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PGIM FIXED INCOME ETFs

PGIM Ultra Short Bond ETF (PULS)

PGIM Active High Yield Bond ETF (PHYL)

PGIM Active Aggregate Bond ETF (PAB)

PGIM Total Return Bond ETF (PTRB)

PGIM Floating Rate Income ETF (PFRL)

PGIM AAA CLO ETF (PAAA)

PGIM Short Duration Multi-Sector Bond ETF (PSDM)

 

ANNUAL REPORT

AUGUST 31, 2023

 

 

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To enroll in e-delivery, go to pgim.com/investments/resource/edelivery


Table of Contents

 

Letter from the President

     3           

PGIM Ultra Short Bond ETF

     4           

Strategy and Performance Overview

     8           

PGIM Active High Yield Bond ETF

     11           

Strategy and Performance Overview

     15           

PGIM Active Aggregate Bond ETF

     17           

Strategy and Performance Overview

     20           

PGIM Total Return Bond ETF

     23           

Strategy and Performance Overview

     27           

PGIM Floating Rate Income ETF

     30           

Strategy and Performance Overview

     33           

PGIM AAA CLO ETF

     36           

Strategy and Performance Overview

     38           

PGIM Short Duration Multi-Sector Bond ETF

     40           

Strategy and Performance Overview

     42           

Fees and Expenses

     45           

Holdings and Financial Statements

     47           

Approval of Advisory Agreements

                 

This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.

The views expressed in this report and information about the Funds’ portfolio holdings are for the period covered by this report and are subject to change thereafter.

Exchange-traded funds are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC. PGIM Fixed Income is a unit of PGIM, Inc. (PGIM), a registered investment adviser. PIMS and PGIM are Prudential Financial companies. © 2023 Prudential Financial, Inc. and its related entities. PGIM and the PGIM logo are service marks of Prudential Financial, Inc. and its related entities, registered in many jurisdictions worldwide.

 

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Letter from the President

 

LOGO  

Dear Shareholder:

 

We hope you find the annual report for the PGIM Fixed Income ETFs informative and useful. The report covers performance for the 12-month period that ended August 31, 2023.

 

Although central banks raised interest rates aggressively to tame surging inflation during the period, the global economy and financial markets demonstrated resilience. Employers continued to hire, consumers continued to spend, home prices rose, and recession fears receded.

Stocks fell early in the period, bottomed in October, and then began a rally that eventually ended a bear market. Despite a banking industry crisis in March, stocks have continued to rise globally throughout 2023 as inflation cooled and the Federal Reserve slowed the pace of its rate hikes. Equities in both US and international markets posted gains during the period.

Bond market returns were mixed during the period as rising interest rates lifted yields to their highest level in two decades. US and global investment-grade bonds fell, while US high yield corporate bonds and emerging-market debt rose.

Regarding your investments with PGIM, we believe it is important to maintain a diversified portfolio of funds consistent with your tolerance for risk, time horizon, and financial goals. Your financial advisor can help you create a diversified investment plan that may include funds covering all the basic asset classes and that reflects your personal investor profile and risk tolerance. However, diversification and asset allocation strategies do not assure a profit or protect against loss in declining markets.

At PGIM Investments, we provide access to active investment strategies across the global markets in the pursuit of consistent outperformance for investors. PGIM is the world’s 14th-largest investment manager with more than $1.3 trillion in assets under management. Our scale and investment expertise allow us to deliver a diversified suite of actively managed solutions across a broad spectrum of asset classes and investment styles.

Thank you for choosing our family of funds.

Sincerely,

 

LOGO

 

Stuart S. Parker, President

 

PGIM Fixed Income ETFs

October 16, 2023

 

PGIM Fixed Income ETFs 3


PGIM Ultra Short Bond ETF

Your Fund’s Performance (unaudited)

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

     Average Annual Total Returns as of 8/31/23
     One Year (%)    Five Years (%)     Since Inception (%) 

Net Asset Value (NAV)

   5.31    2.24    2.28 (4/5/2018)

Market Price*

   5.34    2.24    2.28 (4/5/2018)

ICE BofA US 3-Month Treasury Bill Index

        
     4.25    1.65    1.67     

*The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

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Growth of a $10,000 Investment (unaudited)

 

 

LOGO

The graph compares a $10,000 investment in the Fund with a similar investment in the ICE BofA 3-Month Treasury Bill Index by portraying the initial account values at the commencement of operations (April 5, 2018) and the account values at the end of the current fiscal year (August 31, 2023) as measured on a quarterly basis. The Fund assumes an initial investment on April 5, 2018, while the Index assumes that the initial investment occurred on March 31, 2018. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) all recurring fees (including management fees) were deducted and (b) all dividends and distributions were reinvested. Without waiver of fees and/or expense reimbursements, if any, the returns would have been lower.

Past performance does not predict future performance. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.

 

PGIM Fixed Income ETFs 5


PGIM Ultra Short Bond ETF

Your Fund’s Performance (continued)

 

Benchmark Definitions

 

ICE BofA US 3-Month Treasury Bill Index—The ICE BofA US 3-Month Treasury Bill Index is an unmanaged index which is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury Bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date.

ICE BOFA IS LICENSING THE BOFA INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE ICE BOFA INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM, ASSUMES NO LIABILITY IN CONNECTION WITH THEIR USE, AND DOES NOT SPONSOR, ENDORSE, OR RECOMMEND THE FUND, OR ANY OF ITS PRODUCTS OR SERVICES.

Investors cannot invest directly in an index. The returns for the Indexes would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

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Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     37.0  

AA

     27.4  

A

     18.2  

BBB

     16.1  

Cash/Cash Equivalents

     1.3  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

  Distributions and Yields as of 8/31/23

 

        SEC 30-Day        SEC 30-Day  
     Total Dividends Paid        Subsidized        Unsubsidized  
     for One Year ($)        Yield* (%)        Yield** (%)  
     2.23        5.30        5.30  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

PGIM Fixed Income ETFs 7


Strategy and Performance Overview*

(unaudited)

 

How did the Fund perform?

The PGIM Ultra Short Bond ETF returned 5.31% based on net asset value in the 12-month reporting period that ended August 31, 2023, outperforming the 4.25% return of the ICE BofA US 3-Month Treasury Bill Index (the Index).

What were the market conditions?

 

While there was no shortage of fear in the bond markets during the reporting period, which was largely marked by an overhang of uncertainty and economic negatives, the interest rate volatility, COVID-19-era supply/demand imbalances, and steep losses that predominated during the first half of the reporting period showed signs of dissipating in the second half.

 

 

Despite a series of rolling crises—including a string of regional bank failures, the debt ceiling debate, ongoing recession concerns, and still-high inflation—the US economy avoided the worst of potential outcomes, and fixed income returns skewed largely positive over the last six months of the reporting period.

 

 

Against the backdrop of historic lows in unemployment and still-high inflation, the US Federal Reserve (the Fed) continued its monetary tightening path, raising interest rates by an additional 300 basis points (bps) in a succession of rate hikes over the reporting period. (One basis point equals 0.01%.) Although the Fed raised interest rates by 25 bps and indicated that its inflation fight was not yet over at the July Federal Open Market Committee (FOMC) meeting, the main signal from the meeting was that the end of the rate-hiking cycle was likely close.

 

 

A sharply higher federal funds rate, coupled with macroeconomic uncertainty, led to enormous volatility being priced into developed market interest rates, with sharply higher front-end rates and lower long-dated yields. From -0.30% on August 31, 2022, the 10-year/2-year US Treasury spread declined to -0.76% at the end of the reporting period, while the 2-year US Treasury yield rose by 140 bps to end the reporting period at 4.85%.

 

 

Just as longer-term US Treasuries saw substantial volatility throughout the reporting period, yields on short-term securities, which influence money market yields, also rose substantially. The 3-month US Treasury bill rose from 2.96% to 5.56% during the reporting period, while the Secured Overnight Financing Rate rose from 2.29% to 5.30%.

 

 

In the short-term credit markets, investment-grade credit spreads were relatively unchanged over the entirety of the reporting period, despite experiencing heightened intra-quarter volatility. The Bloomberg 1-3 Year Credit Index, a proxy for the short-term spread market, outperformed similar short-duration US Treasuries by 0.66% during the reporting period.

What worked?

 

During the reporting period, the Fund emphasized spread assets—including short-term, investment-grade debt of financial, consumer cyclical and non-cyclical,

 

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  and utility companies—ranging across the rating spectrum from AAA to BBB. Other spread sector assets included commercial mortgage-backed securities (CMBS) and collateralized loan obligations (CLOs).

 

 

Overall positioning in short-term, investment-grade corporates, CLOs, and CMBS contributed to performance during the reporting period.

 

 

Within credit, selections in banking, automotive, and electric utilities contributed to performance.

 

 

Overall yield curve positioning also contributed to performance during the period. (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.)

What didn’t work?

No positions materially detracted from the Fund’s performance relative to the Index during the reporting period.

Did the Fund use derivatives?

During the reporting period, the Fund used interest rate swaps and futures to help manage duration positioning and yield curve exposure. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.) These instruments allowed the Fund to capture higher yields available farther out on the short-term portion of the yield curve and in spread-sector assets versus US Treasuries, while mitigating interest rate risk. Overall, the positions contributed to performance during the reporting period.

Current outlook

 

Although the rate-hike debate continues for the Fed, the increments of its hikes are getting smaller, and it declined to raise rates at all at its June 2023 FOMC meeting—signs that most of the increases are behind us and that the hikes to come will increasingly be “fine-tuning” exercises. With the prospect of balance returning to the labor market, PGIM Fixed Income sees a path for core personal consumption expenditures to decelerate below 3.0% by the end of 2023, driven lower by core non-housing services prices.

 

 

Clear and sustained evidence of a downshift on inflation, coupled with below-trend growth, should be enough, in PGIM Fixed Income’s view, for the Fed to pause its rate-hike campaign at 5.5%. With the pace of central bank tightening expected to dramatically downshift in the quarters ahead, PGIM Fixed Income’s expectation is for interest rate volatility to continue to decline.

 

 

PGIM Fixed Income continues to emphasize well-researched, short-term credit sectors in the expectation that these assets are likely to offer the most value from a total return perspective. PGIM Fixed Income also continues to seek out investments with the best total return potential.

 

PGIM Fixed Income ETFs 9


Strategy and Performance Overview* (continued)

 

 

PGIM Fixed Income continues to find value within investment-grade corporates and structured products (CLOs, CMBS), which represent attractive value in relation to US Treasuries and agency mortgage-backed securities.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

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PGIM Active High Yield Bond ETF

Your Fund’s Performance (unaudited)

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

     Average Annual Total Returns as of 8/31/23
     One Year (%)     Since Inception (%) 

Net Asset Value (NAV)

   6.32       3.69 (9/24/2018)

Market Price*

   6.80       3.72 (9/24/2018)

Bloomberg US High Yield Very Liquid Index

     
     7.20       2.86

*The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

PGIM Fixed Income ETFs 11


PGIM Active High Yield Bond ETF

Your Fund’s Performance (continued)

 

Growth of a $10,000 Investment (unaudited)

 

 

 

LOGO

The graph compares a $10,000 investment in the Fund with a similar investment in the Bloomberg US High Yield Very Liquid Index by portraying the initial account values at the commencement of operations (September 24, 2018) and the account values at the end of the current fiscal year (August 31, 2023) as measured on a quarterly basis. The Fund assumes an initial investment on September 24, 2018, while the Index assumes that the initial investment occurred on September 30, 2018. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) all recurring fees (including management fees) were deducted and (b) all dividends and distributions were reinvested. Without waiver of fees and/or expense reimbursements, if any, the returns would have been lower.

Past performance does not predict future performance. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.

 

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Benchmark Definition

Bloomberg US High Yield Very Liquid Index (VLI)—The Bloomberg US High Yield Very Liquid Index is a component of the US Corporate High Yield Index that is designed to track a more liquid component of the USD-denominated, high yield, fixed rate corporate bond market. The Index uses the same eligibility criteria as the US Corporate High Yield Index, but includes only the three largest bonds from each issuer that have a minimum amount outstanding of USD500mn and less than five years from issue date. The Index also limits the exposure of each issuer to 2% of the total market value and redistributes any excess market value index-wide on a pro rata basis.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

PGIM Fixed Income ETFs 13


PGIM Active High Yield Bond ETF

Your Fund’s Performance (continued)

 

Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     11.1  

BBB

     4.8  

BB

     41.6  

B

     28.5  

CCC

     10.0  

CC

     0.1  

D

     0.1  

Not Rated

     1.8  

Cash/Cash Equivalents

     2.0  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

  Distributions and Yields as of 8/31/23
  Total Dividends   SEC 30-Day   SEC 30-Day
  Paid for   Subsidized   Unsubsidized
  One Year ($)   Yield* (%)   Yield** (%)
    2.53   8.25   8.25

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

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Strategy and Performance Overview*

(unaudited)

 

How did the Fund perform?

The PGIM Active High Yield Bond ETF returned 6.32% based on net asset value in the 12-month reporting period that ended August 31, 2023, underperforming the 7.20% return of the Bloomberg US High Yield Very Liquid Index (the Index).

What were the market conditions?

 

US high yield bonds posted gains over the reporting period amid limited new issuance, resilient economic data, and an ongoing supply deficit fueled by a high volume of calls, tenders, maturities, and coupon payments.

 

 

Spreads on the Bloomberg US Corporate High Yield Bond Index tightened 113 basis points (bps) to 372 bps as of the end of the reporting period. (One basis point equals 0.01%.) Meanwhile, fundamentals remained solid, with leverage remaining low and coverage ratios remaining strong despite recession concerns and a series of rolling crises, including a string of regional bank failures, the debt ceiling debate, and still-high inflation.

 

 

After posting outflows of $47 billion during 2022, high yield bond mutual funds saw $11.7 billion of outflows during the first eight months of 2023. However, technicals remained supportive as subdued primary activity helped to offset the headwinds from negative fund flows. After totaling just $106.5 billion in 2022, high yield gross issuance totaled $111.2 billion through the first eight months of 2023, or just $40.8 billion excluding refinancing activity.

 

 

By quality, all credit tiers posted positive returns over the reporting period, with CCC-rated credits outperforming their B-rated and BB-rated peers. Meanwhile, the par-weighted US high yield default rate, including distressed exchanges, ended the reporting period at 2.40%, which was below its long-term historical average but 75 bps higher than the beginning of the year and 119 bps higher than a year earlier, according to J.P. Morgan.

What worked?

 

Overall sector allocation contributed to the Fund’s performance during the reporting period, with an overweight relative to the Index to building materials & home construction, along with underweights relative to the Index to media & entertainment and telecom being the largest contributors.

 

 

While overall security selection detracted from performance, selections in healthcare & pharmaceuticals, technology, and building materials & home construction contributed.

 

 

In individual security selection, positioning in Bausch Health Americas Inc. (healthcare & pharmaceuticals), Altice France Holding SA (telecom), and Lumen Technologies Inc. (telecom) were among the largest contributors to performance.

What didn’t work?

 

Overall security selection was the largest detractor from the Fund’s performance during the reporting period, with selections in media & entertainment, telecom, and upstream energy detracting the most.

 

PGIM Fixed Income ETFs 15


Strategy and Performance Overview* (continued)

 

 

While overall sector allocation contributed, underweights relative to the Index to gaming/lodging/leisure and transportation & environment services, along with an overweight to cable & satellite, detracted.

 

 

In individual security selection, positioning in Diamond Sports Group LLC (media & entertainment), Digicel Ltd. (telecom), and Venator Materials LLC (chemicals) detracted from results.

 

 

Having less beta, on average, in the Fund relative to the Index over the reporting period had a negative impact on returns. (Beta is a measure of the volatility or risk of a security or portfolio compared to the market or index.)

Did the Fund use derivatives?

The Fund used credit index derivatives and interest rate futures to manage its overall risk profile during the reporting period, the aggregate impact of which was positive.

Current outlook

 

While PGIM Fixed Income expects to see some deterioration of fundamentals, some mitigating factors will likely keep US high yield spreads from widening sharply from current levels. The market is of a higher quality than prior cycles, with BB-rated credits comprising nearly 50% of the market, net leverage remaining near all-time lows, and interest coverage near all-time highs. Meanwhile, the technical backdrop remains supportive due to a variety of factors, including lower gross new issuance and sizeable rising stars leading to a meaningful supply deficit and an overall shrinking high yield market.

 

 

PGIM Fixed Income does not expect defaults to be as severe as in previous downturns due to the strength of most issuers’ balance sheets and the absence of a near-term maturity wall, as many issuers have already termed out debt at low interest rates. Should the economy follow its base-case recession scenario, PGIM Fixed Income expects defaults to remain manageable, rising to 5% over the next 12 months.

 

 

While the short-term outlook is somewhat positive, PGIM Fixed Income forecasts a flat excess return over the next 12 months. In terms of positioning, PGIM Fixed Income remains defensive but is looking to opportunistically add higher-quality and short-duration risk on pullbacks from here.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

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PGIM Active Aggregate Bond ETF

Your Fund’s Performance (unaudited)

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

     Average Annual Total Returns as of 8/31/23
     One Year (%)     Since Inception (%) 

Net Asset Value (NAV)

   -0.92       -4.84 (4/12/2021)

Market Price*

   -0.79       -4.78 (4/12/2021)

Bloomberg US Aggregate Bond Index

     
     -1.19       -4.33

*The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

PGIM Fixed Income ETFs 17


PGIM Active Aggregate Bond ETF

Your Fund’s Performance (continued)

 

Growth of a $10,000 Investment (unaudited)

 

 

 

LOGO

 

The graph compares a $10,000 investment in the Fund with a similar investment in the Bloomberg US Aggregate Bond Index by portraying the initial account values at the commencement of operations (April 12, 2021) and the account values at the end of the current fiscal year (August 31, 2023) as measured on a quarterly basis. The Fund assumes an initial investment on April 15, 2021, while the the Index assumes that the initial investment occurred on March 31, 2021. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) all recurring fees (including management fees) were deducted and (b) all dividends and distributions were reinvested. Without waiver of fees and/or expense reimbursements, if any, the returns would have been lower.

Past performance does not predict future performance. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.

 

18 Visit our website at pgim.com/investments


 

Benchmark Definition

Bloomberg US Aggregate Bond Index—The Bloomberg US Aggregate Bond Index is unmanaged and represents securities that are taxable and US dollar denominated. It covers the US investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

 Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

 AAA

     65.5  

 AA

     6.2  

 A

     11.3  

 BBB

     16.2  

 Cash/Cash Equivalents

     0.8  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

  Distributions and Yields as of 8/31/23

 

        SEC 30-Day        SEC 30-Day  
     Total Dividends Paid        Subsidized        Unsubsidized  
     for One Year ($)        Yield* (%)        Yield** (%)  
     1.47        4.69        4.69  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

PGIM Fixed Income ETFs 19


Strategy and Performance Overview*

(unaudited)

 

How did the Fund perform?

The PGIM Active Aggregate Bond ETF returned -0.92% based on net asset value in the 12-month reporting period that ended August 31, 2023, outperforming the -1.19% return of the Bloomberg US Aggregate Bond Index (the Index).

What were the market conditions?

 

While there was no shortage of fear in the bond markets during the reporting period, which was largely marked by an overhang of uncertainty and economic negatives, the interest rate volatility, COVID-19-era supply/demand imbalances, and steep losses that predominated during the first half of the reporting period showed signs of dissipating in the second half.

 

 

Despite a series of rolling crises—including a string of regional bank failures, the debt ceiling debate, ongoing recession concerns, and still-high inflation—the US economy avoided the worst of potential outcomes, and fixed income returns skewed largely positive over the last six months of the reporting period.

 

 

Against the backdrop of historic lows in unemployment and still-high inflation, the US Federal Reserve (the Fed) continued its monetary tightening path, raising interest rates by an additional 300 basis points (bps) in a succession of rate hikes over the reporting period. (One basis point equals 0.01%.) Although the Fed raised interest rates by 25 bps and indicated that its inflation fight was not yet over at the July Federal Open Market Committee (FOMC) meeting, the main signal from the meeting was that the end of the rate-hiking cycle was likely close.

 

 

A sharply higher federal funds rate, coupled with macroeconomic uncertainty, led to enormous volatility being priced into developed market interest rates, with sharply higher front-end rates and lower long-dated yields. From –0.30% on August 31, 2022, the 10-year/2-year US Treasury spread declined to –0.76% at the end of the reporting period, while the 2-year US Treasury yield rose by 140 bps to end the reporting period at 4.85%.

 

 

Despite elevated volatility, US investment-grade corporate spreads tightened over the reporting period, as expectations for an economic hard landing moderated and fundamentals remained solid. Securitized credit spreads were mixed, with high-quality collateralized loan obligation (CLO) spreads tightening over the reporting period and commercial mortgage-backed securities (CMBS) spreads widening as the commercial real estate sector remained challenged. After posting steep losses in 2022, the emerging markets sector posted positive total returns, and spreads tightened through the first part of 2023 as headwinds turned to tailwinds. Meanwhile, agency mortgage-backed securities (MBS) underperformed versus US Treasuries over the reporting period, as elevated interest rate volatility weighed on the sector over the first half of the reporting period.

 

20 Visit our website at pgim.com/investments


 

What worked?

 

Overall security selection and sector allocation both contributed to the Fund’s performance over the reporting period. Within security selection, selections in investment-grade corporates, Treasuries, and emerging markets contributed the most.

 

 

Within sector allocation, overweights relative to the Index to CLOs, municipal bonds, and asset-backed securities (ABS) contributed the most.

 

 

Within credit, positioning in foreign non-corporates, midstream energy, and banking contributed to results.

 

 

In individual security selection, the Fund benefited from positioning in J.P Morgan Chase &Co. (banking), Toll Brothers Finance Corp. (building materials & home construction), and Mexico City Airport Trust (foreign non-corporates).

What didn’t work?

 

While overall security selection contributed to the Fund’s performance during the reporting period, selection in MBS and municipal bonds detracted from performance.

 

 

While overall sector allocation contributed, an underweight to investment-grade corporates relative to the Index detracted from performance.

 

 

Within credit, positioning in electric utilities was a modest detractor.

 

 

In individual security selection, the Fund’s positioning in Berkshire Hathaway Inc. (electric utilities), Oracle Corp. (technology), and The Republic of Indonesia detracted from performance.

 

 

The Fund’s yield curve and duration positioning detracted from performance during the reporting period. (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.) (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.)

Did the Fund use derivatives?

The Fund uses derivatives when they facilitate implementation of the overall investment approach. During the reporting period, the Fund used interest rate futures and swaps to help manage duration positioning and yield curve exposure. In aggregate, these positions contributed to performance.

Current outlook

 

Although the rate-hike debate continues for the Fed, the increments of its hikes are getting smaller, and it declined to raise rates at all at its June 2023 FOMC meeting—signs that most of the increases are behind us and that the hikes to come will increasingly be “fine-tuning” exercises. With the prospect of balance returning to the labor market, PGIM Fixed Income sees a path for core personal consumption expenditures to decelerate below 3.0% by the end of 2023, driven lower by core non-housing services prices.

 

PGIM Fixed Income ETFs 21


Strategy and Performance Overview* (continued)

 

 

Clear and sustained evidence of a downshift on inflation, coupled with below-trend growth, should be enough, in PGIM Fixed Income’s view, for the Fed to pause its rate-hike campaign at 5.5%, prior to initiating a 50–75 bps fine-tuning campaign of cuts as early as the fourth quarter of 2023.

 

 

PGIM Fixed Income sees the US yield curve remaining solidly inverted due to only marginal repricing at the front end. Meanwhile, PGIM Fixed Income believes demand at the back end of the curve should remain consistent—particularly given the relatively high level of rates compared to past years—based on the rolling series of crises that continue to emerge but have yet to produce the more-feared outcomes.

 

 

With the pace of central bank tightening expected to dramatically downshift in the quarters ahead, and given PGIM Fixed Income’s expectation for interest rate volatility to continue to decline, spreads should remain range bound or, more likely, narrow in the months ahead, boosting fixed income returns. The combination of increased income and the potential for capital appreciation creates an attractive total return profile for those with longer-term time horizons, in PGIM Fixed Income’s view.

 

 

PGIM Fixed Income maintains its positive view of the spread sectors over the medium to long term, and the Fund is overweight investment-grade corporates and securitized products (CLOs, CMBS, ABS). The Fund continues to hold a significant underweight to US Treasuries in favor of more attractive opportunities across spread sectors.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

22 Visit our website at pgim.com/investments


PGIM Total Return Bond ETF

Your Fund’s Performance (unaudited)

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

     Average Annual Total Returns as of 8/31/23 
     One Year (%)     Since Inception (%) 

Net Asset Value (NAV)

   0.27       -7.40 (12/2/2021)

Market Price*

   0.18       -7.37 (12/2/2021)

Bloomberg US Aggregate Bond Index

     
     -1.19       -7.07

*The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

PGIM Fixed Income ETFs 23


PGIM Total Return Bond ETF

Your Fund’s Performance (continued)

 

Growth of a $10,000 Investment (unaudited)

 

 

 

LOGO

 

The graph compares a $10,000 investment in the Fund with a similar investment in the Bloomberg US Aggregate Bond Index by portraying the initial account values at the commencement of operations (December 2, 2021) and the account values at the end of the current fiscal year (August 31, 2023) as measured on a quarterly basis. The Fund assumes an initial investment on December 8, 2021, while the Index assumes that the initial investment occurred on November 30, 2021. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) all recurring fees (including management fees) were deducted and (b) all dividends and distributions were reinvested. Without waiver of fees and/or expense reimbursements, if any, the returns would have been lower.

Past performance does not predict future performance. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.

 

24 Visit our website at pgim.com/investments


 

Benchmark Definition

Bloomberg US Aggregate Bond Index—The Bloomberg US Aggregate Bond Index is unmanaged and represents securities that are taxable and US dollar denominated. It covers the US investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

PGIM Fixed Income ETFs 25


PGIM Total Return Bond ETF

Your Fund’s Performance (continued)

 

Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     53.5  

AA

     6.8  

A

     9.1  

BBB

     20.6  

BB

     6.1  

B

     2.9  

CCC

     0.2  

Not Rated

     0.6  

Cash/Cash Equivalents

     0.2  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

Distributions and Yields as of 8/31/23

 

      SEC 30-Day       SEC 30-Day  
    Total Dividends Paid       Subsidized       Unsubsidized  
    for One Year ($)       Yield* (%)       Yield** (%)  
    2.12       5.33       5.33  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

26 Visit our website at pgim.com/investments


Strategy and Performance Overview*

(unaudited)

 

How did the Fund perform?

The PGIM Total Return Bond ETF returned 0.27% based on net asset value in the 12-month reporting period that ended August 31, 2023, outperforming the –1.19% return of the Bloomberg US Aggregate Bond Index (the Index).

What were the market conditions?

 

While there was no shortage of fear in the bond markets during the reporting period, which was largely marked by an overhang of uncertainty and economic negatives, the interest rate volatility, COVID-19-era supply/demand imbalances, and steep losses that predominated during the first half of the reporting period showed signs of dissipating in the second half.

 

 

Despite a series of rolling crises—including a string of regional bank failures, the debt ceiling debate, ongoing recession concerns, and still-high inflation—the US economy avoided the worst of potential outcomes, and fixed income returns skewed largely positive over the last six months of the reporting period.

 

 

Against the backdrop of historic lows in unemployment and still-high inflation, the US Federal Reserve (the Fed) continued its monetary tightening path, raising interest rates by an additional 300 basis points (bps) in a succession of rate hikes over the reporting period. (One basis point equals 0.01%.) Although the Fed raised interest rates by 25 bps and indicated that its inflation fight was not yet over at the July Federal Open Market Committee (FOMC) meeting, the main signal from the meeting was that the end of the rate-hiking cycle was likely close.

 

 

A sharply higher federal funds rate, coupled with macroeconomic uncertainty, led to enormous volatility being priced into developed market interest rates, with sharply higher front-end rates and lower long-dated yields. From –0.30% on August 31, 2022, the 10-year/2-year US Treasury spread declined to –0.76% at the end of the reporting period, while the 2-year US Treasury yield rose by 140 bps to end the reporting period at 4.85%.

 

 

Despite elevated volatility, US investment-grade corporate spreads tightened over the reporting period, as expectations for an economic hard landing moderated, and fundamentals remained solid. US high yield bonds posted gains over the reporting period amid limited new issuance, resilient economic data, and an ongoing supply deficit. Securitized credit spreads were mixed, with high-quality collateralized loan obligation (CLO) spreads tightening over the reporting period and commercial mortgage-backed securities (CMBS) spreads widening as the commercial real estate sector remained challenged. After posting steep losses in 2022, the emerging markets sector posted positive total returns, and spreads tightened through the first part of 2023 as headwinds turned to tailwinds. Meanwhile, agency mortgage-backed securities (MBS) underperformed versus US Treasuries over the reporting period, as elevated interest rate volatility weighed on the sector over the first half of the reporting period.

 

PGIM Fixed Income ETFs 27


Strategy and Performance Overview* (continued)

 

What worked?

 

Overall sector allocation and security selection both contributed to the Fund’s performance during the reporting period. Within sector allocation, overweights relative to the Index to high yield, CLOs, and municipal bonds, along with an underweight relative to the Index to MBS, contributed the most.

 

 

Within security selection, selections in investment-grade corporates, CLOs, non-agency MBS, and emerging markets contributed the most.

 

 

Within credit, positioning in foreign non-corporates, banking, and building materials & home construction contributed to results.

 

 

In individual security selection, the Fund benefited from positioning in JP Morgan Chase &Co. (banking), UBS Group AG (banking), and the Republic of Serbia.

 

 

The Fund’s yield curve positioning, particularly in US rates, contributed to returns. (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.)

What didn’t work?

 

While overall sector allocation contributed to the Fund’s performance during the reporting period, an underweight relative to the Index to investment-grade corporates detracted from returns.

 

 

While overall security selection contributed, selections in US Treasuries and MBS detracted.

 

 

Within credit, positioning in cable & satellite and media & entertainment detracted.

 

 

In individual security selection, the Fund’s positioning in CSC Holdings LLC (cable & satellite), Diamond Sports Group LLC (media & entertainment), and MPT Operating Partnership LP (REITS) detracted from performance.

 

 

The Fund’s duration positioning detracted from returns during the reporting period. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.)

Did the Fund use derivatives?

The Fund uses derivatives when they facilitate implementation of the overall investment approach. During the reporting period, the Fund used interest rate futures and swaps to help manage duration positioning and yield curve exposure. In aggregate, these positions detracted from performance. The Fund also held positions in a credit default swap index (CDX) to hedge credit risk, which also detracted from performance.

Current outlook

 

Although the rate-hike debate continues for the Fed, the increments of its hikes are getting smaller, and it declined to raise rates at all at its June 2023 FOMC meeting—signs that most of the increases are behind us and that the hikes to come will increasingly be “fine-tuning” exercises. With the prospect of balance returning to the

 

28 Visit our website at pgim.com/investments


 

labor market, PGIM Fixed Income sees a path for core personal consumption expenditures to decelerate below 3.0% by the end of 2023, driven lower by core non-housing services prices.

 

 

Clear and sustained evidence of a downshift on inflation, coupled with below-trend growth, should be enough, in PGIM Fixed Income’s view, for the Fed to pause its rate-hike campaign at 5.5%, prior to initiating a 50–75 bps fine-tuning campaign of cuts as early as the fourth quarter of 2023.

 

 

PGIM Fixed Income sees the US yield curve remaining solidly inverted due to only marginal repricing at the front end. Meanwhile, PGIM Fixed Income believes demand at the back end of the curve should remain consistent—particularly given the relatively high level of rates compared to past years—based on the rolling series of crises that continue to emerge but have yet to produce the more-feared outcomes.

 

 

With the pace of central bank tightening expected to dramatically downshift in the quarters ahead, and given PGIM Fixed Income’s expectation for interest rate volatility to continue to decline, spreads should remain range bound or, more likely, narrow in the months ahead, boosting fixed income returns. The combination of increased income and the potential for capital appreciation creates an attractive total return profile for those with longer-term time horizons, in PGIM Fixed Income’s view.

 

 

PGIM Fixed Income maintains its positive view of the spread sectors over the medium to long term, and the Fund is overweight investment-grade corporates, high yield, securitized products (CLOs, CMBS), and emerging markets. The Fund holds a significant underweight to MBS and US Treasuries in favor of more attractive opportunities across spread sectors.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

PGIM Fixed Income ETFs 29


PGIM Floating Rate Income ETF

Your Fund’s Performance (unaudited)

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

     Average Annual Total Returns as of 8/31/23 
     One Year (%)     Since Inception (%) 

Net Asset Value (NAV)

   9.32       7.87 (5/17/2022)

Market Price*

   9.67       8.12 (5/17/2022)

Credit Suisse Leveraged Loan Index

     
     9.08       8.32

*The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

30 Visit our website at pgim.com/investments


 

Growth of a $10,000 Investment (unaudited)

 

 

 

LOGO

 

The graph compares a $10,000 investment in the Fund with a similar investment in the Credit Suisse Leveraged Loan Index by portraying the initial account values at the commencement of operations (May 17, 2022) and the account values at the end of the current fiscal year (August 31, 2023) as measured on a quarterly basis. The Fund assumes an initial investment on May 17, 2022, while the Index assumes that the initial investment occurred on May 31, 2022. For purposes of the graph, and unless otherwise indicated, it has been assumed that (a) all recurring fees (including management fees) were deducted and (b) all dividends and distributions were reinvested. Without waiver of fees and/or expense reimbursements, if any, the returns would have been lower.

Past performance does not predict future performance. Total returns and the ending account values in the graphs include changes in share price and reinvestment of dividends and capital gains distributions in a hypothetical investment for the periods shown. The Fund’s total returns do not reflect the deduction of income taxes on an individual’s investment. Taxes may reduce your actual investment returns on income or gains paid by the Fund or any gains you may realize if you sell your shares.

 

PGIM Fixed Income ETFs 31


PGIM Floating Rate Income ETF

Your Fund’s Performance (continued)

 

Benchmark Definition

Credit Suisse Leveraged Loan Index—The Credit Suisse Leveraged Loan Index is an unmanaged index that represents the investable universe of the US dollar-denominated leveraged loan market.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     2.2  

AA

     7.1  

A

     1.3  

BBB

     14.5  

BB

     29.4  

B

     43.5  

CCC

     2.0  

Not Rated

     0.1  

Cash/Cash Equivalents

     -0.1  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

Distributions and Yields as of 8/31/23

 

      SEC 30-Day       SEC 30-Day  
    Total Dividends Paid       Subsidized       Unsubsidized  
    for One Year ($)       Yield* (%)       Yield** (%)  
    3.93       8.37       8.37  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

32 Visit our website at pgim.com/investments


Strategy and Performance Overview*

(unaudited)

 

How did the Fund perform?

The PGIM Floating Rate Income ETF returned 9.32% based on net asset value in the 12-month reporting period that ended August 31, 2023, outperforming the 9.08% return of the Credit Suisse Leveraged Loan Index (the Index).

What were the market conditions?

 

US leveraged loans posted positive total returns over the reporting period amid rising short-term interest rates, robust collateralized loan obligation (CLO) demand, negligible net new supply, and resilient economic data.

 

 

Most of the Index’s gains during the reporting period were driven by interest income. By quality, CCC-rated loans outperformed both B-rated loans and BB-rated loans, as investors reached down the ratings spectrum in search of yield.

 

 

Despite sizeable outflows from bank loan mutual funds and ETFs as well as significant intra-quarter volatility, an improved growth outlook, better-than-expected earnings, and a decline in interest rate volatility in the latter part of the reporting period drove loan prices higher. The average price of all loans in the Index began the reporting period at $94.19, declining to a 12-month low of $91.58 in the fourth quarter of 2022 before ending the reporting period at $94.54.

 

 

Shifting monetary policy expectations, combined with a series of crises—including a string of regional bank failures and the debt ceiling debate—resulted in sizeable outflows from bank loan mutual funds and ETFs throughout much of the reporting period. Following a stretch of 15 consecutive monthly outflows totaling $56.7 billion, loan funds saw a $215 million inflow in August 2023. Meanwhile, CLO formation in 2023 slowed from the pace in 2022 but showed signs of accelerating in August 2023.

 

 

While gross loan issuance remained relatively stable, net new supply declined sharply. Through the first eight months of 2023, leveraged loan issuance totaled $199.8 billion, up 1.7% from the year-earlier period, while net new supply totaled $41.9 billion, down 69.6% from the year-earlier period.

 

 

Meanwhile, average spreads ended the reporting period at 556 basis points (bps), down from 564 bps at the beginning of the reporting period; and average yields rose to approximately 9.9% at the end of the reporting period from approximately 9.2% at the beginning of the reporting period, as the impact of rising interest rates contributed to higher all-in coupons. (One basis point equals 0.01%.)

 

 

Despite broad market volatility, solid credit fundamentals and a lack of near-term maturities continued to keep default rates below the long-term average of 3.1%. The par-weighted loan default rate, including distressed exchanges, ended the reporting period at 2.92%, up 156 bps from August 2022.

What worked?

 

Overall, security selection was the largest contributor to the Fund’s performance during the reporting period, with selections in banking, technology, and telecom contributing the most.

 

PGIM Fixed Income ETFs 33


Strategy and Performance Overview* (continued)

 

 

From a single-name credit perspective, positioning in JP Morgan Chase & Co. (banking), Lumen Technologies Inc. (telecom), and Cinemark USA Inc. (gaming, lodging & leisure) added value.

 

 

While overall sector allocation detracted, underweights relative to the Index to healthcare & pharmaceuticals and technology, along with overweights relative to the Index to electric utilities and paper & packaging, contributed to performance.

What didn’t work?

 

Overall, sector allocation detracted from the Fund’s performance during the reporting period. Overweights relative to the Index to banking and telecom, along with an underweight relative to the Index to finance & insurance, were the largest detractors.

 

 

While overall security selection contributed to performance, selections in media & entertainment, electric utilities, and paper & packaging detracted.

 

 

US Bancorp (banking), City Brewing Company LLC (consumer non-cyclical), and Sound Inpatient Physicians Holdings LLC (healthcare & pharmaceuticals) were the largest single-name detractors from performance.

 

 

The average market risk of the Fund was lower than that of the Index over the reporting period, which also detracted from performance.

Did the Fund use derivatives?

The Fund held interest rate futures and swaps to help manage the portfolio’s duration and yield curve exposure and to reduce its sensitivity to changes in the levels of interest rates. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.) (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.) Overall, this strategy had a positive impact on performance during the reporting period. The Fund also held positions in a high yield credit default swap index (CDX) to hedge credit risk. This strategy had a positive impact on performance.

Current outlook

 

With its outlook tempered by recession risk, and against the backdrop of strong total returns so far this year, PGIM Fixed Income recently boosted its 2023 total return forecast to 8.75% from a range of 6% to 6.5%, supported by high all-in current coupons of approximately 8.9% and a yield-to-maturity of over 10%.

 

 

Ratings downgrades have started to pick up, and PGIM Fixed Income expects ratings agencies to downgrade credits more quickly than they upgrade them going forward. Given that the loan market is of lower quality than in prior cycles, with sponsor-owned low single-B-rated loans comprising a large portion of the overall market and the expectation that the rising cost of capital will reduce free cash flow, PGIM Fixed Income expects loan default rates to rise to a range of 4% to 4.5% by year-end 2023.

 

34 Visit our website at pgim.com/investments


 

Given the macroeconomic concerns, PGIM Fixed Income favors public BB-rated and high single-B-rated loans over sponsor-owned, low single-B-rated and CCC-rated loans, as those lower-quality loans are expected to be most impacted by the more challenging fundamental backdrop. Credit selection and deep, fundamental credit research/modeling is becoming increasingly important, and the avoidance of defaults is expected to be the biggest driver of alpha over the next 12 to 24 months.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

PGIM Fixed Income ETFs 35


PGIM AAA CLO ETF

Your Fund’s Performance (unaudited)

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

    

Total Returns as of 8/31/23* 

Since Inception (%)

 Net Asset Value (NAV)

 

   0.87 (7/19/2023)

 

 Market Price**

 

   0.92 (7/19/2023)

 

 JP Morgan CLOIE AAA Index

  
     1.87      

 

*Not annualized

**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

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Benchmark Definition

JP Morgan CLOIE AAA Index—The JP Morgan CLOIE AAA Index is a sub-component of the JP Morgan CLO Index (CLOIE) and covers securities in the US dollar-denominated CLO market. Index constituents consist of AAA rated floating-rate CLO securities from deals originated in post-crisis vintages, 2010 and later. The index utilizes a market-weighted methodology and is rebalanced monthly.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     98.7  

Cash/Cash Equivalents

     1.3  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

Distributions and Yields as of 8/31/23

 

    Total Dividends Paid
for One Month ($)
    SEC 30-Day
Subsidized
Yield* (%)
    SEC 30-Day
Unsubsidized
Yield** (%)
 
    0.00       6.64       6.64  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

PGIM Fixed Income ETFs 37


Strategy and Performance Overview*

(unaudited)

How did the Fund perform?

The PGIM AAA CLO ETF returned 0.87% based on net asset value from its inception on July 19, 2023, through August 31, 2023 (the reporting period). Over the same period, the JP Morgan CLOIE AAA Index (the Index) returned 1.87%.

What were the market conditions?

 

The overhang of uncertainty and economic negatives, interest rate volatility, and COVID-19-era supply/demand imbalances that prevailed through the first part of 2023 showed signs of dissipating during the reporting period.

 

 

US Treasuries sold off during the reporting period, and the yield curve steepened following a slew of encouraging economic news, including strong economic growth, a resilient labor market, and declining inflation. (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.) US 10-year Treasury yields rose 34 basis points (bps) over the reporting period while US 2-year Treasury yields rose 11 bps, and the 2-year/10-year curve steepened to –0.76%. (One basis point equals 0.01%.)

 

 

Although the US Federal Reserve (the Fed) raised interest rates by 25 bps during the reporting period and indicated that its inflation fight was not yet over at the July 2023 Federal Open Market Committee (FOMC) meeting, the main signal from the meeting was that the end of the rate-hiking cycle was likely close.

 

 

Amid a generally more constructive tone in spread markets, PGIM Fixed Income saw a shift by investors to put money to work in floating rate products—specifically collateralized loan obligations (CLOs)—as the Fed signaled rates would remain higher for longer. Thus, CLO spreads remained resilient over the reporting period, with AAA-rated CLO spreads tightening approximately 10 bps since the Fund’s inception.

What worked?

 

Since the Fund’s inception, PGIM Fixed Income looked to capitalize on price appreciation throughout the rally. Thus, sourcing lower-dollar-priced AAA-rated tranches contributed to performance during the reporting period as prices rallied.

 

 

Additionally, PGIM Fixed Income looked to source a mix of assets in both the primary and secondary markets to balance the carry/convexity component of the Fund’s portfolio. (“Carry” is the coupon income received on a bond. “Convexity” measures the sensitivity of a bond’s duration to changes in yield.)

What didn’t work?

 

Ramping up of the Fund’s portfolio detracted 7 bps of excess returns over the reporting period due to wide bid/ask spreads.

 

 

Although the broader CLO market rallied throughout the reporting period, manager tiering (whereby the tranches of certain managers rallied more than others) was

 

38 Visit our website at pgim.com/investments


 

  prevalent. As the Fund ramped up, PGIM Fixed Income looked to invest in higher quality and in larger CLO managers, which had less price appreciation than smaller/lesser-known CLO managers.

 

 

PGIM Fixed Income opportunistically looked to cover the secondary AAA-rated short positioning in the primary market. Thus, as CLOs rallied during the Fund’s ramp-up period, those tranches marginally contributed to the Index’s performance.

Did the Fund use derivatives?

The Fund did not use derivatives during the reporting period.

Current outlook

 

Although the rate-hike debate continues for the Fed, the increments of its hikes are getting smaller—signs that most of the increases are behind us and that any hikes to come are likely to be “fine-tuning” exercises. With the prospect of balance returning to the labor market, PGIM Fixed Income sees a path for core personal consumption expenditures to decelerate below 3% by the end of 2023, driven lower by core non-housing services prices.

 

 

Clear and sustained evidence of a downshift in inflation, coupled with below-trend growth, should be enough, in PGIM Fixed Income’s view, for the Fed to pause its rate-hike campaign at 5.5% prior to initiating a 50 to 75 bps “fine-tuning” campaign of cuts as early as the fourth quarter of 2023.

 

 

PGIM Fixed Income believes senior CLO tranches remain attractive versus a variety of fixed income alternatives, including mezzanine tranches, on the basis of their high Sharpe ratios, favorable drawdown history, and robust structural protections. (A Sharpe ratio is a measure of risk-adjusted performance.)

 

 

Despite the general trend tighter over the past couple of months, PGIM Fixed Income remains opportunistic in the United States, as potential macroeconomic volatility still exists and deteriorating credit fundamentals on company bottom lines weigh on CLO valuations.

 

 

PGIM Fixed Income continues to favor high-quality bonds, which typically exhibit lower sensitivity to the underlying collateral. While underlying bank loans have been technically supported by low loan supply and strong demand, PGIM Fixed Income expects further deterioration in credit fundamentals, supporting its up-in-quality bias.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

PGIM Fixed Income ETFs 39


PGIM Short Duration Multi-Sector Bond ETF

Your Fund’s Performance (unaudited)

 

Performance data quoted represent past performance. Past performance does not guarantee future results. The investment return and principal value of an investment will fluctuate so that an investor’s shares, when sold, may be worth more or less than their original cost. Current performance may be lower or higher than the past performance data quoted. An investor may obtain performance data as of the most recent month-end by visiting our website at pgim.com/investments or by calling (800) 225-1852.

 

    

Total Returns as of 8/31/23* 

Since Inception (%)

 Net Asset Value (NAV)

   0.79 (7/19/2023)

 Market Price**

   0.88 (7/19/2023)

 Bloomberg US Government/Credit 1-3 Year Index

  
     0.35      

*Not annualized

**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale of Fund shares.

Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower. Market and NAV returns assume that dividends and capital gain distributions, if any, have been reinvested in the Fund at market price and NAV, respectively.

 

40 Visit our website at pgim.com/investments


 

Benchmark Definition

Bloomberg US Government/Credit 1–3 Year Index—The Bloomberg US Government/Credit 1–3 Year Index is an unmanaged index considered representative of the performance of short-term US corporate bonds and US government bonds with maturities from one to three years.

Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of operating expenses or taxes that may be paid by an investor.

 

Credit Quality expressed as a percentage of total investments as of 8/31/23 (%)

  

AAA

     61.7  

AA

     6.3  

A

     7.5  

BBB

     13.9  

BB

     7.0  

B

     4.0  

CCC

     0.5  

Cash/Cash Equivalents

     -0.9  
   

Total

     100.0  

Credit ratings reflect the highest rating assigned by a nationally recognized statistical rating organization (NRSRO) such as Moody’s Investors Service, Inc. (Moody’s), S&P Global Ratings (S&P), or Fitch Ratings Inc. (Fitch). Credit ratings reflect the common nomenclature used by both S&P and Fitch. Where applicable, ratings are converted to the comparable S&P/Fitch rating tier nomenclature. These rating agencies are independent and are widely used. The Not Rated category consists of securities that have not been rated by an NRSRO. Credit ratings are subject to change.

 

Distributions and Yields as of 8/31/23

 

    Total Dividends Paid
for One Month ($)
    SEC 30-Day
Subsidized
Yield* (%)
    SEC 30-Day
Unsubsidized
Yield** (%)
 
    0.00       5.30       5.30  

*SEC 30-Day Subsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s net expenses (net of any expense waivers or reimbursements). The investor experience is represented by the SEC 30-Day Subsidized Yield.

**SEC 30-Day Unsubsidized Yield (%)—A standardized yield calculation created by the Securities and Exchange Commission, it reflects the income earned during a 30-day period, after the deduction of the Fund’s gross expenses. The investor experience is represented by the SEC 30-Day Subsidized Yield.

 

PGIM Fixed Income ETFs 41


Strategy and Performance Overview*

(unaudited)

How did the Fund perform?

The PGIM Short Duration Multi-Sector Bond ETF returned 0.79% based on net asset value from the Fund’s inception on July 19, 2023, through August 31, 2023 (the reporting period). Over the same period, the Bloomberg US Government/Credit 1-3 Year Index (the Index) returned 0.35%.

What were the market conditions?

 

The overhang of uncertainty and economic negatives, interest rate volatility, and COVID-19-era supply/demand imbalances that prevailed through the first part of 2023 showed signs of dissipating during the reporting period.

 

 

US Treasuries sold off during the reporting period, and the yield curve steepened following a slew of encouraging economic news, including strong economic growth, a resilient labor market, and declining inflation. (A yield curve is a line graph that illustrates the relationship between the yields and maturities of fixed income securities. It is created by plotting the yields of different maturities for the same type of bonds.) US 10-year Treasury yields rose 34 basis points (bps) over the reporting period while US 2-year Treasury yields rose 11 bps, and the 2-year/10-year curve steepened to –0.76%. (One basis point equals 0.01%.)

 

 

Although the US Federal Reserve (the Fed) raised interest rates by 25 bps during the reporting period and indicated that its inflation fight was not yet over at the July 2023 Federal Open Market Committee (FOMC) meeting, the main signal from the meeting was that the end of the rate-hiking cycle was likely close.

 

 

Amid a generally constructive tone in spread markets, US investment-grade corporate spreads tightened over the reporting period, as expectations for an economic hard landing moderated and fundamentals remained solid. Securitized credit spreads tightened, with high-quality collateralized loan obligation (CLO) and commercial mortgage-backed securities (CMBS) spreads both tightening. After posting steep losses in 2022, the emerging markets sector posted positive total returns, and spreads tightened throughout the reporting period.

What worked?

 

Overall sector allocation and security selection both contributed to the Fund’s performance over the reporting period. Within sector allocation, overweights relative to the Index to high yield, CLOs, and investment-grade corporates contributed the most.

 

 

Within security selection, selections in CLOs, investment-grade corporates, and CMBS contributed the most.

 

 

Within credit, positioning in healthcare & pharmaceuticals, cable & satellite, and midstream energy contributed to results.

 

 

In individual security selection, the Fund benefited from positioning in Dish Network Corp. (cable & satellite), LifePoint Health Inc. (healthcare & pharmaceuticals), and Energy Transfer LP (midstream energy).

 

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The Fund’s duration positioning was a positive contributor over the period, as US Treasury yields rose and the curve steepened. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.)

What didn’t work?

 

While overall security selection contributed to the Fund’s performance during the reporting period, selections in high yield detracted.

 

 

Within credit, positioning in automotive and building materials & home construction detracted.

 

 

In individual security selection, the Fund’s positioning in Ford Motor Co. (automotive), Nexi S.p.A (technology), and Ziggo Bond Company BV (cable & satellite) detracted from performance.

 

 

The Fund’s yield curve positioning detracted from performance.

Did the Fund use derivatives?

The Fund uses derivatives when they facilitate implementation of the overall investment approach. During the reporting period, the Fund used interest rate futures to help manage duration positioning and yield curve exposure. In aggregate, these positions contributed to performance. The Fund also held positions in a credit default swap index (CDX) to hedge credit risk, which detracted from performance.

Current outlook

 

Although the rate-hike debate continues for the Fed, the increments of its hikes are getting smaller, and it declined to raise rates at all at its June 2023 FOMC meeting—signs that most of the increases are behind us and that the hikes to come will increasingly be “fine-tuning” exercises. With the prospect of balance returning to the labor market, PGIM Fixed Income sees a path for core personal consumption expenditures to decelerate below 3% by the end of 2023, driven lower by core non-housing services prices.

 

 

Clear and sustained evidence of a downshift in inflation, coupled with below-trend growth, should be enough, in PGIM Fixed Income’s view, for the Fed to pause its rate-hike campaign at 5.5% prior to initiating a 50 to 75 bps “fine-tuning” campaign of cuts as early as the fourth quarter of 2023.

 

 

PGIM Fixed Income sees the US yield curve remaining solidly inverted due to only marginal repricing at the front end. Meanwhile, it believes demand at the back end of the curve should remain consistent—particularly given the relatively high level of rates compared to past years—based on the rolling series of crises that continue to emerge but have yet to produce the more-feared outcomes.

 

 

With the pace of central bank tightening expected to dramatically downshift in the quarters ahead, and given PGIM Fixed Income’s expectation for interest rate volatility to continue to decline, spreads should remain range bound or, more likely, narrow in

 

PGIM Fixed Income ETFs 43


Strategy and Performance Overview* (continued)

 

  the months ahead, boosting fixed income returns. The combination of increased income and the potential for capital appreciation creates an attractive total return profile for those with longer-term time horizons.

 

 

PGIM Fixed Income maintains its positive view of spread sectors over the medium to long term. The Fund holds a significant underweight to US Treasuries in favor of more attractive opportunities across spread sectors.

*This strategy and performance overview, which discusses what strategies or holdings (including derivatives, if applicable) affected the Fund’s performance, is compiled based on how the Fund performed relative to the Fund’s benchmark index and is viewed for performance attribution purposes at the aggregate Fund level, which in most instances will not directly correlate to the amounts disclosed in the Statement of Operations which conform to US generally accepted accounting principles.

 

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Fees and Expenses (unaudited)

As a shareholder of the Fund, you incur ongoing costs, including investment management fees. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other funds.

The example is based on an investment of $1,000 held through the six-month period ended August 31, 2023. The example is for illustrative purposes only.

Actual Expenses

The first line in the tables on the following page provides information about actual account values and actual expenses. You may use the information on this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value ÷ $1,000 = 8.6), then multiply the result by the number on the first line under the heading “Expenses Paid During the Six-Month Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line in the tables on the following page provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs or brokerage commissions paid on purchases and sales of Fund shares. Therefore, the ending account values and expenses paid for the period are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

         
PGIM Ultra Short Bond
ETF
  Beginning
Account Value
March 1, 2023
  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual        $1,000.00   $1,027.60   0.15%   $0.77
       
Hypothetical   $1,000.00   $1,024.45   0.15%   $0.77

 

PGIM Fixed Income ETFs 45


Fees and Expenses (continued)

 

         

PGIM Active High Yield

Bond ETF

 

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual        $1,000.00   $1,049.40   0.53%   $2.74
       
Hypothetical   $1,000.00   $1,022.53   0.53%   $2.70

 

         

PGIM Active

Aggregate Bond ETF

 

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual        $1,000.00   $1,010.00   0.19%   $0.96
       
Hypothetical   $1,000.00   $1,024.25   0.19%   $0.97

 

         

PGIM Total Return

Bond ETF

 

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual        $1,000.00   $1,016.10   0.49%   $2.49
       
Hypothetical   $1,000.00   $1,022.74   0.49%   $2.50

 

         

PGIM Floating Rate

Income ETF

 

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual        $1,000.00   $1,053.90   0.72%   $3.73
       
Hypothetical   $1,000.00   $1,021.58   0.72%   $3.67

 

         
PGIM AAA CLO ETF  

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual**      $1,000.00   $1,008.70   0.19%   $0.22
       
Hypothetical   $1,000.00   $1,024.25   0.19%   $0.97

 

         

PGIM Short Duration

Multi-Sector Bond ETF

 

Beginning

Account Value

March 1, 2023

  Ending
Account Value
August 31, 2023
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual**      $1,000.00   $1,007.90   0.40%   $0.47
       
Hypothetical   $1,000.00   $1,023.19   0.40%   $2.04

*Fund expenses (net of fee waivers or subsidies, if any) are equal to the annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by the 184 days in the six-month period ended August 31, 2023, and divided by the 365 days in the Fund’s fiscal year ended August 31, 2023 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which each Fund may invest.

**“Actual” expenses are calculated using 43-day period ended August 31, 2023 due to the Fund’s inception date of July 19, 2023.

 

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Glossary

The following abbreviations are used in the Funds’ descriptions:

EUR—Euro

GBP—British Pound

USD—US Dollar

144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and, pursuant to the requirements of Rule 144A, may not be resold except to qualified institutional buyers.

A—Annual payment frequency for swaps

BABs—Build America Bonds

BMO—BMO Capital Markets

BNP—BNP Paribas S.A.

BOA—Bank of America, N.A.

CDS—Credit Default Swap

CDX—Credit Derivative Index

CGM—Citigroup Global Markets, Inc.

CITI—Citibank, N.A.

CLO—Collateralized Loan Obligation

CME—Chicago Mercantile Exchange

CVR—Contingent Value Rights

DAC—Designated Activity Company

DIP—Debtor-In-Possession

EMTN—Euro Medium Term Note

EURIBOR—Euro Interbank Offered Rate

FHLMC—Federal Home Loan Mortgage Corporation

GMTN—Global Medium Term Note

GSI—Goldman Sachs International

iBoxx—Bond Market Indices

IO—Interest Only (Principal amount represents notional)

JPM—JPMorgan Chase Bank N.A.

JPS—J.P. Morgan Securities LLC

LIBOR—London Interbank Offered Rate

LP—Limited Partnership

MSI—Morgan Stanley & Co International PLC

MTN—Medium Term Note

OTC—Over-the-counter

PIK—Payment-in-Kind

Q—Quarterly payment frequency for swaps

REITs—Real Estate Investment Trust

REMIC—Real Estate Mortgage Investment Conduit

 

 47


Glossary (continued)

 

S—Semiannual payment frequency for swaps

SOFR—Secured Overnight Financing Rate

SONIA—Sterling Overnight Index Average

SSB—State Street Bank & Trust Company

STRIPs—Separate Trading of Registered Interest and Principal of Securities

T—Swap payment upon termination

TBA—To Be Announced

TD—The Toronto-Dominion Bank

USOIS—United States Overnight Index Swap

 

48 


PGIM Ultra Short Bond ETF

Schedule of Investments

as of August 31, 2023

 

 Description    Interest
Rate
   Maturity
Date
   Principal
Amount
(000)#
     Value  

LONG-TERM INVESTMENTS 72.2%

           

ASSET-BACKED SECURITIES 20.1%

           

Automobiles 2.8%

                           

Americredit Automobile Receivables Trust,
Series 2023-01, Class A2A

   5.840%    10/19/26      32,178      $ 32,165,825  

ARI Fleet Lease Trust,
Series 2022-A, Class A2, 144A

   3.120    01/15/31      1,658        1,634,691  

Avis Budget Rental Car Funding AESOP LLC,
Series 2022-03A, Class A, 144A

   4.620    02/20/27      35,000        33,966,615  

Donlen Fleet Lease Funding LLC,
Series 2021-02, Class A2, 144A

   0.560    12/11/34      1,747        1,712,210  

Enterprise Fleet Financing LLC,
Series 2021-02, Class A2, 144A

   0.480    05/20/27      2,668        2,583,603  

Series 2022-01, Class A2, 144A

   3.030    01/20/28      8,147        7,957,658  

Series 2022-03, Class A2, 144A

   4.380    07/20/29      726        712,197  

Series 2023-01, Class A2, 144A

   5.510    01/22/29      6,200        6,163,001  

Series 2023-02, Class A2, 144A

   5.560    04/22/30      7,900        7,864,497  

Ford Credit Floorplan Master Owner Trust A,
Series 2023-01, Class A1, 144A

   4.920    05/15/28      17,100        16,897,428  

GM Financial Consumer Automobile Receivables Trust,
Series 2022-02, Class A2

   2.520    05/16/25      1,490        1,480,083  

Hertz Vehicle Financing III LLC,
Series 2023-03A, Class A, 144A

   5.940    02/25/28      15,100        15,108,871  

OneMain Direct Auto Receivables Trust,
Series 2023-01A, Class A, 144A

   5.410    11/14/29      17,100        16,953,892  

World Omni Automobile Lease Securitization Trust,
Series 2022-A, Class A2

   2.630    10/15/24      1,149        1,144,184  
           

 

 

 
                146,344,755  

Collateralized Loan Obligations 16.3%

                           

Allegro CLO Ltd. (Cayman Islands),
Series 2016-01A, Class AR2, 144A, 3 Month SOFR + 1.212% (Cap N/A, Floor 0.950%)

   6.520(c)    01/15/30      5,552        5,505,030  

Anchorage Capital CLO Ltd. (Cayman Islands),
Series 2015-07A, Class AR2, 144A, 3 Month SOFR + 1.352% (Cap N/A, Floor 1.090%)

   6.717(c)    01/28/31      4,665        4,636,889  

Ares CLO Ltd. (Cayman Islands),
Series 2016-40A, Class A1RR, 144A, 3 Month SOFR + 1.132% (Cap N/A, Floor 0.870%)

   6.440(c)    01/15/29      10,450        10,367,422  

Series 2018-50A, Class AR, 144A, 3 Month SOFR + 1.312% (Cap N/A, Floor 1.050%)

   6.620(c)    01/15/32      11,330        11,273,855  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 49


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest
Rate
     Maturity
Date
     Principal
Amount
(000)#
     Value  

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month SOFR + 1.092% (Cap N/A, Floor 0.000%)

     6.468%(c)        11/17/27        146      $ 145,719  

Bain Capital Credit CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month LIBOR + 0.960% (Cap N/A, Floor 0.000%)

     6.567(c)        04/23/31        16,392        16,330,183  

Series 2019-02A, Class AR, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)

     6.670(c)        10/17/32        11,500        11,419,500  

Series 2020-05A, Class A1, 144A, 3 Month SOFR + 1.482% (Cap N/A, Floor 1.482%)

     6.808(c)        01/20/32        5,397        5,378,110  

Ballyrock CLO Ltd. (Cayman Islands),
Series 2020-02A, Class A1R, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 1.010%)

     6.598(c)        10/20/31        18,000        17,890,277  

Battalion CLO Ltd. (Cayman Islands),
Series 2018-12A, Class A1, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 1.070%)

     6.708(c)        05/17/31        4,938        4,910,854  

Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R2, 144A, 3 Month SOFR + 1.132% (Cap N/A, Floor 1.132%)

     6.440(c)        07/15/29        1,060        1,053,088  

Series 2017-12A, Class A1R, 144A, 3 Month SOFR + 1.212% (Cap N/A, Floor 0.950%)

     6.520(c)        10/15/30        16,136          16,041,735  

BlueMountain CLO Ltd. (Cayman Islands),
Series 2018-22A, Class A1, 144A, 3 Month SOFR + 1.342% (Cap N/A, Floor 0.000%)

     6.650(c)        07/15/31        14,500        14,394,250  

Canyon Capital CLO Ltd. (Cayman Islands),
Series 2016-01A, Class AR, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 0.000%)

     6.640(c)        07/15/31        20,000        19,931,946  

Series 2017-01A, Class AR, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%)

     6.570(c)        07/15/30        14,607        14,524,302  

Series 2019-01A, Class A1R, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%)

     6.670(c)        04/15/32        8,000        7,898,880  

Carlyle CLO Ltd. (Cayman Islands),
Series C17A, Class A1AR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%)

     6.661(c)        04/30/31        18,476        18,384,303  

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month SOFR + 1.232% (Cap N/A, Floor 0.970%)

     6.540(c)        04/17/31        4,967        4,943,368  

Series 2015-05A, Class A1RR, 144A, 3 Month SOFR + 1.342% (Cap N/A, Floor 1.080%)

     6.668(c)        01/20/32        17,935        17,845,780  

 

See Notes to Financial Statements.

 

50


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
        Value    

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

Carlyle US CLO Ltd. (Cayman Islands),
Series 2017-01A, Class A1R, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%)

     6.588%(c)        04/20/31        17,122      $   17,010,645  

Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 0.000%)

     6.608(c)        04/20/31        17,879        17,728,887  

CarVal CLO Ltd. (Cayman Islands),
Series 2019-01A, Class ANR, 144A, 3 Month SOFR + 1.372% (Cap N/A, Floor 1.372%)

     6.698(c)        04/20/32        7,222        7,181,940  

CIFC Funding Ltd. (Cayman Islands),
Series 2013-03RA, Class A1, 144A, 3 Month SOFR + 1.242% (Cap N/A, Floor 0.980%)

     6.587(c)        04/24/31        2,000        1,990,000  

Series 2017-01A, Class AR, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 1.010%)

     6.605(c)        04/23/29        8,429        8,409,396  

Series 2017-04A, Class A1R, 144A, 3 Month SOFR + 1.212% (Cap N/A, Floor 0.950%)

     6.557(c)        10/24/30        28,070        27,887,522  

Crestline Denali CLO Ltd. (Cayman Islands),
Series 2018-01A, Class AR, 144A, 3 Month SOFR + 1.322% (Cap N/A, Floor 1.060%)

     6.630(c)        10/15/31        15,000        14,883,703  

Elevation CLO Ltd. (Cayman Islands),
Series 2014-02A, Class A1R, 144A, 3 Month SOFR + 1.492% (Cap N/A, Floor 0.000%)

     6.800(c)        10/15/29        13,892        13,865,722  

Ellington CLO Ltd. (Cayman Islands),
Series 2019-04A, Class AR, 144A, 3 Month SOFR + 1.842% (Cap N/A, Floor 1.580%)

     7.150(c)        04/15/29        1,471        1,471,516  

Generate CLO Ltd. (Cayman Islands),
Series 02A, Class AR, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%)

     6.757(c)        01/22/31        10,156        10,090,964  

Greywolf CLO Ltd. (Cayman Islands),
Series 2018-02A, Class A1, 144A, 3 Month SOFR + 1.440% (Cap N/A, Floor 1.440%)

     6.766(c)        10/20/31        10,000        9,936,455  

HPS Loan Management Ltd. (Cayman Islands),
Series 11A-17, Class AR, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 1.020%)

     6.651(c)        05/06/30        7,390        7,353,655  

ICG US CLO Ltd. (Cayman Islands),
Series 2014-03A, Class A1RR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%)

     6.643(c)        04/25/31        11,328        11,254,598  

JMP Credit Advisors CLO Ltd. (Cayman Islands),
Series 2017-01A, Class AR, 144A, 3 Month SOFR + 1.542% (Cap N/A, Floor 1.280%)

     6.850(c)        07/17/29        602        602,300  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 51


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
        Value    

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

KKR CLO Ltd. (Cayman Islands),
Series 11, Class AR, 144A, 3 Month SOFR + 1.442% (Cap N/A, Floor 1.442%)

     6.750%(c)        01/15/31        938      $ 932,952  

Series 18, Class AR, 144A, 3 Month SOFR + 1.202% (Cap N/A, Floor 0.940%)

     6.512(c)        07/18/30        14,206          14,144,924  

KKR CLO Ltd.,
Series 30A, Class A1R, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 1.020%)

     6.590(c)        10/17/31        14,000        13,915,762  

Madison Park Funding Ltd. (Cayman Islands), Series 12A, Class AR, 144A, 3 Month SOFR + 1.092% (Cap N/A, Floor 0.000%)

     6.437(c)        04/22/27        4,473        4,455,248  

Series 2015-18A, Class ARR, 144A, 3 Month SOFR + 1.202% (Cap N/A, Floor 0.940%)

     6.535(c)        10/21/30        23,072        22,986,683  

Series 2019-34A, Class AR, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.120%)

     6.733(c)        04/25/32        12,115        12,079,331  

Series 2021-38A, Class X, 144A, 3 Month SOFR + 1.212% (Cap N/A, Floor 1.212%)

     6.520(c)        07/17/34        2,962        2,943,571  

MidOcean Credit CLO (Cayman Islands),
Series 2017-07A, Class A1R, 144A, 3 Month SOFR + 1.302% (Cap N/A, Floor 0.000%)

     6.610(c)        07/15/29        6,305        6,266,906  

Series 2018-09A, Class A1, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 1.150%)

     6.738(c)        07/20/31        5,250        5,236,875  

Mountain View CLO Ltd. (Cayman Islands),
Series 2013-01A, Class ARR, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%)

     6.561(c)        10/12/30        12,874        12,758,573  

Nassau Ltd. (United Kingdom),
Series 2022-01A, Class A1, 144A, 3 Month SOFR + 2.130% (Cap N/A, Floor 2.130%)

     7.438(c)        01/15/31        32,927        33,054,165  

Oaktree CLO Ltd. (Cayman Islands),
Series 2019-01A, Class A1R, 144A, 3 Month SOFR + 1.372% (Cap N/A, Floor 1.110%)

     6.717(c)        04/22/30        4,300        4,270,624  

Ocean Trails CLO (Cayman Islands),
Series 2019-07A, Class AR, 144A, 3 Month SOFR + 1.272% (Cap N/A, Floor 1.010%)

     6.580(c)        04/17/30        4,417        4,377,414  

Octagon Investment Partners 49 Ltd. (Cayman Islands),
Series 2020-05A, Class A1, 144A, 3 Month SOFR + 1.482% (Cap N/A, Floor 1.220%)

     6.790(c)        01/15/33        22,000        21,926,293  

OZLM Ltd. (Cayman Islands),
Series 2014-06A, Class A1S, 144A, 3 Month SOFR + 1.342% (Cap N/A, Floor 0.000%)

     6.650(c)        04/17/31        8,401        8,341,609  

 

See Notes to Financial Statements.

 

52


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
        Value    

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

OZLM Ltd. (Cayman Islands), (cont’d.)
Series 2014-09A, Class A1A3, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%)

     6.688%(c)        10/20/31        18,000      $   17,818,027  

Palmer Square CLO Ltd. (Cayman Islands),
Series 2014-01A, Class A1R2, 144A, 3 Month SOFR + 1.392% (Cap N/A, Floor 1.130%)

     6.700(c)        01/17/31        994        992,182  

Series 2015-02A, Class A1R2, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 0.000%)

     6.688(c)        07/20/30        1,104        1,102,130  

Palmer Square Loan Funding Ltd. (Cayman Islands),
Series 2021-03A, Class A1, 144A, 3 Month SOFR + 1.062% (Cap N/A, Floor 1.062%)

     6.388(c)        07/20/29        13,569        13,508,953  

Series 2021-04A, Class A1, 144A, 3 Month SOFR + 1.062% (Cap N/A, Floor 1.062%)

     6.370(c)        10/15/29        14,666        14,592,658  

Series 2022-03A, Class A1A, 144A, 3 Month SOFR + 1.820% (Cap N/A, Floor 1.820%)

     7.128(c)        04/15/31        22,337        22,429,624  

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A1AR, 144A, 3 Month SOFR + 1.262% (Cap N/A, Floor 1.000%)

     6.588(c)        10/20/31        22,000        21,830,721  

PPM CLO Ltd. (Cayman Islands),
Series 2018-01A, Class A, 144A, 3 Month SOFR + 1.412% (Cap N/A, Floor 0.000%)

     6.720(c)        07/15/31        11,000        10,906,416  

Race Point CLO Ltd. (Cayman Islands),
Series 2013-08A, Class AR2, 144A, 3 Month SOFR + 1.302% (Cap N/A, Floor 1.040%)

     6.681(c)        02/20/30        15,830        15,754,111  

Rockford Tower CLO Ltd. (Cayman Islands),
Series 2017-03A, Class A, 144A, 3 Month SOFR + 1.452% (Cap N/A, Floor 0.000%)

     6.778(c)        10/20/30        12,450        12,425,197  

Rockford Tower CLO Ltd.,
Series 2017-02A, Class AR, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 1.020%)

     6.590(c)        10/15/29        13,082        13,025,193  

Romark WM-R Ltd. (Cayman Islands),
Series 2018-01A, Class A1, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 0.000%)

     6.618(c)        04/20/31        13,469        13,374,065  

Shackleton CLO Ltd. (Cayman Islands),
Series 2014-05RA, Class A, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 0.262%)

     6.731(c)        05/07/31        19,869        19,650,835  

Sound Point CLO Ltd. (Cayman Islands),
Series 2014-03RA, Class A1R, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 1.070%)

     6.677(c)        10/23/31        10,000        9,911,797  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 53


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
        Value     

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

Sound Point CLO Ltd. (Cayman Islands), (cont’d.)

           

Series 2017-03A, Class A1R, 144A, 3 Month SOFR + 1.242% (Cap N/A, Floor 0.980%)

     6.568%(c)        10/20/30        8,687      $ 8,600,831  

Series 2019-01A, Class AR, 144A, 3 Month SOFR + 1.342% (Cap N/A, Floor 1.080%)

     6.668(c)        01/20/32        13,000        12,852,711  

Tikehau US CLO Ltd. (Bermuda),

           

Series 2022-02A, Class A1, 144A, 3 Month SOFR + 2.390% (Cap N/A, Floor 2.390%)

     7.716(c)        01/20/32        31,606        31,737,768  

Trinitas CLO Ltd. (Cayman Islands),

           

Series 2016-04A, Class A1L2, 144A, 3 Month SOFR + 1.362% (Cap N/A, Floor 1.100%)

     6.672(c)        10/18/31        11,900        11,874,407  

Series 2016-05A, Class ARR, 144A, 3 Month SOFR + 1.292% (Cap N/A, Floor 1.030%)

     6.643(c)        10/25/28        307        307,021  

Venture CLO Ltd. (Cayman Islands),

           

Series 2016-24A, Class ARR, 144A, 3 Month SOFR + 1.162% (Cap N/A, Floor 0.900%)

     6.488(c)        10/20/28        5,787        5,738,581  

Voya CLO Ltd. (Cayman Islands),

           

Series 2013-02A, Class A1R, 144A, 3 Month SOFR + 1.232% (Cap N/A, Floor 0.970%)

     6.583(c)        04/25/31        3,816        3,787,901  

Series 2013-03A, Class A1RR, 144A, 3 Month SOFR + 1.411% (Cap N/A, Floor 1.150%)

     6.721(c)        10/18/31        19,931        19,824,368  

Series 2014-01A, Class AAR2, 144A, 3 Month SOFR + 1.252% (Cap N/A, Floor 0.000%)

     6.562(c)        04/18/31        1,796        1,787,580  

Series 2014-02A, Class A1RR, 144A, 3 Month SOFR + 1.282% (Cap N/A, Floor 1.020%)

     6.590(c)        04/17/30        1,287        1,282,894  

Series 2016-01A, Class A1R, 144A, 3 Month SOFR + 1.332% (Cap N/A, Floor 1.070%)

     6.658(c)        01/20/31        22,646        22,560,657  

Wellfleet CLO Ltd. (Cayman Islands),

           

Series 2016-02A, Class A1R, 144A, 3 Month SOFR + 1.402% (Cap N/A, Floor 1.140%)

     6.728(c)        10/20/28        1,702        1,692,337  

Series 2017-02A, Class A1R, 144A, 3 Month SOFR + 1.322% (Cap N/A, Floor 0.000%)

     6.648(c)        10/20/29        788        782,604  

Series 2018-02A, Class A1, 144A, 3 Month SOFR + 1.462% (Cap N/A, Floor 1.200%)

     6.788(c)        10/20/31        10,000        9,900,933  

Series 2019-01A, Class A1R, 144A, 3 Month SOFR + 1.382% (Cap N/A, Floor 1.120%)

     6.708(c)        07/20/32        20,000          19,750,482  

 

See Notes to Financial Statements.

 

54


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

ASSET-BACKED SECURITIES (Continued)

           

Collateralized Loan Obligations (cont’d.)

                                   

Zais CLO Ltd. (Cayman Islands),

           

Series 2017-02A, Class A, 144A, 3 Month SOFR + 1.552% (Cap N/A, Floor 0.000%)

     6.860%(c)        04/15/30        157      $ 156,032  
           

 

 

 
              860,192,740  

Consumer Loans 0.7%

                                   

OneMain Financial Issuance Trust,

           

Series 2023-02A, Class A1, 144A

     5.840        09/15/36        34,900        35,040,895  

SoFi Consumer Loan Program Trust,

           

Series 2021-01, Class A, 144A

     0.490        09/25/30        219        216,516  

Series 2023-01S, Class A, 144A

     5.810        05/15/31        1,950        1,946,238  
           

 

 

 
              37,203,649  

Equipment 0.3%

                                   

Kubota Credit Owner Trust,

           

Series 2023-01A, Class A2, 144A

     5.400        02/17/26        12,500        12,447,928  

MMAF Equipment Finance LLC,

           

Series 2022-A, Class A2, 144A

     2.770        02/13/25        5,991        5,921,201  
           

 

 

 
              18,369,129  
           

 

 

 

TOTAL ASSET-BACKED SECURITIES
(cost $1,062,807,271)

                1,062,110,273  
           

 

 

 

CERTIFICATES OF DEPOSIT 2.1%

           

BNP Paribas SA, SOFR + 0.650%

     5.950(c)        07/08/24        39,000        39,038,626  

Canadian Imperial Bank of Commerce,

           

SOFR + 0.600%

     5.900(c)        05/10/24        9,750        9,762,406  

SOFR + 0.810% (Cap N/A, Floor 0.000%)

     6.110(c)        12/11/23        15,000        15,029,799  

Lloyds Bank Corporate Markets PLC, SOFR + 0.540%

     5.840(c)        01/31/24        21,233        21,232,822  

Toronto-Dominion Bank (The),

           

SOFR + 0.650%

     5.950(c)        09/13/24        10,000        10,003,736  

SOFR + 0.670%

     5.970(c)        03/25/24        15,000        15,019,753  
           

 

 

 

TOTAL CERTIFICATES OF DEPOSIT
(cost $109,976,232)

              110,087,142  
           

 

 

 

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 55


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
   Maturity  
Date
   Principal 
Amount 
(000)# 
        Value     

COMMERCIAL MORTGAGE-BACKED SECURITIES 15.1%

           

Bank of America Merrill Lynch Commercial Mortgage Trust,

           

Series 2016-UB10, Class A4

   3.170%    07/15/49      21,000      $ 19,416,596  

Barclays Commercial Mortgage Securities Trust,

           

Series 2020-C07, Class A1

   1.079    04/15/53      654        631,798  

Benchmark Mortgage Trust,

           

Series 2018-B02, Class A2

   3.662    02/15/51      227        226,227  

Series 2018-B03, Class A2

   3.848    04/10/51      225        217,955  

Series 2018-B05, Class A2

   4.077    07/15/51      589        567,773  

Series 2020-B18, Class A1

   0.875    07/15/53      643        615,449  

Citigroup Commercial Mortgage Trust,

           

Series 2013-GC17, Class A4

   4.131    11/10/46      36,731        36,571,278  

Series 2014-GC21, Class A4

   3.575    05/10/47      5,912        5,853,875  

Series 2014-GC21, Class AAB

   3.477    05/10/47      62        62,073  

Series 2014-GC23, Class A3

   3.356    07/10/47      10,926        10,729,703  

Series 2014-GC23, Class AAB

   3.337    07/10/47      212        209,893  

Series 2014-GC25, Class A3

   3.372    10/10/47      6,519        6,369,999  

Series 2014-GC25, Class A4

   3.635    10/10/47      15,760        15,228,405  

Series 2015-GC29, Class A4

   3.192    04/10/48      9,325        8,869,414  

Series 2015-GC33, Class A4

   3.778    09/10/58      2,250        2,126,551  

Series 2016-P04, Class A2

   2.450    07/10/49      3,635        3,460,979  

Commercial Mortgage Trust,

           

Series 2012-CR04, Class A3

   2.853    10/15/45      90        83,432  

Series 2013-CR12, Class A4

   4.046    10/10/46      5,906        5,877,417  

Series 2014-CR16, Class A3

   3.775    04/10/47      16,856          16,603,741  

Series 2014-CR16, Class A4

   4.051    04/10/47      11,285        11,086,436  

Series 2014-CR17, Class ASB

   3.598    05/10/47      64        63,826  

Series 2014-CR18, Class A4

   3.550    07/15/47      3,671        3,596,641  

Series 2014-CR20, Class A3

   3.326    11/10/47      4,491        4,397,442  

Series 2014-CR21, Class A3

   3.528    12/10/47      10,423        10,114,906  

Series 2014-UBS02, Class A4

   3.691    03/10/47      2,874        2,852,023  

Series 2014-UBS02, Class A5

   3.961    03/10/47      16,690        16,534,691  

Series 2014-UBS02, Class ASB

   3.472    03/10/47      127        126,352  

Series 2014-UBS03, Class A3

   3.546    06/10/47      837        823,964  

Series 2014-UBS03, Class A4

   3.819    06/10/47      3,812        3,731,224  

Series 2014-UBS04, Class A4

   3.420    08/10/47      33,380        32,493,474  

Series 2014-UBS05, Class A3

   3.565    09/10/47      24,504        24,109,261  

Series 2014-UBS06, Class A4

   3.378    12/10/47      8,136        7,897,870  

Series 2014-UBS06, Class A5

   3.644    12/10/47      7,835        7,532,509  

Series 2015-CR22, Class A3

   3.207    03/10/48      820        783,433  

Series 2015-CR22, Class A4

   3.048    03/10/48      21,900        21,069,031  

Series 2015-CR23, Class ASB

   3.257    05/10/48      690        675,395  

 

See Notes to Financial Statements.

 

56


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
        Value     

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

           

Commercial Mortgage Trust, (cont’d.)

           

Series 2015-CR24, Class A4

     3.432%        08/10/48        8,262      $ 7,891,885  

Series 2015-CR24, Class ASB

     3.445        08/10/48        1,250        1,227,891  

Series 2015-CR26, Class A4

     3.630        10/10/48        12,465        11,850,873  

Series 2015-LC19, Class A3

     2.922        02/10/48        17,197        16,624,470  

Series 2015-LC21, Class A4

     3.708        07/10/48        11,000        10,538,756  

Series 2015-PC01, Class A5

     3.902        07/10/50        17,737        17,051,462  

CSAIL Commercial Mortgage Trust,

           

Series 2015-C02, Class A4

     3.504        06/15/57        8,500        8,125,697  

Series 2016-C05, Class ASB

     3.533        11/15/48        1,817        1,757,741  

Series 2016-C06, Class A5

     3.090        01/15/49        14,500        13,433,207  

Series 2016-C07, Class A4

     3.210        11/15/49        6,372        5,963,816  

Deutsche Bank Commercial Mortgage Trust,

           

Series 2017-C06, Class A3

     3.269        06/10/50        3,936        3,747,972  

GS Mortgage Securities Corp. Trust,

           

Series 2021-RENT, Class A, 144A, 1 Month SOFR + 0.814% (Cap N/A, Floor 0.700%)

     6.125(c)        11/21/35        5,369        5,130,221  

GS Mortgage Securities Trust,

           

Series 2014-GC18, Class A3

     3.801        01/10/47        1,285        1,279,022  

Series 2014-GC18, Class A4

     4.074        01/10/47        7,185        7,122,743  

Series 2014-GC22, Class A4

     3.587        06/10/47        9,840        9,676,552  

Series 2014-GC22, Class AAB

     3.467        06/10/47        105        104,866  

Series 2014-GC24, Class A4

     3.666        09/10/47        18,437        18,006,968  

Series 2015-GC28, Class A4

     3.136        02/10/48        17,959        17,481,190  

Series 2015-GC30, Class A4

     3.382        05/10/50        22,540          21,449,190  

Series 2016-GS02, Class A4

     3.050        05/10/49        14,962        13,911,210  

JPMBB Commercial Mortgage Securities Trust,

           

Series 2013-C17, Class A4

     4.199        01/15/47        14,334        14,229,987  

Series 2014-C18, Class A4A2, 144A

     3.794        02/15/47        4,343        4,317,864  

Series 2014-C21, Class A4

     3.493        08/15/47        17,071        16,806,817  

Series 2014-C23, Class A5

     3.934        09/15/47        13,955        13,553,370  

Series 2014-C24, Class A5

     3.639        11/15/47        10,830        10,416,744  

Series 2014-C25, Class A4A1

     3.408        11/15/47        1,107        1,068,849  

Series 2014-C25, Class ASB

     3.407        11/15/47        1,342        1,316,230  

Series 2014-C26, Class A3

     3.231        01/15/48        17,883        17,435,734  

Series 2014-C26, Class A4

     3.494        01/15/48        13,000        12,470,269  

Series 2015-C29, Class A4

     3.611        05/15/48        30,892        29,293,293  

Series 2015-C32, Class A4

     3.329        11/15/48        19,126        18,524,785  

JPMDB Commercial Mortgage Securities Trust,

           

Series 2020-COR07, Class A1

     1.066        05/13/53        2,640        2,520,416  

JPMorgan Chase Commercial Mortgage Securities Trust,

           

Series 2016-JP02, Class ASB

     2.713        08/15/49        4,498        4,277,882  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 57


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
     Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

           

Morgan Stanley Bank of America Merrill Lynch Trust,

           

Series 2014-C14, Class A5

     4.064%        02/15/47        8,447      $ 8,374,804  

Series 2014-C15, Class A4

     4.051        04/15/47        5,904        5,853,069  

Series 2014-C16, Class A4

     3.600        06/15/47        15,353        15,142,433  

Series 2014-C17, Class A4

     3.443        08/15/47        12,864        12,660,063  

Series 2014-C19, Class A4

     3.526        12/15/47        5,325        5,124,961  

Series 2014-C19, Class ASB

     3.326        12/15/47        1,868        1,840,947  

Series 2015-C21, Class A3

     3.077        03/15/48        13,374        12,777,948  

Series 2015-C21, Class A4

     3.338        03/15/48        5,679        5,419,370  

Series 2015-C23, Class A3

     3.451        07/15/50        8,777        8,388,668  

Series 2015-C23, Class ASB

     3.398        07/15/50        801        782,542  

Series 2015-C26, Class A5

     3.531        10/15/48        10,000        9,474,118  

Series 2015-C27, Class A3

     3.473        12/15/47        4,118        3,949,136  

Morgan Stanley Capital I Trust,

           

Series 2015-MS01, Class A4

     3.779(cc)        05/15/48        4,220        4,031,383  

Series 2020-HR08, Class A1

     0.932        07/15/53        1,502        1,420,003  

One New York Plaza Trust,

           

Series 2020-01NYP, Class A, 144A, 1 Month SOFR + 1.064% (Cap N/A, Floor 0.950%)

     6.375(c)        01/15/36        19,065        18,277,326  

Wells Fargo Commercial Mortgage Trust,

           

Series 2015-LC22, Class A3

     3.572        09/15/58        4,169        4,019,142  

Series 2015-LC22, Class A4

     3.839        09/15/58        8,000        7,640,358  

Series 2015-NXS02, Class A2

     3.020        07/15/58        64        62,036  

Series 2015-NXS02, Class A4

     3.498        07/15/58        10,300        9,920,954  

Series 2016-C34, Class ASB

     2.911        06/15/49        2,854        2,733,528  

Series 2016-C36, Class A3

     2.807        11/15/59        12,385        11,380,079  

Series 2016-NXS05, Class A5

     3.372        01/15/59        4,920        4,597,505  

WFRBS Commercial Mortgage Trust,

           

Series 2014-LC14, Class A5

     4.045        03/15/47        25,000        24,787,412  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(cost $806,617,334)

                798,876,793  
           

 

 

 

CORPORATE BONDS 34.3%

           

Aerospace & Defense 0.2%

                                   

RTX Corp.,
Sr. Unsec’d. Notes

     5.000        02/27/26        8,000        7,963,188  

 

See Notes to Financial Statements.

 

58


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
    Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

 

       

Agriculture 0.4%

                                  

Cargill, Inc.,

          

Sr. Unsec’d. Notes, 144A

     3.500%       04/22/25        6,750      $ 6,558,037  

Sr. Unsec’d. Notes, 144A

     4.875       10/10/25        14,000        13,902,828  
          

 

 

 
               20,460,865  

Auto Manufacturers 4.3%

                                  

American Honda Finance Corp.,

          

Sr. Unsec’d. Notes

     4.750       01/12/26        9,750        9,653,100  

Sr. Unsec’d. Notes, MTN

     0.750       08/09/24        4,500        4,300,099  

BMW US Capital LLC (Germany),

          

Gtd. Notes, 144A(a)

     3.250       04/01/25        7,000        6,785,640  

Gtd. Notes, 144A, SOFR Index + 0.530%

     5.792(c)       04/01/24        4,000        4,005,128  

Gtd. Notes, 144A, SOFR Index + 0.620%

     5.955(c)       08/11/25        20,000        20,018,078  

Gtd. Notes, 144A, SOFR Index + 0.840%

     6.102(c)       04/01/25        11,390        11,451,066  

Daimler Truck Finance North America LLC (Germany),

          

Gtd. Notes, 144A(a)

     5.150       01/16/26        14,000        13,885,694  

Mercedes-Benz Finance North America LLC (Germany),

          

Gtd. Notes, 144A

     0.750       03/01/24        13,500        13,177,602  

Gtd. Notes, 144A

     4.800       03/30/26        35,000        34,647,057  

Gtd. Notes, 144A

     5.375       11/26/25        8,500        8,494,142  

PACCAR Financial Corp.,

          

Sr. Unsec’d. Notes, MTN

     3.550       08/11/25        25,000        24,293,687  

Sr. Unsec’d. Notes, MTN(a)

     4.450       03/30/26        15,000        14,869,031  

Toyota Motor Credit Corp.,

          

Sr. Unsec’d. Notes

     4.450       05/18/26        15,000        14,794,309  

Sr. Unsec’d. Notes, MTN

     3.650       08/18/25        5,000        4,852,597  

Sr. Unsec’d. Notes, MTN

     3.950       06/30/25        18,750        18,314,513  

Sr. Unsec’d. Notes, MTN, SOFR + 0.750% (Cap N/A, Floor 0.000%)

     6.050(c)       12/11/23        12,000        12,016,395  

Volkswagen Group of America Finance LLC (Germany),

          

Gtd. Notes, 144A

     3.950       06/06/25        13,250        12,849,475  
          

 

 

 
             228,407,613  

Banks 7.5%

                                  

Bank of Montreal (Canada),

          

Sr. Unsec’d. Notes, MTN, SOFR Index + 0.710%

     5.908(c)       03/08/24        20,000        20,026,272  

Bank of Nova Scotia (The) (Canada),

          

Sr. Unsec’d. Notes, MTN, SOFR + 0.460%

     5.738(c)       01/10/25        7,750        7,719,079  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 59


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
  Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

       

Banks (cont’d.)

                              

Bank of Nova Scotia (The) (Canada), (cont’d.)

          

Sr. Unsec’d. Notes, MTN, SOFR Index + 0.900%

   6.181%(c)     04/11/25        4,750      $ 4,754,594  

Banque Federative du Credit Mutuel SA (France),

          

Sr. Unsec’d. Notes, 144A

   0.650     02/27/24        7,250        7,071,243  

Sr. Unsec’d. Notes, 144A, SOFR Index + 0.410%

   5.745(c)     02/04/25        20,000          19,846,642  

Canadian Imperial Bank of Commerce (Canada),

          

Sr. Unsec’d. Notes, SOFR Index + 0.420%

   5.722(c)     10/18/24        10,000        9,961,263  

Commonwealth Bank of Australia (Australia),

          

Sr. Unsec’d. Notes

   5.316     03/13/26        25,000        25,077,470  

Sr. Unsec’d. Notes, 144A, SOFR + 0.630%

   5.930(c)     01/10/25        28,500        28,512,876  

Cooperatieve Rabobank UA (Netherlands),

          

Sr. Unsec’d. Notes, SOFR Index + 0.300% (Cap N/A, Floor 0.000%)

   5.590(c)     01/12/24        5,500        5,498,076  

Credit Suisse AG (Switzerland),

          

Sr. Unsec’d. Notes, SOFR Index + 0.390%

   5.725(c)     02/02/24        2,500        2,489,075  

Deutsche Bank AG (Germany),

          

Sr. Unsec’d. Notes, Series E, SOFR + 0.500% (Cap N/A, Floor 0.000%)

   5.836(c)     11/08/23        20,000        19,988,078  

DNB Bank ASA (Norway),

          

Sr. Unsec’d. Notes, 144A

   5.896(ff)     10/09/26        25,000        25,028,510  

Federation des Caisses Desjardins du Quebec (Canada),

          

Sr. Unsec’d. Notes, 144A(a)

   4.400     08/23/25        25,000        24,301,907  

Morgan Stanley,

          

Sr. Unsec’d. Notes, MTN

   2.720(ff)     07/22/25        37,000        35,906,503  

National Australia Bank Ltd. (Australia),

          

Sr. Unsec’d. Notes

   3.500     06/09/25        7,250        7,026,656  

Sr. Unsec’d. Notes

   4.966     01/12/26        32,000        31,791,133  

NatWest Markets PLC (United Kingdom),

          

Sr. Unsec’d. Notes, 144A, SOFR + 1.450%

   6.687(c)     03/22/25        9,000        9,058,586  

Nordea Bank Abp (Finland),

          

Sr. Unsec’d. Notes, 144A

   0.625     05/24/24        9,500        9,155,288  

Sr. Unsec’d. Notes, 144A

   4.750     09/22/25        10,500        10,337,850  

Royal Bank of Canada (Canada),

          

Sr. Unsec’d. Notes, GMTN, SOFR Index + 0.340%

   5.616(c)     10/07/24        10,000        9,977,482  

Sr. Unsec’d. Notes, GMTN, SOFR Index + 0.525%

   5.836(c)     01/20/26        10,000        9,849,978  

Sr. Unsec’d. Notes, GMTN, SOFR Index + 0.570%

   5.900(c)     04/27/26        7,027        6,967,798  

Sr. Unsec’d. Notes, MTN, SOFR Index + 0.450%

   5.778(c)     10/26/23        2,000        1,999,570  

Sumitomo Mitsui Trust Bank Ltd. (Japan),

          

Sr. Unsec’d. Notes, 144A, MTN, SOFR + 0.440%

   5.655(c)     09/16/24        7,500        7,473,056  

 

See Notes to Financial Statements.

 

60


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
  Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

       

Banks (cont’d.)

                              

Toronto-Dominion Bank (The) (Canada),

          

Sr. Unsec’d. Notes, MTN, SOFR + 0.350%

   5.552%(c)     09/10/24        8,000      $ 7,971,241  

Truist Bank,

          

Sr. Unsec’d. Notes, SOFR + 0.200%(a)

   5.498(c)     01/17/24        14,850        14,750,636  

UBS AG (Switzerland),

          

Sr. Unsec’d. Notes, 144A, MTN

   0.450     02/09/24        3,000        2,926,812  

Sr. Unsec’d. Notes, 144A, MTN, SOFR + 0.360%

   5.695(c)     02/09/24        7,780        7,775,808  

UBS Group AG (Switzerland),

          

Sr. Unsec’d. Notes

   4.550     04/17/26        10,000        9,677,262  

Sr. Unsec’d. Notes, 144A

   5.711(ff)     01/12/27        15,000        14,938,750  
          

 

 

 
               397,859,494  

Beverages 0.8%

                              

Coca-Cola Europacific Partners PLC (United Kingdom),

          

Sr. Unsec’d. Notes, 144A

   0.800     05/03/24        3,000        2,904,330  

Diageo Capital PLC (United Kingdom),

          

Gtd. Notes

   5.200     10/24/25        17,000        17,000,914  

Keurig Dr. Pepper, Inc.,

          

Gtd. Notes

   0.750     03/15/24        25,000        24,328,523  
          

 

 

 
             44,233,767  

Biotechnology 0.3%

                              

Amgen, Inc.,

          

Sr. Unsec’d. Notes

   5.250     03/02/25        13,250        13,193,819  

Chemicals 1.1%

                              

Air Liquide Finance SA (France),

          

Gtd. Notes, 144A

   2.250     09/27/23        1,000        997,922  

Linde, Inc.,

          

Gtd. Notes

   4.700     12/05/25        28,500        28,250,646  

Nutrien Ltd. (Canada),

          

Sr. Unsec’d. Notes

   5.900     11/07/24        13,270        13,263,672  

Sr. Unsec’d. Notes

   5.950     11/07/25        7,250        7,294,082  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 61


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
    Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

          

Chemicals (cont’d.)

                                  

Sherwin-Williams Co. (The),

          

Sr. Unsec’d. Notes(a)

     4.250%       08/08/25        5,500      $ 5,381,687  

Westlake Corp.,

          

Sr. Unsec’d. Notes

     0.875       08/15/24        2,750        2,620,536  
          

 

 

 
               57,808,545  

Commercial Services 0.2%

                                  

Verisk Analytics, Inc.,

          

Sr. Unsec’d. Notes

     4.000       06/15/25        10,000        9,725,849  

Computers 1.2%

                                  

Apple, Inc.,

          

Sr. Unsec’d. Notes

     3.200       05/13/25        16,000        15,521,830  

Sr. Unsec’d. Notes

     3.250       02/23/26        13,150        12,643,409  

International Business Machines Corp.,

          

Sr. Unsec’d. Notes

     4.500       02/06/26        37,000        36,398,531  
          

 

 

 
             64,563,770  

Cosmetics/Personal Care 0.4%

                                  

Colgate-Palmolive Co.,

          

Sr. Unsec’d. Notes

     3.100       08/15/25        6,750        6,503,125  

Kenvue, Inc.,

          

Gtd. Notes, 144A

     5.350       03/22/26        12,500        12,562,173  
          

 

 

 
             19,065,298  

Diversified Financial Services 0.2%

                                  

Citigroup Global Markets Holdings, Inc.,

          

Gtd. Notes, MTN

     0.750       06/07/24        13,250        12,743,023  

Electric 3.0%

                                  

CenterPoint Energy, Inc.,

          

Sr. Unsec’d. Notes, SOFR Index + 0.650%

     5.985(c)       05/13/24        10,000        9,994,264  

DTE Energy Co.,

          

Sr. Unsec’d. Notes

     4.220       11/01/24        8,250        8,092,184  

Duke Energy Corp.,

          

Sr. Unsec’d. Notes

     5.000       12/08/25        13,250        13,119,237  

 

See Notes to Financial Statements.

 

62


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
    Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

          

Electric (cont’d.)

                                  

Entergy Louisiana LLC,

          

First Mortgage

     0.620%       11/17/23        2,569      $ 2,543,739  

Florida Power & Light Co.,

          

Sr. Unsec’d. Notes

     4.450       05/15/26        20,000        19,685,442  

NextEra Energy Capital Holdings, Inc.,

          

Gtd. Notes

     2.940       03/21/24        15,000        14,765,567  

Gtd. Notes

     6.051       03/01/25        6,750        6,777,943  

Public Service Enterprise Group, Inc.,

          

Sr. Unsec’d. Notes

     0.841       11/08/23        20,300        20,118,601  

Southern California Edison Co.,

          

First Mortgage, Series C

     4.200       06/01/25        14,250        13,926,795  

WEC Energy Group, Inc.,

          

Sr. Unsec’d. Notes

     0.550       09/15/23        15,000        14,976,490  

Sr. Unsec’d. Notes

     0.800       03/15/24        7,250        7,052,205  

Sr. Unsec’d. Notes

     4.750       01/09/26        23,000        22,692,767  

Sr. Unsec’d. Notes

     5.000       09/27/25        6,000        5,943,844  
          

 

 

 
               159,689,078  

Electronics 0.5%

                                  

Amphenol Corp.,

          

Sr. Unsec’d. Notes

     4.750       03/30/26        3,750        3,706,145  

Tyco Electronics Group SA,

          

Gtd. Notes

     4.500       02/13/26        23,250        22,860,121  
          

 

 

 
             26,566,266  

Foods 1.0%

                                  

Hormel Foods Corp.,

          

Sr. Unsec’d. Notes

     0.650       06/03/24        3,500        3,370,864  

Mondelez International Holdings Netherlands BV,

          

Gtd. Notes, 144A

     4.250       09/15/25        13,750        13,438,584  

Nestle Holdings, Inc.,

          

Gtd. Notes, 144A(a)

     0.375       01/15/24        5,000        4,904,136  

Gtd. Notes, 144A

     4.000       09/12/25        11,725        11,488,882  

Gtd. Notes, 144A

     5.250       03/13/26        20,000        20,083,255  
          

 

 

 
             53,285,721  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs 63


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
    Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

          

Healthcare-Products 0.6%

                                  

Baxter International, Inc.,

          

Sr. Unsec’d. Notes

     0.868%       12/01/23        10,000      $ 9,877,383  

Sr. Unsec’d. Notes, SOFR Index + 0.260%

     5.595(c)       12/01/23        20,000          19,962,433  

Stryker Corp.,

          

Sr. Unsec’d. Notes

     0.600       12/01/23        1,250        1,234,615  
          

 

 

 
             31,074,431  

Healthcare-Services 0.2%

                                  

UnitedHealth Group, Inc.,

          

Sr. Unsec’d. Notes

     0.550       05/15/24        7,250        7,000,955  

Sr. Unsec’d. Notes

     5.150       10/15/25        5,750        5,747,027  
          

 

 

 
             12,747,982  

Household Products/Wares 0.2%

                                  

Avery Dennison Corp.,

          

Sr. Unsec’d. Notes

     0.850       08/15/24        12,350        11,770,238  

Insurance 2.4%

                                  

Corebridge Financial, Inc.,

          

Sr. Unsec’d. Notes

     3.500       04/04/25        8,000        7,695,100  

Corebridge Global Funding,

          

Sr. Sec’d. Notes, 144A

     0.650       06/17/24        12,750        12,213,749  

Equitable Financial Life Global Funding,

          

Sec’d. Notes, 144A

     0.800       08/12/24        3,000        2,854,200  

Metropolitan Life Global Funding I,

          

Sec’d. Notes, 144A, MTN

     4.050       08/25/25        23,250        22,548,236  

New York Life Global Funding,

          

Sec’d. Notes, 144A

     2.900       01/17/24        4,190        4,144,911  

Sec’d. Notes, 144A, MTN

     3.600       08/05/25        19,750        19,114,247  

Pacific Life Global Funding II,

          

Sr. Sec’d. Notes, 144A

     0.500       09/23/23        4,750        4,734,735  

Principal Life Global Funding II,

          

Sec’d. Notes, 144A

     0.500       01/08/24        7,250        7,112,624  

Sec’d. Notes, 144A, SOFR + 0.450%

     5.740(c)       04/12/24        1,250        1,248,616  

Sr. Sec’d. Notes, 144A, SOFR + 0.900% (Cap N/A, Floor 0.000%)

     6.233(c)       08/28/25        27,000        26,997,972  

 

See Notes to Financial Statements.

 

64


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2023

 

 Description    Interest  
Rate
    Maturity  
Date
     Principal 
Amount 
(000)# 
       Value    

CORPORATE BONDS (Continued)

          

Insurance (cont’d.)

                                  

Protective Life Global Funding,

          

Sec’d. Notes, 144A, SOFR + 1.050% (Cap N/A, Floor 0.000%)

     6.254%(c)       12/11/24        20,000      $ 20,068,252  
          

 

 

 
               128,732,642  

Internet 0.6%

                                  

Amazon.com, Inc.,

          

Sr. Unsec’d. Notes

     4.600       12/01/25        32,000        31,774,991  

Iron/Steel 0.2%

                                  

Nucor Corp.,

          

Sr. Unsec’d. Notes

     3.950       05/23/25        8,000        7,777,155  

Machinery-Construction & Mining 0.4%

                                  

Caterpillar Financial Services Corp.,

          

Sr. Unsec’d. Notes

     4.800       01/06/26        15,000        14,926,290  

Sr. Unsec’d. Notes, MTN, SOFR + 0.245%

     5.580(c)       05/17/24        6,000        5,993,049  
          

 

 

 
             20,919,339  

Machinery-Diversified 0.8%

                                  

CNH Industrial Capital LLC,

          

Gtd. Notes

     3.950       05/23/25        12,500        12,141,341  

John Deere Capital Corp.,

          

Sr. Unsec’d. Notes, MTN

     4.800       01/09/26        29,000        28,827,585  

Sr. Unsec’d. Notes, MTN, SOFR + 0.200%

     5.471(c)       10/11/24        2,000        1,996,925