Letter from the President

PGIM Ultra Short Bond ETF

Strategy and Performance Overview

PGIM Active High Yield Bond ETF

Strategy and Performance Overview

PGIM Active Aggregate Bond ETF

Strategy and Performance Overview

PGIM Total Return Bond ETF

Strategy and Performance Overview

PGIM Floating Rate Income ETF

Strategy and Performance Overview

Fees and Expenses

Holdings and Financial Statements

Approval of Advisory Agreements

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, 2022.

The attention of the global economy and financial markets pivoted during the period from the COVID-19 pandemic to the challenge of rapidly rising inflation. While job growth and corporate profits remained strong, prices for a wide range of goods and services rose in response to economic re-openings, supply-chain disruptions, governmental stimulus, and Russia’s invasion of Ukraine. With inflation surging to a 40-year high, the US Federal Reserve and other central banks

Net Asset Value (NAV)

Market Price*

Credit Quality expressed as a percentage of total investments as of 8/31/22 (%)

AAA

AA

A

BBB

Not Rated

Cash/Cash Equivalents

Total

From a starting point of low yields and tight spreads, the shift in fundamentals—most notably, high inflation—drove a wholesale repricing of markets during the period. Concerns about central bank tightening, hard economic landings (i.e., a significant slowdown after a period of rapid growth), and the war in Ukraine led credit spreads notably wider, while rate volatility increased as markets first began pricing in more aggressive Federal Open Market Committee policy tightening and then later began to price in a hard economic landing.

Against the backdrop of historic lows in unemployment and generational highs in inflation, central banks signaled an increased willingness to accept more economic and market volatility than they had been over the prior decade of low inflation. A succession of rate hikes over the first half of 2022—including outsized hikes of 75 basis points (bps) by the Federal Reserve in both June and July—confirmed to markets that the Fed is fully focused on tackling inflation. (One basis point equals 0.01%.)

At the August 2022 Jackson Hole symposium, Fed Chairman Jerome Powell’s speech was successful in lifting investors’ expectations for rate hikes in 2022 and removing the prospects for rate cuts in 2023. While long-run inflation expectations remained relatively subdued through the end of the period, Powell expressed the need to exercise vigilance about the trajectory of expectations to avoid a self-fulfilling inflation spiral. Underpinning his escalation in rhetoric was the reality that Fed officials don’t know how high they will ultimately take the federal funds rate in order to tame inflation.

As a result, significant volatility continued to be priced into US Treasuries, with sharply higher front-end rates and lower long-dated yields forming a substantially flatter US Treasury yield curve before the curve finally inverted the last two months of the period. From 1.10% on August 31, 2021, the 10-year/2-year Treasury spread declined to -0.28% by the end of the period.

After rising to nearly 3.5% in June 2022, US 10-year Treasury yields ended the period at 3.20%. Meanwhile, the yield on the 2-year Treasury note ended the period at 3.48%, a rise of 327 bps over the period.

Just as longer-term Treasuries saw substantial volatility throughout the period, yields on short-term securities, which influence money market yields, also rose substantially.

In the short-term credit markets, investment-grade credit spreads widened during the period. The Bloomberg 1-3 Year Credit Index, a proxy for the short-term spread market, underperformed similar short-duration Treasuries by -0.31% during the period.

The duration of the Fund was tactically managed during the period. Overall, duration positioning detracted from performance. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.)

Overall positioning in CLOs and investment-grade corporates detracted from performance during the period.

Against the backdrop of historic lows in unemployment and generational highs in inflation, the Fed is signaling an increased willingness to accept more economic and market pain than it had been over the last decade of low inflation. If the Fed can avoid a recession, it will; but more than anything else, Fed officials want to get inflation under control.

Tighter financial conditions are expected to continue working their way through the economy with lagged effects in coming quarters. For now, the Fed is focused on currently high monthly inflation readings, vowing to keep up the pressure until readings show convincing signs of softening toward the Fed’s target. At some point, though, PGIM Fixed Income expects the Fed will likely pivot back toward a focus on the projected lagged effects of its tightening and—should material signs of softening accumulate—adopt a more measured pace of policy normalization.

PGIM Fixed Income continues to emphasize well-researched, short-term credit sectors, with the expectation that these assets offer the most value from a total return perspective, and it continues to seek out investments with the best total return potential in light of the more challenging market environment.

PGIM Fixed Income continues to find value within investment-grade corporates and structured products (CLOs, CMBS), which represent attractive value in relation to Treasuries and agency mortgage-backed securities, and it will remain selective as the front end of the market continues to adjust to the new rate-and-spread environment.

Net Asset Value (NAV)

Market Price*

Credit Quality expressed as a percentage of total investments as of 8/31/22 (%)

AAA

BBB

BB

B

CCC

CC

C

Not Rated

Cash/Cash Equivalents

Total

After posting gains during the latter part of 2021, US high yield bonds posted significant declines over the first eight months of 2022—including, in the second quarter, their worst quarterly performance since the first quarter of 2020—as rate hike concerns, high and persistent inflation, and recession fears overshadowed the strength of earnings and credit fundamentals.

Retail demand for high yield remained negative throughout much of the period as a combination of slowing global growth and higher-than-expected inflation leading to an increasingly hawkish Federal Reserve (Fed) drove outflows from high yield bond mutual funds. However, subdued primary market activity combined with a high volume of calls, tenders, and coupon payments provided for a relatively solid technical backdrop.

After posting outflows of $14 billion during 2021, high yield bond mutual funds saw nearly $41 billion of outflows during the first eight months of 2022. For the period, spreads on the Bloomberg US Corporate High Yield Bond Index widened 196 basis points (bps) to 484 bps as of August 31, 2022. (One basis point equals 0.01%). By quality, higher-quality (BB-rated and B-rated) credits outperformed their lower-quality (CCC-rated) peers during the period as investors sought out the relative safety of higher-rated credits.

After seeing record gross issuance in 2021, the high yield primary market slowed considerably during the first part of 2022 as issuers sat out the volatility, helping to offset some of the technical headwinds from negative fund flows. After issuing $484 billion in high yield bonds during 2021, companies issued a mere $81 billion through the first eight months of 2022.

The par-weighted US high yield default rate, including distressed exchanges, ended the period at 1.20%, up from 1.13% the year before, and below the long-term historical average of 3.20%, according to J.P. Morgan.

Overall security selection and sector allocation both contributed to performance during the period. Within security selection, positions in the upstream energy, telecom, and technology industries contributed the most. Within sector allocation, relative to the Index, overweights to upstream energy and electric utilities—along with an underweight to media & entertainment—contributed.

In individual security selection, positions in Chesapeake Energy Corp. (upstream energy), Veon Ltd. (telecom), and Civitas Resources Inc. (upstream energy) were the largest contributors to performance.

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

While overall security selection contributed to returns over the period, selection in media & entertainment, cable & satellite, and automotive detracted.

While overall sector allocation was positive, relative to the Index, underweights to the healthcare & pharmaceuticals and downstream energy industries—along with an overweight to building materials & home construction—detracted.

In individual security selection, overweights to Bausch Health Americas Inc. (healthcare & pharmaceuticals), Diamond Sports Group LLC (media & entertainment), and Intelsat SA (cable & satellite) relative to the Index, detracted from results.

While strong credit fundamentals continue to sustain low US high yield default rates, PGIM Fixed Income has grown more cautious in light of increased geopolitical, inflation, and recession risks. In PGIM Fixed Income’s view, most US high yield issuers should be able to withstand the impacts of higher rates, slower growth, and inflation, aided in large part by a lack of near-term maturities. However, PGIM Fixed Income now anticipates higher default rates of 3% and 7% over the next two years, should the economy follow its base-case scenario of a shallow recession— induced by aggressive rate hikes and persistent inflation—occurring in that time.

Although PGIM Fixed Income remains defensive and is prepared for further spread widening, it does not expect defaults to be as severe as in previous downturns due to the favorable position most issuers find themselves in today, with strong debt serviceability, favorable maturity profiles, and strong cash flows. Notably, if inflation subsides sooner than expected, and/or the Fed engineers a soft landing, there is meaningful upside potential in the market given current wider-than-average spreads and significant price discounts. As such, PGIM Fixed Income believes the market is reasonably close to fair value, with only modest spread widening needed to balance the risks and rewards.

In terms of positioning, PGIM Fixed Income is reducing its allocation to lower-quality issuers in favor of higher-quality BB-rated bonds and maintaining an overweight to independent power producers and housing.

Net Asset Value (NAV)

Market Price*

Credit Quality expressed as a percentage of total investments as of 8/31/22 (%)

AAA

AA

A

BBB

Cash/Cash Equivalents

Total

From a starting point of low yields, tight spreads, and high equity multiples, the shift in fundamentals—most notably, high inflation—drove a wholesale repricing of markets during the period. Concerns about central bank tightening, hard economic landings (i.e., a significant slowdown after a period of rapid growth), and the war in Ukraine led global credit spreads notably wider, while rate volatility increased as markets first began pricing in more aggressive Federal Open Market Committee policy tightening and then later began to price in a hard economic landing.

Against the backdrop of historic lows in unemployment and generational highs in inflation, central banks signaled an increased willingness to accept more economic and market volatility than they had been over the prior decade of low inflation. A succession of hikes during the second quarter of 2022— including outsized hikes of 75 basis points (bps) by the Federal Reserve in both June and July—confirmed to markets that the Fed is fully focused on tackling inflation. (One basis point equals 0.01%.)

At the August 2022 Jackson Hole symposium, Fed Chairman Jerome Powell’s speech was successful in lifting investors’ expectations for rate hikes in 2022 and removing the prospects for rate cuts in 2023. While long-run inflation expectations remained relatively subdued through the end of the period, Powell expressed the need to exercise vigilance about the trajectory of expectations to avoid a self-fulfilling inflation spiral. Underpinning this escalation in rhetoric was the reality that Fed officials don’t know how high they will ultimately take the federal funds rate in order to tame inflation.

As a result, significant volatility continued to be priced into US Treasuries, with sharply higher front-end rates and lower long-dated yields forming a substantially flatter US Treasury yield curve before the curve finally inverted during the last two months of the period. From 1.10% on August 31, 2021, the 10-year/2-year Treasury spread declined to –0.28% by the end of the period.

After rising to nearly 3.5% in June 2022, US 10-year Treasury yields ended the period at 3.20%. Meanwhile, the yield on the 2-year Treasury note ended the period at 3.48%, a rise of 327 bps over the period.

US investment-grade corporate spreads widened significantly as corporates were challenged by elevated inflationary pressures, a slower growth outlook, and increased event and geopolitical risk. US high yield bonds posted significant declines through much of 2022 as rate hike concerns, high and persistent inflation, and recession fears overshadowed the strength of earnings and credit fundamentals. Securitized credit spreads widened, with collateralized loan obligation (CLO) and commercial

Security selections in CMBS, municipal bonds, emerging markets, and CLOs contributed to performance.

In terms of sector allocation, underweights, relative to the Index, to MBS and agencies contributed.

Within credit, positioning in upstream energy, telecom, and gaming/lodging/leisure contributed to results.

In individual security selection, the Fund benefited, relative to the Index, from an underweight to Oracle Corp. (technology), along with overweights to Cenovus Energy Inc. (upstream energy) and the Republic of Indonesia.

The Fund’s yield curve positioning was modestly positive over the period.

Overall security selection detracted, with selections in Treasuries, investment-grade corporates, and MBS detracting the most.

Overall sector allocation detracted, with overweights, relative to the Index, to CMBS, CLOs, and investment-grade corporates detracting the most.

Within credit, positioning in banking, healthcare & pharmaceuticals, and media & entertainment detracted during the period.

In individual security selection, the Fund’s overweight positioning, relative to the Index, in Viatris Inc. (healthcare & pharmaceuticals), Bank of America Corp. (banking), and Charter Communications Inc. (cable & satellite) detracted from performance.

The Fund’s duration positioning detracted from performance during the period.

Tighter financial conditions are expected to continue working their way through the economy with lagged effects in coming quarters. For now, the Fed is focused on currently high monthly inflation readings, vowing to keep up the pressure until readings show convincing signs of softening toward the Fed’s target. At some point,

Even though fundamentals and issuer liquidity are arguably well braced for recession and spread widening has already generated value in a number of sectors, PGIM Fixed Income believes spreads may remain soft until most of the current bad news (e.g., the cutoff of Russian gas supplies, cooling of the housing market) has largely played out. However, over the intermediate and longer term, the sell-off in rates and spreads could turn out to be a positive as the overarching trends of aging demographics, high debt burdens, and other factors that conspired for decades to push equilibrium interest rates down are more likely hibernating than reversing. It is anticipated that once the reopening enthusiasm and supply-chain problems have passed, inflation will likely be back at, or below, targets, and bonds are expected to post solid returns for an extended period. In the meantime, PGIM Fixed Income believes the best course will be to focus on the micro-alpha opportunities within and across sectors.

PGIM Fixed Income maintains its positive view of the spread sectors over the medium to long term. Relative to the Index, the Fund is overweight structured products (CLOs, CMBS), with a more modest overweight to investment-grade corporates. The Fund is underweight MBS in favor of more attractive opportunities across spread sectors.

In terms of calling the cycle top in long-term rates, given the economic strength and level of inflation, PGIM Fixed income believes it’s too early to preclude the possibility of higher interest rates. Yet, from a long-term perspective, exposure to developed-market duration is becoming more compelling after the broad repricing and with the looming moderation in global growth. While acknowledging the immediate trajectory of inflation is going to dictate market volatility and the path of the US Treasury 10-year yield, PGIM Fixed Income’s base case is that implied volatility will ultimately decline, and the 10-year yield will stay below the federal funds terminal rate when it is eventually reached.

Net Asset Value (NAV)

Market Price*

Credit Quality expressed as a percentage of total investments as of 8/31/22 (%)

AAA

AA

A

BBB

BB

B

CCC

Not Rated

Cash/Cash Equivalents

Total

From a starting point of low yields, tight spreads, and high equity multiples, the shift in fundamentals—most notably, high inflation—drove a wholesale repricing of markets during the period. Concerns about central bank tightening, hard economic landings (i.e., a significant slowdown after a period of rapid growth), and the war in Ukraine led global credit spreads notably wider, while rate volatility increased as markets first began pricing in more aggressive Federal Open Market Committee policy tightening and then later began to price in a hard economic landing.

Against the backdrop of historic lows in unemployment and generational highs in inflation, central banks signaled an increased willingness to accept more economic and market volatility than they had been over the prior decade of low inflation. A succession of hikes during the second quarter of 2022—including outsized hikes of 75 basis points (bps) by the Federal Reserve in both June and July—confirmed to markets that the Fed is fully focused on tackling inflation. (One basis point equals 0.01%.)

At the August 2022 Jackson Hole symposium, Fed Chairman Jerome Powell’s speech was successful in lifting investors’ expectations for rate hikes in 2022 and removing the prospects for rate cuts in 2023. While long-run inflation expectations remained relatively subdued through the end of the period, Powell expressed the need to exercise vigilance about the trajectory of expectations to avoid a self-fulfilling inflation spiral. Underpinning this escalation in rhetoric was the reality that Fed officials don’t know how high they will ultimately take the federal funds rate in order to tame inflation.

As a result, significant volatility continued to be priced into US Treasuries, with sharply higher front-end rates and lower long-dated yields forming a substantially flatter US Treasury yield curve before the curve finally inverted during the last two months of the period. From 0.81% on December 2, 2021, the 10-year/2-year Treasury spread declined to –0.28% by the end of the period.

After rising to nearly 3.5% in June 2022, US 10-year Treasury yields ended the period at 3.20%. Meanwhile, the yield on the 2-year Treasury note ended the period at 3.48%, a rise of 286 bps since the Fund’s inception.

US investment-grade corporate spreads widened significantly as corporates were challenged by elevated inflationary pressures, a slower growth outlook, and increased event and geopolitical risk. US high yield bonds posted significant declines through much of 2022 as rate hike concerns, high and persistent inflation, and recession fears overshadowed the strength of earnings and credit fundamentals. Securitized

Security selections in CLOs, municipal bonds, and MBS contributed to returns.

In terms of sector allocation, underweights, relative to the Index, to MBS and municipal bonds contributed.

Within credit, positioning in upstream energy, telecom, and gaming/lodging/leisure contributed to results.

In individual security selection, the Fund benefited from overweights, relative to the Index, to Bellis Holdco Ltd. (consumer non-cyclical), Sasol Ltd. (chemicals), and Merck & Co. Inc. (healthcare & pharmaceuticals).

The Fund’s yield curve positioning, particularly in US rates, contributed to returns.

Overall security selection detracted, with selections in investment-grade corporates, emerging markets, and CMBS detracting the most.

Within sector allocation, overweights, relative to the Index, to high yield, CLOs, and CMBS detracted from performance.

Within credit, positioning in foreign non-corporates, banking, and healthcare & pharmaceuticals detracted from performance during the period.

In individual security selection, the Fund’s overweight positioning in the Republic of Ukraine, Bank of America Corp. (banking), and Viatris Inc. (healthcare & pharmaceuticals) detracted from performance.

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

Tighter financial conditions are expected to continue working their way through the economy with lagged effects in coming quarters. For now, the Fed is focused on

Even though fundamentals and issuer liquidity are arguably well braced for recession, and spread widening has already generated value in a number of sectors, PGIM Fixed Income believes spreads may remain soft until most of the current bad news (e.g., the cutoff of Russian gas supplies, cooling of the housing market) has largely played out. However, over the intermediate and longer term, the sell-off in rates and spreads could turn out to be a positive as the overarching trends of aging demographics, high debt burdens, and other factors that conspired for decades to push equilibrium interest rates down are more likely hibernating than reversing. It is anticipated that once the reopening enthusiasm and supply-chain problems have passed, inflation will likely be back at, or below, targets, and bonds are expected to post solid returns for an extended period. In the meantime, PGIM Fixed Income believes the best course will be to focus on identifying alpha opportunities within and across sectors.

PGIM Fixed Income maintains its positive view of the spread sectors over the medium to long term. Relative to the Index, the Fund is overweight to structured products (CLOs, CMBS), with more modest overweights to investment-grade corporates, high yield, and emerging markets. The Fund is underweight to MBS in favor of more attractive opportunities across spread sectors.

In terms of calling the cycle top in long-term rates, given the economic strength and level of inflation, PGIM Fixed income believes it’s too early to preclude the possibility of higher interest rates. Yet, from a long-term perspective, exposure to developed-market duration is becoming more compelling after the broad repricing and with the looming moderation in global growth. While acknowledging the immediate trajectory of inflation is going to dictate market volatility and the path of the US Treasury 10-year yield, PGIM Fixed Income’s base case is that implied volatility will ultimately decline, and the 10-year yield will stay below the federal funds terminal rate when it is eventually reached.

  Total Returns as of 8/31/22  

  Since Inception (%)  

 Net Asset Value (NAV)

 Market Price*

 Credit Suisse Leveraged Loan Index

 Credit Quality expressed as a percentage of total investments as of 8/31/22 (%)

 AAA

 AA

 BBB

 BB

 B

 CCC

 Cash/Cash Equivalents

Total

 Distributions and Yields as of 8/31/22

Total Dividends Paid

for One Year ($)

SEC 30-Day

Subsidized

Yield* (%)

SEC 30-Day
Unsubsidized
Yield** (%)

US leveraged loan performance was mixed during the period, declining in the second quarter of 2022, as economic growth concerns and broad market volatility weighed on risk sentiment before rebounding in July and August amid lighter new supply and more hawkish rhetoric from the Federal Reserve.

Shifting monetary policy expectations, combined with a broader risk-off tone, resulted in sizeable outflows from bank loan mutual funds over the period. Following 17 straight months of inflows totaling $71.8 billon, loan funds saw a fourth consecutive month of outflows in August. Though significant, August’s $1.4 billion outflow was a sharp deceleration from the combined $14.8 billion in outflows seen over the prior three months. Meanwhile, collateralized loan obligation (CLO) formation continued to slow from 2021’s record-setting pace, with new US CLO volume declining to a year-to-date low in August.

Loan issuance slowed throughout 2022 amid heightened volatility, with gross issuance through the first eight months of 2022 totaling $197 billion, down 67% from the same period in the prior year.

Heightened geopolitical-related volatility drove a decline in prices in June and July before recouping most of the declines in August. Beginning the period at approximately $95, the average price of all loans in the Index ended the period at $94.19. Meanwhile, average spreads ended the period at approximately 564 basis points (bps), relatively flat from where they stood at the Fund’s inception. (One basis point equals 0.01%.) By quality, BB-rated loans outperformed in May, June, and July before underperforming B-rated loans in August.

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 August 2022 at 1.36%, up 29 bps from August 2021.

Overall security selection was the largest contributor to performance during the period, with selections in banking, capital goods, and transportation & environmental services contributing the most.

Relative to the Index, having less beta, on average, during the period was also a strong contributor to performance. (Beta is a measure of the volatility or risk of a security or portfolio compared to the market or index.)

While overall sector allocation detracted, underweights, relative to the Index, to healthcare & pharmaceuticals, technology, and consumer non-cyclicals contributed to performance.

From a single-name credit perspective, positioning in Avaya Inc. (technology), Adtalem Global Education Inc. (other industrial), and Envision Healthcare Corp. (paper & packaging) added value.

Overall sector allocation detracted from performance during the period, with, relative to the Index, an overweight to the banking industry—along with underweights to chemicals and upstream energy—the largest detractors.

While overall security selection contributed, selections in media & entertainment, telecom, and cable & satellite detracted.

Diamond Sports Group LLC (media & entertainment), Allen Media Group LLC (media & entertainment), and ConvergeOne Holdings Corp. (technology) were the largest single-name detractors from performance.

Looking forward, PGIM Fixed Income expects loan performance to be largely driven by technicals over the next three to six months. While CLO formation has started to pick up again after evaporating in the last part of the second quarter of 2022, it is highly dependent on AAA-tranche buyers, which have yet to meaningfully return to the market. Meanwhile, PGIM Fixed Income expects flows into loan mutual funds to remain dependent on broader risk sentiment, as well as shifting monetary policy expectations.

While the short-term outlook is tempered by expected price volatility, PGIM Fixed Income’s long-term outlook is more constructive given the anticipated rise in base rates, which could make all-in loan coupons and yields increasingly attractive as 2022 progresses. Ultimately, actively managed credit selection is expected to be a differentiating factor between managers in volatile markets.

PGIM Active High Yield

Bond ETF

Beginning

Account Value

March 1, 2022

PGIM Active

Aggregate Bond ETF

Beginning

Account Value

March 1, 2022

PGIM Total Return

Bond ETF

Beginning

Account Value

March 1, 2022

PGIM Floating Rate

Income ETF

Beginning

Account Value

March 1, 2022

LONG-TERM INVESTMENTS    74.6%

ASSET-BACKED SECURITIES    16.8%

Automobiles    1.5%

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

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

Enterprise Fleet Financing LLC,

Series 2021-02, Class A2, 144A

Series 2022-01, Class A2, 144A

Series 2022-03, Class A2, 144A

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

Honda Auto Receivables Owner Trust,
Series 2020-01, Class A3

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

Collateralized Loan Obligations    14.8%

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

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

Atlas Senior Loan Fund Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%)

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

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

Benefit Street Partners CLO Ltd. (Cayman Islands),
Series 2013-IIA, Class A1R2, 144A, 3 Month LIBOR + 0.870% (Cap N/A, Floor 0.870%)

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

See Notes to Financial Statements.

40

ASSET-BACKED SECURITIES (Continued)

Collateralized Loan Obligations (cont’d.)

BlueMountain CLO Ltd. (Cayman Islands),
Series 2018-22A, Class A1, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%)

Brookside Mill CLO Ltd. (Cayman Islands),
Series 2013-01A, Class AR, 144A, 3 Month LIBOR + 0.820% (Cap N/A, Floor 0.000%)

Canyon Capital CLO Ltd. (Cayman Islands),
Series 2017-01A, Class AR, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%) (original cost $15,000,000; purchased 08/03/21)(f)

Carlyle Global Market Strategies CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 0.970% (Cap N/A, Floor 0.970%)

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

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

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

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

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

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

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

ICG US CLO Ltd. (Cayman Islands),
Series 2014-03A, Class A1RR, 144A, 3 Month LIBOR + 1.030% (Cap N/A, Floor 0.000%)

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

ASSET-BACKED SECURITIES (Continued)

Collateralized Loan Obligations (cont’d.)

KKR CLO Ltd. (Cayman Islands),
Series 11, Class AR, 144A, 3 Month LIBOR + 1.180% (Cap N/A, Floor 1.180%)

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

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

Madison Park Funding Ltd. (Cayman Islands),
Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% (Cap N/A, Floor 0.000%)

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

Series 2021-38A, Class X, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%)

Magnetite Ltd. (Cayman Islands),
Series 2015-16A, Class AR, 144A, 3 Month LIBOR + 0.800% (Cap N/A, Floor 0.000%)

MidOcean Credit CLO (Cayman Islands),
Series 2016-05A, Class AR, 144A, 3 Month LIBOR + 1.120% (Cap N/A, Floor 0.000%)

Series 2017-07A, Class A1R, 144A, 3 Month LIBOR + 1.040% (Cap N/A, Floor 0.000%)

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

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

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

OZLM Ltd. (Cayman Islands),

Series 2014-06A, Class A1S, 144A, 3 Month LIBOR + 1.080% (Cap N/A, Floor 0.000%)

Series 2014-09A, Class A1A3, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 1.100%)

Series 2015-12A, Class A1R, 144A, 3 Month LIBOR + 1.050% (Cap N/A, Floor 1.050%)

ASSET-BACKED SECURITIES (Continued)

Collateralized Loan Obligations (cont’d.)

Palmer Square CLO Ltd. (Cayman Islands),

Series 2014-01A, Class A1R2, 144A, 3 Month LIBOR + 1.130% (Cap N/A, Floor 1.130%)

Series 2015-02A, Class A1R2, 144A, 3 Month LIBOR + 1.100% (Cap N/A, Floor 0.000%)

Park Avenue Institutional Advisers CLO Ltd. (Cayman Islands),

Series 2018-01A, Class A1AR, 144A, 3 Month LIBOR + 1.000% (Cap N/A, Floor 1.000%)

Sound Point CLO Ltd. (Cayman Islands),

Series 2014-03RA, Class A1R, 144A, 3 Month LIBOR + 1.070% (Cap N/A, Floor 1.070%)

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

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

TICP CLO Ltd. (Cayman Islands),

Series 2018-03R, Class A, 144A, 3 Month LIBOR + 0.840% (Cap N/A, Floor 0.840%)

Trinitas CLO Ltd. (Cayman Islands),

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

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

Venture CLO Ltd. (Cayman Islands),

Series 2015-21A, Class AR, 144A, 3 Month LIBOR + 0.880% (Cap N/A, Floor 0.000%)

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

Voya CLO Ltd. (Cayman Islands),

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

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

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

Wellfleet CLO Ltd. (Cayman Islands),

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

ASSET-BACKED SECURITIES (Continued)

Collateralized Loan Obligations (cont’d.)

Wellfleet CLO Ltd. (Cayman Islands), (cont’d.)

Series 2017-02A, Class A1R, 144A, 3 Month LIBOR + 1.060% (Cap N/A, Floor 0.000%)

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

Zais CLO Ltd. (Cayman Islands),

Series 2017-02A, Class A, 144A, 3 Month LIBOR + 1.290% (Cap N/A, Floor 0.000%)

Series 2018-01A, Class A, 144A, 3 Month LIBOR + 0.950% (Cap N/A, Floor 0.000%)

Consumer Loans    0.1%

SoFi Consumer Loan Program Trust,
Series 2021-01, Class A, 144A

Equipment    0.4%

MMAF Equipment Finance LLC,
Series 2022-A, Class A2, 144A

TOTAL ASSET-BACKED SECURITIES
(cost $416,325,634)

CERTIFICATE OF DEPOSIT    0.6%

Lloyds Bank Corporate Markets PLC, SOFR + 0.540%
(cost $15,000,000)

COMMERCIAL MORTGAGE-BACKED SECURITIES    13.4%

Benchmark Mortgage Trust,

Series 2018-B02, Class A2

Series 2018-B03, Class A2

Series 2018-B05, Class A2

Citigroup Commercial Mortgage Trust,

Series 2014-GC21, Class A4

Series 2014-GC21, Class AAB

Series 2014-GC23, Class A3

Series 2014-GC23, Class AAB

Series 2014-GC25, Class A3

Series 2016-P04, Class A2

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

Citigroup Commercial Mortgage Trust, (cont’d.)

Series 2017-P08, Class A1

Commercial Mortgage Trust,

Series 2012-CR04, Class A3

Series 2012-CR05, Class A4

Series 2013-CR07, Class ASB

Series 2013-CR08, Class A4

Series 2013-CR08, Class A5

Series 2013-CR11, Class ASB

Series 2014-CR16, Class A3

Series 2014-CR17, Class ASB

Series 2014-CR20, Class A3

Series 2014-UBS02, Class ASB

Series 2014-UBS04, Class A4

Series 2014-UBS05, Class A3

Series 2015-CR22, Class A3

Series 2015-CR23, Class ASB

Series 2015-CR24, Class ASB

Series 2015-LC19, Class A3

Series 2015-LC23, Class A2

CSAIL Commercial Mortgage Trust,
Series 2016-C05, Class ASB

Deutsche Bank Commercial Mortgage Trust,

Series 2016-C03, Class A2

Series 2017-C06, Class A3

GS Mortgage Securities Corp. Trust,
Series 2021-RENT, Class A, 144A, 1 Month LIBOR + 0.700% (Cap N/A, Floor 0.700%)

GS Mortgage Securities Trust,

Series 2014-GC18, Class A3

Series 2014-GC22, Class A4

Series 2014-GC22, Class AAB

Series 2014-GC24, Class A4

JPMBB Commercial Mortgage Securities Trust,

Series 2013-C12, Class A4

Series 2013-C14, Class ASB

Series 2014-C18, Class A4A2, 144A

Series 2014-C21, Class A4

Series 2014-C25, Class ASB

Series 2014-C26, Class A3

Series 2015-C32, Class A4

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

JPMorgan Chase Commercial Mortgage Securities Trust,

Series 2013-LC11, Class A5

Series 2016-JP02, Class ASB

Morgan Stanley Bank of America Merrill Lynch Trust,

Series 2012-C06, Class A4

Series 2013-C08, Class A4

Series 2013-C09, Class AAB

Series 2013-C12, Class ASB

Series 2014-C15, Class A3

Series 2014-C16, Class A4

Series 2014-C19, Class ASB

Series 2015-C23, Class ASB

Morgan Stanley Capital I Trust,
Series 2018-H03, Class A2

One New York Plaza Trust,
Series 2020-01NYP, Class A, 144A, 1 Month LIBOR + 0.950% (Cap N/A, Floor 0.950%)

UBS-Barclays Commercial Mortgage Trust,

Series 2012-C04, Class A5

Series 2013-C05, Class A4

Wells Fargo Commercial Mortgage Trust,

Series 2013-LC12, Class A4

Series 2013-LC12, Class ASB

Series 2015-NXS02, Class A2

Series 2015-NXS02, Class A4

Series 2016-C34, Class ASB

Series 2017-C42, Class A1

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(cost $339,378,647)

CORPORATE BONDS    42.7%

Aerospace & Defense    0.4%

Boeing Co. (The),
Sr. Unsec’d. Notes

Agriculture    0.5%

Cargill, Inc.,

Sr. Unsec’d. Notes, 144A

Sr. Unsec’d. Notes, 144A