Liquidity Relative Value (Long/Short)

Actively managed strategy that seeks to maximise total return on a risk-adjusted basis by investing in relative value opportunities within sectors of the U.S. or Global fixed income market that are considered to be liquid. The Strategy can be managed in a U.S. or Global mandate. Both are designed to have no correlation with major beta sources. In managing the strategies, PGIM Fixed Income employs six sub-strategies, including Treasury Optimal, Treasury Relative Value, Mortgage-Backed Securities Relative Value, Swap Relative Value, Futures Relative Value, and Spread Trading.

Objective and Approach

Seeks to maximise total return on a risk adjusted basis
Market-neutral, non-credit strategy investing in liquid sectors of the US fixed income market
Uncorrelated to major debt and equity markets
Utilises only U.S. Government and Agency securities (non-equity and non-credit)
Diversified portfolios of leveraged long/short opportunities
Utilise proprietary relative value models in six different trading sub-strategies
Implement sub-strategies with highly liquid securities
Tightly constrain systematic risk (i.e. interest rate, curve, spread) to foster more stable returns.

Why PGIM Fixed Income?

Experience and Stability

Team averages [an error occurred while processing this directive] years investment experience and [an error occurred while processing this directive] years with PFI
Value-added approach leverages firm resources

Market Stature

Established trading presence
Extensive experience with major prime brokers

Comprehensive Quantitative Research Expertise

[an error occurred while processing this directive] professionals responsible for quantitative research and risk management
Subset of this team focused on quantitative modeling
Models back-tested and continually refined

As of [an error occurred while processing this directive].

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Liquid
Market-neutral and inflation-neutral
Designed to have significantly lower financing risk than other fixed income arbitrage strategies

FOR INSTITUTIONAL / WHOLESALE OR PROFESSIONAL CLIENT USE ONLY - NOT FOR RETAIL DISTRIBUTION

Past performance is not a guarantee or a reliable indicator of future results. Any discussion of risk management is intended to describe PGIM Fixed Income's efforts to monitor and manage risk but does not imply low risk. All investing involves risk, including the risk of loss. Fixed income securities are subject to certain risks, including credit, interest rate, issuer, market and inflation risk. Foreign and emerging market securities are subject to currency, political, economic, and market risks, which may be enhanced in emerging market countries. High yield securities are lower rated securities that may have a higher degree of credit and liquidity risk. Mortgage and asset-backed securities are sensitive to early prepayment risk, a higher risk of default and may be hard to value and difficult to sell. U.S. Government securities may not be backed by the full faith and credit of the U.S., thus, these issuers may not be able to meet their future payment obligations. With sovereign debt securities, the issuer or governmental authority that controls the repayment of the debt may not be willing or able to repay the principal and/or pay the interest when it becomes due, in accordance with the terms of such obligations. Collateralised mortgage obligations may have unpredictable cash flows that can increase the risk of loss. Public bank loans are subject to liquidity risk and the credit risks of lower rated securities. The use of derivative instruments may disproportionately increase losses and have a significant impact on performance. They also may be subject to counterparty, liquidity, valuation, correlation and market risks.

There is no guarantee that any investment strategy will achieve its objective under all market conditions or be suitable for all investors. Each investor should evaluate their ability to invest for the long-term, especially during periods of downturn in the market.

The views and opinions expressed herein are those of PGIM Fixed Income and are subject to change without notice. This material has been provided for informational purposes only and should not be construed as investment advice or as a recommendation to buy or sell any security or participate in any strategy.