NPORT-EX 2 PIPDBA0ASTWACorpBdPt.htm AST WESTERN ASSET CORPORATE BOND PORTFOLIO
AST WESTERN ASSET CORPORATE BOND PORTFOLIO
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Long-Term Investments — 99.6%
Corporate Bonds
Advertising — 0.2%
Interpublic Group of Cos., Inc. (The),
Sr. Unsec’d. Notes
4.750%   03/30/30     10   $ 9,882
Aerospace & Defense — 4.6%
Boeing Co. (The),
Sr. Unsec’d. Notes
1.875%   06/15/23     10   9,179
2.850%   10/30/24     30   27,287
6.875%   03/15/39     20   20,501
General Dynamics Corp.,
Gtd. Notes
3.250%   04/01/25     10   10,549
3.500%   04/01/27     30   32,147
L3Harris Technologies, Inc.,
Sr. Unsec’d. Notes
2.900%   12/15/29     30   28,853
Lockheed Martin Corp.,
Sr. Unsec’d. Notes
3.350%   09/15/21     50   50,867
Northrop Grumman Corp.,
Sr. Unsec’d. Notes
2.930%   01/15/25     30   30,553
United Technologies Corp.,
Sr. Unsec’d. Notes
4.450%   11/16/38     20   22,495
              232,431
Agriculture — 3.3%
Altria Group, Inc.,
Gtd. Notes
4.000%   01/31/24     50   51,204
4.800%   02/14/29     30   31,226
5.950%   02/14/49     20   23,144
Philip Morris International, Inc.,
Sr. Unsec’d. Notes
2.500%   11/02/22     30   30,095
Reynolds American, Inc. (United Kingdom),
Gtd. Notes
4.450%   06/12/25     30   30,465
              166,134
Airlines — 0.5%
Delta Air Lines, Inc.,
Sr. Unsec’d. Notes
2.900%   10/28/24     20   16,462
3.750%   10/28/29     10   8,017
              24,479
Auto Manufacturers — 3.3%
American Honda Finance Corp.,
Sr. Unsec’d. Notes, MTN
2.050%   01/10/23     30   29,532
General Motors Co.,
Sr. Unsec’d. Notes
4.000%   04/01/25     17   14,518
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Auto Manufacturers (cont’d.)
General Motors Financial Co., Inc.,
Gtd. Notes
3.700%   11/24/20     50   $ 49,467
4.250%   05/15/23     50   45,183
Hyundai Capital America,
Gtd. Notes, 144A
2.850%   11/01/22     30   28,992
              167,692
Banks — 9.2%
Bank of America Corp.,
Sr. Unsec’d. Notes, MTN
4.330%(ff)   03/15/50     20   23,615
Sub. Notes, MTN, Series L
4.183%   11/25/27     50   52,590
Goldman Sachs Group, Inc. (The),
Sr. Unsec’d. Notes
3.800%   03/15/30     10   10,423
3.814%(ff)   04/23/29     20   20,676
Sub. Notes
5.150%   05/22/45     20   22,813
HSBC Holdings PLC (United Kingdom),
Sub. Notes
7.625%   05/17/32     10   13,147
Lloyds Banking Group PLC (United Kingdom),
Sr. Unsec’d. Notes
4.550%   08/16/28     200   212,391
Morgan Stanley,
Sr. Unsec’d. Notes
5.597%(ff)   03/24/51     10   13,798
Sr. Unsec’d. Notes, GMTN
2.699%(ff)   01/22/31     10   9,730
Royal Bank of Scotland Group PLC (United Kingdom),
Sub. Notes
6.100%   06/10/23     30   30,906
Wells Fargo & Co.,
Sr. Unsec’d. Notes, MTN
4.478%(ff)   04/04/31     10   11,287
5.013%(ff)   04/04/51     20   25,358
Sub. Notes, GMTN
4.300%   07/22/27     20   21,192
              467,926
Beverages — 2.1%
Anheuser-Busch InBev Worldwide, Inc. (Belgium),
Gtd. Notes
4.150%   01/23/25     50   53,914
4.600%   04/15/48     10   10,581
Coca-Cola Co. (The),
Sr. Unsec’d. Notes
3.450%   03/25/30     10   11,300
PepsiCo, Inc.,
Sr. Unsec’d. Notes
3.600%   03/01/24     30   32,065
              107,860
A1
AST WESTERN ASSET CORPORATE BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Biotechnology — 2.3%
Amgen, Inc.,
Sr. Unsec’d. Notes
2.250%   08/19/23     30   $ 30,509
3.150%   02/21/40     20   19,954
Gilead Sciences, Inc.,
Sr. Unsec’d. Notes
4.400%   12/01/21     50   52,037
4.750%   03/01/46     10   13,058
              115,558
Building Materials — 0.5%
Carrier Global Corp.,
Gtd. Notes, 144A
2.493%   02/15/27     20   18,881
3.377%   04/05/40     10   8,763
              27,644
Chemicals — 0.2%
Ecolab, Inc.,
Sr. Unsec’d. Notes
4.800%   03/24/30     10   11,376
Commercial Services — 0.2%
S&P Global, Inc.,
Gtd. Notes
2.500%   12/01/29     10   9,786
Computers — 1.3%
Apple, Inc.,
Sr. Unsec’d. Notes
3.350%   02/09/27     60   65,558
Cosmetics/Personal Care — 0.4%
Estee Lauder Cos., Inc. (The),
Sr. Unsec’d. Notes
2.000%   12/01/24     10   9,903
Procter & Gamble Co. (The),
Sr. Unsec’d. Notes
3.550%   03/25/40     10   11,652
              21,555
Diversified Financial Services — 4.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland),
Gtd. Notes
3.500%   01/15/25     150   128,961
Air Lease Corp.,
Sr. Unsec’d. Notes, MTN
2.300%   02/01/25     20   15,761
Avolon Holdings Funding Ltd. (Ireland),
Gtd. Notes, 144A
2.875%   02/15/25     20   15,814
3.950%   07/01/24     20   15,760
Mastercard, Inc.,
Sr. Unsec’d. Notes
3.300%   03/26/27     10   10,867
Visa, Inc.,
Sr. Unsec’d. Notes
2.050%   04/15/30     10   9,985
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Diversified Financial Services (cont’d.)
4.300%   12/14/45     20   $ 25,058
              222,206
Electric — 8.7%
Abu Dhabi National Energy Co. PJSC (United Arab Emirates),
Sr. Unsec’d. Notes, 144A
3.625%   01/12/23     200   198,782
Berkshire Hathaway Energy Co.,
Sr. Unsec’d. Notes, 144A
4.250%   10/15/50     20   22,618
Dominion Energy, Inc.,
Jr. Sub. Notes
2.579%   07/01/20     30   29,891
Sr. Unsec’d. Notes, Series C
3.375%   04/01/30     10   9,900
DTE Electric Co.,
First Mortgage, Series C
2.625%   03/01/31     10   9,983
Edison International,
Sr. Unsec’d. Notes
4.950%   04/15/25     10   9,977
Exelon Corp.,
Jr. Sub. Notes
3.497%   06/01/22     40   38,835
FirstEnergy Corp.,
Sr. Unsec’d. Notes, Series C
7.375%   11/15/31     20   26,399
Florida Power & Light Co.,
First Mortgage
3.150%   10/01/49     30   31,153
MidAmerican Energy Co.,
First Mortgage
3.650%   08/01/48     20   21,676
Northern States Power Co.,
First Mortgage
3.600%   09/15/47     10   11,200
Sierra Pacific Power Co.,
General Ref. Mortgage
2.600%   05/01/26     20   20,014
Southern California Edison Co.,
First Mortgage
2.250%   06/01/30     10   9,362
              439,790
Environmental Control — 1.2%
Republic Services, Inc.,
Sr. Unsec’d. Notes
2.500%   08/15/24     30   30,340
Waste Management, Inc.,
Gtd. Notes
2.400%   05/15/23     30   30,092
              60,432
Foods — 0.2%
General Mills, Inc.,
Sr. Unsec’d. Notes
2.875%   04/15/30     10   9,980
 
A2
AST WESTERN ASSET CORPORATE BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Gas — 0.4%
Piedmont Natural Gas Co., Inc.,
Sr. Unsec’d. Notes
4.100%   09/18/34     20   $ 21,345
Healthcare-Services — 4.7%
Adventist Health System,
Bonds
2.952%   03/01/29     10   9,861
Advocate Health & Hospitals Corp.,
Sr. Unsec’d. Notes
3.387%   10/15/49     20   20,733
Ascension Health,
Sr. Unsec’d. Notes, Series B
3.106%   11/15/39     20   20,452
Centene Corp.,
Sr. Unsec’d. Notes, 144A
4.625%   12/15/29     10   10,050
4.750%   01/15/25     10   10,149
City of Hope,
Sr. Sec’d. Notes, Series 2013
5.623%   11/15/43     20   29,802
CommonSpirit Health,
Sr. Sec’d. Notes
4.187%   10/01/49     30   28,004
HCA, Inc.,
Sr. Sec’d. Notes
5.500%   06/15/47     20   21,707
Northwell Healthcare, Inc.,
Sec’d. Notes
3.809%   11/01/49     10   9,809
Providence St. Joseph Health Obligated Group,
Unsec’d. Notes, Series 19A
2.532%   10/01/29     50   48,759
Trinity Health Corp.,
Sr. Unsec’d. Notes, Series 2019
3.434%   12/01/48     30   31,461
              240,787
Home Builders — 0.2%
D.R. Horton, Inc.,
Gtd. Notes
2.500%   10/15/24     10   9,363
Insurance — 0.4%
Reliance Standard Life Global Funding II,
Sec’d. Notes, 144A
2.500%   10/30/24     20   19,208
Internet — 0.5%
Amazon.com, Inc.,
Sr. Unsec’d. Notes
3.150%   08/22/27     10   10,956
3.875%   08/22/37     10   11,959
              22,915
Iron/Steel — 1.1%
ArcelorMittal SA (Luxembourg),
Sr. Unsec’d. Notes
3.600%   07/16/24     10   9,112
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Iron/Steel (cont’d.)
4.550%   03/11/26     50   $ 44,867
              53,979
Leisure Time — 0.1%
NCL Corp. Ltd.,
Sr. Unsec’d. Notes, 144A
3.625%   12/15/24     10   6,388
Lodging — 1.1%
Las Vegas Sands Corp.,
Sr. Unsec’d. Notes
3.500%   08/18/26     30   27,492
Marriott International, Inc.,
Sr. Unsec’d. Notes
3.600%   04/15/24     30   27,600
              55,092
Machinery-Diversified — 0.4%
Otis Worldwide Corp.,
Gtd. Notes, 144A
2.565%   02/15/30     20   19,372
Media — 5.5%
Charter Communications Operating LLC/Charter Communications Operating Capital,
Sr. Sec’d. Notes
5.050%   03/30/29     20   21,644
5.750%   04/01/48     20   22,772
Comcast Corp.,
Gtd. Notes
3.400%   04/01/30     10   10,834
4.250%   10/15/30     90   104,537
Fox Corp.,
Sr. Unsec’d. Notes
3.500%   04/08/30     10   9,980
Sr. Unsec’d. Notes, 144A
4.030%   01/25/24     30   31,136
Time Warner Cable LLC,
Sr. Sec’d. Notes
6.550%   05/01/37     40   47,258
Walt Disney Co. (The),
Gtd. Notes
1.650%   09/01/22     30   30,140
              278,301
Mining — 3.5%
Barrick North America Finance LLC (Canada),
Gtd. Notes
5.750%   05/01/43     10   12,986
BHP Billiton Finance USA Ltd. (Australia),
Gtd. Notes
2.875%   02/24/22     30   30,233
Freeport-McMoRan, Inc.,
Gtd. Notes
3.875%   03/15/23     20   19,035
5.400%   11/14/34     20   18,368
Glencore Canada Corp. (Switzerland),
Gtd. Notes
6.200%   06/15/35     50   50,363
 
A3
AST WESTERN ASSET CORPORATE BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Mining (cont’d.)
Southern Copper Corp. (Peru),
Sr. Unsec’d. Notes
3.875%   04/23/25     50   $ 48,927
              179,912
Miscellaneous Manufacturing — 1.9%
3M Co.,
Sr. Unsec’d. Notes
2.375%   08/26/29     30   30,106
Eaton Corp.,
Gtd. Notes
2.750%   11/02/22     10   10,103
General Electric Co.,
Sr. Unsec’d. Notes, GMTN
3.150%   09/07/22     30   30,063
6.875%   01/10/39     20   25,749
              96,021
Oil & Gas — 8.7%
Apache Corp.,
Sr. Unsec’d. Notes
4.375%   10/15/28     30   16,300
BP Capital Markets America, Inc.,
Gtd. Notes
3.000%   02/24/50     100   91,849
Chevron Corp.,
Sr. Unsec’d. Notes
2.954%   05/16/26     20   21,050
Cimarex Energy Co.,
Sr. Unsec’d. Notes
3.900%   05/15/27     20   13,432
4.375%   03/15/29     20   13,416
Concho Resources, Inc.,
Gtd. Notes
4.300%   08/15/28     10   8,865
Devon Energy Corp.,
Sr. Unsec’d. Notes
5.600%   07/15/41     20   12,686
5.850%   12/15/25     20   16,286
Diamondback Energy, Inc.,
Gtd. Notes
5.375%   05/31/25     20   14,799
Ecopetrol SA (Colombia),
Sr. Unsec’d. Notes
5.875%   09/18/23     50   49,314
EOG Resources, Inc.,
Sr. Unsec’d. Notes
4.100%   02/01/21     30   30,113
Exxon Mobil Corp.,
Sr. Unsec’d. Notes
3.482%   03/19/30     10   11,064
Noble Energy, Inc.,
Sr. Unsec’d. Notes
3.850%   01/15/28     10   7,075
Occidental Petroleum Corp.,
Sr. Unsec’d. Notes
2.600%   04/15/22     50   35,986
3.200%   08/15/26     50   24,324
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Oil & Gas (cont’d.)
4.400%   04/15/46     40   $ 17,157
4.400%   08/15/49     20   8,634
Petrobras Global Finance BV (Brazil),
Gtd. Notes
6.250%   03/17/24     30   29,645
Shell International Finance BV (Netherlands),
Gtd. Notes
4.000%   05/10/46     20   22,318
              444,313
Oil & Gas Services — 0.2%
Halliburton Co.,
Sr. Unsec’d. Notes
2.920%   03/01/30     10   7,919
Pharmaceuticals — 9.9%
AbbVie, Inc.,
Sr. Unsec’d. Notes, 144A
2.950%   11/21/26     120   122,792
Becton, Dickinson & Co.,
Sr. Unsec’d. Notes
4.685%   12/15/44     20   21,337
Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes
3.250%   02/27/27     50   53,620
Cigna Corp.,
Gtd. Notes, 144A
3.250%   04/15/25     20   19,961
3.875%   10/15/47     20   19,939
3.900%   02/15/22     50   51,010
Sr. Unsec’d. Notes
2.400%   03/15/30     40   37,867
CVS Health Corp.,
Sr. Unsec’d. Notes
2.625%   08/15/24     100   100,194
4.780%   03/25/38     20   21,807
5.050%   03/25/48     20   23,074
Pfizer, Inc.,
Sr. Unsec’d. Notes
3.000%   12/15/26     30   32,383
              503,984
Pipelines — 5.5%
Cameron LNG LLC,
Sr. Sec’d. Notes, 144A
2.902%   07/15/31     10   8,588
Energy Transfer Operating LP,
Gtd. Notes
3.750%   05/15/30     20   15,639
Jr. Sub. Notes, Series G
7.125%(ff)   —(rr)     10   6,083
Enterprise Products Operating LLC,
Gtd. Notes
3.950%   01/31/60     10   8,530
4.150%   10/16/28     30   30,072
Kinder Morgan Energy Partners LP,
Gtd. Notes
4.300%   05/01/24     30   30,066
 
A4
AST WESTERN ASSET CORPORATE BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Pipelines (cont’d.)
MPLX LP,
Sr. Unsec’d. Notes
3.375%   03/15/23     50   $ 45,404
4.800%   02/15/29     10   8,777
Southern Natural Gas Co. LLC,
Sr. Unsec’d. Notes
8.000%   03/01/32     10   15,412
Tennessee Gas Pipeline Co. LLC,
Gtd. Notes
7.000%   03/15/27     10   10,882
7.000%   10/15/28     10   10,983
Gtd. Notes, 144A
2.900%   03/01/30     10   7,959
Western Midstream Operating LP,
Sr. Unsec’d. Notes
4.050%   02/01/30     20   8,779
Williams Cos., Inc. (The),
Sr. Unsec’d. Notes
3.600%   03/15/22     50   48,985
8.750%   03/15/32     20   21,550
              277,709
Retail — 2.7%
Home Depot, Inc. (The),
Sr. Unsec’d. Notes
2.950%   06/15/29     20   20,733
3.300%   04/15/40     10   10,219
3.900%   12/06/28     10   11,124
McDonald’s Corp.,
Sr. Unsec’d. Notes, MTN
3.800%   04/01/28     30   31,781
Target Corp.,
Sr. Unsec’d. Notes
2.350%   02/15/30     10   10,135
Walmart, Inc.,
Sr. Unsec’d. Notes
2.375%   09/24/29     10   10,369
3.400%   06/26/23     20   21,227
3.700%   06/26/28     20   22,430
              138,018
Semiconductors — 0.4%
NVIDIA Corp.,
Sr. Unsec’d. Notes
3.500%   04/01/50     10   10,856
Texas Instruments, Inc.,
Sr. Unsec’d. Notes
2.900%   11/03/27     10   10,297
              21,153
Software — 3.5%
Adobe, Inc.,
Sr. Unsec’d. Notes
2.150%   02/01/27     20   20,335
2.300%   02/01/30     30   29,806
InterestRate   MaturityDate   Principal
Amount
(000)# 		  Value
Corporate Bonds (continued)
Software (cont’d.)
Microsoft Corp.,
Sr. Unsec’d. Notes
2.400%   08/08/26     50   $ 52,985
3.700%   08/08/46     20   23,951
Oracle Corp.,
Sr. Unsec’d. Notes
2.650%   07/15/26     50   51,246
              178,323
Telecommunications — 5.5%
AT&T, Inc.,
Sr. Unsec’d. Notes
3.400%   05/15/25     50   51,906
4.300%   02/15/30     10   10,764
4.450%   05/15/21     100   102,081
4.500%   03/09/48     10   10,839
Verizon Communications, Inc.,
Sr. Unsec’d. Notes
4.329%   09/21/28     60   68,627
4.522%   09/15/48     20   25,216
Vodafone Group PLC (United Kingdom),
Sr. Unsec’d. Notes
4.375%   05/30/28     10   10,502
              279,935
Transportation — 0.8%
Union Pacific Corp.,
Sr. Unsec’d. Notes
3.750%   03/15/24     20   20,981
3.950%   09/10/28     20   21,511
              42,492
 
Total Long-Term Investments

(cost $5,372,521)
   5,056,818
    
      Shares  
Short-Term Investment — 0.6%
Affiliated Mutual Fund
PGIM Core Ultra Short Bond Fund

(cost $30,580)(w)
 30,580 30,580
 
TOTAL INVESTMENTS—100.2%

(cost $5,403,101)
 5,087,398
 
Liabilities in excess of other assets(z) — (0.2)%
 (9,015 )
 
Net Assets — 100.0%
 $ 5,078,383
    
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings:
144A Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.
CDX Credit Derivative Index
GMTN Global Medium Term Note
MTN Medium Term Note
Q Quarterly payment frequency for swaps
    
 
A5
AST WESTERN ASSET CORPORATE BOND PORTFOLIO (continued)
SCHEDULE OF INVESTMENTS as of March 31, 2020 (unaudited)
# Principal or notional amount is shown in U.S. dollars unless otherwise stated.
(ff) Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.
(rr) Perpetual security with no stated maturity date.
(w) PGIM Investments LLC, the manager of the Portfolio, also serves as manager of the PGIM Core Ultra Short Bond Fund.
(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:
Futures contracts outstanding at March 31, 2020:
Number
of
Contracts 		  Type   Expiration
Date 		  Current
Notional
Amount 		  Value /
Unrealized
Appreciation
(Depreciation)
Long Position:
3   2 Year U.S. Treasury Notes   Jun. 2020   $661,148   $ 4,956
Short Positions:
1   10 Year U.S. Ultra Treasury Notes   Jun. 2020   156,031   (10,736 )
1   20 Year U.S. Treasury Bonds   Jun. 2020   179,063   (6,683 )
                (17,419 )
                $(12,463 )
Credit default swap agreements outstanding at March 31, 2020:
Reference
Entity/
Obligation 		Termination
Date 		  Fixed
Rate 		  Notional
Amount
(000)#(3) 		  Implied Credit
Spread at
March 31,
2020(4) 		  Value at
Trade Date 		  Value at
March 31,
2020 		  Unrealized
Appreciation
(Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices - Sell Protection(2):
CDX.NA.IG.33.V1 12/20/24   1.000%(Q)     300   1.080%   $1,268   $(990)   $(2,258)
The Portfolio entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
(1) If the Portfolio is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) If the Portfolio is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(3) Notional amount represents the maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(4) Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Portfolio is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Other information regarding the Portfolio is available in the Portfolio’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
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