UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: | 811-03712 | |
Exact name of registrant as specified in charter: | Prudential Investment Portfolios, Inc. 14 | |
Address of principal executive offices: | 655 Broad Street, 17th Floor, | |
Newark, New Jersey 07102 | ||
Name and address of agent for service: | Deborah A. Docs | |
655 Broad Street, 17th Floor, | ||
Newark, New Jersey 07102 | ||
Registrants telephone number, including area code: | 800-225-1852 | |
Date of fiscal year end: | 2/28/2017 | |
Date of reporting period: | 11/30/2016 |
Item 1. Schedule of Investments
Prudential Floating Rate Income Fund
Schedule of Investments
as of November 30, 2016 (unaudited)
Interest Rate |
Maturity Date | Principal Amount (000)# |
Value | |||||||||||||
LONG-TERM INVESTMENTS 96.9% |
||||||||||||||||
ASSET-BACKED SECURITIES 0.3% |
||||||||||||||||
Collateralized Loan Obligations |
||||||||||||||||
Battalion CLO Ltd. (Cayman Islands), |
4.410 | % | 04/17/26 | 250 | $ | 248,969 | ||||||||||
Limerock CLO Ltd. (Cayman Islands), |
5.195 | % | 04/18/26 | 750 | 742,506 | |||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
991,475 | |||||||||||||||
|
|
|||||||||||||||
BANK LOANS(a) 93.3% |
||||||||||||||||
Aerospace & Defense 1.1% |
||||||||||||||||
Sequa Corp. |
5.250 | % | 06/19/17 | 369 | 338,475 | |||||||||||
Standard Aero Ltd. |
5.250 | % | 07/07/22 | 1,215 | 1,218,021 | |||||||||||
Transdigm, Inc. |
3.750 | % | 05/14/22 | 518 | 518,231 | |||||||||||
Transdigm, Inc. |
3.832 | % | 06/04/21 | 492 | 492,375 | |||||||||||
Transdigm, Inc. |
3.852 | % | 06/09/23 | 1,372 | 1,373,434 | |||||||||||
|
|
|||||||||||||||
3,940,536 | ||||||||||||||||
|
|
|||||||||||||||
Airlines 0.1% |
||||||||||||||||
Air Canada, Inc. (Canada) |
3.603 | % | 10/06/23 | 400 | 401,944 | |||||||||||
|
|
|||||||||||||||
Automotive 2.3% |
||||||||||||||||
American Tire Distributors, Inc. |
5.250 | % | 09/01/21 | 711 | 700,785 | |||||||||||
BBB Industries LLC |
6.000 | % | 11/03/21 | 246 | 245,942 | |||||||||||
Chrysler Group LLC |
3.250 | % | 12/31/18 | 607 | 606,827 | |||||||||||
Federal-Mogul Holdings Corp. |
4.750 | % | 04/15/21 | 934 | 906,140 | |||||||||||
Gates Global LLC |
4.250 | % | 07/06/21 | 828 | 820,831 | |||||||||||
Horizon Global Corp.(b) |
7.000 | % | 06/30/21 | 1,319 | 1,325,775 | |||||||||||
Inteva Products LLC |
9.750 | % | 09/08/21 | 225 | 225,422 | |||||||||||
Sage Automotive Holdings, Inc.(b) |
6.000 | % | 11/30/22 | 525 | 519,750 | |||||||||||
Tectum Holdings, Inc.(b) |
5.750 | % | 08/24/23 | 1,150 | 1,155,750 | |||||||||||
TI Group Automotive Systems LLC |
4.500 | % | 06/30/22 | 446 | 447,171 | |||||||||||
Tower Auto Holdings USA LLC |
4.000 | % | 04/23/20 | 1,041 | 1,038,222 | |||||||||||
Tweddle Group, Inc.(b) |
7.000 | % | 10/24/22 | 425 | 416,500 | |||||||||||
|
|
|||||||||||||||
8,409,115 | ||||||||||||||||
|
|
|||||||||||||||
Brokerage 1.2% |
||||||||||||||||
BATS Global Markets, Inc. |
4.106 | % | 06/20/23 | 1,005 | 1,006,692 | |||||||||||
Hamilton Lane Advisors LLC |
4.250 | % | 07/08/22 | 714 | 713,654 | |||||||||||
Istar, Inc.(b) |
5.500 | % | 07/01/20 | 374 | 378,214 | |||||||||||
LPL Holdings, Inc.(b) |
4.750 | % | 11/21/22 | 496 | 499,345 | |||||||||||
VFH Parent LLC(b) |
4.381 | % | 10/27/22 | 1,957 | 1,966,905 | |||||||||||
|
|
|||||||||||||||
4,564,810 | ||||||||||||||||
|
|
|||||||||||||||
Building Materials & Construction 3.2% |
||||||||||||||||
ABC Supply Co., Inc. |
3.603 | % | 10/31/23 | 675 | 677,250 | |||||||||||
Apex Tool Group LLC |
4.500 | % | 01/31/20 | 1,827 | 1,798,451 | |||||||||||
Beazer Homes USA, Inc.(b) |
6.750 | % | 03/11/18 | 295 | 291,696 | |||||||||||
Builders FirstSource, Inc. |
4.750 | % | 07/31/22 | 1,404 | 1,410,442 | |||||||||||
CHI Overhead Doors, Inc. |
4.500 | % | 07/29/22 | 1,120 | 1,116,596 | |||||||||||
CHI Overhead Doors, Inc. |
8.750 | % | 07/31/23 | 300 | 297,188 | |||||||||||
HD Supply, Inc. |
3.607 | % | 10/31/23 | 575 | 576,977 | |||||||||||
Headwaters, Inc. |
4.000 | % | 03/24/22 | 891 | 893,518 | |||||||||||
Jeld-Wen, Inc. |
4.750 | % | 07/01/22 | 940 | 947,512 | |||||||||||
LBM Borrower LLC |
6.250 | % | 08/20/22 | 1,093 | 1,086,507 | |||||||||||
PriSo Acquisition Corp. |
4.500 | % | 05/09/22 | 793 | 794,708 |
Quikrete Holdings, Inc. |
4.131 | % | 11/15/23 | 1,050 | 1,052,625 | |||||||||||
Wilsonart LLC |
4.000 | % | 10/31/19 | 729 | 728,624 | |||||||||||
|
|
|||||||||||||||
11,672,094 | ||||||||||||||||
|
|
|||||||||||||||
Cable 1.4% |
||||||||||||||||
CSC Holdings LLC |
3.876 | % | 10/11/24 | 329 | 329,359 | |||||||||||
Intelsat Jackson Holdings SA |
3.750 | % | 06/30/19 | 1,250 | 1,202,455 | |||||||||||
Telenet Financing USD LLC (Belgium) |
3.881 | % | 01/31/25 | 950 | 947,329 | |||||||||||
Telesat LLC (Canada) |
4.637 | % | 11/17/23 | 450 | 450,750 | |||||||||||
UPC Financing Partnership |
3.854 | % | 08/31/24 | 750 | 753,000 | |||||||||||
Xplornet Communications, Inc. (Canada)(b) |
7.000 | % | 07/25/20 | 1,175 | 1,185,281 | |||||||||||
Ziggo BV (Netherlands) |
3.854 | % | 08/30/24 | 500 | 499,791 | |||||||||||
|
|
|||||||||||||||
5,367,965 | ||||||||||||||||
|
|
|||||||||||||||
Capital Goods 6.8% |
||||||||||||||||
Advanced Disposal Services, Inc. |
3.652 | % | 11/10/23 | 1,096 | 1,096,979 | |||||||||||
Allflex Holdings III, Inc. |
4.250 | % | 07/17/20 | 1,038 | 1,037,120 | |||||||||||
Brand Energy & Infrastructure Services, Inc. |
4.750 | % | 11/26/20 | 763 | 752,046 | |||||||||||
Casella Waste Systems, Inc.(b) |
4.000 | % | 10/17/23 | 375 | 377,812 | |||||||||||
Cortes NP Acquisition Corp. |
6.000 | % | 11/30/23 | 825 | 816,406 | |||||||||||
CPM Holdings, Inc. |
6.000 | % | 04/11/22 | 1,042 | 1,048,208 | |||||||||||
Crosby US Acquisition Corp.(b) |
4.000 | % | 11/23/20 | 669 | 568,254 | |||||||||||
Doosan Infracore International, Inc. |
4.500 | % | 05/28/21 | 548 | 548,867 | |||||||||||
Douglas Dynamics LLC(b) |
5.250 | % | 12/31/21 | 816 | 817,576 | |||||||||||
Filtration Group, Inc. |
4.250 | % | 11/20/20 | 452 | 451,760 | |||||||||||
Filtration Group, Inc. |
4.250 | % | 11/23/20 | 198 | 198,240 | |||||||||||
Forterra Finance LLC |
4.500 | % | 10/25/23 | 950 | 950,000 | |||||||||||
GFL Environmental, Inc. (Canada) |
3.750 | % | 09/29/23 | 450 | 448,594 | |||||||||||
Harsco Corp.(b) |
6.000 | % | 11/30/23 | 500 | 506,250 | |||||||||||
Hillman Group, Inc. (The) |
4.500 | % | 06/30/21 | 492 | 493,367 | |||||||||||
Infiltrator Water Technologies LLC(b) |
4.500 | % | 05/27/22 | 1,116 | 1,115,931 | |||||||||||
K&N Engineering, Inc.(b) |
5.750 | % | 10/20/23 | 600 | 588,750 | |||||||||||
Manitowoc Foodservice |
5.750 | % | 03/03/23 | 580 | 587,975 | |||||||||||
Neff Rental LLC |
7.250 | % | 06/09/21 | 788 | 767,981 | |||||||||||
North American Lifting Holdings, Inc. |
5.500 | % | 11/27/20 | 492 | 415,474 | |||||||||||
Pelican Products, Inc.(b) |
5.250 | % | 04/11/20 | 419 | 416,126 | |||||||||||
Penn Engineering & Manufacturing Corp. |
4.000 | % | 08/27/21 | 641 | 641,765 | |||||||||||
RBS Global, Inc./Rexnord LLC |
4.000 | % | 08/21/20 | 1,164 | 1,165,440 | |||||||||||
Safway Group Holding LLC |
5.750 | % | 08/21/23 | 1,600 | 1,608,000 | |||||||||||
STS Operating, Inc.(b) |
4.750 | % | 02/12/21 | 340 | 307,285 | |||||||||||
Synagro Infrastructure Co., Inc.(c) |
6.250 | % | 08/22/20 | 168 | 143,512 | |||||||||||
Tank Holding Corp. |
5.257 | % | 03/16/22 | 998 | 966,043 | |||||||||||
U.S. Security Associates Holdings, Inc. |
6.000 | % | 07/14/23 | 850 | 852,125 | |||||||||||
Unifrax I LLC |
4.250 | % | 11/28/18 | 727 | 719,680 | |||||||||||
University Support Services LLC |
6.250 | % | 07/06/22 | 1,200 | 1,203,000 | |||||||||||
USS Parent Holding Corp.(b) |
5.500 | % | 08/31/23 | 1,200 | 1,199,933 | |||||||||||
WASH Multifamily Laundry Systems LLC(b) |
4.250 | % | 05/16/22 | 617 | 606,386 | |||||||||||
WCA Waste Systems, Inc. |
4.000 | % | 08/14/23 | 650 | 648,781 | |||||||||||
WireCo WorldGroup, Inc. |
6.500 | % | 09/29/23 | 575 | 579,672 | |||||||||||
Zekelman Industries, Inc.(b) |
6.000 | % | 06/14/21 | 599 | 599,996 | |||||||||||
|
|
|||||||||||||||
25,245,334 | ||||||||||||||||
|
|
|||||||||||||||
Chemicals 4.9% |
||||||||||||||||
A. Schulman, Inc.(b) |
4.000 | % | 06/01/22 | 435 | 434,269 | |||||||||||
Avantor Performance Materials Holdings, Inc. |
6.000 | % | 06/21/22 | 1,808 | 1,819,694 | |||||||||||
Axalta Coating Systems US Holding |
3.750 | % | 02/01/20 | 1,132 | 1,135,606 | |||||||||||
Chemours Co. LLC (The) |
3.750 | % | 05/12/22 | 1,463 | 1,446,188 | |||||||||||
Colouroz Investment 2 LLC |
8.250 | % | 09/05/22 | 200 | 190,500 |
Cyanco Intermediate Corp. |
5.500 | % | 05/01/20 | 927 | 929,502 | |||||||||||
Emerald Performance Materials LLC |
7.750 | % | 08/01/22 | 300 | 299,438 | |||||||||||
Ennis-Flint, Inc. |
5.000 | % | 06/13/23 | 793 | 797,006 | |||||||||||
Huntsman International LLC(b) |
3.906 | % | 11/15/23 | 772 | 770,444 | |||||||||||
Kronos Worldwide, Inc. |
4.000 | % | 02/18/20 | 390 | 385,612 | |||||||||||
MacDermid, Inc. |
5.000 | % | 06/07/23 | 1,176 | 1,183,044 | |||||||||||
MacDermid, Inc. |
5.500 | % | 06/07/20 | 1,296 | 1,297,631 | |||||||||||
Methanol Holdings DE LLC |
4.354 | % | 06/30/22 | 494 | 480,172 | |||||||||||
Nexeo Solutions LLC |
5.250 | % | 06/09/23 | 1,247 | 1,256,227 | |||||||||||
Oxea Finance LLC |
4.250 | % | 01/15/20 | 485 | 461,558 | |||||||||||
Plaskolite, Inc. |
5.750 | % | 11/03/22 | 771 | 767,919 | |||||||||||
PQ Corp. |
5.250 | % | 11/04/22 | 948 | 952,166 | |||||||||||
Solenis International LP |
7.750 | % | 07/31/22 | 200 | 193,625 | |||||||||||
Sonneborn, Inc. |
4.750 | % | 12/10/20 | 792 | 793,879 | |||||||||||
Tata Chemicals NA, Inc. |
3.750 | % | 08/07/20 | 585 | 583,700 | |||||||||||
Tronox Pigments Netherlands BV |
4.500 | % | 03/19/20 | 522 | 521,367 | |||||||||||
Univar, Inc. |
4.250 | % | 07/01/22 | 1,438 | 1,441,166 | |||||||||||
|
|
|||||||||||||||
18,140,713 | ||||||||||||||||
|
|
|||||||||||||||
Consumer 6.1% |
||||||||||||||||
24 Hour Fitness Worldwide, Inc.(b) |
4.750 | % | 05/28/21 | 872 | 845,416 | |||||||||||
4L Technologies, Inc. |
5.500 | % | 05/08/20 | 1,187 | 1,120,094 | |||||||||||
Acosta, Inc. |
4.250 | % | 09/26/21 | 737 | 696,989 | |||||||||||
Advantage Sales & Marketing, Inc. |
4.250 | % | 07/23/21 | 889 | 880,413 | |||||||||||
Advantage Sales & Marketing, Inc. |
7.500 | % | 07/25/22 | 500 | 470,417 | |||||||||||
Augusta Sportswear, Inc.(b) |
5.500 | % | 10/26/23 | 604 | 601,408 | |||||||||||
Bombardier Recreational Products, Inc. (Canada) |
3.854 | % | 06/30/23 | 500 | 500,729 | |||||||||||
Coinstar LLC |
5.250 | % | 09/27/23 | 550 | 555,042 | |||||||||||
Cole Haan, Inc. |
5.000 | % | 02/01/20 | 885 | 776,830 | |||||||||||
Fitness International LLC |
6.000 | % | 07/01/20 | 730 | 729,258 | |||||||||||
Galleria Co. |
3.890 | % | 01/26/23 | 308 | 309,104 | |||||||||||
Generac Power Systems, Inc.(b) |
3.636 | % | 05/31/23 | 487 | 487,506 | |||||||||||
Hoffmaster Group, Inc. |
5.500 | % | 11/21/23 | 1,125 | 1,125,000 | |||||||||||
Life Time Fitness, Inc. |
4.250 | % | 06/10/22 | 668 | 667,555 | |||||||||||
Planet Fitness Holdings LLC |
4.381 | % | 03/31/21 | 725 | 722,281 | |||||||||||
PODS LLC |
4.500 | % | 02/02/22 | 1,319 | 1,320,227 | |||||||||||
Revlon Consumer Products Corp. |
4.334 | % | 09/07/23 | 725 | 725,604 | |||||||||||
Royal Holdings, Inc. |
4.500 | % | 06/20/22 | 742 | 745,089 | |||||||||||
Royal Oak Enterpises, LLC(b) |
5.750 | % | 07/01/23 | 800 | 804,000 | |||||||||||
Serta Simmons Bedding LLC |
4.500 | % | 11/30/23 | 1,475 | 1,468,213 | |||||||||||
SRAM Corp. |
4.020 | % | 04/10/20 | 864 | 848,759 | |||||||||||
Sterling Midco Holdings, Inc. |
5.750 | % | 06/20/22 | 916 | 914,650 | |||||||||||
Strategic Partners Acquisition Corp.(b) |
6.250 | % | 06/30/23 | 650 | 651,625 | |||||||||||
TMK Hawk Parent Corp. |
5.250 | % | 10/01/21 | 797 | 795,273 | |||||||||||
Travelport Finance Luxembourg SARL (Luxembourg) |
5.000 | % | 09/02/21 | 1,594 | 1,601,249 | |||||||||||
TruGreen LP |
6.500 | % | 04/13/23 | 723 | 728,611 | |||||||||||
Wand Intermediate I LP |
4.750 | % | 09/17/21 | 815 | 821,179 | |||||||||||
Water Pik, Inc. |
5.750 | % | 07/08/20 | 720 | 719,093 | |||||||||||
|
|
|||||||||||||||
22,631,614 | ||||||||||||||||
|
|
|||||||||||||||
Electric 1.5% |
||||||||||||||||
Calpine Corp. |
3.840 | % | 05/31/23 | 748 | 751,710 | |||||||||||
Calpine Corp. |
4.000 | % | 01/16/23 | 744 | 748,655 | |||||||||||
Dynegy, Inc. |
5.000 | % | 06/27/23 | 2,400 | 2,408,501 | |||||||||||
Intergen NV |
5.500 | % | 06/12/20 | 1,008 | 966,360 | |||||||||||
NRG Engergy, Inc. |
3.588 | % | 06/30/23 | 773 | 774,673 | |||||||||||
|
|
|||||||||||||||
5,649,899 | ||||||||||||||||
|
|
Energy - Other 1.9% |
||||||||||||||||
American Energy Marcellus LLC |
5.250 | % | 08/04/20 | 500 | 255,834 | |||||||||||
American Energy Marcellus LLC |
8.500 | % | 08/04/21 | 300 | 28,500 | |||||||||||
California Resources Corp.(b) |
11.375 | % | 12/31/21 | 1,275 | 1,351,500 | |||||||||||
Drillships Financing Holding, Inc. |
6.000 | % | 03/31/21 | 365 | 188,699 | |||||||||||
Energy Transfer Equity LP |
3.339 | % | 12/02/19 | 662 | 657,215 | |||||||||||
Fieldwood Energy LLC |
8.000 | % | 08/31/20 | 362 | 314,768 | |||||||||||
Fieldwood Energy LLC |
8.375 | % | 09/30/20 | 489 | 384,156 | |||||||||||
Floatel Delaware LLC(b) |
6.000 | % | 06/29/20 | 366 | 282,445 | |||||||||||
FTS International, Inc. |
5.750 | % | 04/16/21 | 251 | 146,966 | |||||||||||
Hi-Crush Partners LP |
4.750 | % | 04/28/21 | 583 | 549,621 | |||||||||||
MEG Energy Corp. (Canada) |
3.750 | % | 03/31/20 | 1,323 | 1,234,099 | |||||||||||
Pacific Drilling SA |
4.500 | % | 06/04/18 | 360 | 110,654 | |||||||||||
Targa Resources Partners LP(b) |
5.750 | % | 02/27/22 | 974 | 975,646 | |||||||||||
Westway Group, Inc. |
4.500 | % | 02/27/20 | 475 | 423,938 | |||||||||||
|
|
|||||||||||||||
6,904,041 | ||||||||||||||||
|
|
|||||||||||||||
Energy - Refining 1.2% |
||||||||||||||||
Citgo Holdings, Inc. |
9.500 | % | 05/12/18 | 855 | 861,575 | |||||||||||
Citgo Petroleum Corp. |
4.500 | % | 07/29/21 | 1,083 | 1,074,624 | |||||||||||
Western Refining, Inc. |
5.250 | % | 11/12/20 | 1,261 | 1,263,652 | |||||||||||
Western Refining, Inc. |
5.500 | % | 06/30/23 | 1,248 | 1,251,245 | |||||||||||
|
|
|||||||||||||||
4,451,096 | ||||||||||||||||
|
|
|||||||||||||||
Entertainment 0.4% |
||||||||||||||||
AMF Bowling Centers, Inc. |
6.000 | % | 09/19/23 | 1,025 | 1,018,594 | |||||||||||
SeaWorld Parks & Entertainment, Inc. |
3.152 | % | 05/14/20 | 492 | 480,410 | |||||||||||
|
|
|||||||||||||||
1,499,004 | ||||||||||||||||
|
|
|||||||||||||||
Foods 2.8% |
||||||||||||||||
AdvancePierre Foods, Inc. |
4.500 | % | 06/02/23 | 693 | 696,855 | |||||||||||
Amplify Snack Brands, Inc. |
6.500 | % | 08/31/23 | 1,075 | 1,050,813 | |||||||||||
Chefs Warehouse, Inc. (The)(b) |
6.750 | % | 06/22/22 | 587 | 584,265 | |||||||||||
Constellation Brands Canada, Inc. (Canada) |
4.750 | % | 12/31/23 | 650 | 654,469 | |||||||||||
Focus Brands, Inc. |
5.000 | % | 10/05/23 | 475 | 479,750 | |||||||||||
Hearthside Group Holdings LLC |
4.500 | % | 06/02/21 | 891 | 891,421 | |||||||||||
JBS USA LLC |
4.000 | % | 10/31/22 | 1,992 | 1,988,089 | |||||||||||
Landrys, Inc. |
4.000 | % | 10/04/23 | 525 | 527,953 | |||||||||||
Milk Specialties Co.(b) |
6.000 | % | 08/16/23 | 900 | 907,875 | |||||||||||
Mill US Acquisition LLC |
5.000 | % | 07/03/20 | 881 | 739,495 | |||||||||||
Packers Holdings LLC(b) |
4.750 | % | 12/02/21 | 1,027 | 1,033,241 | |||||||||||
Shearers Foods LLC |
4.938 | % | 06/30/21 | 938 | 939,591 | |||||||||||
|
|
|||||||||||||||
10,493,817 | ||||||||||||||||
|
|
|||||||||||||||
Gaming 2.1% |
||||||||||||||||
Caesars Entertainment Resort Properties LLC |
7.000 | % | 10/11/20 | 1,786 | 1,792,204 | |||||||||||
CCM Merger, Inc. |
4.000 | % | 08/06/21 | 1,458 | 1,462,580 | |||||||||||
Golden Nugget, Inc. |
4.500 | % | 11/21/19 | 1,136 | 1,146,325 | |||||||||||
Scientific Games International, Inc. |
5.827 | % | 10/01/21 | 2,036 | 2,052,405 | |||||||||||
Station Casinos LLC |
3.750 | % | 06/08/23 | 848 | 851,690 | |||||||||||
Yonkers Racing Corp. |
4.250 | % | 08/20/19 | 350 | 346,616 | |||||||||||
|
|
|||||||||||||||
7,651,820 | ||||||||||||||||
|
|
|||||||||||||||
Health Care & Pharmaceutical 11.9% |
||||||||||||||||
Acadia Healthcare Co., Inc. |
3.750 | % | 02/16/23 | 1,443 | 1,442,093 | |||||||||||
Air Medical Group Holdings, Inc. |
4.250 | % | 04/28/22 | 743 | 734,944 | |||||||||||
Alere, Inc. |
4.250 | % | 06/20/22 | 647 | 636,419 | |||||||||||
Alliance HealthCare Services, Inc.(b) |
4.250 | % | 06/03/19 | 2,315 | 2,257,317 | |||||||||||
Amneal Pharmaceuticals LLC |
4.501 | % | 11/01/19 | 1,185 | 1,169,874 |
Arbor Pharmaceuticals LLC |
6.000 | % | 07/05/23 | 475 | 473,813 | |||||||||||
ATI Holdings LLC |
5.500 | % | 05/10/23 | 1,623 | 1,630,250 | |||||||||||
Boston Luxembourg III SARL (Germany)(b) |
4.000 | % | 08/28/19 | 247 | 246,720 | |||||||||||
Carecore National LLC(b) |
5.500 | % | 03/05/21 | 361 | 352,846 | |||||||||||
CCS Intermediate Holdings LLC(b) |
5.000 | % | 07/23/21 | 221 | 174,195 | |||||||||||
CHG Healthcare Services, Inc. |
4.750 | % | 06/07/23 | 998 | 1,002,990 | |||||||||||
CHS/Community Health Systems, Inc. |
3.750 | % | 12/31/19 | 1,751 | 1,657,039 | |||||||||||
CHS/Community Health Systems, Inc. |
4.000 | % | 01/27/21 | 1,558 | 1,466,318 | |||||||||||
Convatec, Inc. |
3.250 | % | 10/25/23 | 500 | 500,313 | |||||||||||
Curo Health Services Holdings, Inc. |
6.500 | % | 02/07/22 | 1,325 | 1,326,511 | |||||||||||
Endo Luxembourgh Finance I Co. SARL |
3.750 | % | 09/30/22 | 1,291 | 1,283,220 | |||||||||||
Envision Healthcare Corp. |
3.906 | % | 12/01/23 | 475 | 475,396 | |||||||||||
Envision Healthcare Corp. |
6.000 | % | 10/28/22 | 670 | 670,682 | |||||||||||
Explorer Holdings, Inc.(b) |
6.000 | % | 05/02/23 | 948 | 954,732 | |||||||||||
FHC Health Systems, Inc. |
5.000 | % | 12/23/21 | 989 | 960,904 | |||||||||||
Genoa A Qol Healthcare Co. LLC |
4.750 | % | 10/30/23 | 1,200 | 1,196,000 | |||||||||||
HCA, Inc. |
3.588 | % | 02/15/24 | 1,876 | 1,886,270 | |||||||||||
Horizon Pharma, Inc.(b) |
5.000 | % | 05/07/21 | 320 | 318,594 | |||||||||||
Horizon Pharma, Inc. |
5.500 | % | 05/07/21 | 550 | 548,625 | |||||||||||
inVentiv Health, Inc. |
4.750 | % | 11/09/23 | 700 | 697,047 | |||||||||||
Kindred Healthcare, Inc. |
4.250 | % | 04/09/21 | 1,964 | 1,936,932 | |||||||||||
Lannett Co., Inc. |
6.375 | % | 11/25/22 | 1,515 | 1,476,971 | |||||||||||
Mallinckrodt International Finance SA (Luxembourg) |
3.588 | % | 03/19/21 | 491 | 488,941 | |||||||||||
MJ Acquisition Corp. |
4.001 | % | 06/01/22 | 1,039 | 1,036,851 | |||||||||||
MPH Acquisition Holdings LLC |
5.000 | % | 06/07/23 | 1,065 | 1,076,452 | |||||||||||
Opal Acquisition, Inc. |
5.000 | % | 11/27/20 | 491 | 437,015 | |||||||||||
Ortho Clinical Diagnostics |
4.750 | % | 06/30/21 | 1,779 | 1,737,961 | |||||||||||
Pharmaceutical Product Development LLC |
4.250 | % | 08/18/22 | 1,563 | 1,564,778 | |||||||||||
Quorum Health Corp. |
6.750 | % | 04/29/22 | 945 | 908,425 | |||||||||||
RadNet Management, Inc. |
4.750 | % | 07/01/23 | 973 | 974,228 | |||||||||||
RadNet Management, Inc. |
8.000 | % | 03/25/21 | 843 | 832,792 | |||||||||||
RPI Finance Trust |
3.372 | % | 10/14/22 | 424 | 427,858 | |||||||||||
Select Medical Corp. |
6.000 | % | 03/03/21 | 1,343 | 1,351,645 | |||||||||||
Surgery Center Holdings, Inc. |
4.750 | % | 11/03/20 | 1,092 | 1,089,555 | |||||||||||
US Renal Care, Inc. |
5.250 | % | 12/30/22 | 994 | 930,396 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
4.360 | % | 10/20/18 | 382 | 378,985 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
5.250 | % | 08/05/20 | 1,563 | 1,543,469 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Canada) |
5.500 | % | 04/01/22 | 951 | 941,038 | |||||||||||
Vizient, Inc. |
5.000 | % | 02/11/23 | 806 | 809,945 | |||||||||||
|
|
|||||||||||||||
44,007,349 | ||||||||||||||||
|
|
|||||||||||||||
Insurance 1.1% |
||||||||||||||||
AmWINS Group, Inc. |
4.750 | % | 09/06/19 | 1,115 | 1,119,466 | |||||||||||
AmWINS Group, Inc. |
9.500 | % | 09/04/20 | 900 | 906,750 | |||||||||||
Hyperion Insurance Group Ltd. (United Kingdom) |
5.500 | % | 04/29/22 | 1,039 | 1,026,150 | |||||||||||
Sedgwick Claims Management Services, Inc. |
3.750 | % | 03/01/21 | 634 | 629,789 | |||||||||||
Sedgwick Claims Management Services, Inc. |
6.750 | % | 02/28/22 | 250 | 245,312 | |||||||||||
|
|
|||||||||||||||
3,927,467 | ||||||||||||||||
|
|
|||||||||||||||
Lodging 0.3% |
||||||||||||||||
Four Seasons Holdings, Inc. (Canada) |
3.920 | % | 11/30/23 | 775 | 780,812 | |||||||||||
Four Seasons Holdings, Inc. (Canada) |
6.250 | % | 12/28/20 | 375 | 375,938 | |||||||||||
|
|
|||||||||||||||
1,156,750 | ||||||||||||||||
|
|
|||||||||||||||
Media & Entertainment 4.8% |
||||||||||||||||
Beasley Broadcast Group, Inc. |
7.000 | % | 11/01/23 | 400 | 396,333 | |||||||||||
CBS Radio, Inc. |
4.500 | % | 10/17/23 | 455 | 456,967 | |||||||||||
Emerald Expositions Holding, Inc.(b) |
4.750 | % | 06/17/20 | 450 | 451,125 |
Getty Images, Inc. |
4.750 | % | 10/18/19 | 481 | 415,198 | |||||||||||
Learfield Communications, Inc. |
4.250 | % | 10/09/20 | 2,033 | 2,036,824 | |||||||||||
Learfield Communications, Inc. |
4.250 | % | 12/31/23 | 1,125 | 1,128,516 | |||||||||||
Lions Gate Entertainment Corp. |
3.880 | % | 12/31/23 | 875 | 872,084 | |||||||||||
Lions Gate Entertainment Corp.(b) |
5.000 | % | 03/17/22 | 1,850 | 1,877,750 | |||||||||||
LSC Communications, Inc.(b) |
7.000 | % | 09/30/22 | 600 | 597,000 | |||||||||||
Match Group, Inc.(b) |
7.000 | % | 11/16/22 | 1,089 | 1,096,979 | |||||||||||
Mission Broadcasting, Inc. |
| %(d) | 10/31/23 | 90 | 90,337 | |||||||||||
Mood Media Corp. (Canada) |
7.000 | % | 05/01/19 | 493 | 469,082 | |||||||||||
NEP Broadcasting LLC |
10.000 | % | 07/22/20 | 257 | 257,143 | |||||||||||
NEP/NCP Holdco, Inc. |
4.250 | % | 01/22/20 | 729 | 725,230 | |||||||||||
Nexstar Broadcasting, Inc. |
| %(d) | 10/31/23 | 1,010 | 1,013,787 | |||||||||||
Nielsen Finance LLC |
3.353 | % | 10/04/23 | 600 | 602,438 | |||||||||||
Stadium Management Group |
4.617 | % | 02/27/20 | 1,298 | 1,275,644 | |||||||||||
Tribune Media Co. |
3.750 | % | 12/27/20 | 1,191 | 1,194,430 | |||||||||||
Univision Communications, Inc. |
4.000 | % | 03/01/20 | 1,759 | 1,757,350 | |||||||||||
WMG Acquisition Corp. |
3.750 | % | 11/01/23 | 1,000 | 996,250 | |||||||||||
|
|
|||||||||||||||
17,710,467 | ||||||||||||||||
|
|
|||||||||||||||
Metals & Mining 1.3% |
||||||||||||||||
Dynacast International LLC(b) |
4.500 | % | 01/28/22 | 617 | 618,405 | |||||||||||
FMG Resources (August 2006) Pty. Ltd. (Australia) |
3.750 | % | 06/30/19 | 640 | 640,056 | |||||||||||
Global Brass & Copper, Inc.(b) |
5.250 | % | 07/18/23 | 475 | 477,375 | |||||||||||
Minerals Technologies, Inc.(b) |
4.750 | % | 05/10/21 | 225 | 226,687 | |||||||||||
Murray Energy Corp. |
8.250 | % | 04/16/20 | 772 | 697,576 | |||||||||||
Novelis, Inc. |
4.000 | % | 06/02/22 | 492 | 492,602 | |||||||||||
Phoenix Services International LLC |
8.500 | % | 06/30/19 | 1,489 | 1,470,227 | |||||||||||
Westmoreland Coal Co.(b) |
7.500 | % | 12/16/20 | 172 | 146,977 | |||||||||||
|
|
|||||||||||||||
4,769,905 | ||||||||||||||||
|
|
|||||||||||||||
Other Industry 4.4% |
||||||||||||||||
Alfred Fueling Systems, Inc.(b) |
4.500 | % | 06/21/21 | 1,538 | 1,538,488 | |||||||||||
AlixPartners LLP |
4.000 | % | 07/28/22 | 1,688 | 1,692,070 | |||||||||||
Altisource Solutions SARL (Luxembourg)(b) |
4.500 | % | 12/09/20 | 337 | 326,317 | |||||||||||
Asurion LLC |
5.000 | % | 08/04/22 | 1,231 | 1,238,544 | |||||||||||
Asurion LLC |
8.500 | % | 03/03/21 | 250 | 251,094 | |||||||||||
Brickman Group Holdings, Inc. |
4.000 | % | 12/18/20 | 1,503 | 1,500,693 | |||||||||||
Edelman Financial Group, Inc.(b) |
6.500 | % | 12/19/22 | 1,644 | 1,643,622 | |||||||||||
GCA Services Group, Inc.(b) |
5.750 | % | 03/01/23 | 423 | 419,703 | |||||||||||
Guggenheim Partners Investment Management LLC |
3.630 | % | 07/21/23 | 665 | 667,269 | |||||||||||
Laureate Education, Inc. |
8.857 | % | 03/17/21 | 1,516 | 1,498,853 | |||||||||||
Mannington Mills, Inc. |
4.750 | % | 10/01/21 | 1,144 | 1,145,110 | |||||||||||
Merrill Communications LLC(b) |
6.250 | % | 06/01/22 | 667 | 633,738 | |||||||||||
Onsite Rental Group Operation Pty. Ltd.(b)(c) |
5.500 | % | 07/30/21 | 221 | 174,195 | |||||||||||
Osmose Utility Services, Inc. |
4.750 | % | 08/22/22 | 371 | 371,946 | |||||||||||
Power Buyer LLC(b) |
4.250 | % | 05/06/20 | 913 | 910,055 | |||||||||||
Precyse Acquisition Corp. |
6.500 | % | 10/20/22 | 749 | 753,556 | |||||||||||
RCS Capitral Corp.(b) |
3.000 | % | 05/23/21 | 320 | 262,035 | |||||||||||
USAGM HoldCo LLC |
4.135 | % | 07/28/22 | 207 | 207,937 | |||||||||||
USAGM HoldCo LLC |
5.500 | % | 07/28/22 | 1,043 | 1,048,001 | |||||||||||
|
|
|||||||||||||||
16,283,226 | ||||||||||||||||
|
|
|||||||||||||||
Packaging 4.5% |
||||||||||||||||
Anchor Glass Container Corp.(b) |
4.250 | % | 12/07/23 | 600 | 603,000 | |||||||||||
Anchor Glass Container Corp. |
4.750 | % | 07/01/22 | 924 | 927,983 | |||||||||||
Berlin Packaging LLC |
4.500 | % | 10/01/21 | 1,000 | 1,002,292 | |||||||||||
Bway Holding Co. |
5.500 | % | 08/14/20 | 1,711 | 1,713,863 | |||||||||||
Charter NEX US Holdings, Inc. |
5.250 | % | 02/07/22 | 634 | 635,062 |
Exopack Holdings SA (Luxembourg) |
4.500 | % | 05/08/19 | 1,693 | 1,684,098 | |||||||||||
Expera Specialty Solutions LLC(b) |
5.750 | % | 11/03/23 | 675 | 675,000 | |||||||||||
Hilex Poly Co. LLC |
6.000 | % | 12/06/21 | 1,064 | 1,066,704 | |||||||||||
Husky Injection Molding Systems Ltd. (Canada) |
4.250 | % | 06/30/21 | 1,614 | 1,611,196 | |||||||||||
Onex Wizard Acquisition Co. I SARL |
4.000 | % | 03/13/22 | 1,188 | 1,190,292 | |||||||||||
Peacock Engineering Co. LLC |
5.256 | % | 07/27/22 | 743 | 734,457 | |||||||||||
Plaze, Inc. |
5.250 | % | 07/31/22 | 1,044 | 1,044,558 | |||||||||||
Pregis Holding I Corp. |
4.500 | % | 05/20/21 | 639 | 635,584 | |||||||||||
Pro Mach, Inc. |
4.750 | % | 10/22/21 | 1,316 | 1,314,879 | |||||||||||
ProAmpac PG Borrower LLC |
5.000 | % | 11/20/23 | 750 | 753,750 | |||||||||||
Reynolds Group Holdings, Inc. |
4.250 | % | 02/05/23 | 1,100 | 1,103,375 | |||||||||||
|
|
|||||||||||||||
16,696,093 | ||||||||||||||||
|
|
|||||||||||||||
Paper 0.1% |
||||||||||||||||
Caraustar Industries, Inc. |
8.000 | % | 05/01/19 | 433 | 439,397 | |||||||||||
|
|
|||||||||||||||
Real Estate 1.0% |
||||||||||||||||
Americold Realty Operating Partnership LP(b) |
5.750 | % | 12/01/22 | 919 | 930,434 | |||||||||||
Capital Automotive LP |
6.000 | % | 04/30/20 | 850 | 853,719 | |||||||||||
DTZ US Borrower LLC |
4.250 | % | 11/04/21 | 1,216 | 1,210,871 | |||||||||||
Starwood Property Trust, Inc. |
3.500 | % | 04/17/20 | 721 | 721,220 | |||||||||||
|
|
|||||||||||||||
3,716,244 | ||||||||||||||||
|
|
|||||||||||||||
Restaurants 0.7% |
||||||||||||||||
B.C. Unlimited Liability Co. (Canada) |
3.750 | % | 12/10/21 | 1,131 | 1,136,577 | |||||||||||
CEC Entertainment, Inc. |
4.000 | % | 02/12/21 | 1,652 | 1,623,637 | |||||||||||
|
|
|||||||||||||||
2,760,214 | ||||||||||||||||
|
|
|||||||||||||||
Retailers 6.7% |
||||||||||||||||
Academy Ltd. |
5.000 | % | 07/01/22 | 1,737 | 1,598,328 | |||||||||||
At Home Holding III, Inc.(b) |
5.000 | % | 06/03/22 | 1,167 | 1,163,700 | |||||||||||
Bass Pro Group LLC |
4.091 | % | 06/05/20 | 986 | 980,207 | |||||||||||
Bass Pro Group LLC |
5.906 | % | 10/31/24 | 1,125 | 1,116,161 | |||||||||||
Bauer Performance Sports Ltd. |
5.250 | % | 04/15/21 | 379 | 374,759 | |||||||||||
CNT Holdings III Corp. |
5.250 | % | 01/23/23 | 1,021 | 1,025,975 | |||||||||||
EyeMart Express LLC(b) |
5.000 | % | 12/18/21 | 759 | 763,088 | |||||||||||
Floor & Decor Outlets of America, Inc.(b) |
5.250 | % | 09/30/23 | 775 | 775,000 | |||||||||||
Fullbeauty Brands, Inc. |
5.750 | % | 10/14/22 | 1,145 | 1,061,986 | |||||||||||
Harbor Freight Tools USA, Inc. |
4.137 | % | 08/18/23 | 1,326 | 1,335,152 | |||||||||||
Hudsons Bay Co. (Canada) |
4.250 | % | 09/30/22 | 1,188 | 1,195,443 | |||||||||||
JC Penney Corp., Inc. |
5.250 | % | 06/23/23 | 1,066 | 1,069,062 | |||||||||||
Lands End, Inc. |
4.250 | % | 04/02/21 | 614 | 461,706 | |||||||||||
Leslies Poolmart, Inc. |
5.250 | % | 08/16/23 | 550 | 552,750 | |||||||||||
Mens Warehouse, Inc. (The) |
5.000 | % | 06/18/21 | 1,600 | 1,546,000 | |||||||||||
Neiman Marcus Group Ltd. LLC |
4.250 | % | 10/25/20 | 1,721 | 1,559,853 | |||||||||||
NVA Holdings, Inc. |
4.750 | % | 08/16/21 | 690 | 689,943 | |||||||||||
NVA Holdings, Inc. |
8.000 | % | 08/14/22 | 625 | 625,000 | |||||||||||
Petco Animal Supplies, Inc. |
5.000 | % | 01/26/23 | 1,166 | 1,174,124 | |||||||||||
Petco Animal Supplies, Inc. |
5.134 | % | 01/26/23 | 571 | 574,784 | |||||||||||
PetSmart, Inc. |
4.000 | % | 03/11/22 | 1,234 | 1,237,428 | |||||||||||
Rite Aid Corp. |
4.875 | % | 06/21/21 | 1,650 | 1,653,712 | |||||||||||
Rite Aid Corp. |
5.750 | % | 08/21/20 | 375 | 376,055 | |||||||||||
Sears Roebuck Acceptance Corp. |
5.500 | % | 06/30/18 | 731 | 712,304 | |||||||||||
Vision Holding Corp. |
4.000 | % | 03/12/21 | 1,265 | 1,253,171 | |||||||||||
|
|
|||||||||||||||
24,875,691 | ||||||||||||||||
|
|
|||||||||||||||
Supermarkets 1.5% |
||||||||||||||||
Albertsons Holdings LLC |
4.500 | % | 08/25/21 | 722 | 723,008 |
Albertsons Holdings LLC |
4.750 | % | 12/21/22 | 1,219 | 1,223,453 | |||||||||||
Albertsons Holdings LLC |
4.750 | % | 06/22/23 | 1,116 | 1,119,393 | |||||||||||
GOBP Holdings, Inc. |
5.000 | % | 10/21/21 | 1,357 | 1,351,768 | |||||||||||
Supervalu, Inc. |
5.500 | % | 03/21/19 | 1,247 | 1,250,657 | |||||||||||
|
|
|||||||||||||||
5,668,279 | ||||||||||||||||
|
|
|||||||||||||||
Technology 14.3% |
||||||||||||||||
ACTIVE Network, Inc. |
5.500 | % | 11/13/20 | 447 | 443,274 | |||||||||||
ACTIVE Network, Inc. |
6.000 | % | 11/15/20 | 300 | 297,500 | |||||||||||
Alorica, Inc. |
5.604 | % | 06/30/22 | 773 | 780,310 | |||||||||||
Ancestry.com, Inc. |
5.250 | % | 10/19/23 | 850 | 850,456 | |||||||||||
Ancestry.com, Inc. |
9.250 | % | 10/21/24 | 175 | 176,604 | |||||||||||
Avago Technologies Cayman Finance Ltd. |
3.881 | % | 02/01/23 | 1,737 | 1,752,333 | |||||||||||
Avaya, Inc. |
6.250 | % | 05/29/20 | 1,370 | 1,174,972 | |||||||||||
Avaya, Inc. |
6.500 | % | 03/30/18 | 129 | 112,416 | |||||||||||
BMC Software Finance, Inc. |
5.000 | % | 09/10/20 | 3,317 | 3,239,174 | |||||||||||
Camelot Finance LP |
4.750 | % | 10/03/23 | 525 | 526,477 | |||||||||||
Cavium, Inc.(b) |
3.909 | % | 08/16/22 | 550 | 550,000 | |||||||||||
CompuCom Systems, Inc. |
4.250 | % | 05/11/20 | 277 | 207,509 | |||||||||||
Compuware Corp. |
6.250 | % | 12/15/19 | 342 | 341,674 | |||||||||||
Compuware Corp. |
6.250 | % | 12/15/21 | 349 | 349,199 | |||||||||||
Dell International LLC |
4.000 | % | 09/07/23 | 2,425 | 2,444,703 | |||||||||||
Deltek, Inc. |
5.000 | % | 06/25/22 | 747 | 749,455 | |||||||||||
Donnelley Financial Solutions, Inc.(b) |
5.000 | % | 09/30/23 | 400 | 403,000 | |||||||||||
EagleView Technology Corp. |
5.250 | % | 07/15/22 | 693 | 690,834 | |||||||||||
Evergreen Skills SARL |
5.837 | % | 04/28/21 | 1,487 | 1,374,058 | |||||||||||
Evergreen Skills SARL |
9.337 | % | 04/28/22 | 475 | 350,906 | |||||||||||
Evertec Group LLC |
3.380 | % | 04/17/20 | 266 | 263,402 | |||||||||||
First Data Corp. |
4.334 | % | 07/08/22 | 3,125 | 3,136,680 | |||||||||||
Greeneden US Holdings II LLC |
6.250 | % | 12/01/23 | 925 | 927,698 | |||||||||||
GTCR Valor Companies, Inc. |
7.000 | % | 06/16/23 | 1,098 | 1,060,240 | |||||||||||
Hyland Software, Inc. |
4.750 | % | 07/01/22 | 439 | 439,859 | |||||||||||
Hyland Software, Inc. |
8.250 | % | 07/03/23 | 250 | 250,625 | |||||||||||
Informatica Corp. |
4.500 | % | 08/05/22 | 2,112 | 2,062,191 | |||||||||||
Internet Brands, Inc. |
4.750 | % | 07/08/21 | 1,223 | 1,227,486 | |||||||||||
IPC Systems, Inc.(b) |
5.500 | % | 08/06/21 | 939 | 887,104 | |||||||||||
Kronos, Inc. |
5.000 | % | 11/01/23 | 1,550 | 1,551,744 | |||||||||||
Kronos, Inc. |
9.250 | % | 11/01/24 | 400 | 409,143 | |||||||||||
Lattice Semiconductor Corp.(b) |
5.506 | % | 03/10/21 | 1,663 | 1,659,214 | |||||||||||
Lawson Software, Inc. |
3.750 | % | 06/03/20 | 983 | 980,221 | |||||||||||
Linxens (Luxembourg) |
5.000 | % | 10/14/22 | 744 | 743,445 | |||||||||||
Linxens (Luxembourg) |
9.500 | % | 10/16/23 | 300 | 298,500 | |||||||||||
MA FinanceCo. LLC |
4.500 | % | 11/20/19 | 298 | 298,988 | |||||||||||
MA FinanceCo. LLC (United Kingdom) |
4.520 | % | 11/19/21 | 249 | 250,995 | |||||||||||
Micron Technologies, Inc. |
4.360 | % | 04/26/22 | 1,624 | 1,641,358 | |||||||||||
MKS Instruments, Inc. |
4.381 | % | 05/01/23 | 322 | 323,752 | |||||||||||
MTS Systems Corp.(b) |
5.118 | % | 07/05/23 | 675 | 685,125 | |||||||||||
Natel Engineering Co., Inc.(b) |
6.750 | % | 04/10/20 | 1,081 | 1,084,188 | |||||||||||
NXP BV (Netherlands) |
3.357 | % | 12/07/20 | 600 | 601,538 | |||||||||||
ON Semiconductor Corp. |
4.103 | % | 03/31/23 | 975 | 979,739 | |||||||||||
Presidio Holdings Ltd. |
5.250 | % | 02/02/22 | 1,128 | 1,128,411 | |||||||||||
Rackspace Hosting, Inc. |
5.000 | % | 11/03/23 | 1,425 | 1,435,179 | |||||||||||
RP Crown Parent LLC |
4.500 | % | 10/12/23 | 1,475 | 1,474,693 | |||||||||||
Seahawk Holding (Cayman) Ltd. |
7.000 | % | 10/31/22 | 725 | 723,317 | |||||||||||
Shaw Data Centre LP(b) |
4.500 | % | 03/30/22 | 675 | 674,689 | |||||||||||
Sirius Computer Solutions, Inc. |
5.250 | % | 10/30/22 | 868 | 873,945 | |||||||||||
Sirius Computer Solutions, Inc. |
10.500 | % | 10/30/23 | 250 | 246,667 | |||||||||||
Solera Holdings, Inc. |
5.750 | % | 03/03/23 | 498 | 501,991 |
Sophia LP |
4.750 | % | 09/30/22 | 614 | 614,983 | |||||||||||
SourceHOV LLC |
7.750 | % | 10/31/19 | 349 | 308,077 | |||||||||||
Sungard Availability Services Capital, Inc.(b) |
6.000 | % | 03/29/19 | 328 | 313,044 | |||||||||||
Syniverse Holdings, Inc. |
4.000 | % | 04/23/19 | 471 | 421,854 | |||||||||||
TransUnion LLC |
3.500 | % | 04/09/21 | 1,107 | 1,111,473 | |||||||||||
Veritas US, Inc. |
6.625 | % | 01/27/23 | 572 | 512,782 | |||||||||||
Vestcom International, Inc.(b) |
5.250 | % | 09/30/21 | 932 | 929,241 | |||||||||||
Western Digital Corp. |
4.596 | % | 04/29/23 | 1,955 | 1,976,047 | |||||||||||
Xerox Business Services LLC |
3.175 | % | 12/31/23 | 1,000 | 1,001,900 | |||||||||||
|
|
|||||||||||||||
52,826,382 | ||||||||||||||||
|
|
|||||||||||||||
Telecommunications 3.5% |
||||||||||||||||
Cable Wireless Communications PLC |
5.591 | % | 01/03/23 | 1,250 | 1,260,000 | |||||||||||
Global Tel*Link Corp. |
5.000 | % | 05/22/20 | 801 | 786,907 | |||||||||||
Global Tel*Link Corp. |
9.000 | % | 11/23/20 | 300 | 290,250 | |||||||||||
GTT Communications, Inc. |
5.750 | % | 10/22/22 | 1,595 | 1,592,999 | |||||||||||
Hargray Communications Group, Inc.(b) |
4.750 | % | 06/26/19 | 1,000 | 1,002,500 | |||||||||||
Level 3 Finance, Inc. |
4.000 | % | 01/15/20 | 850 | 856,110 | |||||||||||
LTS Buyer LLC |
4.102 | % | 04/13/20 | 1,439 | 1,436,726 | |||||||||||
Mitel Networks Corp. |
5.500 | % | 04/29/22 | 1,038 | 1,044,575 | |||||||||||
Numericable US LLC (France) |
4.132 | % | 01/31/25 | 1,000 | 997,708 | |||||||||||
Numericable US LLC (France) |
5.107 | % | 01/15/24 | 846 | 849,979 | |||||||||||
SBA Senior Finance II LLC |
3.340 | % | 03/24/21 | 862 | 862,314 | |||||||||||
Securus Technologies Holdings, Inc. |
5.250 | % | 04/30/20 | 1,319 | 1,299,845 | |||||||||||
Windstream Services LLC |
4.857 | % | 03/29/21 | 175 | 175,273 | |||||||||||
Windstream Services LLC |
4.920 | % | 03/29/21 | 525 | 525,821 | |||||||||||
|
|
|||||||||||||||
12,981,007 | ||||||||||||||||
|
|
|||||||||||||||
Transportation 0.2% |
||||||||||||||||
XPO Logistics, Inc. |
4.250 | % | 11/01/21 | 868 | 876,809 | |||||||||||
|
|
|||||||||||||||
TOTAL BANK LOANS |
345,719,082 | |||||||||||||||
|
|
|||||||||||||||
CORPORATE BONDS 3.3% |
||||||||||||||||
Building Materials 0.1% |
||||||||||||||||
James Hardie International Finance Ltd. (Ireland), |
5.875 | % | 02/15/23 | 200 | 208,250 | |||||||||||
|
|
|||||||||||||||
Computers 0.2% |
||||||||||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp., |
4.420 | % | 06/15/21 | 530 | 545,366 | |||||||||||
|
|
|||||||||||||||
Cosmetics/Personal Care |
||||||||||||||||
First Quality Finance Co., Inc., Sr. Unsecd. Notes, 144A(c) |
4.625 | % | 05/15/21 | 140 | 137,725 | |||||||||||
|
|
|||||||||||||||
Diversified Financial Services 0.3% |
||||||||||||||||
KCG Holdings, Inc., Sr. Secd. Notes, 144A |
6.875 | % | 03/15/20 | 1,250 | 1,231,250 | |||||||||||
|
|
|||||||||||||||
Electric 0.2% |
||||||||||||||||
Dynegy, Inc., Gtd. Notes |
6.750 | % | 11/01/19 | 250 | 252,500 | |||||||||||
NRG Energy, Inc., Gtd. Notes, 144A |
7.250 | % | 05/15/26 | 550 | 537,625 | |||||||||||
|
|
|||||||||||||||
790,125 | ||||||||||||||||
|
|
|||||||||||||||
Entertainment 0.1% |
||||||||||||||||
Cinemark USA, Inc., Gtd. Notes |
5.125 | % | 12/15/22 | 250 | 256,875 | |||||||||||
|
|
|||||||||||||||
Food 0.1% |
||||||||||||||||
Ingles Markets, Inc., Sr. Unsecd. Notes |
5.750 | % | 06/15/23 | 350 | 357,987 | |||||||||||
|
|
Healthcare-Products 0.4% |
||||||||||||||
Concordia International Corp. (Canada), Sr. Secd. Notes, 144A |
9.000% | 04/01/22 | 1,325 | 1,225,625 | ||||||||||
Mallinckrodt International Finance SA, Gtd. Notes |
4.750% | 04/15/23 | 200 | 169,000 | ||||||||||
|
|
|||||||||||||
1,394,625 | ||||||||||||||
|
|
|||||||||||||
Healthcare-Services 0.7% |
||||||||||||||
CHS/Community Health Systems, Inc., Gtd. Notes(e) |
8.000% | 11/15/19 | 500 | 393,750 | ||||||||||
Select Medical Corp., Gtd. Notes |
6.375% | 06/01/21 | 500 | 479,685 | ||||||||||
Tenet Healthcare Corp., Sr. Unsecd. Notes |
5.500% | 03/01/19 | 650 | 617,500 | ||||||||||
Tenet Healthcare Corp., Sr. Unsecd. Notes |
8.125% | 04/01/22 | 700 | 640,500 | ||||||||||
Universal Health Services, Inc., Sr. Secd. Notes, 144A |
4.750% | 08/01/22 | 250 | 252,500 | ||||||||||
|
|
|||||||||||||
2,383,935 | ||||||||||||||
|
|
|||||||||||||
Lodging & Gaming 0.5% |
||||||||||||||
Boyd Gaming Corp., Gtd. Notes, 144A |
6.375% | 04/01/26 | 300 | 312,750 | ||||||||||
FelCor Lodging LP, Sr. Secd. Notes |
5.625% | 03/01/23 | 350 | 356,125 | ||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., Gtd. Notes, 144A |
6.125% | 12/01/24 | 250 | 256,250 | ||||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., |
6.750% | 11/15/21 | 750 | 751,875 | ||||||||||
MGM Resorts International, Gtd. Notes |
8.625% | 02/01/19 | 250 | 277,500 | ||||||||||
|
|
|||||||||||||
1,954,500 | ||||||||||||||
|
|
|||||||||||||
Media 0.1% |
||||||||||||||
DISH DBS Corp., Gtd. Notes |
7.875% | 09/01/19 | 250 | 276,875 | ||||||||||
Sinclair Television Group, Inc., Sr. Unsecd. Notes, 144A |
5.875% | 03/15/26 | 250 | 248,125 | ||||||||||
|
|
|||||||||||||
525,000 | ||||||||||||||
|
|
|||||||||||||
Oil & Gas 0.1% |
||||||||||||||
Diamondback Energy, Inc., Gtd. Notes, 144A |
4.750% | 11/01/24 | 400 | 400,500 | ||||||||||
|
|
|||||||||||||
Retail |
||||||||||||||
Hot Topic, Inc., Sr. Secd. Notes, 144A(c) |
9.250% | 06/15/21 | 100 | 105,000 | ||||||||||
|
|
|||||||||||||
Software 0.1% |
||||||||||||||
Infor US, Inc., Gtd. Notes(c) |
6.500% | 05/15/22 | 425 | 436,688 | ||||||||||
|
|
|||||||||||||
Telecommunications 0.4% |
||||||||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Sr. Secd. Notes, 144A |
3.360% | 09/20/21 | 1,500 | 1,503,750 | ||||||||||
|
|
|||||||||||||
TOTAL CORPORATE BONDS |
12,231,576 | |||||||||||||
|
|
|||||||||||||
Shares | ||||||||||||||
COMMON STOCK |
||||||||||||||
Other Industry |
||||||||||||||
RCS Capital Corp. |
2,419 | 21,771 | ||||||||||||
|
|
|||||||||||||
TOTAL LONG-TERM INVESTMENTS |
358,963,904 | |||||||||||||
|
|
SHORT-TERM INVESTMENTS 11.8% |
||||||||
AFFILIATED MUTUAL FUNDS |
||||||||
Prudential Investment Portfolios 2 Prudential Core Ultra Short Bond Fund(g) |
43,149,242 | 43,149,242 | ||||||
Prudential Investment Portfolios 2 Prudential Institutional Money Market Fund |
415,508 | 415,633 | ||||||
|
|
|||||||
TOTAL SHORT-TERM INVESTMENTS |
43,564,875 | |||||||
|
|
|||||||
TOTAL INVESTMENTS 108.7% |
402,528,779 | |||||||
Liabilities in excess of other assets (8.7)% |
(32,177,546 | ) | ||||||
|
|
|||||||
NET ASSETS 100.0% |
$ | 370,351,233 | ||||||
|
|
The following abbreviations are used in the quarterly schedule of portfolio holdings:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
CLO | Collateralized Loan Obligation | |
L2 | Level 2 | |
L3 | Level 3 |
# | Principal amount shown in U.S. dollars unless otherwise stated. |
* | Non-income producing security. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at November 30, 2016. |
(b) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $53,398,108 and 14.4% of net assets. |
(c) | Indicates a security that has been deemed illiquid. |
(d) | Interest rate not available as of November 30, 2016. |
(e) | All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $407,101; cash collateral of $415,268 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. Securities on loan are subject to contractual netting arrangements. |
(f) | Indicates a restricted security; the aggregate original cost of the restricted securities is $9,676. The aggregate value of $21,771 is approximately 0.0% of net assets. |
(g) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 Prudential Core Ultra Short Bond Fund and the Prudential Investment Portfolios 2 Prudential Institutional Money Market Fund. |
(h) | Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
(i) | The United States federal income tax basis of investments and the net unrealized depreciation were as follows: |
Tax Basis |
$ | 403,832,160 | ||
|
|
|||
Appreciation |
2,526,991 | |||
Depreciation |
(3,830,372 | ) | ||
|
|
|||
Net Unrealized Depreciation |
$ | (1,303,381 | ) | |
|
|
The book basis may differ from tax basis due to certain tax-related adjustments.
Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally in active markets for identical securities.
Level 2 - quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3 - unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of November 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
||||||||||||
Asset-Backed Securities |
||||||||||||
Collateralized Loan Obligations |
$ | | $ | 991,475 | $ | | ||||||
Bank Loans |
| 292,342,745 | 53,376,337 | |||||||||
Corporate Bonds |
| 12,231,576 | | |||||||||
Common Stock |
| | 21,771 | |||||||||
Affiliated Mutual Funds |
43,564,875 | | | |||||||||
|
|
|
|
|
|
|||||||
Total |
$ | 43,564,875 | $ | 305,565,796 | $ | 53,398,108 | ||||||
|
|
|
|
|
|
The following is a reconciliation of assets in which unobservable inputs (Level 3) were used in determining fair value:
Bank Loans | Common Stock | |||||||
Balance as of 2/29/16 |
$ | 30,641,618 | $ | | ||||
Realized gain (loss) |
74,622 | | ||||||
Change in unrealized appreciation (depreciation)* |
1,579,724 | 12,095 | ||||||
Purchases |
40,404,659 | 9,676 | ||||||
Sales/Paydowns |
(9,808,927 | ) | | |||||
Accrued discount/premium |
29,117 | | ||||||
Transfers into Level 3 |
5,566,346 | | ||||||
Transfers out of Level 3 |
(15,110,822 | ) | | |||||
|
|
|
|
|||||
Balance as of 11/30/16 |
$ | 53,376,337 | $ | 21,771 | ||||
|
|
|
|
* | Of which, $1,214,223 was relating to securities held at the reporting period end. |
Level 3 securities as presented in the table above are being fair valued using pricing methodologies approved by the Board, which contain unobservable inputs as follows:
Level 3 Securities |
Fair Value as of November 30, 2016 |
Valuation Methodology |
Unobservable Inputs |
Range | ||||||
Common Stock |
$ | 21,771 | Market Approach | Single Broker Indicative Quote | $9.00 | |||||
Bank Loans |
53,376,337 | Market Approach | Single Broker Indicative Quote | $77.25 - $106.00 ($99.20) | ||||||
|
|
|||||||||
Total |
$ | 53,398,108 | ||||||||
|
|
It is the Funds policy to recognize transfers in and transfers out at the fair value as of the beginning of period. At the reporting period end, securities transferred levels as follows:
Investments in Securities |
Amount Transferred | Level Transfer |
Logic | |||||
Bank Loans |
$ | 15,110,822 | L3 to L2 | Single Broker Indicative Quote to Multiple Broker Quotes | ||||
Bank Loans |
5,566,346 | L2 to L3 | Multiple Broker Quotes to Single Broker Indicative Quote |
Prudential Government Income Fund
Schedule of Investments
as of November 30, 2016 (unaudited)
Interest Rate |
Maturity Date | Principal Amount (000)# |
Value | |||||||||||||
LONG-TERM INVESTMENTS 100.2% |
||||||||||||||||
ASSET-BACKED SECURITIES 3.4% |
||||||||||||||||
Collateralized Loan Obligations 3.4% |
||||||||||||||||
Battalion CLO VII Ltd., Series 2014-7A, |
2.480 | %(a) | 10/17/26 | 1,250 | $ | 1,249,332 | ||||||||||
Benefit Street Partners CLO VII Ltd., |
2.412 | %(a) | 07/18/27 | 250 | 250,127 | |||||||||||
Brookside Mill CLO Ltd., Series 2013-1A, |
2.030 | %(a) | 04/17/25 | 500 | 497,619 | |||||||||||
Catamaran CLO Ltd., Series 2015-1A, |
2.432 | %(a) | 04/22/27 | 1,000 | 1,000,076 | |||||||||||
Flatiron CLO Ltd., Series 2013-1A, |
2.280 | %(a) | 01/17/26 | 500 | 500,018 | |||||||||||
Jackson Mill CLO Ltd., Series 2015-1A, |
2.420 | %(a) | 04/15/27 | 1,750 | 1,749,827 | |||||||||||
Magnetite IX Ltd., Series 2014-9A, |
2.302 | %(a) | 07/25/26 | 3,465 | 3,466,229 | |||||||||||
OZLM Funding Ltd., Series 2012-1A, |
2.402 | %(a) | 07/22/27 | 1,000 | 1,003,707 | |||||||||||
Palmer Square CLO Ltd., Series 2015-1A, |
2.411 | %(a) | 05/21/27 | 750 | 751,622 | |||||||||||
Shackleton CLO V Ltd., Series 2014-5A, |
2.381 | %(a) | 05/07/26 | 1,250 | 1,254,274 | |||||||||||
Sound Point CLO IX Ltd., Series 2015-2A, Class A, 144A |
2.401 | %(a) | 07/20/27 | 1,250 | 1,250,811 | |||||||||||
Vibrant CLO III Ltd., Series 2015-3A, |
2.511 | %(a) | 04/20/26 | 3,750 | 3,767,396 | |||||||||||
|
|
|||||||||||||||
16,741,038 | ||||||||||||||||
|
|
|||||||||||||||
Non-Residential Mortgage-Backed Securities |
||||||||||||||||
Small Business Administration Participation Certificates, Series 1997-20A, Class 1 |
7.150 | % | 01/01/17 | 17 | 16,691 | |||||||||||
Small Business Administration Participation Certificates, Series 1998-20I, Class 1 |
6.000 | % | 09/01/18 | 212 | 215,711 | |||||||||||
|
|
|||||||||||||||
232,402 | ||||||||||||||||
|
|
|||||||||||||||
TOTAL ASSET-BACKED SECURITIES |
16,973,440 | |||||||||||||||
|
|
|||||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES 23.2% |
| |||||||||||||||
Citigroup Commercial Mortgage Trust, |
3.515 | % | 09/10/58 | 2,500 | 2,569,121 | |||||||||||
Commercial Mortgage Trust, Series 2012-CR5, Class A3 |
2.540 | % | 12/10/45 | 2,000 | 2,001,949 | |||||||||||
Fannie Mae-Aces, Series 2012-M2, Class A2 |
2.717 | % | 02/25/22 | 270 | 273,996 | |||||||||||
Fannie Mae-Aces, Series 2012-M13, Class A2 |
2.377 | % | 05/25/22 | 3,250 | 3,249,881 | |||||||||||
Fannie Mae-Aces, Series 2014-M2, Class A2 |
3.513 | %(a) | 12/25/23 | 3,950 | 4,148,446 | |||||||||||
Fannie Mae-Aces, Series 2015-M1, Class AB2 |
2.465 | % | 09/25/24 | 1,000 | 978,426 | |||||||||||
Fannie Mae-Aces, Series 2015-M17, Class A2 |
3.038 | %(a) | 11/25/25 | 2,900 | 2,929,507 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K003, Class A5 |
5.085 | % | 03/25/19 | 500 | 534,518 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K004, Class A2 |
4.186 | % | 08/25/19 | 8,500 | 9,025,277 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
4.317 | % | 11/25/19 | 1,900 | 2,031,775 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K008, Class X1, IO |
1.779 | %(a) | 06/25/20 | 26,753 | 1,122,654 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K019, Class X1, IO |
1.834 | %(a) | 03/25/22 | 25,920 | 1,884,920 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K020, Class X1, IO |
1.578 | %(a) | 05/25/22 | 14,629 | 935,635 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K021, Class X1, IO |
1.615 | %(a) | 06/25/22 | 15,887 | 1,061,753 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K024, Class A2 |
2.573 | % | 09/25/22 | 5,125 | 5,208,360 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K025, Class X1, IO |
1.009 | %(a) | 10/25/22 | 40,821 | 1,711,172 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K026, Class A2 |
2.510 | % | 11/25/22 | 6,400 | 6,464,772 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, Series K029, Class A2 |
3.320 | %(a) | 02/25/23 | 6,400 | 6,743,498 |
FHLMC Multifamily Structured Pass-Through Certificates, |
3.310 | %(a) | 05/25/23 | 5,100 | 5,371,890 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.060 | %(a) | 07/25/23 | 6,400 | 6,642,962 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.531 | %(a) | 07/25/23 | 7,800 | 8,306,799 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.389 | % | 03/25/24 | 6,800 | 7,170,927 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.171 | % | 10/25/24 | 6,000 | 6,229,595 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
2.811 | % | 01/25/25 | 5,000 | 5,064,604 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.023 | % | 01/25/25 | 6,000 | 6,151,348 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.511 | % | 04/25/30 | 900 | 928,927 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
1.890 | %(a) | 05/25/19 | 12,572 | 435,750 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
1.815 | %(a) | 07/25/19 | 12,367 | 434,084 | |||||||||||
FHLMC Multifamily Structured Pass-Through Certificates, |
3.161 | %(a) | 05/25/25 | 4,000 | 4,079,787 | |||||||||||
JPMBB Commercial Mortgage Securities Trust, |
3.368 | % | 09/15/47 | 2,500 | 2,578,787 | |||||||||||
JPMBB Commercial Mortgage Securities Trust, |
3.515 | % | 03/15/49 | 2,500 | 2,568,036 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
6.115 | %(a) | 04/17/45 | 109 | 109,085 | |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
2.694 | % | 04/15/46 | 1,000 | 1,004,955 | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
2.834 | % | 05/15/46 | 1,000 | 999,994 | |||||||||||
UBS-Barclays Commercial Mortgage Trust, |
2.792 | % | 12/10/45 | 2,400 | 2,431,276 | |||||||||||
Wells Fargo Commercial Mortgage Trust, |
3.572 | % | 09/15/58 | 2,500 | 2,579,339 | |||||||||||
|
|
|||||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES |
|
115,963,805 | ||||||||||||||
|
|
|||||||||||||||
CORPORATE BONDS 1.1% |
||||||||||||||||
Diversified Financial Services |
||||||||||||||||
Private Export Funding Corp., U.S. Govt. Gtd. Notes |
3.550 | % | 01/15/24 | 2,085 | 2,224,605 | |||||||||||
Private Export Funding Corp., U.S. Govt. Gtd. Notes |
4.300 | % | 12/15/21 | 2,660 | 2,917,978 | |||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS |
5,142,583 | |||||||||||||||
|
|
|||||||||||||||
FOREIGN GOVERNMENT AGENCY OBLIGATION 0.1% |
|
|||||||||||||||
CDP Financial, Inc. (Canada), Sr. Unsecd. Notes, 144A |
3.150 | % | 07/24/24 | 470 | 477,479 | |||||||||||
|
|
|||||||||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES 0.2% |
| |||||||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
5.500 | % | 09/15/17 | 153 | 155,026 | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
5.500 | % | 09/15/17 | 12 | 12,370 | |||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
5.000 | % | 10/15/17 | 304 | 307,916 | |||||||||||
Federal National Mortgage Assoc., REMICS, |
5.500 | % | 09/25/17 | 11 | 11,060 | |||||||||||
Merrill Lynch Mortgage Investors Trust, Series 2003-E, Class A1 |
1.204 | %(a) | 10/25/28 | 97 | 92,683 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
3.067 | %(a) | 02/25/34 | 437 | 438,350 | |||||||||||
|
|
|||||||||||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES 1,017,405 |
| |||||||||||||||
|
|
U.S. GOVERNMENT AGENCY OBLIGATIONS 45.8% |
|
|||||||||||||||
Federal Home Loan Banks |
1.000 | % | 12/19/17 | 4,400 | 4,402,776 | |||||||||||
Federal Home Loan Mortgage Corp. |
2.500 | % | 03/01/30 | 1,637 | 1,646,716 | |||||||||||
Federal Home Loan Mortgage Corp. |
2.500 | % | TBA | 3,500 | 3,512,578 | |||||||||||
Federal Home Loan Mortgage Corp. |
2.745 | %(a) | 05/01/34 | 640 | 670,990 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.000 | % | 10/01/28 | 356 | 367,303 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.000 | % | 06/01/29 | 1,023 | 1,053,758 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.000 | % | TBA | 8,500 | 8,462,149 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.500 | % | 08/01/26 | 637 | 668,864 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.500 | % | 01/01/27 | 335 | 351,744 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.500 | % | 06/01/42 | 2,355 | 2,426,404 | |||||||||||
Federal Home Loan Mortgage Corp. |
3.500 | % | TBA | 14,500 | 14,883,457 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 06/01/26 | 228 | 241,513 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 09/01/26 | 587 | 622,555 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 11/01/39 | 1,687 | 1,783,092 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 09/01/40 | 1,167 | 1,233,106 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 12/01/40 | 906 | 955,115 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 12/01/40 | 643 | 677,983 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 04/01/42 | 2,382 | 2,518,782 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | 10/01/45 | 841 | 884,903 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.000 | % | TBA | 2,000 | 2,104,414 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.500 | % | 09/01/39 | 2,616 | 2,830,600 | |||||||||||
Federal Home Loan Mortgage Corp. |
4.500 | % | TBA | 1,000 | 1,077,871 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.000 | % | 06/01/33 | 1,250 | 1,385,142 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.000 | % | 03/01/34 | 117 | 128,912 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.000 | % | 05/01/34 | 1,668 | 1,840,785 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.000 | % | 05/01/34 | 129 | 141,651 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.500 | % | 05/01/37 | 199 | 223,133 | |||||||||||
Federal Home Loan Mortgage Corp. |
5.500 | % | 01/01/38 | 169 | 189,872 | |||||||||||
Federal Home Loan Mortgage Corp. |
6.000 | % | 08/01/32 | 103 | 116,766 | |||||||||||
Federal Home Loan Mortgage Corp. |
6.000 | % | 12/01/33 | 97 | 113,055 | |||||||||||
Federal Home Loan Mortgage Corp. |
6.000 | % | 09/01/34 | 156 | 177,031 | |||||||||||
Federal Home Loan Mortgage Corp. |
6.500 | % | 09/01/32 | 241 | 271,972 | |||||||||||
Federal Home Loan Mortgage Corp. |
6.500 | % | 09/01/32 | 73 | 82,669 | |||||||||||
Federal Home Loan Mortgage Corp. |
7.000 | % | 09/01/32 | 34 | 35,634 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.000 | % | 03/01/22 | 20 | 20,082 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.000 | % | 08/01/22 | 4 | 3,766 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 02/01/17 | 1 | 1,177 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 05/01/17 | | (d) | 41 | ||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 05/01/17 | 1 | 855 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 06/01/17 | | (d) | 56 | ||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 07/01/17 | | (d) | 60 | ||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 09/01/17 | 2 | 2,129 | |||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 06/01/18 | | (d) | 97 | ||||||||||
Federal Home Loan Mortgage Corp. |
8.500 | % | 09/01/19 | 3 | 2,952 | |||||||||||
Federal Home Loan Mortgage Corp. |
9.000 | % | 01/01/20 | 6 | 6,107 | |||||||||||
Federal National Mortgage Assoc. |
1.000 | % | 10/24/19 | 5,000 | 4,931,740 | |||||||||||
Federal National Mortgage Assoc. |
2.000 | % | 08/01/31 | 791 | 772,869 | |||||||||||
Federal National Mortgage Assoc. |
2.500 | % | TBA | 6,500 | 6,528,437 | |||||||||||
Federal National Mortgage Assoc. |
2.500 | % | TBA | 2,500 | 2,386,345 | |||||||||||
Federal National Mortgage Assoc. |
2.539 | %(a) | 07/01/33 | 1,849 | 1,958,308 | |||||||||||
Federal National Mortgage Assoc. |
2.617 | %(a) | 04/01/34 | 336 | 351,120 | |||||||||||
Federal National Mortgage Assoc. |
2.636 | %(a) | 06/01/34 | 715 | 758,168 | |||||||||||
Federal National Mortgage Assoc. |
2.689 | %(a) | 04/01/34 | 556 | 587,560 |
Federal National Mortgage Assoc. |
3.000 | % | 01/01/27 | 1,144 | 1,178,312 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | 08/01/28 | 1,973 | 2,030,891 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | 02/01/31 | 4,259 | 4,383,085 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | 11/01/36 | 1,994 | 2,023,748 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | 12/01/42 | 1,641 | 1,642,670 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | 07/01/43 | 3,242 | 3,246,614 | |||||||||||
Federal National Mortgage Assoc. |
3.000 | % | TBA | 10,500 | 10,458,985 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 09/01/26 | 400 | 417,314 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 03/01/27 | 1,000 | 1,043,364 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 10/01/41 | 3,695 | 3,797,045 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 12/01/41 | 991 | 1,018,852 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 03/01/42 | 860 | 886,772 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | 05/01/42 | 4,455 | 4,593,727 | |||||||||||
Federal National Mortgage Assoc. |
3.500 | % | TBA | 1,000 | 1,026,992 | |||||||||||
Federal National Mortgage Assoc. |
4.000 | % | 09/01/40 | 1,979 | 2,090,074 | |||||||||||
Federal National Mortgage Assoc. |
4.000 | % | 07/01/42 | 770 | 812,754 | |||||||||||
Federal National Mortgage Assoc. |
4.000 | % | 09/01/44 | 2,253 | 2,372,810 | |||||||||||
Federal National Mortgage Assoc. |
4.000 | % | TBA | 12,500 | 13,167,969 | |||||||||||
Federal National Mortgage Assoc. |
4.500 | % | 01/01/20 | 74 | 76,837 | |||||||||||
Federal National Mortgage Assoc. |
4.500 | % | 04/01/41 | 2,268 | 2,453,993 | |||||||||||
Federal National Mortgage Assoc. |
4.500 | % | TBA | 3,000 | 3,236,191 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 07/01/18 | 12 | 12,162 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 08/01/18 | 52 | 52,721 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 01/01/19 | 274 | 282,010 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 02/01/19 | 220 | 225,939 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 11/01/19 | 81 | 84,026 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 12/01/31 | 76 | 82,750 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 03/01/34 | 631 | 692,215 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 07/01/35 | 262 | 287,108 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 09/01/35 | 144 | 159,485 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 11/01/35 | 138 | 152,177 | |||||||||||
Federal National Mortgage Assoc. |
5.000 | % | 05/01/36 | 102 | 112,476 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 02/01/17 | | (d) | 108 | ||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 10/01/18 | 68 | 70,084 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 10/01/18 | 73 | 75,096 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 11/01/18 | 49 | 49,584 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 02/01/34 | 534 | 601,495 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 09/01/34 | 980 | 1,110,977 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 02/01/35 | 803 | 912,196 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 06/01/35 | 368 | 413,005 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 06/01/35 | 287 | 321,999 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 09/01/35 | 715 | 801,463 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 09/01/35 | 254 | 283,847 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 10/01/35 | 589 | 659,620 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 11/01/35 | 1,357 | 1,520,517 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 11/01/35 | 1,649 | 1,860,176 | |||||||||||
Federal National Mortgage Assoc. |
5.500 | % | 11/01/36 | 18 | 20,044 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 08/01/21 | 79 | 83,681 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 09/01/21 | 28 | 29,858 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 07/01/22 | 3 | 3,414 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 09/01/33 | 1 | 1,561 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 11/01/33 | 2 | 1,894 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 02/01/34 | 1 | 1,220 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 06/01/34 | | (d) | 293 | ||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 09/01/34 | | (d) | 470 | ||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 09/01/34 | 41 | 46,377 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 09/01/34 | 37 | 42,247 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 10/01/34 | 56 | 63,700 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 11/01/34 | 4 | 5,078 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 11/01/34 | 54 | 61,337 |
Federal National Mortgage Assoc. |
6.000 | % | 02/01/35 | 2 | 2,089 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 03/01/35 | 25 | 28,268 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 04/01/35 | 1 | 1,494 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 12/01/35 | 260 | 296,839 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 01/01/36 | 600 | 681,040 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 05/01/36 | 41 | 46,095 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 05/01/36 | 495 | 563,023 | |||||||||||
Federal National Mortgage Assoc. |
6.000 | % | 05/01/36 | 172 | 195,847 | |||||||||||
Federal National Mortgage Assoc.(e) |
6.250 | % | 05/15/29 | 210 | 281,656 | |||||||||||
Federal National Mortgage Assoc.(e) |
6.500 | % | 07/01/32 | 1,034 | 1,171,794 | |||||||||||
Federal National Mortgage Assoc. |
6.500 | % | 08/01/32 | 404 | 457,532 | |||||||||||
Federal National Mortgage Assoc. |
6.500 | % | 09/01/32 | 129 | 145,664 | |||||||||||
Federal National Mortgage Assoc. |
6.500 | % | 10/01/32 | 953 | 1,079,015 | |||||||||||
Federal National Mortgage Assoc. |
6.500 | % | 10/01/32 | 147 | 166,075 | |||||||||||
Federal National Mortgage Assoc. |
6.500 | % | 10/01/37 | 644 | 729,328 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 140 | 156,598 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 36 | 38,970 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 27 | 28,419 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 34 | 36,391 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 10 | 10,297 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 05/01/24 | 9 | 9,079 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 12/01/31 | 378 | 432,899 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 12/01/31 | 1 | 1,418 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 09/01/33 | 72 | 74,347 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 10/01/33 | 34 | 34,429 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 11/01/33 | 12 | 12,657 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 11/01/33 | 75 | 77,626 | |||||||||||
Federal National Mortgage Assoc. |
7.000 | % | 02/01/36 | 17 | 18,866 | |||||||||||
Federal National Mortgage Assoc. |
9.000 | % | 04/01/25 | 7 | 7,357 | |||||||||||
Federal National Mortgage Assoc. |
9.500 | % | 01/01/25 | 9 | 9,405 | |||||||||||
Federal National Mortgage Assoc. |
9.500 | % | 01/01/25 | 2 | 2,238 | |||||||||||
Federal National Mortgage Assoc. |
9.500 | % | 01/01/25 | 3 | 3,260 | |||||||||||
Federal National Mortgage Assoc. |
9.500 | % | 02/01/25 | 3 | 3,043 | |||||||||||
Government National Mortgage Assoc. |
3.000 | % | 03/15/45 | 3,762 | 3,814,866 | |||||||||||
Government National Mortgage Assoc. |
3.000 | % | TBA | 9,500 | 9,646,954 | |||||||||||
Government National Mortgage Assoc. |
3.500 | % | 03/20/45 | 3,288 | 3,426,372 | |||||||||||
Government National Mortgage Assoc. |
3.500 | % | 04/20/45 | 1,863 | 1,940,947 | |||||||||||
Government National Mortgage Assoc. |
3.500 | % | TBA | 17,000 | 17,699,922 | |||||||||||
Government National Mortgage Assoc. |
4.000 | % | 02/20/41 | 844 | 900,782 | |||||||||||
Government National Mortgage Assoc. |
4.500 | % | 02/20/40 | 521 | 570,757 | |||||||||||
Government National Mortgage Assoc. |
4.500 | % | 01/20/41 | 293 | 319,629 | |||||||||||
Government National Mortgage Assoc. |
4.500 | % | 02/20/41 | 1,508 | 1,640,732 | |||||||||||
Government National Mortgage Assoc. |
4.500 | % | 03/20/41 | 767 | 834,516 | |||||||||||
Government National Mortgage Assoc. |
4.500 | % | TBA | 3,500 | 3,808,369 | |||||||||||
Government National Mortgage Assoc. |
5.000 | % | 07/15/33 | 824 | 925,675 | |||||||||||
Government National Mortgage Assoc. |
5.000 | % | 09/15/33 | 910 | 1,014,258 | |||||||||||
Government National Mortgage Assoc. |
5.000 | % | 04/15/34 | 70 | 76,782 | |||||||||||
Government National Mortgage Assoc. |
5.500 | % | 02/15/34 | 673 | 774,023 | |||||||||||
Government National Mortgage Assoc. |
5.500 | % | 02/15/36 | 165 | 188,957 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/22 | 1 | 1,018 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/22 | | (d) | 462 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/22 | 1 | 1,464 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | 5 | 4,670 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | 1 | 1,263 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | 3 | 2,539 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | 6 | 6,257 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | | (d) | 248 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/23 | 3 | 3,063 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/23 | 4 | 4,253 |
Government National Mortgage Assoc. |
7.000 | % | 03/15/23 | 5 | 5,098 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/23 | 3 | 3,474 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/23 | 2 | 1,614 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/23 | 5 | 4,634 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/23 | 2 | 1,680 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/23 | 6 | 6,492 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 1 | 856 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 56 | 59,344 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 2 | 2,552 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 3 | 2,866 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 1 | 847 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | | (d) | 225 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 3 | 3,453 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 3 | 3,492 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 6 | 5,955 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 1 | 1,412 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 22 | 23,271 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 8 | 8,059 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/23 | 7 | 7,501 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | | (d) | 294 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 3 | 3,324 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | | (d) | 352 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 1 | 1,441 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 2 | 2,487 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 5 | 4,691 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 1 | 1,351 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 3 | 2,861 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/23 | 3 | 3,684 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 3 | 2,834 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 1 | 1,149 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 5 | 4,909 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | | (d) | 511 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 4 | 3,965 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 5 | 4,868 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 20 | 20,293 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 1 | 1,084 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 2 | 1,765 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 2 | 2,337 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/23 | 1 | 597 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 2 | 2,217 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 1 | 791 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 2 | 1,893 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 4 | 3,850 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 7 | 6,799 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 2 | 2,161 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 1 | 1,505 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 12 | 12,420 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 1 | 1,375 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 8 | 8,202 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 5 | 4,830 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 1 | 1,545 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 7 | 7,051 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 5 | 5,182 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 2 | 1,809 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 1 | 588 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 08/15/23 | 10 | 10,284 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 2,264 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 1,808 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 1,849 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 50 | 53,906 |
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 2,763 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 2,028 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 15 | 16,155 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 09/15/23 | 2 | 1,601 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 60 | 64,025 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 53 | 54,988 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 4 | 3,673 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 6 | 6,583 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 3 | 3,501 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 1 | 854 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 14 | 14,064 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 1,887 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 1 | 1,341 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 13 | 14,387 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 2,360 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 1,516 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 18 | 18,579 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 3 | 2,812 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 2,262 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 9 | 8,776 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 6 | 6,749 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 14 | 15,294 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 3 | 3,385 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 6 | 6,634 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 7 | 7,131 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 10 | 10,919 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 1,663 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 5 | 5,125 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 1 | 1,200 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | | (d) | 315 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | | (d) | 455 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 2,319 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 6 | 6,182 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 2,617 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 1 | 1,067 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/23 | 2 | 2,493 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 3 | 2,730 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 1 | 654 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 3 | 2,927 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 1 | 913 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 3 | 3,360 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 2 | 2,103 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | | (d) | 452 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 5 | 5,384 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 10 | 10,508 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 6 | 6,696 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | | (d) | 202 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 6 | 5,916 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 10 | 10,502 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 14 | 15,403 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 4 | 4,109 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 2 | 2,129 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 2 | 1,847 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 12 | 12,938 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 2 | 2,622 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 6 | 6,195 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 4 | 4,110 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 17 | 18,751 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 9 | 10,118 |
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 3 | 3,473 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 16 | 16,094 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 11/15/23 | 5 | 5,203 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 2,164 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 1,464 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 3 | 3,555 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 3 | 3,485 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | | (d) | 406 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 3 | 3,447 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 6 | 6,409 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 11 | 11,832 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 5 | 5,584 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 6 | 6,012 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 22 | 23,198 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 1,521 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 2,218 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 3 | 3,055 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 7 | 7,086 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 1,253 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 7 | 6,979 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 13 | 13,568 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 1,804 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 2,574 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 1,375 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 6 | 6,206 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 12 | 12,503 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 7 | 6,935 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 613 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 10 | 10,260 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 2,265 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 36 | 37,985 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 7 | 7,867 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 1 | 1,462 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 4 | 4,311 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 5 | 5,019 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 19 | 19,800 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 12/15/23 | 2 | 1,999 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | | (d) | 507 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 3 | 3,499 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 3 | 3,101 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 4 | 3,820 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 9 | 9,646 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 4 | 3,782 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 1 | 1,332 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 2 | 1,923 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 3 | 3,435 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 7 | 7,123 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 2 | 2,203 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 7 | 7,074 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 2 | 1,897 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 01/15/24 | 5 | 5,501 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 2 | 1,905 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 1 | 1,000 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 1 | 541 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 15 | 16,352 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 2 | 2,212 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 1 | 912 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 3 | 3,132 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/24 | 6 | 6,517 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 5 | 5,100 |
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 3 | 2,598 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 4 | 3,572 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 2 | 1,659 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | | (d) | 149 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | | (d) | 103 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 3 | 3,225 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 03/15/24 | 2 | 2,336 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 1 | 1,007 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 9 | 8,706 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 14 | 14,569 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 3 | 3,000 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 1 | 933 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 1 | 1,042 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 2 | 2,054 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | | (d) | 460 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 1 | 742 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 3 | 3,203 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 6 | 6,057 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 4 | 3,859 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 1 | 1,188 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 3 | 2,658 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 4 | 4,613 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 3 | 3,226 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 04/15/24 | 2 | 1,649 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 6 | 6,446 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 3 | 3,364 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 9 | 9,748 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 2 | 2,293 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 12 | 13,366 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | | (d) | 394 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 2 | 1,681 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 1 | 923 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 3 | 3,487 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 9 | 8,888 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 6 | 5,916 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 6 | 6,541 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 05/15/24 | 6 | 6,219 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | | (d) | 20 | ||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 8 | 8,844 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 4 | 4,256 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 13 | 13,289 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 5 | 5,120 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 7 | 7,347 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 1 | 784 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 9 | 9,199 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 3 | 3,136 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 1 | 750 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 2 | 1,626 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 06/15/24 | 3 | 2,824 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/24 | 3 | 3,448 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 07/15/24 | 4 | 3,862 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 10/15/24 | 12 | 12,470 | |||||||||||
Government National Mortgage Assoc. |
7.000 | % | 02/15/29 | 23 | 23,754 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/23 | | (d) | 281 | ||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/23 | 1 | 564 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 03/15/23 | 2 | 1,562 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 05/15/23 | 8 | 8,450 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 05/15/23 | 1 | 1,073 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 06/15/23 | 1 | 682 |
Government National Mortgage Assoc. |
7.500 | % | 07/15/23 | | (d) | 261 | ||||||||||
Government National Mortgage Assoc. |
7.500 | % | 07/15/23 | | (d) | 320 | ||||||||||
Government National Mortgage Assoc. |
7.500 | % | 07/15/23 | 1 | 825 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 09/15/23 | 4 | 3,948 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 09/15/23 | | (d) | 263 | ||||||||||
Government National Mortgage Assoc. |
7.500 | % | 10/15/23 | 12 | 12,825 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 10/15/23 | 7 | 6,954 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 11/15/23 | 2 | 1,752 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 11/15/23 | 12 | 13,157 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 12/15/23 | 2 | 1,828 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 12/15/23 | 6 | 6,161 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 1 | 1,127 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 19 | 19,591 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 17 | 18,030 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 4 | 4,580 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 2 | 1,661 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 4 | 4,755 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 01/15/24 | 4 | 4,469 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 02/15/24 | 1 | 1,327 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 02/15/24 | 15 | 16,686 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 03/15/24 | 4 | 4,239 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 03/15/24 | 1 | 925 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 03/15/24 | 2 | 1,826 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 04/15/24 | 8 | 8,320 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 04/15/24 | 4 | 3,801 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 04/15/24 | 3 | 3,429 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 05/15/24 | 1 | 991 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 05/15/24 | 2 | 1,954 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 05/15/24 | 2 | 2,296 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 06/15/24 | 2 | 1,724 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 06/15/24 | 4 | 4,599 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 06/15/24 | 8 | 8,710 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 06/15/24 | 7 | 7,087 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 07/15/24 | 7 | 6,862 | |||||||||||
Government National Mortgage Assoc. |
7.500 | % | 07/15/24 | 16 | 16,098 | |||||||||||
Government National Mortgage Assoc. |
8.500 | % | 04/15/25 | 186 | 217,990 | |||||||||||
Government National Mortgage Assoc. |
9.500 | % | 06/15/17 | 1 | 851 | |||||||||||
Government National Mortgage Assoc. |
9.500 | % | 07/15/17 | 1 | 827 | |||||||||||
Government National Mortgage Assoc. |
9.500 | % | 07/15/17 | 1 | 676 | |||||||||||
Government National Mortgage Assoc. |
9.500 | % | 12/15/17 | 4 | 3,688 | |||||||||||
Government National Mortgage Assoc. |
9.500 | % | 08/20/20 | | (d) | 85 | ||||||||||
Government National Mortgage Assoc. |
9.500 | % | 07/20/21 | | (d) | 36 | ||||||||||
Government National Mortgage Assoc. |
9.500 | % | 08/20/21 | 7 | 6,893 | |||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Govt. Gtd. Notes |
2.578 | % | 06/30/22 | 2,285 | 2,338,675 | |||||||||||
Hashemite Kingdom of Jordan, USAID Bond, U.S. Govt. Gtd. Notes |
3.000 | % | 06/30/25 | 2,269 | 2,320,454 | |||||||||||
Israel Government USAID Bond, U.S. Govt. Gtd. Notes |
5.500 | % | 09/18/23 | 2,700 | 3,225,747 | |||||||||||
Residual Funding Corp. Principal Strip, Sr. Unsecd. Notes, PO |
1.205 | %(f) | 07/15/20 | 1,475 | 1,380,311 | |||||||||||
Residual Funding Corp. Principal Strip, Unsecd. Notes, PO |
1.256 | %(f) | 01/15/21 | 2,230 | 2,054,376 | |||||||||||
Residual Funding Corp. Principal Strip, Unsecd. Notes, PO |
2.862 | %(f) | 01/15/30 | 1,260 | 825,771 | |||||||||||
Residual Funding Corp. Principal Strip, Unsecd. Notes, PO |
2.958 | %(f) | 04/15/30 | 1,415 | 923,067 | |||||||||||
Tennessee Valley Authority, Sr. Unsecd. Notes |
6.750 | % | 11/01/25 | 1,300 | 1,718,196 | |||||||||||
Tennessee Valley Authority, Sr. Unsecd. Notes |
7.125 | % | 05/01/30 | 2,175 | 3,116,405 | |||||||||||
Ukraine Government, USAID Bond, US Govt. Gtd. |
1.471 | % | 09/29/21 | 5,400 | 5,281,103 | |||||||||||
|
|
|||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
228,925,877 | |||||||||||||||
|
|
|||||||||||||||
U.S. TREASURY OBLIGATIONS 26.4% |
||||||||||||||||
U.S. Treasury Bonds |
2.500 | % | 05/15/46 | 1,210 | 1,082,856 | |||||||||||
U.S. Treasury Bonds |
2.750 | % | 11/15/42 | 1,945 | 1,853,297 |
U.S. Treasury Bonds(g) |
2.875 | % | 05/15/43 | 2,185 | 2,128,413 | |||||||||||
U.S. Treasury Bonds |
3.000 | % | 11/15/44 | 900 | 896,730 | |||||||||||
U.S. Treasury Bonds |
3.000 | % | 05/15/45 | 8,950 | 8,903,854 | |||||||||||
U.S. Treasury Bonds |
4.250 | % | 11/15/40 | 9,920 | 12,136,892 | |||||||||||
U.S. Treasury Bonds |
4.750 | % | 02/15/41 | 2,635 | 3,461,834 | |||||||||||
U.S. Treasury Notes |
0.750 | % | 02/28/18 | 5 | 4,986 | |||||||||||
U.S. Treasury Notes |
1.375 | % | 04/30/21 | 27,040 | 26,560,473 | |||||||||||
U.S. Treasury Notes |
1.625 | % | 04/30/23 | 3,640 | 3,528,383 | |||||||||||
U.S. Treasury Notes |
1.750 | % | 11/30/21 | 1,490 | 1,484,122 | |||||||||||
U.S. Treasury Notes |
1.750 | % | 03/31/22 | 6,280 | 6,212,050 | |||||||||||
U.S. Treasury Notes |
2.000 | % | 11/30/22 | 3,605 | 3,589,509 | |||||||||||
U.S. Treasury Notes |
2.000 | % | 02/15/25 | 5,505 | 5,374,042 | |||||||||||
U.S. Treasury Notes |
2.125 | % | 09/30/21 | 22,355 | 22,607,366 | |||||||||||
U.S. Treasury Notes |
2.125 | % | 12/31/22 | 1,005 | 1,006,806 | |||||||||||
U.S. Treasury Notes |
2.125 | % | 11/30/23 | 9,850 | 9,813,062 | |||||||||||
U.S. Treasury Strips Coupon |
1.881 | %(f) | 05/15/31 | 1,100 | 734,748 | |||||||||||
U.S. Treasury Strips Coupon |
1.898 | %(f) | 08/15/29 | 1,100 | 780,135 | |||||||||||
U.S. Treasury Strips Coupon |
2.037 | %(f) | 02/15/22 | 1,875 | 1,689,656 | |||||||||||
U.S. Treasury Strips Coupon |
2.100 | %(f) | 11/15/35 | 2,200 | 1,253,688 | |||||||||||
U.S. Treasury Strips Coupon |
2.184 | %(f) | 02/15/28 | 695 | 516,761 | |||||||||||
U.S. Treasury Strips Coupon |
2.241 | %(f) | 05/15/28 | 345 | 254,527 | |||||||||||
U.S. Treasury Strips Coupon |
2.264 | %(f) | 08/15/40 | 2,200 | 1,045,625 | |||||||||||
U.S. Treasury Strips Coupon |
2.280 | %(f) | 02/15/29 | 345 | 248,484 | |||||||||||
U.S. Treasury Strips Coupon |
2.384 | %(f) | 05/15/29 | 710 | 506,776 | |||||||||||
U.S. Treasury Strips Coupon |
2.404 | %(f) | 08/15/21 | 5,070 | 4,634,781 | |||||||||||
U.S. Treasury Strips Coupon(e)(g) |
3.076 | %(f) | 08/15/24 | 6,700 | 5,596,671 | |||||||||||
U.S. Treasury Strips Principal, PO |
2.543 | %(f) | 02/15/45 | 1,365 | 566,063 | |||||||||||
U.S. Treasury Strips Principal, PO |
2.545 | %(f) | 05/15/43 | 1,580 | 696,426 | |||||||||||
U.S. Treasury Strips Principal, PO |
2.873 | %(f) | 05/15/45 | 2,470 | 1,018,517 | |||||||||||
U.S. Treasury Strips Principal, PO |
3.005 | %(f) | 11/15/44 | 1,045 | 439,686 | |||||||||||
U.S. Treasury Strips Principal, PO |
3.626 | %(f) | 05/15/44 | 2,865 | 1,229,019 | |||||||||||
|
|
|||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
131,856,238 | |||||||||||||||
|
|
|||||||||||||||
TOTAL LONG-TERM INVESTMENTS |
500,356,827 | |||||||||||||||
|
|
|||||||||||||||
SHORT-TERM INVESTMENTS 20.2% |
||||||||||||||||
Shares | ||||||||||||||||
AFFILIATED MUTUAL FUNDS 20.2% |
||||||||||||||||
Prudential Investment Portfolios 2 Prudential |
1,094,162 | 10,142,886 | ||||||||||||||
Prudential Investment Portfolios 2 Prudential |
90,959,263 | 90,959,263 | ||||||||||||||
|
|
|||||||||||||||
TOTAL AFFILIATED MUTUAL FUNDS |
101,102,149 | |||||||||||||||
|
|
|||||||||||||||
OPTIONS PURCHASED* |
||||||||||||||||
Notional Amount (000)# |
||||||||||||||||
Call Options |
||||||||||||||||
5 Year U.S. Treasury Notes Futures, expiring 12/23/16, Strike Price $119.00 |
838 | 65,469 | ||||||||||||||
5 Year U.S. Treasury Notes Futures, expiring 12/23/16, Strike Price $121.50 |
137 | |
TOTAL OPTIONS PURCHASED |
65,469 | |||||||||||||||
|
|
|||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
101,167,618 | |||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 120.4% |
601,524,445 | |||||||||||||||
|
|
|||||||||||||||
OPTIONS WRITTEN* |
||||||||||||||||
Call Options |
||||||||||||||||
5 Year U.S. Treasury Notes Futures, expiring 12/23/16, Strike Price $120.00 |
838 | (6,547 | ) | |||||||||||||
5 Year U.S. Treasury Notes Futures, expiring 12/23/16, Strike Price $120.50 |
137 | | ||||||||||||||
|
|
|||||||||||||||
TOTAL OPTIONS WRITTEN |
(6,547 | ) | ||||||||||||||
|
|
|||||||||||||||
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 120.4% |
601,517,898 | |||||||||||||||
Liabilities in excess of other assets(k) (20.4)% |
(101,722,498 | ) | ||||||||||||||
|
|
|||||||||||||||
NET ASSETS 100.0% |
$ | 499,795,400 | ||||||||||||||
|
|
The following abbreviations are used in the quarterly schedule of portfolio holdings:
144A | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Unless otherwise noted, 144A securities are deemed to be liquid. | |
Aces | Alternative Credit Enhancements Securities | |
bps | Basis Points | |
CLO | Collateralized Loan Obligation | |
CMM | Constant Maturity Mortgage | |
CMT | Constant Maturity Treasury | |
FHLMC | Federal Home Loan Mortgage Corp. | |
IO | Interest Only (Principal amount represents notional) | |
LIBOR | London Interbank Offered Rate | |
OTC | Over-the-counter | |
PO | Principal Only | |
REMICS | Real Estate Mortgage Investment Conduit Security | |
Strips | Separate Trading of Registered Interest and Principal of Securities | |
TBA | To Be Announced | |
USAID | United States Agency for International Development | |
USOIS | United States Overnight Index Swap |
* | Non-income producing security. |
# | Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
(a) | Variable rate instrument. The interest rate shown reflects the rate in effect at November 30, 2016. |
(b) | Indicates a security or securities that have been deemed illiquid. |
(c) | Indicates a restricted security; the aggregate original cost of the restricted securities is $998,550. The aggregate value of $1,003,707 is approximately 0.2% of net assets. |
(d) | Less than $500 par. |
(e) | Represents security, or a portion thereof, segregated as collateral for futures contracts. |
(f) | Represents zero coupon bond or principal only securities. Rate represents yield to maturity at purchase date. |
(g) | Represents security, or a portion thereof, segregated as collateral for centrally cleared swap agreements. |
(h) | Prudential Investments LLC, the manager of the Fund, also serves as manager of the Prudential Investment Portfolios 2 Prudential Core Short-Term Bond Fund and the Prudential Investment Portfolios 2 Prudential Core Ultra Short Bond Fund. |
(i) | The United States federal income tax basis of investments and the net unrealized depreciation were as follows: |
Tax Basis |
$ | 605,695,326 | ||
|
|
|||
Appreciation |
5,807,889 | |||
Depreciation |
(9,978,770 | ) | ||
|
|
|||
Net Unrealized Depreciation |
$ | (4,170,881 | ) | |
|
|
The book basis may differ from tax basis due to certain tax-related adjustments.
(j) | Indicates a Level 3 security. The aggregate value of Level 3 securities is $(12,211) and 0.0% of net assets. |
(k) | Includes net unrealized appreciation (depreciation) on the following derivative contracts held at reporting period end: |
Futures contracts outstanding at November 30, 2016:
Number of |
Type |
Expiration |
Value at Trade Date |
Value at November 30, 2016 |
Unrealized Appreciation (Depreciation) |
|||||||||||
Long Positions: |
||||||||||||||||
559 | 2 Year U.S. Treasury Notes |
Mar. 2017 | $ | 121,160,100 | $ | 121,198,188 | $ | 38,088 | ||||||||
55 | 5 Year U.S. Treasury Notes |
Mar. 2017 | 6,483,719 | 6,481,406 | (2,313 | ) | ||||||||||
32 | 10 Year U.S. Treasury Bonds |
Mar. 2017 |
4,317,314 | 4,302,000 | (15,314 | ) | ||||||||||
327 | 10 Year U.S. Treasury Notes |
Mar. 2017 |
40,966,605 | 40,716,609 | (249,996 | ) | ||||||||||
51 | 30 Year U.S. Ultra Treasury Bonds |
Mar. 2017 |
8,252,115 | 8,231,719 | (20,396 | ) | ||||||||||
|
|
|||||||||||||||
(249,931 | ) | |||||||||||||||
|
|
|||||||||||||||
Short Position: |
||||||||||||||||
22 | 20 Year U.S. Treasury Bonds |
Mar. 2017 | 3,331,765 | 3,328,188 | 3,577 | |||||||||||
|
|
|||||||||||||||
$ | (246,354 | ) | ||||||||||||||
|
|
U.S. Government Agency Obligations and a US Treasury Obligation with a combined market value of $1,372,402 have been segregated with JPMorgan Chase to cover requirements for open future contracts at November 30, 2016.
Interest rate swap agreements outstanding at November 30, 2016:
Notional |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at November 30, 2016 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally cleared swap agreements: |
| ||||||||||||||||||||||
110,460 | 09/09/17 | 0.539% | 1 Day USOIS(1) |
$ | 400 | $ | 112,043 | $ | 111,643 | |||||||||||||||
95,020 | 10/18/17 | 0.607% | 1 Day USOIS(1) |
236 | 79,173 | 78,937 | ||||||||||||||||||
54,305 | 11/09/17 | 0.626% | 1 Day USOIS(1) |
272 | 50,852 | 50,580 | ||||||||||||||||||
2,590 | 01/22/22 | 2.467% | 3 Month LIBOR(1) |
165 | (80,299 | ) | (80,464 | ) | ||||||||||||||||
13,125 | 05/31/22 | 2.200% | 3 Month LIBOR(1) |
(26,612 | ) | (235,055 | ) | (208,443 | ) | |||||||||||||||
8,210 | 05/31/22 | 2.217% | 3 Month LIBOR(1) |
195 | (154,374 | ) | (154,569 | ) | ||||||||||||||||
945 | 11/30/22 | 1.850% | 3 Month LIBOR(1) |
21 | 3,534 | 3,513 | ||||||||||||||||||
7,560 | 11/30/22 | 1.982% | 3 Month LIBOR(1) |
191 | (29,220 | ) | (29,411 | ) | ||||||||||||||||
11,118 | 08/02/23 | (3) |
(3) |
1,029 | 35,911 | 34,882 | ||||||||||||||||||
7,340 | 08/02/23 | (4) |
(4) |
(2,330 | ) | 22,510 | 24,840 | |||||||||||||||||
2,845 | 08/03/23 | (5) |
(5) |
(1,025 | ) | 8,981 | 10,006 | |||||||||||||||||
4,590 | 08/15/23 | 1.459% | 3 Month LIBOR(2) |
175 | (154,950 | ) | (155,125 | ) | ||||||||||||||||
1,865 | 08/15/23 | 1.463% | 3 Month LIBOR(2) |
160 | (62,484 | ) | (62,644 | ) | ||||||||||||||||
5,880 | 08/19/23 | 0.898% | 1 Day USOIS(1) |
182 | 269,418 | 269,236 | ||||||||||||||||||
8,075 | 10/27/23 | 1.073% | 1 Day USOIS(1) |
194 | 301,126 | 300,932 | ||||||||||||||||||
13,090 | 12/20/23 | 2.932% | 3 Month LIBOR(1) |
255 | (784,954 | ) | (785,209 | ) | ||||||||||||||||
8,000 | 09/17/24 | 2.732% | 3 Month LIBOR(1) |
133 | (373,675 | ) | (373,808 | ) | ||||||||||||||||
2,920 | 09/04/25 | 2.214% | 3 Month LIBOR(1) |
171 | (20,167 | ) | (20,338 | ) | ||||||||||||||||
11,965 | 01/08/26 | 2.210% | 3 Month LIBOR(1) |
130 | (61,988 | ) | (62,118 | ) | ||||||||||||||||
3,310 | 05/15/26 | 1.652% | 3 Month LIBOR(1) |
174 | 151,360 | 151,186 |
Notional |
Termination Date |
Fixed Rate |
Floating Rate |
Value at Trade Date |
Value at November 30, 2016 |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally cleared swap agreements (contd.): |
| ||||||||||||||||||||||
1,240 | 05/15/26 | 1.658% | 3 Month LIBOR(1) |
$ | 159 | $ | 56,054 | $ | 55,895 | |||||||||||||||
2,660 | 11/15/41 | 1.869% | 3 Month LIBOR(1) |
10,338 | 306,160 | 295,822 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
$ | (15,387 | ) | $ | (560,044 | ) | $ | (544,657 | ) | ||||||||||||||||
|
|
|
|
|
|
U.S. Treasury Obligations with a combined market value of $3,728,058 have been segregated with Citigroup Global Markets to cover requirements for open centrally cleared interest rate swap contracts at November 30, 2016.
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
(3) | The Fund pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.5 bps. |
(4) | The Fund pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.25 bps. |
(5) | The Fund pays the floating rate of 3 Month LIBOR and receives the floating rate of 1 Day USOIS plus 38.375 bps. |
Forward rate agreements outstanding at November 30, 2016:
Notional |
Termination Date |
Fixed Rate |
Floating Rate |
Fair Value |
Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
Counterparty | |||||||||||||||||||
|
OTC forward rate agreements(j): | |||||||||||||||||||||||||
23,400 | 12/07/16 | 1.600% | 7 Year CMT(2) |
$ | (135,264 | ) | $ | | $ | (135,264 | ) | Citigroup Global Markets | ||||||||||||||
23,400 | 12/07/16 | 2.860% | CMM 102(2) |
123,053 | | 123,053 | Citigroup Global Markets | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||
$ | (12,211 | ) | $ | | $ | (12,211 | ) | |||||||||||||||||||
|
|
|
|
|
|
(1) | The Fund pays the fixed rate and receives the floating rate. |
(2) | The Fund pays the floating rate and receives the fixed rate. |
Various inputs are used in determining the value of the Funds investments. These inputs are summarized in the three broad levels listed below.
Level 1 - quoted prices generally in active markets for identical securities.
Level 2 - quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.
Level 3 - unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.
The following is a summary of the inputs used as of November 30, 2016 in valuing such portfolio securities:
Level 1 | Level 2 | Level 3 | ||||||||||
Investments in Securities |
| |||||||||||
Asset-Backed Securities |
||||||||||||
Collateralized Loan Obligations |
$ | | $ | 16,741,038 | $ | | ||||||
Non-Residential Mortgage-Backed Securities |
| 232,402 | | |||||||||
Commercial Mortgage-Backed Securities |
| 115,963,805 | | |||||||||
Corporate Bonds |
| 5,142,583 | | |||||||||
Foreign Government Agency Obligation |
| 477,479 | | |||||||||
Residential Mortgage-Backed Securities |
| 1,017,405 | | |||||||||
U.S. Government Agency Obligations |
| 228,925,877 | | |||||||||
U.S. Treasury Obligations |
| 131,856,238 | | |||||||||
Affiliated Mutual Funds |
101,102,149 | | | |||||||||
Options Purchased |
65,469 | | | |||||||||
Options Written |
(6,547 | ) | | | ||||||||
Other Financial Instruments* |
| |||||||||||
Futures Contracts |
(246,354 | ) | | | ||||||||
Centrally Cleared Interest Rate Swap Agreements |
| (544,657 | ) | | ||||||||
OTC Forward Rate Agreements |
| | (12,211 | ) | ||||||||
|
|
|
|
|
|
|||||||
Total |
$ | 100,914,717 | $ | 499,812,170 | $ | (12,211 | ) | |||||
|
|
|
|
|
|
* | Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value. |
During the period, there were no transfers between Level 1 and Level 2 to report.
The following is a summary of the fair value of the derivative instruments utilized by the Fund as of November 30, 2016 categorized by risk exposure:
Derivative Fair Value at 11/30/16 |
||||
Interest Rate Contracts |
$ | (744,300 | ) | |
|
|
Notes to Schedules of Investments (unaudited)
Securities Valuation: The Funds hold securities and other assets that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (NYSE) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Directors (the Board) has adopted Valuation Procedures for security valuation under which fair valuation responsibilities have been delegated to Prudential Investments LLC (PI or Manager). Under the current Valuation Procedures, the established Valuation Committee is responsible for supervising the valuation of portfolio securities and other assets. The Valuation Procedures permit the Funds to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committees actions is subject to the Boards review, approval, and ratification at its next regularly-scheduled quarterly meeting.
Various inputs determine how each Funds investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the table following the Schedule of Investments.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally valued at prices provided by approved independent pricing vendors. The pricing vendors provide these prices after evaluating observable inputs including, but not limited to yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations, and reported trades. Securities valued using such vendor prices are classified as Level 2 in the fair value hierarchy.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy.
OTC derivative instruments are generally valued using pricing vendor services, which derive the valuation based on inputs such as underlying asset prices, indices, spreads, interest rates, and exchange rates. These instruments are categorized as Level 2 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuers financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the investment adviser regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a securitys most recent closing price and from the price used by other mutual funds to calculate their net asset values.
Certain Funds invest in the Prudential Core Short-Term Bond Fund, pursuant to an exemptive order received from the Securities and Exchange Commission, and invest its overnight sweep cash in the Prudential Core Ultra Short Bond Fund, (formerly known as Prudential Core Taxable Money Market Fund), each a portfolio of the Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PI.
Restricted and Illiquid Securities: Each Fund may invest up to 15% of its net assets in illiquid securities, including those which are restricted as to disposition under securities law (restricted securities). Restricted securities are valued pursuant to the valuation procedures noted above.
Other information regarding the Funds is available in the Funds most recent Report to Shareholders. This information is available on the Securities and Exchange Commissions website (www.sec.gov).
Item 2. Controls and Procedures
(a) | It is the conclusion of the registrants principal executive officer and principal financial officer that the effectiveness of the registrants current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commissions rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrants principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) | There have been no significant changes in the registrants internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. |
Item 3. Exhibits
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Prudential Investment Portfolios, Inc. 14
By (Signature and Title)* | /s/ Deborah A. Docs | |
Deborah A. Docs | ||
Secretary of the Fund | ||
Date January 19, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Stuart S. Parker | |
Stuart S. Parker | ||
President and Principal Executive Officer | ||
Date January 19, 2017 |
By (Signature and Title)* | /s/ M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal Financial and Accounting Officer | ||
Date January 19, 2017 |
* Print the name and title of each signing officer under his or her signature.
Exhibit 99_CERT
CERTIFICATIONS
I, Stuart S. Parker, certify that:
1. | I have reviewed this report on Form N-Q of Prudential Investment Portfolios, Inc. 14; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: January 19, 2017 | /s/ Stuart S. Parker | |
Stuart S. Parker | ||
President and Principal | ||
Executive Officer |
CERTIFICATIONS
I, M. Sadiq Peshimam, certify that:
1. | I have reviewed this report on Form N-Q of Prudential Investment Portfolios, Inc. 14; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: January 19, 2017 | /s/ M. Sadiq Peshimam | |
M. Sadiq Peshimam | ||
Treasurer and Principal | ||
Financial and Accounting Officer |