (Class B Stock)* | 17,034 | 3,917,820 |
24
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Description | Shares | Value | |||
Common Stocks (Continued) | |||||
Oil, Gas & Consumable Fuels 1.4% | |||||
Chesapeake Energy Corp.(a) | 252,027 | $13,622,059 | |||
Chesapeake Energy Corp. Backstop Commitment^ | 1,449 | 78,082 | |||
13,700,141 | |||||
Total Common Stocks (cost $9,082,596) | 17,617,961 | ||||
Total Long-Term Investments (cost $819,201,484) | 861,643,324 |
Short-Term Investments 10.6% | |||||
Affiliated Mutual Funds 10.4% | |||||
PGIM Core Ultra Short Bond Fund(wa) | 70,333,608 | 70,333,608 | |||
PGIM Institutional Money Market Fund (cost $29,329,829; includes $29,328,808 of cash collateral for securities on loan)(b)(wa) | 29,357,738 | 29,340,123 | |||
Total Affiliated Mutual Funds (cost $99,663,437) | 99,673,731 | ||||
Options Purchased*~ 0.2% | |||||
(cost $11,393,490) | 2,017,880 | ||||
Total Short-Term Investments (cost $111,056,927) | 101,691,611 | ||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 100.1% (cost $930,258,411) | 963,334,935 | ||||
Options Written*~ (0.2)% | |||||
(premiums received $12,737,102) | (1,875,437) | ||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 99.9% (cost $917,521,309) | 961,459,498 | ||||
Other assets in excess of liabilities(z) 0.1% | 899,747 | ||||
Net Assets 100.0% | $962,359,245 |
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings: |
AUD—Australian Dollar | |
BRL—Brazilian Real | |
CAD—Canadian Dollar | |
CHF—Swiss Franc |
25
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
CLP—Chilean Peso | |
CNH—Chinese Renminbi | |
COP—Colombian Peso | |
CZK—Czech Koruna | |
EUR—Euro | |
GBP—British Pound | |
HUF—Hungarian Forint | |
IDR—Indonesian Rupiah | |
ILS—Israeli Shekel | |
INR—Indian Rupee | |
JPY—Japanese Yen | |
KRW—South Korean Won | |
MXN—Mexican Peso | |
NZD—New Zealand Dollar | |
PEN—Peruvian Nuevo Sol | |
PHP—Philippine Peso | |
PLN—Polish Zloty | |
RUB—Russian Ruble | |
SGD—Singapore Dollar | |
THB—Thai Baht | |
TRY—Turkish Lira | |
TWD—New Taiwanese Dollar | |
USD—US Dollar | |
ZAR—South African Rand |
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 | |
ABS—Asset-Backed Security | |
BABs—Build America Bonds | |
BBR—New Zealand Bank Bill Rate | |
BBSW—Australian Bank Bill Swap Reference Rate | |
BROIS—Brazil Overnight Index Swap | |
BUBOR—Budapest Interbank Offered Rate | |
CDX—Credit Derivative Index | |
CLO—Collateralized Loan Obligation | |
CLOIS—Sinacofi Chile Interbank Rate Average | |
CMBX—Commercial Mortgage-Backed Index | |
COOIS—Colombia Overnight Interbank Reference Rate | |
CPI—Consumer Price Index | |
EMTN—Euro Medium Term Note | |
EURIBOR—Euro Interbank Offered Rate | |
FHLMC—Federal Home Loan Mortgage Corporation | |
GMTN—Global Medium Term Note | |
IO—Interest Only (Principal amount represents notional) | |
JIBAR—Johannesburg Interbank Agreed Rate | |
LIBOR—London Interbank Offered Rate | |
LP—Limited Partnership | |
M—Monthly payment frequency for swaps | |
MASTR—Morgan Stanley Structured Asset Security | |
MTN—Medium Term Note | |
NSA—Non-Seasonally Adjusted | |
OTC—Over-the-counter |
26
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
PIK—Payment-in-Kind | |
Q—Quarterly payment frequency for swaps | |
REMICS—Real Estate Mortgage Investment Conduit Security | |
S—Semiannual payment frequency for swaps | |
SOFR—Secured Overnight Financing Rate | |
SONIA—Sterling Overnight Index Average | |
Strips—Separate Trading of Registered Interest and Principal of Securities | |
T—Swap payment upon termination | |
USOIS—United States Overnight Index Swap | |
WIBOR—Warsaw Interbank Offered Rate |
* | 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 $7,910,587 and 0.8% of net assets. |
(a) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $28,503,081; cash collateral of $29,328,808 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the Fund may reflect a collateral value that is less than the market value of the loaned securities and such shortfall is remedied the following business day. |
(b) | Represents security, or portion thereof, purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(c) | Variable rate instrument. The interest rate shown reflects the rate in effect at July 31, 2021. |
(cc) | Variable rate instrument. The rate shown is based on the latest available information as of July 31, 2021. 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. |
(d) | Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such securities may be post-maturity. |
(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. |
(h) | Represents security, or a portion thereof, segregated as collateral for OTC derivatives. |
(k) | Represents security, or a portion thereof, segregated as collateral for centrally cleared/exchange-traded derivatives. |
(oo) | Perpetual security. Maturity date represents next call date. |
(p) | Represents a security with a delayed settlement and therefore the interest rate is not available until settlement which is after the period end. |
(s) | Represents zero coupon bond or principal only security. Rate represents yield to maturity at purchase date. |
(wa) | PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund, if applicable. |
(z) | Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments: |
Options Purchased:
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option EUR vs USD | Call | Deutsche Bank AG | 11/18/21 | 1.21 | — | EUR | 6,563 | $40,585 | ||||||||
Currency Option EUR vs USD | Call | Bank of America, N.A. | 11/18/21 | 1.31 | — | EUR | 26,250 | 2,370 |
27
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Purchased (continued):
OTC Traded | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
Currency Option USD vs BRL | Call | JPMorgan Chase Bank, N.A. | 08/03/21 | 8.00 | — | 30,000 | $— | ||||||||||
Currency Option USD vs CNH | Call | JPMorgan Chase Bank, N.A. | 10/08/21 | 7.60 | — | 20,000 | 372 | ||||||||||
Currency Option USD vs CNH | Call | JPMorgan Chase Bank, N.A. | 09/28/22 | 6.90 | — | 10,000 | 121,339 | ||||||||||
Currency Option USD vs ILS | Call | Morgan Stanley & Co. International PLC | 08/27/21 | 3.40 | — | 10,000 | 2,001 | ||||||||||
Currency Option USD vs INR | Call | Goldman Sachs International | 09/28/21 | 88.00 | — | 35,500 | 368 | ||||||||||
Currency Option USD vs JPY | Call | Barclays Bank PLC | 10/27/23 | 115.00 | — | 39,000 | 608,924 | ||||||||||
Currency Option USD vs MXN | Call | Goldman Sachs International | 02/23/22 | 26.00 | — | 34,500 | 82,006 | ||||||||||
Currency Option USD vs MXN | Call | Barclays Bank PLC | 02/23/22 | 31.50 | — | 69,000 | 34,519 | ||||||||||
Currency Option USD vs MXN | Call | Goldman Sachs International | 02/23/22 | 36.00 | — | 28,000 | 5,759 | ||||||||||
Currency Option USD vs ZAR | Call | JPMorgan Chase Bank, N.A. | 09/09/21 | 20.00 | — | 24,000 | 1,293 | ||||||||||
Currency Option USD vs ZAR | Call | JPMorgan Chase Bank, N.A. | 05/27/22 | 16.20 | — | 24,000 | 816,380 | ||||||||||
Currency Option AUD vs JPY | Put | BNP Paribas S.A. | 01/26/22 | 55.00 | — | AUD | 144,000 | 20,195 | |||||||||
Currency Option AUD vs JPY | Put | Deutsche Bank AG | 01/26/22 | 63.00 | — | AUD | 72,000 | 41,450 | |||||||||
Currency Option USD vs BRL | Put | Deutsche Bank AG | 09/28/21 | 3.85 | — | 39,000 | 16 | ||||||||||
Currency Option USD vs TWD | Put | Deutsche Bank AG | 12/21/21 | 24.30 | — | 60,000 | 13,455 | ||||||||||
Currency Option USD vs TWD | Put | JPMorgan Chase Bank, N.A. | 12/21/21 | 25.80 | — | 20,000 | 18,549 | ||||||||||
Total OTC Traded (cost $10,799,223) | $1,809,581 |
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Call | BNP Paribas S.A. | 08/18/21 | $112.00 | 5.00%(Q) | CDX.NA.HY.36. V1(Q) | 25,460 | $167 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Deutsche Bank AG | 08/18/21 | 0.38% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 27,100 | 65 |
28
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Purchased (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Goldman Sachs International | 08/18/21 | 0.40% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 54,990 | $459 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | JPMorgan Chase Bank, N.A. | 08/18/21 | 0.40% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 29,520 | 246 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Barclays Bank PLC | 09/15/21 | 0.38% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | 155 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Barclays Bank PLC | 10/20/21 | 0.38% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | 447 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Goldman Sachs International | 10/20/21 | 0.38% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | 447 | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Put | BNP Paribas S.A. | 08/18/21 | $108.00 | CDX.NA.HY.36. V1(Q) | 5.00%(Q) | 25,460 | 64,688 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Deutsche Bank AG | 08/18/21 | 0.55% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 27,100 | 10,213 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 08/18/21 | 0.58% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 54,990 | 14,328 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | JPMorgan Chase Bank, N.A. | 08/18/21 | 0.58% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 29,520 | 7,692 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Barclays Bank PLC | 09/15/21 | 0.53% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | 27,908 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Barclays Bank PLC | 10/20/21 | 0.53% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | 44,032 | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 10/20/21 | 0.55% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | 37,452 | |||||||||
Total OTC Swaptions (cost $594,267) | $208,299 | ||||||||||||||||
Total Options Purchased (cost $11,393,490) | $2,017,880 |
Options Written:
OTC Traded | ||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | |||||||||
Currency Option EUR vs USD | Call | Bank of America, N.A. | 11/18/21 | 1.21 | — | EUR | 6,563 | $(40,585) | ||||||||
Currency Option EUR vs USD | Call | Deutsche Bank AG | 11/18/21 | 1.31 | — | EUR | 26,250 | (2,370) | ||||||||
Currency Option USD vs CNH | Call | JPMorgan Chase Bank, N.A. | 09/28/22 | 7.60 | — | 30,000 | (91,500) | |||||||||
Currency Option USD vs ILS | Call | BNP Paribas S.A. | 08/27/21 | 3.40 | — | 10,000 | (2,001) |
29
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Written (continued):
OTC Traded | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Contracts | Notional Amount (000)# | Value | ||||||||||
Currency Option USD vs INR | Call | Bank of America, N.A. | 09/28/21 | 88.00 | — | 35,500 | $(368) | ||||||||||
Currency Option USD vs JPY | Call | Bank of America, N.A. | 10/27/23 | 115.00 | — | 39,000 | (608,924) | ||||||||||
Currency Option USD vs MXN | Call | Barclays Bank PLC | 02/23/22 | 26.00 | — | 34,500 | (82,006) | ||||||||||
Currency Option USD vs MXN | Call | Goldman Sachs International | 02/23/22 | 31.50 | — | 69,000 | (34,519) | ||||||||||
Currency Option USD vs MXN | Call | Citibank, N.A. | 02/23/22 | 36.00 | — | 28,000 | (5,759) | ||||||||||
Currency Option USD vs ZAR | Call | JPMorgan Chase Bank, N.A. | 05/27/22 | 18.80 | — | 48,000 | (533,108) | ||||||||||
Currency Option AUD vs JPY | Put | Deutsche Bank AG | 01/26/22 | 55.00 | — | AUD | 144,000 | (20,195) | |||||||||
Currency Option AUD vs JPY | Put | BNP Paribas S.A. | 01/26/22 | 63.00 | — | AUD | 72,000 | (41,450) | |||||||||
Currency Option USD vs BRL | Put | Bank of America, N.A. | 09/28/21 | 3.85 | — | 39,000 | (16) | ||||||||||
Currency Option USD vs TWD | Put | JPMorgan Chase Bank, N.A. | 12/21/21 | 24.30 | — | 60,000 | (13,455) | ||||||||||
Currency Option USD vs TWD | Put | Deutsche Bank AG | 12/21/21 | 25.80 | — | 20,000 | (18,549) | ||||||||||
Total OTC Traded (premiums received $12,113,281) | $(1,494,805) |
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Call | BNP Paribas S.A. | 08/18/21 | $109.50 | CDX.NA.HY.36. V1(Q) | 5.00%(Q) | 25,460 | $(42,862) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Deutsche Bank AG | 08/18/21 | 0.48% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 27,100 | (5,327) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Goldman Sachs International | 08/18/21 | 0.50% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 54,990 | (41,961) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | JPMorgan Chase Bank, N.A. | 08/18/21 | 0.50% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 29,520 | (22,526) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Barclays Bank PLC | 09/15/21 | 0.48% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | (9,920) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Barclays Bank PLC | 10/20/21 | 0.48% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | (15,433) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Call | Goldman Sachs International | 10/20/21 | 0.48% | CDX.NA.IG.36. V1(Q) | 1.00%(Q) | 21,470 | (15,433) |
30
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Options Written (continued):
OTC Swaptions | |||||||||||||||||
Description | Call/ Put | Counterparty | Expiration Date | Strike | Receive | Pay | Notional Amount (000)# | Value | |||||||||
CDX.NA.HY.36.V1, 06/20/26 | Put | BNP Paribas S.A. | 08/18/21 | $105.00 | 5.00%(Q) | CDX.NA.HY.36. V1(Q) | 25,460 | $(14,438) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Deutsche Bank AG | 08/18/21 | 0.70% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 27,100 | (2,820) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 08/18/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 54,990 | (4,886) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | JPMorgan Chase Bank, N.A. | 08/18/21 | 0.78% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 29,520 | (2,458) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Barclays Bank PLC | 09/15/21 | 0.65% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | (10,539) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Barclays Bank PLC | 10/20/21 | 0.70% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | (17,861) | |||||||||
CDX.NA.IG.36.V1, 06/20/26 | Put | Goldman Sachs International | 10/20/21 | 0.75% | 1.00%(Q) | CDX.NA.IG.36. V1(Q) | 21,470 | (14,784) | |||||||||
GS_21-PJA††^ | Put | Goldman Sachs International | 06/17/24 | 0.25% | 0.25%(M) | GS_21-PJA(M) | 16,440 | (2,690) | |||||||||
iTraxx.XO.35. V1,06/20/26 | Put | Barclays Bank PLC | 10/20/21 | 5.00% | 5.00%(Q) | iTraxx.XO.35. V1(Q) | EUR | 3,620 | (5,363) | ||||||||
iTraxx.XO.35. V1,06/20/26 | Put | Barclays Bank PLC | 06/15/22 | 9.00% | 5.00%(Q) | iTraxx.XO.35. V1(Q) | EUR | 9,710 | (151,331) | ||||||||
Total OTC Swaptions (premiums received $623,821) | $(380,632) | ||||||||||||||||
Total Options Written (premiums received $12,737,102) | $(1,875,437) |
†† | The value of the contract, GS_21-PJA, is derived from a pool of senior prime jumbo mortgages. |
Futures contracts outstanding at July 31, 2021: | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Long Positions: | ||||||||
107 | 5 Year U.S. Treasury Notes | Sep. 2021 | $13,315,648 | $114,902 | ||||
57 | 10 Year U.S. Ultra Treasury Notes | Sep. 2021 | 8,564,250 | 300,369 | ||||
415,271 | ||||||||
Short Positions: | ||||||||
10 | 30 Day Federal Funds | Apr. 2022 | (4,163,250) | 5,784 | ||||
58 | 30 Day Federal Funds | May 2022 | (24,145,640) | 35,864 | ||||
48 | 30 Day Federal Funds | Jun. 2022 | (19,980,598) | 30,641 | ||||
14 | 30 Day Federal Funds | Jul. 2022 | (5,827,091) | 9,777 | ||||
3,209 | 2 Year U.S. Treasury Notes | Sep. 2021 | 708,085,906 | (16,866) | ||||
227 | 5 Year Euro-Bobl | Sep. 2021 | 36,449,572 | (359,758) | ||||
162 | 10 Year Euro-Bund | Sep. 2021 | 33,931,898 | (879,521) |
31
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Futures contracts outstanding at July 31, 2021 (continued): | ||||||||
Number of Contracts | Type | Expiration Date | Current Notional Amount | Value / Unrealized Appreciation (Depreciation) | ||||
Short Positions (cont’d): | ||||||||
457 | 10 Year U.S. Treasury Notes | Sep. 2021 | $61,445,080 | $(941,436) | ||||
359 | 20 Year U.S. Treasury Bonds | Sep. 2021 | 59,134,031 | (2,533,559) | ||||
93 | 30 Year U.S. Ultra Treasury Bonds | Sep. 2021 | 18,556,406 | (917,488) | ||||
113 | Euro Schatz Index | Sep. 2021 | 15,060,766 | (26,348) | ||||
(5,592,910) | ||||||||
$(5,177,639) |
Forward foreign currency exchange contracts outstanding at July 31, 2021:
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 01/28/22 | Citibank, N.A. | AUD | 1,415 | $929,273 | $1,039,301 | $110,028 | $— | ||||||
Expiring 01/28/22 | Morgan Stanley & Co. International PLC | AUD | 5,569 | 4,204,659 | 4,090,373 | — | (114,286) | ||||||
Expiring 10/31/23 | JPMorgan Chase Bank, N.A. | AUD | 3,180 | 2,208,097 | 2,335,101 | 127,004 | — | ||||||
Brazilian Real, | |||||||||||||
Expiring 08/03/21 | Morgan Stanley & Co. International PLC | BRL | 23,402 | 4,724,456 | 4,491,086 | — | (233,370) | ||||||
Expiring 09/02/21 | Morgan Stanley & Co. International PLC | BRL | 11,495 | 2,209,934 | 2,196,879 | — | (13,055) | ||||||
Expiring 09/30/21 | Bank of America, N.A. | BRL | 66,197 | 14,993,000 | 12,606,689 | — | (2,386,311) | ||||||
Expiring 09/30/21 | Bank of America, N.A. | BRL | 38,490 | 9,030,000 | 7,330,174 | — | (1,699,826) | ||||||
Expiring 09/30/21 | Deutsche Bank AG | BRL | 17,668 | 3,883,000 | 3,364,658 | — | (518,342) | ||||||
Expiring 09/30/21 | Morgan Stanley & Co. International PLC | BRL | 4,795 | 901,592 | 913,190 | 11,598 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | BRL | 2,966 | 560,000 | 553,425 | — | (6,575) | ||||||
Expiring 01/28/22 | Deutsche Bank AG | BRL | 25,948 | 4,434,000 | 4,841,066 | 407,066 | — | ||||||
Expiring 01/28/22 | JPMorgan Chase Bank, N.A. | BRL | 15,244 | 2,727,534 | 2,844,103 | 116,569 | — | ||||||
Expiring 01/28/22 | Morgan Stanley & Co. International PLC | BRL | 19,492 | 3,580,779 | 3,636,610 | 55,831 | — | ||||||
British Pound, | |||||||||||||
Expiring 10/19/21 | Morgan Stanley & Co. International PLC | GBP | 1,700 | 2,328,211 | 2,363,427 | 35,216 | — | ||||||
Expiring 01/28/22 | Morgan Stanley & Co. International PLC | GBP | 625 | 862,819 | 869,183 | 6,364 | — |
32
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Canadian Dollar, | |||||||||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | CAD | 3,484 | $2,782,508 | $2,792,447 | $9,939 | $— | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | CLP | 346,788 | 459,000 | 456,353 | — | (2,647) | ||||||
Expiring 09/15/21 | Citibank, N.A. | CLP | 179,093 | 249,000 | 235,676 | — | (13,324) | ||||||
Expiring 09/15/21 | Credit Suisse International | CLP | 200,455 | 264,000 | 263,787 | — | (213) | ||||||
Expiring 09/15/21 | Credit Suisse International | CLP | 124,181 | 167,000 | 163,415 | — | (3,585) | ||||||
Expiring 09/15/21 | Goldman Sachs International | CLP | 172,046 | 225,000 | 226,403 | 1,403 | — | ||||||
Expiring 09/15/21 | UBS AG | CLP | 359,193 | 467,000 | 472,677 | 5,677 | — | ||||||
Expiring 09/15/21 | UBS AG | CLP | 193,167 | 253,999 | 254,197 | 198 | — | ||||||
Expiring 10/29/21 | Deutsche Bank AG | CLP | 1,903,558 | 2,405,000 | 2,500,885 | 95,885 | — | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 9,257 | 1,426,000 | 1,429,743 | 3,743 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 6,436 | 991,000 | 994,091 | 3,091 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 5,813 | 895,000 | 897,916 | 2,916 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 4,156 | 638,000 | 641,852 | 3,852 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 3,759 | 579,000 | 580,654 | 1,654 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 2,517 | 388,000 | 388,791 | 791 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 2,423 | 373,000 | 374,187 | 1,187 | — | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 2,415 | 373,000 | 372,942 | — | (58) | ||||||
Expiring 08/18/21 | Citibank, N.A. | CNH | 2,406 | 372,000 | 371,575 | — | (425) | ||||||
Expiring 08/18/21 | Credit Suisse International | CNH | 4,412 | 678,000 | 681,449 | 3,449 | — | ||||||
Expiring 08/18/21 | Credit Suisse International | CNH | 2,513 | 392,000 | 388,082 | — | (3,918) | ||||||
Expiring 08/18/21 | Goldman Sachs International | CNH | 2,740 | 422,000 | 423,258 | 1,258 | — | ||||||
Expiring 08/18/21 | Goldman Sachs International | CNH | 2,491 | 384,000 | 384,723 | 723 | — | ||||||
Expiring 08/18/21 | Goldman Sachs International | CNH | 2,403 | 371,000 | 371,114 | 114 | — | ||||||
Expiring 08/18/21 | Goldman Sachs International | CNH | 2,243 | 346,000 | 346,389 | 389 | — | ||||||
Expiring 08/18/21 | HSBC Bank PLC | CNH | 4,169 | 642,000 | 643,942 | 1,942 | — | ||||||
Expiring 08/18/21 | HSBC Bank PLC | CNH | 3,617 | 558,000 | 558,594 | 594 | — | ||||||
Expiring 08/18/21 | HSBC Bank PLC | CNH | 2,488 | 383,000 | 384,292 | 1,292 | — | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 4,642 | 717,000 | 717,022 | 22 | — |
33
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Chinese Renminbi (cont’d.), | |||||||||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 3,990 | $614,000 | $616,287 | $2,287 | $— | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 3,731 | 574,000 | 576,282 | 2,282 | — | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 3,355 | 523,000 | 518,266 | — | (4,734) | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 2,412 | 372,000 | 372,568 | 568 | — | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 2,374 | 366,000 | 366,671 | 671 | — | ||||||
Expiring 08/18/21 | Morgan Stanley & Co. International PLC | CNH | 2,727 | 422,000 | 421,161 | — | (839) | ||||||
Expiring 08/18/21 | Morgan Stanley & Co. International PLC | CNH | 1,020 | 157,170 | 157,561 | 391 | — | ||||||
Expiring 08/18/21 | Standard Chartered | CNH | 7,913 | 1,222,000 | 1,222,169 | 169 | — | ||||||
Expiring 09/30/21 | Goldman Sachs International | CNH | 1,986 | 305,000 | 305,541 | 541 | — | ||||||
Expiring 09/30/21 | UBS AG | CNH | 4,970 | 765,553 | 764,722 | — | (831) | ||||||
Expiring 01/28/22 | JPMorgan Chase Bank, N.A. | CNH | 3,291 | 497,363 | 501,520 | 4,157 | — | ||||||
Colombian Peso, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | COP | 2,811,428 | 781,430 | 723,155 | — | (58,275) | ||||||
Expiring 09/15/21 | Citibank, N.A. | COP | 1,363,046 | 376,000 | 350,602 | — | (25,398) | ||||||
Expiring 09/15/21 | Goldman Sachs International | COP | 915,860 | 253,000 | 235,577 | — | (17,423) | ||||||
Czech Koruna, | |||||||||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | CZK | 19,936 | 916,949 | 926,243 | 9,294 | — | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | CZK | 5,570 | 255,000 | 258,794 | 3,794 | — | ||||||
Expiring 10/19/21 | Morgan Stanley & Co. International PLC | CZK | 33,541 | 1,543,366 | 1,558,313 | 14,947 | — | ||||||
Expiring 10/19/21 | UBS AG | CZK | 8,336 | 382,000 | 387,273 | 5,273 | — | ||||||
Euro, | |||||||||||||
Expiring 08/31/21 | HSBC Bank PLC | EUR | 3,462 | 4,141,923 | 4,109,867 | — | (32,056) | ||||||
Expiring 08/31/21 | Morgan Stanley & Co. International PLC | EUR | 863 | 1,027,639 | 1,024,367 | — | (3,272) | ||||||
Expiring 10/19/21 | Barclays Bank PLC | EUR | 937 | 1,108,287 | 1,113,810 | 5,523 | — | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | EUR | 490 | 579,000 | 581,825 | 2,825 | — | ||||||
Expiring 11/22/21 | Bank of America, N.A. | EUR | 952 | 1,122,313 | 1,131,970 | 9,657 | — | ||||||
Expiring 11/22/21 | Deutsche Bank AG | EUR | 417 | 496,797 | 495,831 | — | (966) |
34
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Hungarian Forint, | |||||||||||||
Expiring 10/19/21 | Barclays Bank PLC | HUF | 114,640 | $376,000 | $378,421 | $2,421 | $— | ||||||
Expiring 10/19/21 | Barclays Bank PLC | HUF | 79,643 | 262,000 | 262,897 | 897 | — | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | INR | 27,204 | 367,000 | 363,846 | — | (3,154) | ||||||
Expiring 09/15/21 | Citibank, N.A. | INR | 409,820 | 5,554,581 | 5,481,249 | — | (73,332) | ||||||
Expiring 09/15/21 | Credit Suisse International | INR | 36,510 | 488,000 | 488,316 | 316 | — | ||||||
Expiring 09/15/21 | Credit Suisse International | INR | 27,626 | 368,000 | 369,488 | 1,488 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | INR | 27,985 | 378,000 | 374,291 | — | (3,709) | ||||||
Expiring 09/15/21 | Goldman Sachs International | INR | 27,672 | 374,000 | 370,110 | — | (3,890) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 34,795 | 464,000 | 465,380 | 1,380 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 27,135 | 368,000 | 362,930 | — | (5,070) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 26,455 | 353,000 | 353,823 | 823 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 25,393 | 339,000 | 339,632 | 632 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 47,081 | 629,000 | 629,693 | 693 | — | ||||||
Expiring 09/15/21 | Standard Chartered | INR | 42,967 | 574,000 | 574,679 | 679 | — | ||||||
Expiring 09/15/21 | Standard Chartered | INR | 28,273 | 378,000 | 378,139 | 139 | — | ||||||
Expiring 09/30/21 | Goldman Sachs International | INR | 242,481 | 3,183,000 | 3,237,504 | 54,504 | — | ||||||
Expiring 09/30/21 | HSBC Bank PLC | INR | 181,781 | 2,268,006 | 2,427,059 | 159,053 | — | ||||||
Expiring 09/30/21 | JPMorgan Chase Bank, N.A. | INR | 206,552 | 2,753,106 | 2,757,793 | 4,687 | — | ||||||
Expiring 09/30/21 | Morgan Stanley & Co. International PLC | INR | 20,765 | 276,000 | 277,240 | 1,240 | — | ||||||
Expiring 02/25/22 | JPMorgan Chase Bank, N.A. | INR | 139,894 | 1,830,000 | 1,835,862 | 5,862 | — | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/15/21 | Barclays Bank PLC | IDR | 5,411,325 | 375,000 | 372,870 | — | (2,130) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | IDR | 93,361,842 | 6,484,812 | 6,433,142 | — | (51,670) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 08/31/21 | Bank of America, N.A. | ILS | 5,275 | 1,615,528 | 1,632,210 | 16,682 | — | ||||||
Expiring 08/31/21 | Barclays Bank PLC | ILS | 1,079 | 330,000 | 334,007 | 4,007 | — | ||||||
Expiring 08/31/21 | Morgan Stanley & Co. International PLC | ILS | 1,806 | 551,790 | 558,643 | 6,853 | — |
35
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Israeli Shekel (cont’d.), | |||||||||||||
Expiring 09/17/21 | Bank of America, N.A. | ILS | 13,869 | $4,274,077 | $4,292,194 | $18,117 | $— | ||||||
Expiring 09/17/21 | Bank of America, N.A. | ILS | 1,558 | 477,000 | 482,255 | 5,255 | — | ||||||
Expiring 09/17/21 | Bank of America, N.A. | ILS | 1,205 | 373,000 | 372,809 | — | (191) | ||||||
Expiring 09/17/21 | JPMorgan Chase Bank, N.A. | ILS | 1,384 | 424,000 | 428,163 | 4,163 | — | ||||||
Japanese Yen, | |||||||||||||
Expiring 10/19/21 | Barclays Bank PLC | JPY | 174,635 | 1,585,951 | 1,592,895 | 6,944 | — | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | JPY | 62,565 | 570,000 | 570,674 | 674 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | JPY | 538,981 | 5,262,454 | 4,922,177 | — | (340,277) | ||||||
Expiring 01/28/22 | Deutsche Bank AG | JPY | 406,777 | 3,862,000 | 3,714,841 | — | (147,159) | ||||||
Expiring 01/28/22 | Deutsche Bank AG | JPY | 153,253 | 1,470,000 | 1,399,562 | — | (70,438) | ||||||
Expiring 01/28/22 | Deutsche Bank AG | JPY | 102,273 | 944,000 | 933,996 | — | (10,004) | ||||||
Expiring 05/31/22 | Citibank, N.A. | JPY | 92,578 | 849,426 | 846,495 | — | (2,931) | ||||||
Expiring 05/31/22 | Deutsche Bank AG | JPY | 662,163 | 6,130,000 | 6,054,538 | — | (75,462) | ||||||
Expiring 10/31/23 | Barclays Bank PLC | JPY | 487,838 | 5,118,000 | 4,508,173 | — | (609,827) | ||||||
Expiring 10/31/23 | Deutsche Bank AG | JPY | 498,249 | 5,219,999 | 4,604,387 | — | (615,612) | ||||||
Expiring 10/31/23 | Goldman Sachs International | JPY | 874,045 | 8,971,000 | 8,077,165 | — | (893,835) | ||||||
Expiring 10/31/23 | Morgan Stanley & Co. International PLC | JPY | 855,296 | 8,262,958 | 7,903,908 | — | (359,050) | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | MXN | 5,214 | 252,000 | 260,273 | 8,273 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | MXN | 24,106 | 1,214,424 | 1,203,359 | — | (11,065) | ||||||
Expiring 09/15/21 | Goldman Sachs International | MXN | 4,979 | 247,000 | 248,533 | 1,533 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | MXN | 4,804 | 241,000 | 239,806 | — | (1,194) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | MXN | 7,472 | 373,000 | 373,012 | 12 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | MXN | 7,443 | 373,000 | 371,558 | — | (1,442) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | MXN | 5,014 | 247,000 | 250,289 | 3,289 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | MXN | 46,277 | 2,288,655 | 2,310,074 | 21,419 | — | ||||||
Expiring 09/15/21 | UBS AG | MXN | 11,639 | 575,000 | 580,999 | 5,999 | — | ||||||
Expiring 09/15/21 | UBS AG | MXN | 5,187 | 255,000 | 258,917 | 3,917 | — | ||||||
Expiring 02/25/22 | Bank of America, N.A. | MXN | 47,307 | 2,005,107 | 2,305,111 | 300,004 | — | ||||||
Expiring 02/25/22 | Morgan Stanley & Co. International PLC | MXN | 28,900 | 1,360,406 | 1,408,186 | 47,780 | — |
36
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Mexican Peso (cont’d.), | |||||||||||||
Expiring 04/28/23 | JPMorgan Chase Bank, N.A. | MXN | 72,679 | $3,006,698 | $3,310,541 | $303,843 | $— | ||||||
Expiring 04/28/23 | Morgan Stanley & Co. International PLC | MXN | 231,058 | 9,739,000 | 10,524,663 | 785,663 | — | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | TWD | 17,564 | 629,000 | 629,488 | 488 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | TWD | 10,176 | 372,000 | 364,703 | — | (7,297) | ||||||
Expiring 09/15/21 | Credit Suisse International | TWD | 10,434 | 376,000 | 373,974 | — | (2,026) | ||||||
Expiring 09/15/21 | Goldman Sachs International | TWD | 10,616 | 381,000 | 380,490 | — | (510) | ||||||
Expiring 09/15/21 | Goldman Sachs International | TWD | 10,565 | 386,000 | 378,663 | — | (7,337) | ||||||
Expiring 09/15/21 | Goldman Sachs International | TWD | 9,802 | 353,000 | 351,313 | — | (1,687) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | TWD | 17,493 | 628,000 | 626,957 | — | (1,043) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | TWD | 17,465 | 623,000 | 625,951 | 2,951 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | TWD | 13,588 | 497,000 | 487,019 | — | (9,981) | ||||||
Expiring 09/15/21 | Standard Chartered | TWD | 10,242 | 367,000 | 367,074 | 74 | — | ||||||
Expiring 09/30/21 | JPMorgan Chase Bank, N.A. | TWD | 164,717 | 6,058,000 | 5,907,753 | — | (150,247) | ||||||
Expiring 12/23/21 | Citibank, N.A. | TWD | 21,613 | 789,307 | 779,039 | — | (10,268) | ||||||
Expiring 12/23/21 | Deutsche Bank AG | TWD | 18,134 | 651,000 | 653,654 | 2,654 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | PEN | 1,996 | 521,000 | 491,343 | — | (29,657) | ||||||
Expiring 09/15/21 | BNP Paribas S.A. | PEN | 1,465 | 371,000 | 360,825 | — | (10,175) | ||||||
Expiring 09/15/21 | Goldman Sachs International | PEN | 1,528 | 386,000 | 376,246 | — | (9,754) | ||||||
Expiring 09/15/21 | Goldman Sachs International | PEN | 1,387 | 351,000 | 341,529 | — | (9,471) | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | PHP | 37,396 | 742,000 | 746,482 | 4,482 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | PHP | 24,301 | 496,000 | 485,076 | — | (10,924) | ||||||
Expiring 09/15/21 | Citibank, N.A. | PHP | 18,040 | 369,000 | 360,114 | — | (8,886) | ||||||
Expiring 09/15/21 | Citibank, N.A. | PHP | 17,912 | 368,000 | 357,559 | — | (10,441) | ||||||
Expiring 09/15/21 | Goldman Sachs International | PHP | 37,884 | 749,000 | 756,231 | 7,231 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | PHP | 17,822 | 368,000 | 355,759 | — | (12,241) |
37
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Philippine Peso (cont’d.), | |||||||||||||
Expiring 09/15/21 | HSBC Bank PLC | PHP | 40,378 | $802,000 | $806,012 | $4,012 | $— | ||||||
Expiring 09/15/21 | HSBC Bank PLC | PHP | 37,166 | 735,000 | 741,889 | 6,889 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | PHP | 18,323 | 374,000 | 365,753 | — | (8,247) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | PHP | 37,055 | 756,000 | 739,666 | — | (16,334) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | PHP | 18,983 | 394,000 | 378,928 | — | (15,072) | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 56,248 | 1,116,000 | 1,122,786 | 6,786 | — | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 44,572 | 881,000 | 889,716 | 8,716 | — | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 30,796 | 613,000 | 614,740 | 1,740 | — | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 29,522 | 583,000 | 589,303 | 6,303 | — | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 25,173 | 500,000 | 502,491 | 2,491 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/19/21 | Barclays Bank PLC | PLN | 5,424 | 1,414,018 | 1,408,218 | — | (5,800) | ||||||
Expiring 10/19/21 | HSBC Bank PLC | PLN | 6,781 | 1,763,329 | 1,760,590 | — | (2,739) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/15/21 | Barclays Bank PLC | RUB | 34,622 | 463,000 | 470,091 | 7,091 | — | ||||||
Expiring 09/15/21 | Barclays Bank PLC | RUB | 28,582 | 389,000 | 388,076 | — | (924) | ||||||
Expiring 09/15/21 | Barclays Bank PLC | RUB | 18,276 | 246,000 | 248,145 | 2,145 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | RUB | 18,638 | 249,000 | 253,057 | 4,057 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 252,743 | 3,401,878 | 3,431,675 | 29,797 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 68,795 | 945,000 | 934,080 | — | (10,920) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 33,661 | 460,000 | 457,036 | — | (2,964) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 28,954 | 390,000 | 393,130 | 3,130 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 28,395 | 379,000 | 385,536 | 6,536 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 28,285 | 383,000 | 384,041 | 1,041 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 27,764 | 369,000 | 376,967 | 7,967 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 26,661 | 366,000 | 362,000 | — | (4,000) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 18,728 | 252,000 | 254,289 | 2,289 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 18,433 | 250,999 | 250,274 | — | (725) | ||||||
Expiring 11/22/21 | Deutsche Bank AG | RUB | 153,565 | 1,982,000 | 2,058,761 | 76,761 | — |
38
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Russian Ruble (cont’d.), | |||||||||||||
Expiring 11/22/21 | Morgan Stanley & Co. International PLC | RUB | 176,513 | $2,206,000 | $2,366,408 | $160,408 | $— | ||||||
South African Rand, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | ZAR | 13,326 | 915,045 | 904,164 | — | (10,881) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 10,159 | 688,000 | 689,267 | 1,267 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 3,435 | 247,000 | 233,098 | — | (13,902) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 3,394 | 247,000 | 230,316 | — | (16,684) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | ZAR | 3,531 | 254,000 | 239,569 | — | (14,431) | ||||||
Expiring 09/30/21 | Barclays Bank PLC | ZAR | 4,188 | 280,000 | 283,585 | 3,585 | — | ||||||
Expiring 09/30/21 | Citibank, N.A. | ZAR | 4,118 | 283,000 | 278,857 | — | (4,143) | ||||||
Expiring 09/30/21 | Goldman Sachs International | ZAR | 25,218 | 1,749,196 | 1,707,775 | — | (41,421) | ||||||
Expiring 09/30/21 | Goldman Sachs International | ZAR | 3,534 | 243,000 | 239,332 | — | (3,668) | ||||||
Expiring 09/30/21 | JPMorgan Chase Bank, N.A. | ZAR | 259,809 | 15,802,000 | 17,594,435 | 1,792,435 | — | ||||||
Expiring 12/23/21 | Goldman Sachs International | ZAR | 73,237 | 3,878,000 | 4,906,933 | 1,028,933 | — | ||||||
Expiring 05/31/22 | Morgan Stanley & Co. International PLC | ZAR | 10,977 | 706,260 | 720,673 | 14,413 | — | ||||||
South Korean Won, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | KRW | 782,111 | 689,000 | 677,811 | — | (11,189) | ||||||
Expiring 09/15/21 | Citibank, N.A. | KRW | 716,075 | 621,000 | 620,581 | — | (419) | ||||||
Expiring 09/15/21 | Citibank, N.A. | KRW | 660,383 | 597,000 | 572,316 | — | (24,684) | ||||||
Expiring 09/15/21 | Credit Suisse International | KRW | 5,378,603 | 4,821,697 | 4,661,326 | — | (160,371) | ||||||
Expiring 09/15/21 | Goldman Sachs International | KRW | 452,103 | 394,000 | 391,812 | — | (2,188) | ||||||
Expiring 09/15/21 | Goldman Sachs International | KRW | 431,057 | 380,000 | 373,572 | — | (6,428) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | KRW | 561,495 | 492,000 | 486,615 | — | (5,385) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | KRW | 443,021 | 384,000 | 383,941 | — | (59) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | KRW | 427,314 | 374,000 | 370,328 | — | (3,672) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | KRW | 432,834 | 374,000 | 375,112 | 1,112 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | KRW | 429,595 | 374,000 | 372,305 | — | (1,695) | ||||||
Expiring 09/15/21 | Standard Chartered | KRW | 731,850 | 638,000 | 634,252 | — | (3,748) |
39
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Purchase Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
South Korean Won (cont’d.), | |||||||||||||
Expiring 09/15/21 | Standard Chartered | KRW | 670,030 | $585,000 | $580,676 | $— | $(4,324) | ||||||
Expiring 09/15/21 | Standard Chartered | KRW | 317,326 | 277,000 | 275,008 | — | (1,992) | ||||||
Expiring 10/29/21 | Citibank, N.A. | KRW | 2,376,006 | 2,173,283 | 2,057,953 | — | (115,330) | ||||||
Expiring 10/29/21 | Citibank, N.A. | KRW | 425,741 | 378,000 | 368,751 | — | (9,249) | ||||||
Expiring 10/29/21 | JPMorgan Chase Bank, N.A. | KRW | 1,242,907 | 1,098,266 | 1,076,531 | — | (21,735) | ||||||
Expiring 10/29/21 | Morgan Stanley & Co. International PLC | KRW | 654,439 | 576,547 | 566,835 | — | (9,712) | ||||||
Thai Baht, | |||||||||||||
Expiring 09/15/21 | Goldman Sachs International | THB | 58,829 | 1,883,741 | 1,789,452 | — | (94,289) | ||||||
Expiring 09/15/21 | Goldman Sachs International | THB | 11,704 | 364,000 | 356,011 | — | (7,989) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | THB | 88,311 | 2,827,397 | 2,686,230 | — | (141,167) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | THB | 14,988 | 467,000 | 455,898 | — | (11,102) | ||||||
Expiring 09/15/21 | Standard Chartered | THB | 15,853 | 491,000 | 482,202 | — | (8,798) | ||||||
$287,537,592 | $284,055,295 | 6,049,199 | (9,531,496) |
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts: | |||||||||||||
Australian Dollar, | |||||||||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | AUD | 899 | $663,877 | $659,975 | $3,902 | $— | ||||||
Expiring 10/19/21 | Morgan Stanley & Co. International PLC | AUD | 1,033 | 768,291 | 758,575 | 9,716 | — | ||||||
Expiring 05/31/22 | Morgan Stanley & Co. International PLC | AUD | 1,263 | 953,616 | 927,784 | 25,832 | — | ||||||
Brazilian Real, | |||||||||||||
Expiring 08/03/21 | Bank of America, N.A. | BRL | 1,226 | 244,000 | 235,239 | 8,761 | — | ||||||
Expiring 08/03/21 | Bank of America, N.A. | BRL | 1,137 | 226,000 | 218,154 | 7,846 | — | ||||||
Expiring 08/03/21 | Citibank, N.A. | BRL | 2,378 | 458,000 | 456,304 | 1,696 | — | ||||||
Expiring 08/03/21 | Citibank, N.A. | BRL | 1,652 | 328,900 | 317,104 | 11,796 | — | ||||||
Expiring 08/03/21 | Citibank, N.A. | BRL | 1,222 | 243,100 | 234,432 | 8,668 | — | ||||||
Expiring 08/03/21 | Morgan Stanley & Co. International PLC | BRL | 11,495 | 2,218,593 | 2,205,908 | 12,685 | — |
40
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Brazilian Real (cont’d.), | |||||||||||||
Expiring 08/03/21 | Morgan Stanley & Co. International PLC | BRL | 2,951 | $579,000 | $566,334 | $12,666 | $— | ||||||
Expiring 08/03/21 | UBS AG | BRL | 1,342 | 253,000 | 257,610 | — | (4,610) | ||||||
Expiring 09/30/21 | Bank of America, N.A. | BRL | 47,736 | 11,027,000 | 9,090,904 | 1,936,096 | — | ||||||
Expiring 09/30/21 | Deutsche Bank AG | BRL | 79,414 | 17,683,000 | 15,123,807 | 2,559,193 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | BRL | 24,184 | 4,311,000 | 4,511,915 | — | (200,915) | ||||||
Expiring 01/28/22 | Citibank, N.A. | BRL | 2,181 | 414,751 | 406,871 | 7,880 | — | ||||||
Expiring 01/28/22 | Deutsche Bank AG | BRL | 37,286 | 8,109,155 | 6,956,416 | 1,152,739 | — | ||||||
British Pound, | |||||||||||||
Expiring 08/31/21 | Morgan Stanley & Co. International PLC | GBP | 832 | 1,147,705 | 1,156,618 | — | (8,913) | ||||||
Expiring 10/19/21 | BNP Paribas S.A. | GBP | 25,137 | 34,837,954 | 34,947,356 | — | (109,402) | ||||||
Expiring 01/28/22 | JPMorgan Chase Bank, N.A. | GBP | 625 | 817,100 | 869,183 | — | (52,083) | ||||||
Chilean Peso, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | CLP | 1,046,492 | 1,461,315 | 1,377,122 | 84,193 | — | ||||||
Expiring 09/15/21 | BNP Paribas S.A. | CLP | 437,859 | 607,000 | 576,198 | 30,802 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | CLP | 429,996 | 597,000 | 565,850 | 31,150 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | CLP | 423,308 | 574,000 | 557,049 | 16,951 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | CLP | 178,262 | 238,000 | 234,582 | 3,418 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | CLP | 1,145,517 | 1,599,471 | 1,507,434 | 92,037 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | CLP | 119,685 | 157,170 | 157,498 | — | (328) | ||||||
Expiring 10/29/21 | Bank of America, N.A. | CLP | 1,989,417 | 2,524,000 | 2,613,687 | — | (89,687) | ||||||
Chinese Renminbi, | |||||||||||||
Expiring 08/18/21 | Credit Suisse International | CNH | 5,116 | 798,000 | 790,167 | 7,833 | — | ||||||
Expiring 08/18/21 | Credit Suisse International | CNH | 4,756 | 742,000 | 734,573 | 7,427 | — | ||||||
Expiring 08/18/21 | Goldman Sachs International | CNH | 3,406 | 530,000 | 526,140 | 3,860 | — | ||||||
Expiring 08/18/21 | HSBC Bank PLC | CNH | 4,921 | 766,000 | 760,143 | 5,857 | — | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 4,876 | 760,000 | 753,159 | 6,841 | — | ||||||
Expiring 08/18/21 | JPMorgan Chase Bank, N.A. | CNH | 2,416 | 371,000 | 373,086 | — | (2,086) | ||||||
Expiring 08/18/21 | Morgan Stanley & Co. International PLC | CNH | 6,133 | 957,000 | 947,332 | 9,668 | — | ||||||
Expiring 01/28/22 | Deutsche Bank AG | CNH | 3,291 | 478,000 | 501,520 | — | (23,520) |
41
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Colombian Peso, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | COP | 3,127,846 | $824,000 | $804,543 | $19,457 | $— | ||||||
Expiring 09/15/21 | Citibank, N.A. | COP | 954,727 | 252,000 | 245,575 | 6,425 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | COP | 936,895 | 249,000 | 240,988 | 8,012 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | COP | 1,400,056 | 373,000 | 360,122 | 12,878 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | COP | 1,437,000 | 377,000 | 369,624 | 7,376 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | COP | 1,012,897 | 259,000 | 260,537 | — | (1,537) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | COP | 1,012,656 | 264,000 | 260,475 | 3,525 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | COP | 1,008,765 | 261,000 | 259,474 | 1,526 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | COP | 918,813 | 241,000 | 236,337 | 4,663 | — | ||||||
Czech Koruna, | |||||||||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | CZK | 12,550 | 579,000 | 583,066 | — | (4,066) | ||||||
Euro, | |||||||||||||
Expiring 10/19/21 | BNP Paribas S.A. | EUR | 45,876 | 54,407,176 | 54,506,939 | — | (99,763) | ||||||
Expiring 10/19/21 | HSBC Bank PLC | EUR | 31,304 | 37,227,065 | 37,193,833 | 33,232 | — | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | EUR | 405 | 477,000 | 481,070 | — | (4,070) | ||||||
Expiring 11/22/21 | Citibank, N.A. | EUR | 509 | 606,703 | 605,673 | 1,030 | — | ||||||
Expiring 11/22/21 | Morgan Stanley & Co. International PLC | EUR | 860 | 1,025,453 | 1,022,128 | 3,325 | — | ||||||
Hungarian Forint, | |||||||||||||
Expiring 10/19/21 | Barclays Bank PLC | HUF | 480,409 | 1,599,405 | 1,585,805 | 13,600 | — | ||||||
Expiring 10/19/21 | Goldman Sachs International | HUF | 114,971 | 381,000 | 379,512 | 1,488 | — | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | HUF | 79,091 | 258,000 | 261,075 | — | (3,075) | ||||||
Indian Rupee, | |||||||||||||
Expiring 09/15/21 | HSBC Bank PLC | INR | 57,329 | 760,000 | 766,764 | — | (6,764) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | INR | 51,446 | 686,000 | 688,077 | — | (2,077) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | INR | 35,340 | 469,000 | 472,660 | — | (3,660) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 46,574 | 620,000 | 622,922 | — | (2,922) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | INR | 38,138 | 508,000 | 510,089 | — | (2,089) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 48,421 | 644,000 | 647,621 | — | (3,621) |
42
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Indian Rupee (cont’d.), | |||||||||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 46,403 | $618,000 | $620,624 | $— | $(2,624) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 28,876 | 384,000 | 386,205 | — | (2,205) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 27,984 | 375,000 | 374,285 | 715 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | INR | 27,808 | 369,000 | 371,921 | — | (2,921) | ||||||
Expiring 09/15/21 | Standard Chartered | INR | 95,563 | 1,267,000 | 1,278,141 | — | (11,141) | ||||||
Expiring 09/15/21 | Standard Chartered | INR | 47,015 | 628,000 | 628,818 | — | (818) | ||||||
Expiring 09/15/21 | Standard Chartered | INR | 28,901 | 386,000 | 386,544 | — | (544) | ||||||
Expiring 09/15/21 | UBS AG | INR | 34,971 | 467,000 | 467,727 | — | (727) | ||||||
Expiring 09/30/21 | Bank of America, N.A. | INR | 424,262 | 5,480,000 | 5,664,563 | — | (184,563) | ||||||
Expiring 09/30/21 | Barclays Bank PLC | INR | 27,315 | 363,000 | 364,699 | — | (1,699) | ||||||
Expiring 02/25/22 | JPMorgan Chase Bank, N.A. | INR | 179,467 | 2,319,000 | 2,355,187 | — | (36,187) | ||||||
Expiring 02/25/22 | Morgan Stanley & Co. International PLC | INR | 164,184 | 2,095,000 | 2,154,621 | — | (59,621) | ||||||
Indonesian Rupiah, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | IDR | 9,805,189 | 671,000 | 675,631 | — | (4,631) | ||||||
Expiring 09/15/21 | Credit Suisse International | IDR | 5,416,340 | 371,000 | 373,216 | — | (2,216) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | IDR | 17,475,651 | 1,214,000 | 1,204,168 | 9,832 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | IDR | 17,354,796 | 1,205,000 | 1,195,841 | 9,159 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | IDR | 5,582,930 | 382,000 | 384,694 | — | (2,694) | ||||||
Expiring 09/15/21 | Standard Chartered | IDR | 17,537,522 | 1,198,000 | 1,208,431 | — | (10,431) | ||||||
Israeli Shekel, | |||||||||||||
Expiring 08/31/21 | BNP Paribas S.A. | ILS | 8,160 | 2,500,000 | 2,524,860 | — | (24,860) | ||||||
Expiring 09/17/21 | Bank of America, N.A. | ILS | 1,243 | 379,000 | 384,770 | — | (5,770) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 4,569 | 1,404,000 | 1,414,122 | — | (10,122) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 3,270 | 1,006,000 | 1,011,989 | — | (5,989) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 2,445 | 748,000 | 756,805 | — | (8,805) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 2,061 | 630,000 | 637,958 | — | (7,958) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 2,061 | 628,000 | 637,765 | — | (9,765) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 1,986 | 611,000 | 614,488 | — | (3,488) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 1,626 | 499,000 | 503,246 | — | (4,246) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 1,286 | 390,000 | 397,905 | — | (7,905) | ||||||
Expiring 09/17/21 | Barclays Bank PLC | ILS | 1,163 | 357,000 | 360,049 | — | (3,049) | ||||||
Expiring 09/17/21 | Citibank, N.A. | ILS | 2,402 | 741,000 | 743,506 | — | (2,506) | ||||||
Expiring 09/17/21 | Citibank, N.A. | ILS | 1,900 | 579,000 | 588,143 | — | (9,143) | ||||||
Expiring 09/17/21 | Citibank, N.A. | ILS | 1,241 | 379,000 | 383,932 | — | (4,932) |
43
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Israeli Shekel (cont’d.), | |||||||||||||
Expiring 09/17/21 | Citibank, N.A. | ILS | 1,237 | $378,000 | $382,691 | $— | $(4,691) | ||||||
Japanese Yen, | |||||||||||||
Expiring 10/19/21 | Barclays Bank PLC | JPY | 189,866 | 1,720,600 | 1,731,820 | — | (11,220) | ||||||
Expiring 01/28/22 | Citibank, N.A. | JPY | 634,903 | 5,972,189 | 5,798,181 | 174,008 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | JPY | 601,760 | 5,760,948 | 5,495,501 | 265,447 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | JPY | 410,350 | 3,967,301 | 3,747,472 | 219,829 | — | ||||||
Expiring 01/28/22 | Citibank, N.A. | JPY | 93,027 | 852,053 | 849,560 | 2,493 | — | ||||||
Expiring 05/31/22 | Citibank, N.A. | JPY | 293,864 | 2,846,550 | 2,686,966 | 159,584 | — | ||||||
Expiring 05/31/22 | Deutsche Bank AG | JPY | 349,393 | 3,323,000 | 3,194,699 | 128,301 | — | ||||||
Expiring 10/31/23 | Bank of America, N.A. | JPY | 1,325,555 | 12,988,000 | 12,249,637 | 738,363 | — | ||||||
Expiring 10/31/23 | Bank of America, N.A. | JPY | 1,168,753 | 11,585,000 | 10,800,604 | 784,396 | — | ||||||
Expiring 10/31/23 | Citibank, N.A. | JPY | 399,802 | 4,148,827 | 3,694,622 | 454,205 | — | ||||||
Expiring 10/31/23 | Citibank, N.A. | JPY | 46,713 | 447,401 | 431,682 | 15,719 | — | ||||||
Mexican Peso, | |||||||||||||
Expiring 09/15/21 | Goldman Sachs International | MXN | 3,250 | 161,000 | 162,253 | — | (1,253) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | MXN | 11,714 | 580,000 | 584,764 | — | (4,764) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | MXN | 7,771 | 385,000 | 387,931 | — | (2,931) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | MXN | 11,748 | 574,000 | 586,435 | — | (12,435) | ||||||
Expiring 02/25/22 | Barclays Bank PLC | MXN | 45,503 | 1,924,000 | 2,217,184 | — | (293,184) | ||||||
Expiring 02/25/22 | Deutsche Bank AG | MXN | 16,101 | 750,000 | 784,528 | — | (34,528) | ||||||
Expiring 02/25/22 | Goldman Sachs International | MXN | 14,604 | 589,000 | 711,585 | — | (122,585) | ||||||
Expiring 04/28/23 | Morgan Stanley & Co. International PLC | MXN | 303,737 | 13,188,761 | 13,835,204 | — | (646,443) | ||||||
New Taiwanese Dollar, | |||||||||||||
Expiring 09/15/21 | Goldman Sachs International | TWD | 47,908 | 1,748,341 | 1,717,052 | 31,289 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | TWD | 10,491 | 379,000 | 375,993 | 3,007 | — | ||||||
Expiring 09/30/21 | JPMorgan Chase Bank, N.A. | TWD | 164,717 | 6,185,393 | 5,907,753 | 277,640 | — | ||||||
Expiring 12/23/21 | JPMorgan Chase Bank, N.A. | TWD | 39,747 | 1,509,000 | 1,432,693 | 76,307 | — | ||||||
Peruvian Nuevo Sol, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | PEN | 1,923 | 490,000 | 473,509 | 16,491 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | PEN | 1,378 | 351,000 | 339,343 | 11,657 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | PEN | 4,404 | 1,165,084 | 1,084,364 | 80,720 | — |
44
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Peruvian Nuevo Sol (cont’d.), | |||||||||||||
Expiring 09/15/21 | Goldman Sachs International | PEN | 1,948 | $502,000 | $479,679 | $22,321 | $— | ||||||
Expiring 09/15/21 | Goldman Sachs International | PEN | 1,520 | 387,000 | 374,277 | 12,723 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | PEN | 1,930 | 494,673 | 475,260 | 19,413 | — | ||||||
Philippine Peso, | |||||||||||||
Expiring 09/15/21 | Barclays Bank PLC | PHP | 24,544 | 502,000 | 489,941 | 12,059 | — | ||||||
Expiring 09/15/21 | Citibank, N.A. | PHP | 18,176 | 373,000 | 362,812 | 10,188 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | PHP | 19,921 | 393,000 | 397,657 | — | (4,657) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | PHP | 23,540 | 490,000 | 469,886 | 20,114 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | PHP | 21,715 | 450,678 | 433,456 | 17,222 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | PHP | 19,462 | 385,000 | 388,482 | — | (3,482) | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 41,684 | 844,000 | 832,074 | 11,926 | — | ||||||
Expiring 09/15/21 | Standard Chartered | PHP | 18,004 | 368,000 | 359,388 | 8,612 | — | ||||||
Polish Zloty, | |||||||||||||
Expiring 10/19/21 | Goldman Sachs International | PLN | 821 | 212,000 | 213,177 | — | (1,177) | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | PLN | 1,457 | 377,000 | 378,410 | — | (1,410) | ||||||
Expiring 10/19/21 | JPMorgan Chase Bank, N.A. | PLN | 998 | 260,001 | 259,245 | 756 | — | ||||||
Expiring 10/19/21 | Morgan Stanley & Co. International PLC | PLN | 3,746 | 961,000 | 972,519 | — | (11,519) | ||||||
Russian Ruble, | |||||||||||||
Expiring 09/15/21 | Barclays Bank PLC | RUB | 42,603 | 574,000 | 578,451 | — | (4,451) | ||||||
Expiring 09/15/21 | Barclays Bank PLC | RUB | 27,698 | 373,000 | 376,072 | — | (3,072) | ||||||
Expiring 09/15/21 | Goldman Sachs International | RUB | 28,062 | 379,000 | 381,023 | — | (2,023) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 76,172 | 1,035,000 | 1,034,244 | 756 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 46,270 | 633,000 | 628,243 | 4,757 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 41,984 | 574,000 | 570,054 | 3,946 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 41,775 | 564,000 | 567,212 | — | (3,212) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 28,735 | 380,000 | 390,158 | — | (10,158) |
45
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Russian Ruble (cont’d.), | |||||||||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | RUB | 27,192 | $371,000 | $369,212 | $1,788 | $— | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 36,454 | 492,000 | 494,960 | — | (2,960) | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | RUB | 27,056 | 366,000 | 367,360 | — | (1,360) | ||||||
Expiring 11/22/21 | Citibank, N.A. | RUB | 41,475 | 556,999 | 556,027 | 972 | — | ||||||
Expiring 11/22/21 | Deutsche Bank AG | RUB | 273,335 | 3,606,000 | 3,664,440 | — | (58,440) | ||||||
Expiring 11/22/21 | Deutsche Bank AG | RUB | 14,383 | 190,000 | 192,824 | — | (2,824) | ||||||
Singapore Dollar, | |||||||||||||
Expiring 09/15/21 | BNP Paribas S.A. | SGD | 873 | 643,000 | 644,548 | — | (1,548) | ||||||
Expiring 09/15/21 | BNP Paribas S.A. | SGD | 667 | 503,000 | 492,250 | 10,750 | — | ||||||
Expiring 09/15/21 | Credit Suisse International | SGD | 940 | 691,000 | 693,587 | — | (2,587) | ||||||
Expiring 09/15/21 | Credit Suisse International | SGD | 502 | 374,000 | 370,299 | 3,701 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | SGD | 1,175 | 868,000 | 867,218 | 782 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | SGD | 588 | 437,000 | 433,734 | 3,266 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | SGD | 505 | 374,000 | 372,480 | 1,520 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | SGD | 492 | 366,000 | 363,319 | 2,681 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | SGD | 500 | 377,000 | 369,138 | 7,862 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | SGD | 498 | 367,000 | 367,342 | — | (342) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | SGD | 688 | 508,000 | 507,660 | 340 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | SGD | 484 | 360,000 | 356,969 | 3,031 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | SGD | 832 | 615,000 | 614,373 | 627 | — | ||||||
Expiring 09/15/21 | The Toronto-Dominion Bank | SGD | 745 | 562,096 | 549,860 | 12,236 | — | ||||||
Expiring 09/15/21 | UBS AG | SGD | 869 | 643,000 | 641,526 | 1,474 | — | ||||||
Expiring 09/15/21 | UBS AG | SGD | 857 | 636,000 | 632,615 | 3,385 | — | ||||||
Expiring 09/15/21 | UBS AG | SGD | 819 | 605,000 | 604,546 | 454 | — | ||||||
South African Rand, | |||||||||||||
Expiring 09/15/21 | Bank of America, N.A. | ZAR | 5,436 | 370,000 | 368,818 | 1,182 | — | ||||||
Expiring 09/15/21 | Barclays Bank PLC | ZAR | 6,830 | 463,000 | 463,441 | — | (441) | ||||||
Expiring 09/15/21 | Barclays Bank PLC | ZAR | 3,778 | 254,000 | 256,346 | — | (2,346) | ||||||
Expiring 09/15/21 | Barclays Bank PLC | ZAR | 3,632 | 246,000 | 246,440 | — | (440) |
46
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
South African Rand (cont’d.), | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | ZAR | 80,148 | $5,838,741 | $5,438,046 | $400,695 | $— | ||||||
Expiring 09/15/21 | Citibank, N.A. | ZAR | 67,193 | 4,912,389 | 4,559,068 | 353,321 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | ZAR | 3,667 | 252,000 | 248,825 | 3,175 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | ZAR | 3,150 | 219,000 | 213,700 | 5,300 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | ZAR | 8,259 | 572,000 | 560,402 | 11,598 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 6,846 | 464,000 | 464,480 | — | (480) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | ZAR | 3,700 | 252,000 | 251,024 | 976 | — | ||||||
Expiring 09/15/21 | Morgan Stanley & Co. International PLC | ZAR | 6,776 | 463,000 | 459,775 | 3,225 | — | ||||||
Expiring 09/15/21 | The Toronto-Dominion Bank | ZAR | 56,787 | 4,073,969 | 3,853,013 | 220,956 | — | ||||||
Expiring 09/30/21 | Morgan Stanley & Co. International PLC | ZAR | 244,993 | 14,076,000 | 16,591,098 | — | (2,515,098) | ||||||
Expiring 09/30/21 | Morgan Stanley & Co. International PLC | ZAR | 14,816 | 977,425 | 1,003,338 | — | (25,913) | ||||||
Expiring 12/23/21 | Barclays Bank PLC | ZAR | 44,623 | 2,407,116 | 2,989,789 | — | (582,673) | ||||||
Expiring 12/23/21 | Goldman Sachs International | ZAR | 7,752 | 489,000 | 519,373 | — | (30,373) | ||||||
Expiring 12/23/21 | Morgan Stanley & Co. International PLC | ZAR | 20,862 | 1,363,884 | 1,397,771 | — | (33,887) | ||||||
Expiring 05/31/22 | JPMorgan Chase Bank, N.A. | ZAR | 10,977 | 652,000 | 720,673 | — | (68,673) | ||||||
Expiring 05/31/22 | JPMorgan Chase Bank, N.A. | ZAR | 7,904 | 507,000 | 518,878 | — | (11,878) | ||||||
South Korean Won, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | KRW | 425,130 | 375,000 | 368,436 | 6,564 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | KRW | 568,507 | 510,000 | 492,692 | 17,308 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | KRW | 2,032,345 | 1,821,000 | 1,761,317 | 59,683 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | KRW | 430,267 | 379,000 | 372,888 | 6,112 | — | ||||||
Expiring 09/15/21 | Standard Chartered | KRW | 1,037,820 | 915,000 | 899,419 | 15,581 | — | ||||||
Expiring 10/29/21 | Barclays Bank PLC | KRW | 183,049 | 159,000 | 158,546 | 454 | — | ||||||
Expiring 10/29/21 | JPMorgan Chase Bank, N.A. | KRW | 4,699,094 | 4,099,000 | 4,070,069 | 28,931 | — | ||||||
Swiss Franc, | |||||||||||||
Expiring 10/19/21 | UBS AG | CHF | 2,021 | 2,215,378 | 2,235,874 | — | (20,496) |
47
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Forward foreign currency exchange contracts outstanding at July 31, 2021 (continued):
Sale Contracts | Counterparty | Notional Amount (000) | Value at Settlement Date | Current Value | Unrealized Appreciation | Unrealized Depreciation | |||||||
OTC Forward Foreign Currency Exchange Contracts (cont’d.): | |||||||||||||
Thai Baht, | |||||||||||||
Expiring 09/15/21 | Citibank, N.A. | THB | 20,634 | $628,000 | $627,645 | $355 | $— | ||||||
Expiring 09/15/21 | Citibank, N.A. | THB | 17,935 | 574,000 | 545,536 | 28,464 | — | ||||||
Expiring 09/15/21 | Goldman Sachs International | THB | 12,024 | 367,000 | 365,743 | 1,257 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | THB | 26,738 | 850,000 | 813,310 | 36,690 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | THB | 16,577 | 504,000 | 504,221 | — | (221) | ||||||
Expiring 09/15/21 | HSBC Bank PLC | THB | 16,222 | 496,000 | 493,445 | 2,555 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | THB | 13,648 | 437,000 | 415,126 | 21,874 | — | ||||||
Expiring 09/15/21 | HSBC Bank PLC | THB | 12,603 | 383,000 | 383,355 | — | (355) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | THB | 20,499 | 655,000 | 623,539 | 31,461 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | THB | 16,396 | 498,000 | 498,734 | — | (734) | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | THB | 15,376 | 493,000 | 467,701 | 25,299 | — | ||||||
Expiring 09/15/21 | JPMorgan Chase Bank, N.A. | THB | 11,456 | 368,000 | 348,461 | 19,539 | — | ||||||
Expiring 09/15/21 | Standard Chartered | THB | 15,777 | 505,000 | 479,915 | 25,085 | — | ||||||
Expiring 09/15/21 | Standard Chartered | THB | 11,844 | 375,000 | 360,279 | 14,721 | — | ||||||
Expiring 09/15/21 | UBS AG | THB | 15,971 | 511,000 | 485,811 | 25,189 | — | ||||||
Turkish Lira, | |||||||||||||
Expiring 09/15/21 | Barclays Bank PLC | TRY | 6,548 | 735,000 | 758,751 | — | (23,751) | ||||||
Expiring 09/15/21 | Barclays Bank PLC | TRY | 5,204 | 592,000 | 602,988 | — | (10,988) | ||||||
$400,723,597 | $395,155,924 | 11,202,424 | (5,634,751) | ||||||||||
$17,251,623 | $(15,166,247) |
Cross currency exchange contracts outstanding at July 31, 2021: | ||||||||||||||
Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
OTC Cross Currency Exchange Contracts: | ||||||||||||||
08/31/21 | Buy | EUR | 1,636 | GBP | 1,472 | $— | $(104,314) | Bank of America, N.A. | ||||||
08/31/21 | Buy | GBP | 2,304 | EUR | 2,499 | 236,565 | — | Bank of America, N.A. | ||||||
10/19/21 | Buy | HUF | 140,594 | EUR | 391 | — | (473) | Citibank, N.A. | ||||||
01/28/22 | Buy | JPY | 95,923 | AUD | 1,415 | — | (163,297) | Deutsche Bank AG | ||||||
01/28/22 | Buy | JPY | 162,036 | AUD | 2,167 | — | (111,858) | Deutsche Bank AG | ||||||
01/28/22 | Buy | JPY | 274,921 | AUD | 3,510 | — | (67,372) | BNP Paribas S.A. | ||||||
05/31/22 | Buy | AUD | 4,921 | JPY | 375,226 | 183,991 | — | Deutsche Bank AG |
48
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Cross currency exchange contracts outstanding at July 31, 2021 (continued): | ||||||||||||||
Settlement | Type | Notional Amount (000) | In Exchange For (000) | Unrealized Appreciation | Unrealized Depreciation | Counterparty | ||||||||
OTC Cross Currency Exchange Contracts (cont’d.): | ||||||||||||||
05/31/22 | Buy | JPY | 263,742 | AUD | 3,658 | $— | $(275,575) | Goldman Sachs International | ||||||
10/31/23 | Buy | AUD | 6,309 | JPY | 422,703 | 726,496 | — | Deutsche Bank AG | ||||||
10/31/23 | Buy | JPY | 648,099 | AUD | 9,489 | — | (978,684) | Morgan Stanley & Co. International PLC | ||||||
$1,147,052 | $(1,701,573) |
Credit default swap agreements outstanding at July 31, 2021:
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**: | |||||||||||||||||
Federation of Malaysia | 06/20/23 | 1.000%(Q) | 3,750 | 0.204% | $61,300 | $(1,595) | $62,895 | Barclays Bank PLC | |||||||||
People’s Republic of China | 06/20/23 | 1.000%(Q) | 13,750 | 0.136% | 242,656 | (5,847) | 248,503 | Barclays Bank PLC | |||||||||
Republic of Brazil | 06/20/23 | 1.000%(Q) | 18,750 | 0.853% | 73,561 | (7,973) | 81,534 | Barclays Bank PLC | |||||||||
Republic of Chile | 06/20/23 | 1.000%(Q) | 3,750 | 0.299% | 54,411 | (1,595) | 56,006 | Barclays Bank PLC | |||||||||
Republic of Colombia | 06/20/23 | 1.000%(Q) | 5,000 | 0.743% | 30,058 | (2,126) | 32,184 | Barclays Bank PLC | |||||||||
Republic of Indonesia | 06/20/23 | 1.000%(Q) | 5,000 | 0.318% | 70,688 | (2,126) | 72,814 | Barclays Bank PLC | |||||||||
Republic of Panama | 06/20/23 | 1.000%(Q) | 3,750 | 0.304% | 54,070 | (1,595) | 55,665 | Barclays Bank PLC | |||||||||
Republic of Peru | 06/20/23 | 1.000%(Q) | 3,750 | 0.435% | 44,613 | (1,595) | 46,208 | Barclays Bank PLC | |||||||||
Republic of Philippines | 06/20/23 | 1.000%(Q) | 3,750 | 0.199% | 61,644 | (1,595) | 63,239 | Barclays Bank PLC | |||||||||
Republic of South Africa | 06/20/23 | 1.000%(Q) | 11,250 | 0.975% | 18,141 | (4,784) | 22,925 | Barclays Bank PLC | |||||||||
Republic of Turkey | 06/20/23 | 1.000%(Q) | 17,500 | 3.210% | (693,393) | (7,442) | (685,951) | Barclays Bank PLC |
49
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)**(cont’d.): | |||||||||||||||||
Russian Federation | 06/20/23 | 1.000%(Q) | 11,250 | 0.394% | $142,737 | $(4,784) | $147,521 | Barclays Bank PLC | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 16,250 | 0.380% | 210,574 | (6,910) | 217,484 | Barclays Bank PLC | |||||||||
$371,060 | $(49,967) | $421,027 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Packaged Credit Default Swap Agreement on credit indices— Buy Protection(1)**: | ||||||||||||||||
CDX.EM.29.V1 | 06/20/23 | 1.000%(Q) | 117,500 | $(311,906) | $(14,227) | $(297,679) | Barclays Bank PLC |
** | The Fund entered into multiple credit default swap agreements in a packaged trade consisting of two parts. The Fund bought/sold protection on an Emerging Market CDX Index and bought/sold protection on the countries which comprise the index. The upfront premium is attached to the index of the trade for the Emerging Markets CDX package(s). Each swap is priced individually. If any of the component swaps are closed out early, the Index exposure will be reduced by an amount proportionate to the terminated swap(s). |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(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)^: | |||||||||||||||||
Bellemeade Re Ltd. | 08/31/21 | 1.250%(Q) | 91 | * | $6 | $— | $6 | Goldman Sachs International | |||||||||
Bravo Residential Funding Trust | 08/31/21 | 1.250%(Q) | 123 | * | 9 | — | 9 | Goldman Sachs International | |||||||||
Bravo Residential Funding Trust | 08/31/21 | 1.250%(Q) | 62 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Bunker Hill Loan Depositary Trust | 08/31/21 | 0.500%(Q) | 359 | * | 10 | — | 10 | Goldman Sachs International |
50
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(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.): | |||||||||||||||||
Countrywide Alternative Loan Trust | 08/31/21 | 1.250%(Q) | 276 | * | $19 | $— | $19 | Goldman Sachs International | |||||||||
Delta Home Equity | 08/31/21 | 1.250%(Q) | 196 | * | 14 | — | 14 | Goldman Sachs International | |||||||||
Eagle RE Ltd. | 08/31/21 | 1.250%(Q) | 666 | * | 46 | — | 46 | Goldman Sachs International | |||||||||
First NLC Home Equity | 08/31/21 | 1.250%(Q) | 55 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Flagstar Mortgage Trust | 08/31/21 | 0.500%(Q) | 221 | * | 6 | — | 6 | Goldman Sachs International | |||||||||
GS Mortgage Backed Securities | 08/31/21 | 1.250%(Q) | 191 | * | 13 | — | 13 | Goldman Sachs International | |||||||||
GS Mortgage Backed Securities | 08/31/21 | 0.500%(Q) | 150 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
GS Mortgage Backed Securities | 08/31/21 | 1.250%(Q) | 126 | * | 9 | — | 9 | Goldman Sachs International | |||||||||
GS_21-PJA†† | 08/14/21 | 0.250%(M) | 16,440 | * | 5,937 | (484) | 6,421 | Goldman Sachs International | |||||||||
GSAMP Home Equity | 08/31/21 | 1.250%(Q) | 285 | * | 20 | — | 20 | Goldman Sachs International | |||||||||
GSR Mortgage Loan Trust | 08/31/21 | 1.250%(Q) | 323 | * | 22 | — | 22 | Goldman Sachs International | |||||||||
GSRPM Mortgage Loan Trust | 08/31/21 | 1.250%(Q) | 98 | * | 7 | — | 7 | Goldman Sachs International | |||||||||
Home RE Ltd. | 08/31/21 | 1.250%(Q) | 897 | * | 62 | — | 62 | Goldman Sachs International |
51
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(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.): | |||||||||||||||||
Long Beach Home Equity | 08/31/21 | 1.250%(Q) | 455 | * | $32 | $— | $32 | Goldman Sachs International | |||||||||
MFRA Trust | 08/31/21 | 1.000%(Q) | 616 | * | 34 | — | 34 | Goldman Sachs International | |||||||||
MFRA Trust | 08/31/21 | 1.250%(Q) | 60 | * | 4 | — | 4 | Goldman Sachs International | |||||||||
Radnor RE Ltd. | 08/31/21 | 1.250%(Q) | 868 | * | 60 | — | 60 | Goldman Sachs International | |||||||||
Residential Accredit Loans Inc. | 08/31/21 | 1.250%(Q) | 385 | * | 27 | — | 27 | Goldman Sachs International | |||||||||
Starwood Mortgage Residential Trust | 08/31/21 | 1.250%(Q) | 162 | * | 11 | — | 11 | Goldman Sachs International | |||||||||
$6,360 | $(484) | $6,844 |
†† | The value of the contract, GS_21-PJA, is derived from a pool of senior prime jumbo mortgages. |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Buy Protection(1): | ||||||||||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 1,400 | $(18,142) | $3,357 | $(21,499) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 1,385 | (17,947) | 8,241 | (26,188) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 460 | (5,961) | 3,070 | (9,031) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 460 | (5,961) | 2,814 | (8,775) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 455 | (5,896) | 1,014 | (6,910) | Citibank, N.A. | |||||||||
United Mexican States | 06/20/23 | 1.000%(Q) | 240 | (3,110) | 575 | (3,685) | Citibank, N.A. | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 1,000 | (13,470) | (8,065) | (5,405) | Barclays Bank PLC | |||||||||
United Mexican States | 12/20/24 | 1.000%(Q) | 440 | (5,914) | 2,101 | (8,015) | Citibank, N.A. | |||||||||
United States of America | 12/20/22 | 0.250%(Q) | EUR | 3,730 | (14,418) | (12,723) | (1,695) | Barclays Bank PLC | ||||||||
$(90,819) | $384 | $(91,203) |
52
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2): | |||||||||||||||||
AT&T Inc. | 06/20/22 | 1.000%(Q) | 2,810 | 0.226% | $22,790 | $19,405 | $3,385 | Goldman Sachs International | |||||||||
Bank of America Corp. | 06/20/22 | 1.000%(Q) | 4,690 | 0.259% | 36,659 | 32,810 | 3,849 | Goldman Sachs International | |||||||||
Boeing Co. | 12/20/21 | 1.000%(Q) | 5,300 | 0.443% | 17,896 | 11,136 | 6,760 | Bank of America, N.A. | |||||||||
Boeing Co. | 06/20/24 | 1.000%(Q) | 1,460 | 0.851% | 7,928 | 5,832 | 2,096 | Goldman Sachs International | |||||||||
Casino Guichard Perrachon SA | 06/20/24 | 5.000%(Q) | EUR | 1,490 | 4.520% | 32,732 | 27,793 | 4,939 | Goldman Sachs International | ||||||||
Casino Guichard Perrachon SA | 06/20/24 | 5.000%(Q) | EUR | 220 | 4.520% | 4,833 | 4,256 | 577 | Goldman Sachs International | ||||||||
Citigroup, Inc. | 06/20/22 | 1.000%(Q) | 2,920 | 0.274% | 22,430 | 20,166 | 2,264 | Goldman Sachs International | |||||||||
Delta Air Lines, Inc. | 06/20/22 | 5.000%(Q) | 680 | 0.993% | 28,321 | 24,244 | 4,077 | Credit Suisse International | |||||||||
Devon Energy Corp. | 12/20/21 | 1.000%(Q) | 2,000 | 0.423% | 6,854 | 5,271 | 1,583 | Barclays Bank PLC | |||||||||
Devon Energy Corp. | 12/20/21 | 1.000%(Q) | 1,000 | 0.423% | 3,426 | 2,634 | 792 | Morgan Stanley & Co. International PLC | |||||||||
General Electric Co. | 06/20/22 | 1.000%(Q) | 2,780 | 0.236% | 22,373 | 17,431 | 4,942 | Morgan Stanley & Co. International PLC | |||||||||
General Motors Co. | 06/20/26 | 5.000%(Q) | 2,230 | 0.908% | 449,208 | 425,140 | 24,068 | Goldman Sachs International | |||||||||
Host Hotels & Resorts LP | 06/20/24 | 1.000%(Q) | 500 | 0.722% | 4,581 | 5,599 | (1,018) | Goldman Sachs International | |||||||||
JPMorgan Chase & Co. | 09/20/21 | 1.000%(Q) | 2,070 | 0.222% | 4,685 | 2,527 | 2,158 | Barclays Bank PLC | |||||||||
Occidental Petroleum Corp. | 09/20/21 | 1.000%(Q) | 1,040 | 0.920% | 1,305 | 264 | 1,041 | Barclays Bank PLC | |||||||||
Ovintiv, Inc. | 09/20/21 | 1.000%(Q) | 310 | 0.318% | 658 | 302 | 356 | Barclays Bank PLC | |||||||||
Ovintiv, Inc. | 12/20/21 | 1.000%(Q) | 1,140 | 0.392% | 4,049 | 3,005 | 1,044 | Barclays Bank PLC | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 9,450 | 2.390% | (234,243) | (535,722) | 301,479 | BNP Paribas S.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 1,165 | 2.390% | (28,877) | (28,169) | (708) | Citibank, N.A. |
53
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Implied Credit Spread at July 31, 2021(4) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on corporate and/or sovereign issues - Sell Protection(2)(cont’d.): | |||||||||||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 1,155 | 2.390% | $(28,630) | $(33,524) | $4,894 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 385 | 2.390% | (9,544) | (11,452) | 1,908 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 385 | 2.390% | (9,543) | (11,244) | 1,701 | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 380 | 2.390% | (9,420) | (9,232) | (188) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 06/20/23 | 1.000%(Q) | 195 | 2.390% | (4,833) | (4,712) | (121) | Citibank, N.A. | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 1,000 | 3.199% | (69,860) | (35,387) | (34,473) | Barclays Bank PLC | |||||||||
Petroleos Mexicanos | 12/20/24 | 1.000%(Q) | 440 | 3.199% | (30,751) | (28,135) | (2,616) | Citibank, N.A. | |||||||||
Pioneer Natural Resources Co. | 06/20/22 | 1.000%(Q) | 3,750 | 0.264% | 29,130 | 26,573 | 2,557 | Goldman Sachs International | |||||||||
Simon Property Group LP | 06/20/26 | 1.000%(Q) | 1,980 | 0.682% | 32,703 | 22,483 | 10,220 | Goldman Sachs International | |||||||||
Teva Pharmaceutical Industries Ltd. | 12/20/21 | 1.000%(Q) | 190 | 0.908% | 291 | 186 | 105 | Barclays Bank PLC | |||||||||
T-Mobile USA, Inc. | 09/20/21 | 5.000%(Q) | 1,280 | 0.355% | 16,051 | 8,598 | 7,453 | Barclays Bank PLC | |||||||||
T-Mobile USA, Inc. | 12/20/21 | 5.000%(Q) | 730 | 0.389% | 17,609 | 13,473 | 4,136 | Barclays Bank PLC | |||||||||
Verizon Communications, Inc. | 06/20/26 | 1.000%(Q) | 680 | 0.468% | 18,318 | 13,945 | 4,373 | Goldman Sachs International | |||||||||
$359,129 | $(4,504) | $363,633 |
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Value at Trade Date | Value at July 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Credit Default Swap Agreement on credit indices - Buy Protection(1): | ||||||||||||||
CDX.NA.IG.36.V1 | 06/20/26 | 1.000%(Q) | 216,460 | $(4,739,619) | $(5,474,595) | $(734,976) |
54
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Credit default swap agreements outstanding at July 31, 2021 (continued):
Reference Entity/ Obligation | Termination Date | Fixed Rate | Notional Amount (000)#(3) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | Counterparty | |||||||||
OTC Credit Default Swap Agreements on credit indices - Buy Protection(1): | ||||||||||||||||
CMBX.NA.13.AAA | 12/16/72 | 0.500%(M) | 25,000 | $(93,555) | $700,890 | $(794,445) | Morgan Stanley & Co. International PLC | |||||||||
CMBX.NA.13.AAA | 12/16/72 | 0.500%(M) | 22,500 | (84,199) | 235,393 | (319,592) | Citigroup Global Markets, Inc. | |||||||||
CMBX.NA.13.AAA | 12/16/72 | 0.500%(M) | 10,000 | (37,283) | 201,162 | (238,445) | Goldman Sachs International | |||||||||
CMBX.NA.13.AAA | 12/16/72 | 0.500%(M) | 7,000 | (27,071) | 33,596 | (60,667) | Morgan Stanley & Co. International PLC | |||||||||
$(242,108) | $1,171,041 | $(1,413,149) |
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 |
55
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
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. |
Inflation swap agreements outstanding at July 31, 2021: | ||||||||||||||
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Inflation Swap Agreements: | ||||||||||||||
3,095 | 01/12/26 | 2.185%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | $— | $(149,726) | $(149,726) | ||||||||
800 | 01/13/31 | 2.229%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (45,826) | (45,826) | ||||||||
2,650 | 01/13/31 | 2.230%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (151,506) | (151,506) | ||||||||
3,710 | 04/07/31 | 2.469%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (102,339) | (102,339) | ||||||||
1,050 | 04/09/31 | 2.435%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (32,820) | (32,820) | ||||||||
2,110 | 04/09/31 | 2.448%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (62,985) | (62,985) | ||||||||
2,170 | 04/13/31 | 2.445%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (64,992) | (64,992) | ||||||||
1,330 | 04/13/31 | 2.450%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (39,085) | (39,085) | ||||||||
1,355 | 04/14/31 | 2.450%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (39,632) | (39,632) | ||||||||
1,120 | 04/15/31 | 2.460%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (31,425) | (31,425) | ||||||||
2,165 | 04/15/31 | 2.465%(T) | U.S. CPI Urban Consumers NSA Index(2)(T) | — | (59,526) | (59,526) | ||||||||
$— | $(779,862) | $(779,862) |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
56
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Interest rate swap agreements outstanding at July 31, 2021:
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements: | ||||||||||||||
AUD | 16,900 | 02/13/30 | 1.210%(S) | 6 Month BBSW(2)(S) | $(66) | $100,247 | $100,313 | |||||||
BRL | 66,745 | 01/02/25 | 5.903%(T) | 1 Day BROIS(2)(T) | — | (499,423) | (499,423) | |||||||
BRL | 24,233 | 01/02/25 | 6.343%(T) | 1 Day BROIS(2)(T) | — | (251,901) | (251,901) | |||||||
BRL | 25,971 | 01/02/25 | 6.343%(T) | 1 Day BROIS(2)(T) | — | (271,594) | (271,594) | |||||||
BRL | 41,334 | 01/02/25 | 6.359%(T) | 1 Day BROIS(2)(T) | — | (428,765) | (428,765) | |||||||
BRL | 18,614 | 01/02/25 | 6.640%(T) | 1 Day BROIS(2)(T) | — | 1,255 | 1,255 | |||||||
BRL | 21,128 | 01/02/25 | 6.670%(T) | 1 Day BROIS(2)(T) | — | 8,703 | 8,703 | |||||||
BRL | 13,418 | 01/04/27 | 6.845%(T) | 1 Day BROIS(2)(T) | — | (208,138) | (208,138) | |||||||
BRL | 8,342 | 01/04/27 | 6.890%(T) | 1 Day BROIS(2)(T) | — | (125,783) | (125,783) | |||||||
BRL | 14,674 | 01/04/27 | 6.890%(T) | 1 Day BROIS(2)(T) | — | (222,260) | (222,260) | |||||||
BRL | 17,000 | 01/04/27 | 6.912%(T) | 1 Day BROIS(2)(T) | — | (106,895) | (106,895) | |||||||
CLP | 14,295,000 | 01/25/26 | 1.634%(S) | 1 Day CLOIS(2)(S) | — | (1,312,668) | (1,312,668) | |||||||
COP | 11,070,000 | 02/18/25 | 4.505%(Q) | 1 Day COOIS(2)(Q) | — | 16,185 | 16,185 | |||||||
COP | 12,642,920 | 02/21/25 | 4.565%(Q) | 1 Day COOIS(2)(Q) | — | 24,330 | 24,330 | |||||||
COP | 7,380,000 | 01/20/26 | 3.085%(Q) | 1 Day COOIS(2)(Q) | — | (132,764) | (132,764) | |||||||
COP | 11,208,000 | 02/03/26 | 3.080%(Q) | 1 Day COOIS(2)(Q) | — | (196,417) | (196,417) | |||||||
COP | 7,821,000 | 02/18/30 | 5.072%(Q) | 1 Day COOIS(2)(Q) | — | (52,549) | (52,549) | |||||||
COP | 5,472,000 | 02/18/30 | 5.081%(Q) | 1 Day COOIS(2)(Q) | — | (35,814) | (35,814) | |||||||
COP | 7,813,000 | 02/24/30 | 5.078%(Q) | 1 Day COOIS(2)(Q) | — | (53,180) | (53,180) | |||||||
GBP | 1,425 | 05/08/29 | 1.100%(A) | 1 Day SONIA(1)(A) | (111,179) | (94,540) | 16,639 | |||||||
GBP | 1,100 | 05/08/34 | 1.200%(A) | 1 Day SONIA(1)(A) | (61,374) | (113,525) | (52,151) | |||||||
HUF | 2,500,000 | 02/14/30 | 1.605%(A) | 6 Month BUBOR(2)(S) | — | (618,118) | (618,118) | |||||||
MXN | 81,700 | 01/12/28 | 5.020%(M) | 28 Day Mexican Interbank Rate(2)(M) | (60) | (340,450) | (340,390) | |||||||
MXN | 11,550 | 01/03/31 | 5.550%(M) | 28 Day Mexican Interbank Rate(2)(M) | (51) | (52,938) | (52,887) | |||||||
MXN | 32,290 | 01/13/31 | 5.460%(M) | 28 Day Mexican Interbank Rate(2)(M) | (43) | (158,338) | (158,295) | |||||||
MXN | 112,300 | 01/15/31 | 5.450%(M) | 28 Day Mexican Interbank Rate(2)(M) | (147) | (555,498) | (555,351) |
57
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Interest rate swap agreements outstanding at July 31, 2021 (continued):
Notional Amount (000)# | Termination Date | Fixed Rate | Floating Rate | Value at Trade Date | Value at July 31, 2021 | Unrealized Appreciation (Depreciation) | ||||||||
Centrally Cleared Interest Rate Swap Agreements (cont’d.): | ||||||||||||||
MXN | 28,860 | 01/03/33 | 5.715%(M) | 28 Day Mexican Interbank Rate(2)(M) | $(49) | $(147,413) | $(147,364) | |||||||
MXN | 8,665 | 12/28/35 | 6.000%(M) | 28 Day Mexican Interbank Rate(2)(M) | (54) | (47,075) | (47,021) | |||||||
NZD | 6,000 | 02/14/30 | 1.523%(S) | 3 Month BBR(2)(Q) | — | (44,523) | (44,523) | |||||||
NZD | 1,600 | 01/19/31 | 1.090%(S) | 3 Month BBR(2)(Q) | — | (68,234) | (68,234) | |||||||
NZD | 5,740 | 01/19/31 | 1.096%(S) | 3 Month BBR(2)(Q) | 2,521 | (242,658) | (245,179) | |||||||
NZD | 2,100 | 01/26/31 | 1.098%(S) | 3 Month BBR(2)(Q) | — | (89,106) | (89,106) | |||||||
PLN | 7,000 | 01/19/31 | 1.200%(A) | 6 Month WIBOR(2)(S) | 2,617 | (66,472) | (69,089) | |||||||
PLN | 26,290 | 01/21/31 | 1.170%(A) | 6 Month WIBOR(2)(S) | (22,563) | (269,453) | (246,890) | |||||||
PLN | 780 | 08/02/31 | 1.650%(S) | Month WIBOR(2)(A) | — | (1,180) | (1,180) | |||||||
8,700 | 02/14/30 | 1.382%(A) | 1 Day USOIS(1)(A) | — | (362,906) | (362,906) | ||||||||
685 | 01/19/31 | 0.931%(A) | 1 Day USOIS(1)(A) | — | 2,614 | 2,614 | ||||||||
1,880 | 01/20/31 | 0.915%(A) | 1 Day USOIS(1)(A) | — | 10,069 | 10,069 | ||||||||
ZAR | 99,200 | 02/28/30 | 7.500%(Q) | 3 Month JIBAR(2)(Q) | (26,372) | 339,207 | 365,579 | |||||||
ZAR | 54,300 | 03/12/30 | 7.840%(Q) | 3 Month JIBAR(2)(Q) | (439) | 263,519 | 263,958 | |||||||
ZAR | 100,000 | 03/18/30 | 10.650%(Q) | 3 Month JIBAR(2)(Q) | — | 496,673 | 496,673 | |||||||
ZAR | 10,700 | 03/27/30 | 9.150%(Q) | 3 Month JIBAR(2)(Q) | (197) | 114,891 | 115,088 | |||||||
ZAR | 114,100 | 07/07/30 | 7.040%(Q) | 3 Month JIBAR(2)(Q) | (2,868) | 74,772 | 77,640 | |||||||
ZAR | 7,000 | 08/03/30 | 7.030%(Q) | 3 Month JIBAR(2)(Q) | (99) | 6,551 | 6,650 | |||||||
ZAR | 3,800 | 01/15/31 | 6.765%(Q) | 3 Month JIBAR(2)(Q) | (81) | (4,875) | (4,794) | |||||||
$(220,504) | $(5,716,437) | $(5,495,933) |
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
58
PGIM Absolute Return Bond Fund
Schedule of Investments as of July 31, 2021 (unaudited) (continued)
Total return swap agreements outstanding at July 31, 2021: | ||||||||||||||
Reference Entity | Financing Rate | Counterparty | Termination Date | Long (Short) Notional Amount (000)#(1) | Fair Value | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation)(2) | |||||||
OTC Total Return Swap Agreement: | ||||||||||||||
IOS. FN30.450.10 Index(M) | 1 Month LIBOR(M) | Credit Suisse International | 1/12/41 | 2,150 | $(14,328) | $(5,007) | $(9,321) |
(1) | On a long total return swap, the Fund receives payments for any positive return on the reference entity (makes payments for any negative return) and pays the financing rate. On a short total return swap, the Fund makes payments for any positive return on the reference entity (receives payments for any negative return) and receives the financing rate. |
(2) | Upfront/recurring fees or commissions, as applicable, are included in the net unrealized appreciation (depreciation). |
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).
59