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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)

 

ANNUAL REPORT

AUGUST 31, 2022

 

 

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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

         18  

Strategy and Performance Overview

         21  

PGIM Total Return Bond ETF

         24  

Strategy and Performance Overview

         28  

PGIM Floating Rate Income ETF

         31  

Strategy and Performance Overview

         34  

Fees and Expenses

         37  

Holdings and Financial Statements

         39  

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. © 2022 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, 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

aggressively hiked interest rates, prompting recession concerns.

After rising to record levels at the end of 2021, stocks have fallen sharply in 2022 as investors worried about higher prices, slowing economic growth, geopolitical uncertainty, and new COVID-19 outbreaks. Equities rallied for a time during the summer but began falling again in late August on fears that the Fed would keep raising rates to tame inflation. For the entire 12-month period, equities suffered a broad-based global decline, although large-cap US stocks outperformed their small-cap counterparts by a significant margin. International developed and emerging markets trailed the US market during this time.

Rising rates and economic uncertainty drove fixed income prices broadly lower as well. US and global investment-grade bonds, along with US high yield corporate bonds and emerging market debt, all posted negative returns during the period.

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 11th-largest investment manager with more than $1.5 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 14, 2022

 

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 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 8/31/22
     One Year (%)      Since Inception (%)  

Net Asset Value (NAV)

   0.21    1.60 (04/05/2018)

Market Price*

   0.23    1.60 (04/05/2018)

*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 ICE BofA US 3-Month Treasury Bill Index was adopted as the Fund’s primary benchmark in March 2022 due to the pending discontinuation of LIBOR.

The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the redemption or 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 ICE BofA 3-Month Treasury Bill Index and the ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity 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, 2022), as measured on a quarterly basis. The Fund assumes an initial investment on April 5, 2018, while the benchmark and the Index assume 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 USD 3-Month Deposit Offered Rate Constant Maturity Index—The ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index is an unmanaged index which tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument.

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 8/31/22 (%)

  

AAA

     32.2  

AA

     24.3  

A

     21.3  

BBB

     17.6  

Not Rated

     1.0  

Cash/Cash Equivalents

     3.6  
   

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, 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 8/31/22

 

      SEC 30-Day       SEC 30-Day  
    Total Dividends Paid       Subsidized       Unsubsidized  
    for One Year ($)       Yield* (%)       Yield** (%)  
    0.64       3.18       3.18  

*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 (the Fund) returned 0.21% based on net asset value in the 12-month reporting period that ended August 31, 2022, underperforming the 0.30% return of the ICE BofA USD 3-Month Deposit Offered Rate Constant Maturity Index (the Index).

What were the market conditions?

 

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.

 

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  The 3-month Treasury bill rose from 0.05% to 2.93% during the period, while the 3-month London Interbank Offered Rate (LIBOR) rose from 0.12% to 3.10%. Meanwhile, the Secured Overnight Financing Rate (SOFR) rose from 0.05% to 2.29%.

 

 

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.

What worked?

The Fund emphasized spread assets—including short-term, investment-grade debt of financial, consumer cyclical and non-cyclical, 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 CMBS contributed to performance during the period.

What didn’t work?

 

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.

Did the Fund use derivatives?

During the period, the Fund used interest rate swaps and futures to help manage duration positioning and yield curve exposure. 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 Treasuries, while mitigating interest rate risk. Overall, the positions added to performance during the period.

Current outlook

 

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 ETFs    9


Strategy and Performance Overview* (continued)

 

 

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.

*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 U.S. 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 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 8/31/22
     One Year (%)      Since Inception (%)  

Net Asset Value (NAV)

   -11.01    3.03 (09/24/2018)

Market Price*

   -11.14    2.96 (09/24/2018)

*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 redemption or 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, 2022), as measured on a quarterly basis. The Fund assumes an initial investment on September 24, 2018, while the benchmark and the Index assume 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 8/31/22 (%)

  

AAA

     12.0  

BBB

     2.8  

BB

     47.1  

B

     24.0  

CCC

     8.7  

CC

     0.2  

C

     0.1  

Not Rated

     2.7  

Cash/Cash Equivalents

     2.4  
   

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, 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 8/31/22
  Total Dividends   SEC 30-Day   SEC 30-Day
  Paid for   Subsidized   Unsubsidized
  One Year ($)   Yield* (%)   Yield** (%)
    2.40   7.22   7.22

*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 (the Fund) returned –11.01% based on net asset value (NAV) in the 12-month reporting period that ended August 31, 2022, outperforming the –11.28% return of the Bloomberg US High Yield Very Liquid Index (the Index).

What were the market conditions?

 

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.

What worked?

 

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.

 

PGIM Fixed Income ETFs    15


Strategy and Performance Overview* (continued)

 

 

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.)

What didn’t work?

 

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.

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 negative.

Current outlook

 

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.

*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

 

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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 U.S. generally accepted accounting principles.

 

PGIM Fixed Income ETFs    17


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 8/31/22
     One Year (%)      Since Inception (%)  

Net Asset Value (NAV)

   -12.62    -7.57 (04/12/2021)

Market Price*

   -12.64    -7.55 (04/12/2021)

*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 redemption or 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 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, 2022), as measured on a quarterly basis. The Fund assumes an initial investment on April 15, 2021, while the benchmark and the Index assume 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.

 

PGIM Fixed Income ETFs    19


PGIM Active Aggregate Bond ETF

Your Fund’s Performance (continued)

 

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 8/31/22 (%)

  

AAA

     68.6  

AA

     5.7  

A

     8.5  

BBB

     16.7  

Cash/Cash Equivalents

     0.5  
   

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, 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 8/31/22

 

        SEC 30-Day        SEC 30-Day  
     Total Dividends Paid        Subsidized        Unsubsidized  
     for One Year ($)        Yield* (%)        Yield** (%)  
     1.56        3.51        3.51  

*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 Aggregate Bond ETF (the Fund) returned –12.62% based on net asset value in the 12-month reporting period that ended August 31, 2022, underperforming the –11.52% return of the Bloomberg US Aggregate Bond Index (the Index).

What were the market conditions?

 

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

 

PGIM Fixed Income ETFs    21


Strategy and Performance Overview* (continued)

 

  mortgage-backed securities (CMBS) spreads trading well above their recent tights by the end of the period. The emerging-markets sector posted negative total returns, and spreads widened as markets were pressured by tightening financial conditions and slowing growth in China and Europe. Meanwhile, agency mortgage-backed securities (MBS) underperformed Treasuries on concerns that the Fed may begin selling MBS if officials need to step up their inflation fight.

What worked?

 

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.

What didn’t work?

 

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.

Did the Fund use derivatives?

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

Current outlook

 

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,

 

22    Visit our website at pgim.com/investments


    

 

  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.

 

 

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.

*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 U.S. generally accepted accounting principles.

 

PGIM Fixed Income ETFs    23


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 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.

 

      Total Returns as of 8/31/22 
       Since Inception (%)  

Net Asset Value (NAV)

   -12.81 (12/02/2021)

Market Price*

   -12.69 (12/02/2021)

*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 redemption or 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 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, 2022), as measured on a quarterly basis. The Fund assumes an initial investment on December 8, 2021, while the benchmark and the Index assume 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.

 

PGIM Fixed Income ETFs    25


PGIM Total Return Bond ETF

Your Fund’s Performance (continued)

 

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.

 

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

  

AAA

     55.2  

AA

     7.3  

A

     7.8  

BBB

     18.6  

BB

     8.1  

B

     2.3  

CCC

     0.4  

Not Rated

     0.1  

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, 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 8/31/22

 

      SEC 30-Day       SEC 30-Day  
    Total Dividends Paid       Subsidized       Unsubsidized  
    for One Year ($)       Yield* (%)       Yield** (%)  
    0.69       3.83       3.83  

*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    27


Strategy and Performance Overview*

(unaudited)

How did the Fund perform?

The PGIM Total Return Bond ETF (the Fund) returned –12.81% based on net asset value in the nine-month reporting period from the Fund’s inception on December 2, 2021, through August 31, 2022, underperforming the –10.98% return of the Bloomberg US Aggregate Bond Index (the Index) during that same time.

What were the market conditions?

 

 

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

 

28    Visit our website at pgim.com/investments


    

 

  credit spreads widened, with collateralized loan obligation (CLO) and commercial mortgage-backed securities (CMBS) spreads trading well above their recent tights by the end of the period. The emerging-markets sector posted negative total returns, and spreads widened as markets were pressured by tightening financial conditions and slowing growth in China and Europe. Meanwhile, agency mortgage-backed securities (MBS) underperformed Treasuries on concerns that the Fed may begin selling MBS if officials need to step up their inflation fight.

What worked?

 

 

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.

What didn’t work?

 

 

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.)

Did the Fund use derivatives?

The Fund uses derivatives when they facilitate implementation of the overall investment approach. During the 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.

Current outlook

 

 

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

 

PGIM Fixed Income ETFs    29


Strategy and Performance Overview* (continued)

 

  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.

 

 

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.

*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 U.S. generally accepted accounting principles.

 

30    Visit our website at pgim.com/investments


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 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.

 

    

 

  Total Returns as of 8/31/22  

  Since Inception (%)  

 

 Net Asset Value (NAV)

 

   0.89 (05/17/2022)

 

 Market Price*

 

   0.87 (05/17/2022)

 

 Credit Suisse Leveraged Loan Index

  
     1.30                      

 

*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 redemption or 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    31


PGIM Floating Rate Income ETF

Your Fund’s Performance (continued)

 

Growth of a $10,000 Investment (unaudited)

 

LOGO

The graph compares a $10,000 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, 2022), as measured on a quarterly basis. The Fund assumes an initial investment on May 17, 2022, while the benchmark and the Index assume 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.

 

32    Visit our website at pgim.com/investments


 

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 8/31/22 (%)

 

      

 AAA

 

    

 

1.7

 

 

 

 AA

 

    

 

0.7

 

 

 

 BBB

 

    

 

8.6

 

 

 

 BB

 

    

 

28.2

 

 

 

 B

 

    

 

57.2

 

 

 

 CCC

 

    

 

1.3

 

 

 

 Cash/Cash Equivalents

 

    

 

2.3

 

 

 

   

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, 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 8/31/22

 

                  
    

Total Dividends Paid

for One Year ($)

 

   

SEC 30-Day

Subsidized

Yield* (%)

 

   

SEC 30-Day
Unsubsidized
Yield** (%)

 

 
    

 

0.33

 

 

 

   

 

5.66

 

 

 

   

 

5.66

 

 

 

*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    33


Strategy and Performance Overview*

(unaudited)

How did the Fund perform?

The PGIM Floating Rate Income ETF (the Fund) returned 0.89% based on net asset value in the three-month reporting period from the Fund’s inception on May 17, 2022 through August 31, 2022, underperforming the 1.30% return of the Credit Suisse Leveraged Loan Index (the Index) during that same time.

What were the market conditions?

 

 

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.

What worked?

 

 

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.)

 

34    Visit our website at pgim.com/investments


    

 

 

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.

What didn’t work?

 

 

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.

Did the Fund use derivatives?

The Fund held interest rate futures and swaps to help manage its duration and yield curve exposure and to reduce its sensitivity to changes in the levels of interest rates. Overall, this strategy had a positive impact on performance during the period. (Duration measures the sensitivity of the price—the value of principal—of a bond to a change in interest rates.) The Fund also participated in credit default swaps to increase or reduce credit risk to specific issuers. This strategy also had a positive impact on performance.

Current outlook

 

 

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.

*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

 

PGIM Fixed Income ETFs    35


Strategy and Performance Overview* (continued)

 

will not directly correlate to the amounts disclosed in the Statement of Operations which conform to U.S. generally accepted accounting principles.

 

36    Visit our website at pgim.com/investments


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, 2022. 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, 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 Fixed Income ETFs    37


Fees and Expenses (continued)

 

         
PGIM Ultra Short Bond
ETF
  Beginning
Account Value
March 1, 2022
  Ending
Account Value
August 31, 2022
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual             $1,000.00   $1,003.90   0.15%   $0.76
       
Hypothetical   $1,000.00   $1,024.45   0.15%   $0.77

 

         

PGIM Active High Yield

Bond ETF

 

Beginning

Account Value

March 1, 2022

  Ending
Account Value
August 31, 2022
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual             $1,000.00   $ 916.70   0.53%   $2.56
       
Hypothetical   $1,000.00   $1,022.53   0.53%   $2.70

 

         

PGIM Active

Aggregate Bond ETF

 

Beginning

Account Value

March 1, 2022

  Ending
Account Value
August 31, 2022
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual             $1,000.00   $ 915.40   0.19%   $0.92
       
Hypothetical   $1,000.00   $1,024.25   0.19%   $0.97

 

         

PGIM Total Return

Bond ETF

 

Beginning

Account Value

March 1, 2022

  Ending
Account Value
August 31, 2022
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual             $1,000.00   $ 908.30   0.49%   $2.36
       
Hypothetical   $1,000.00   $1,022.74   0.49%   $2.50

 

         

PGIM Floating Rate

Income ETF

 

Beginning

Account Value

March 1, 2022

  Ending
Account Value
August 31, 2022
  Annualized Expense
Ratio Based on the
Six-Month Period
  Expenses Paid
During the
Six-Month Period*
       
Actual**           $1,000.00   $1,008.90   0.74%   $2.16
       
Hypothetical   $1,000.00   $1,021.48   0.74%   $3.77

*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, 2022, and divided by the 365 days in the Fund’s fiscal year ended August 31, 2022 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Fund may invest.

**“Actual” expenses are calculated using 106-day period ended August 31, 2022 due to the Fund’s inception date on May 17, 2022.

 

38    Visit our website at pgim.com/investments


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

BSBY—Bloomberg Short-Term Bank Yield Index

CDX—Credit Derivative Index

CLO—Collateralized Loan Obligation

CVR—Contingent Value Rights

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

iBoxx—Bond Market Indices

IO—Interest Only (Principal amount represents notional)

LIBOR—London Interbank Offered Rate

LP—Limited Partnership

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

S—Semiannual payment frequency for swaps

SOFR—Secured Overnight Financing Rate

SONIA—Sterling Overnight Index Average

STRIPs—Separate Trading of Registered Interest and Principal of Securities

T—Swap payment upon termination

TBA—To Be Announced

USOIS—United States Overnight Index Swap

 

    39


PGIM Ultra Short Bond ETF

Schedule of Investments

as of August 31, 2022

 

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

LONG-TERM INVESTMENTS    74.6%

           

ASSET-BACKED SECURITIES    16.8%

           

Automobiles    1.5%

                           

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

   3.120%    01/15/31      2,880      $ 2,826,940  

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

   0.560    12/11/34      4,080        3,950,374  

Enterprise Fleet Financing LLC,

           

Series 2021-02, Class A2, 144A

   0.480    05/20/27      5,168        4,942,162  

Series 2022-01, Class A2, 144A

   3.030    01/20/28      12,500        12,244,009  

Series 2022-03, Class A2, 144A

   4.380    07/20/29      800        799,736  

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

   2.520    05/16/25      5,000        4,958,797  

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

   1.610    04/22/24      2,267        2,249,578  

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

   2.630    10/15/24      4,481        4,440,303  
           

 

 

 
              36,411,899  

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%)

   3.462(c)    01/15/30      7,642        7,559,506  

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

   3.883(c)    01/28/31      5,000        4,944,165  

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

   3.772(c)    11/17/27      2,554        2,532,712  

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

   3.743(c)    04/23/31      4,000        3,938,556  

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

   3.720(c)    10/20/31      18,000        17,712,288  

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

   3.382(c)    07/15/29      3,120        3,080,375  

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

   3.462(c)    10/15/30      18,000        17,784,792  

 

See Notes to Financial Statements.

 

40

  


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

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%)

     3.592%(c)        07/15/31        4,500      $ 4,410,000  

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

     3.560(c)        01/17/28        33        32,958  

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)

     3.512(c)        07/15/30        15,000        14,757,000  

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%)

     3.710(c)        04/17/31        4,985        4,897,724  

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

     3.790(c)        01/20/32        18,000        17,622,000  

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

     3.710(c)        04/20/31        13,000        12,814,412  

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

     3.763(c)        04/24/31        2,000        1,969,542  

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

     3.742(c)        04/23/29        4,741        4,686,970  

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

     3.819(c)        10/15/29        1,329        1,318,220  

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

     4.092(c)        04/15/29        5,135        5,102,282  

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

     3.909(c)        01/22/31        10,340        10,196,491  

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

     3.813(c)        04/25/31        7,083        6,980,906  

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

     4.020(c)        07/17/29        9,147        9,066,171  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    41


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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 LIBOR + 1.180% (Cap N/A, Floor 1.180%)

     3.692%(c)        01/15/31        1,000     $ 988,706  

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

     3.680(c)        07/18/30        18,000       17,767,134  

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

     3.760(c)        10/17/31        14,000       13,823,950  

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

     3.589(c)        04/22/27        6,965       6,883,940  

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

     3.672(c)        10/21/30        3,000       2,958,750  

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

     3.690(c)        07/17/34        3,500       3,448,788  

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

     3.540(c)        01/18/28        1,928       1,908,149  

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

     3.858(c)        07/19/28        2,279       2,251,324  

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

     3.552(c)        07/15/29        9,287       9,179,120  

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

     3.860(c)        07/20/31        5,250       5,184,947  

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

     3.423(c)        10/12/30        13,500       13,344,183  

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

     3.750(c)        04/17/30        4,938       4,881,468  

OZLM Ltd. (Cayman Islands),

          

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

     3.820(c)        04/17/31        8,867       8,737,654  

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

     3.810(c)        10/20/31        18,000       17,720,118  

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

     3.832(c)        04/30/27        —(r     30  

 

See Notes to Financial Statements.

 

42


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

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%)

     3.870%(c)        01/17/31        1,250      $ 1,237,445  

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

     3.810(c)        07/20/30        1,400        1,383,259  

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%)

     3.710(c)        10/20/31        10,000        9,807,160  

Sound Point CLO Ltd. (Cayman Islands),

           

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

     3.853(c)        10/23/31        10,000        9,843,170  

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

     3.690(c)        10/20/30        10,000        9,865,700  

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

     3.790(c)        01/20/32        13,000        12,791,506  

TICP CLO Ltd. (Cayman Islands),

           

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

     3.550(c)        04/20/28        895        887,454  

Trinitas CLO Ltd. (Cayman Islands),

           

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

     3.840(c)        10/18/31        12,000        11,760,000  

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

     3.813(c)        10/25/28        2,424        2,409,394  

Venture CLO Ltd. (Cayman Islands),

           

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

     3.392(c)        07/15/27        109        108,263  

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

     3.610(c)        10/20/28        8,465        8,338,464  

Voya CLO Ltd. (Cayman Islands),

           

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

     3.773(c)        04/25/31        4,000        3,944,536  

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

     3.732(c)        04/18/31        1,864        1,834,844  

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

     3.760(c)        04/17/30        1,678        1,659,905  

Wellfleet CLO Ltd. (Cayman Islands),

           

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

     3.850(c)        10/20/28        3,934        3,899,146  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    43


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

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%)

     3.770%(c)        10/20/29        1,392      $ 1,371,680  

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

     3.830(c)        07/20/32        20,000        19,618,400  

Zais CLO Ltd. (Cayman Islands),

           

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

     3.802(c)        04/15/30        237        234,289  

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

     3.462(c)        04/15/29        451        446,180  
           

 

 

 
              361,926,126  

Consumer Loans    0.1%

                                   

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

     0.490        09/25/30        1,321        1,279,504  

Equipment    0.4%

                                   

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

     2.770        02/13/25        11,000        10,829,847  
           

 

 

 

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

              410,447,376  
           

 

 

 

CERTIFICATE OF DEPOSIT    0.6%

           

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

     2.830(c)        01/31/24        15,000        14,947,563  
           

 

 

 

COMMERCIAL MORTGAGE-BACKED SECURITIES    13.4%

           

Benchmark Mortgage Trust,

           

Series 2018-B02, Class A2

     3.662        02/15/51        721        717,103  

Series 2018-B03, Class A2

     3.848        04/10/51        421        419,043  

Series 2018-B05, Class A2

     4.077        07/15/51        800        791,753  

Citigroup Commercial Mortgage Trust,

           

Series 2014-GC21, Class A4

     3.575        05/10/47        6,453        6,358,098  

Series 2014-GC21, Class AAB

     3.477        05/10/47        167        165,760  

Series 2014-GC23, Class A3

     3.356        07/10/47        11,062        10,814,928  

Series 2014-GC23, Class AAB

     3.337        07/10/47        532        526,132  

Series 2014-GC25, Class A3

     3.372        10/10/47        6,519        6,347,612  

Series 2016-P04, Class A2

     2.450        07/10/49        3,635        3,458,976  

 

See Notes to Financial Statements.

 

44


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

          

Citigroup Commercial Mortgage Trust, (cont’d.)

          

Series 2017-P08, Class A1

     2.065%        09/15/50        —(r )     $ 172  

Commercial Mortgage Trust,

          

Series 2012-CR04, Class A3

     2.853        10/15/45        1,295       1,290,250  

Series 2012-CR05, Class A4

     2.771        12/10/45        3,733       3,721,723  

Series 2013-CR07, Class ASB

     2.739        03/10/46        41       41,163  

Series 2013-CR08, Class A4

     3.334        06/10/46        409       405,488  

Series 2013-CR08, Class A5

     3.612(cc)        06/10/46        5,081       5,051,925  

Series 2013-CR11, Class ASB

     3.660        08/10/50        244       242,792  

Series 2014-CR16, Class A3

     3.775        04/10/47        11,527       11,374,859  

Series 2014-CR17, Class ASB

     3.598        05/10/47        235       232,770  

Series 2014-CR20, Class A3

     3.326        11/10/47        4,545       4,429,726  

Series 2014-UBS02, Class ASB

     3.472        03/10/47        509       505,309  

Series 2014-UBS04, Class A4

     3.420        08/10/47        14,250       13,997,803  

Series 2014-UBS05, Class A3

     3.565        09/10/47        25,000       24,441,327  

Series 2015-CR22, Class A3

     3.207        03/10/48        820       818,925  

Series 2015-CR23, Class ASB

     3.257        05/10/48        1,120       1,102,520  

Series 2015-CR24, Class ASB

     3.445        08/10/48        2,066       2,039,924  

Series 2015-LC19, Class A3

     2.922        02/10/48        17,197       16,638,919  

Series 2015-LC23, Class A2

     3.221        10/10/48        184       183,592  

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

     3.533        11/15/48        2,664       2,616,890  

Deutsche Bank Commercial Mortgage Trust,

          

Series 2016-C03, Class A2

     1.886        08/10/49        97       93,985  

Series 2017-C06, Class A3

     3.269        06/10/50        4,040       3,937,102  

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

     3.068(c)        11/21/35        5,369       5,254,436  

GS Mortgage Securities Trust,

          

Series 2014-GC18, Class A3

     3.801        01/10/47        2,531       2,498,662  

Series 2014-GC22, Class A4

     3.587        06/10/47        4,840       4,777,666  

Series 2014-GC22, Class AAB

     3.467        06/10/47        301       298,916  

Series 2014-GC24, Class A4

     3.666        09/10/47        19,488       19,164,790  

JPMBB Commercial Mortgage Securities Trust,

          

Series 2013-C12, Class A4

     3.363        07/15/45        2,332       2,306,973  

Series 2013-C14, Class ASB

     3.761(cc)        08/15/46        4,282       4,254,708  

Series 2014-C18, Class A4A2, 144A

     3.794        02/15/47        7,590       7,453,208  

Series 2014-C21, Class A4

     3.493        08/15/47        15,788       15,494,957  

Series 2014-C25, Class ASB

     3.407        11/15/47        2,630       2,591,712  

Series 2014-C26, Class A3

     3.231        01/15/48        19,817       19,263,384  

Series 2015-C32, Class A4

     3.329        11/15/48        3,500       3,434,769  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    45


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)

           

JPMorgan Chase Commercial Mortgage Securities Trust,

           

Series 2013-LC11, Class A5

   2.960%    04/15/46      7,287      $ 7,203,516  

Series 2016-JP02, Class ASB

   2.713    08/15/49      6,543        6,325,503  

Morgan Stanley Bank of America Merrill Lynch Trust,

           

Series 2012-C06, Class A4

   2.858    11/15/45      94        94,194  

Series 2013-C08, Class A4

   3.134    12/15/48      3,878        3,865,902  

Series 2013-C09, Class AAB

   2.657    05/15/46      118        117,907  

Series 2013-C12, Class ASB

   3.824    10/15/46      1,842        1,837,228  

Series 2014-C15, Class A3

   3.773    04/15/47      2,550        2,521,296  

Series 2014-C16, Class A4

   3.600    06/15/47      23,408        23,088,828  

Series 2014-C19, Class ASB

   3.326    12/15/47      3,866        3,812,631  

Series 2015-C23, Class ASB

   3.398    07/15/50      1,397        1,376,462  

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

   3.997    07/15/51      516        513,039  

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

   3.341(c)    01/15/36      19,065        18,373,066  

UBS-Barclays Commercial Mortgage Trust,

           

Series 2012-C04, Class A5

   2.850    12/10/45      6,685        6,678,857  

Series 2013-C05, Class A4

   3.185    03/10/46      7,889        7,856,553  

Wells Fargo Commercial Mortgage Trust,

           

Series 2013-LC12, Class A4

   4.218(cc)    07/15/46      17,500        17,400,162  

Series 2013-LC12, Class ASB

   3.928(cc)    07/15/46      2,858        2,848,846  

Series 2015-NXS02, Class A2

   3.020    07/15/58      137        133,914  

Series 2015-NXS02, Class A4

   3.498    07/15/58      10,300        10,007,092  

Series 2016-C34, Class ASB

   2.911    06/15/49      3,717        3,607,300  

Series 2017-C42, Class A1

   2.338    12/15/50      191        190,255  
           

 

 

 

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

           

(cost $339,378,647)

              327,413,301  
           

 

 

 

CORPORATE BONDS    42.7%

           

Aerospace & Defense    0.4%

                           

Boeing Co. (The),
Sr. Unsec’d. Notes

   1.167    02/04/23      10,000        9,875,184  

Agriculture    0.5%

                           

Cargill, Inc.,

           

Sr. Unsec’d. Notes, 144A

   1.375    07/23/23      1,000        979,115  

Sr. Unsec’d. Notes, 144A

   3.500    04/22/25      6,750        6,653,227  

 

See Notes to Financial Statements.

 

46


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Agriculture (cont’d.)

                           

Philip Morris International, Inc.,
Sr. Unsec’d. Notes

   1.125%    05/01/23      3,000      $ 2,947,525  
           

 

 

 
              10,579,867  

Auto Manufacturers    3.8%

                           

American Honda Finance Corp.,
Sr. Unsec’d. Notes, MTN

   0.750    08/09/24      4,500        4,242,192  

BMW US Capital LLC (Germany),

           

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

   2.582(c)    04/01/24      4,000        3,982,082  

Gtd. Notes, 144A

   3.250    04/01/25      7,000        6,842,938  

Gtd. Notes, 144A

   3.800    04/06/23      4,000        4,004,566  

Mercedes-Benz Finance North America LLC (Germany),
Gtd. Notes, 144A

   0.750    03/01/24      13,500        12,814,810  

PACCAR Financial Corp.,
Sr. Unsec’d. Notes, MTN

   3.550    08/11/25      25,000        24,771,419  

Toyota Motor Credit Corp.,

           

Sr. Unsec’d. Notes, MTN

   3.650    08/18/25      5,000        4,952,145  

Sr. Unsec’d. Notes, MTN

   3.950    06/30/25      18,750        18,730,544  

Volkswagen Group of America Finance LLC (Germany),
Gtd. Notes, 144A

   3.950    06/06/25      13,250        13,046,878  
           

 

 

 
              93,387,574  

Banks    11.0%

                           

Bank of America Corp.,
Sr. Unsec’d. Notes, MTN, 3 Month BSBY + 0.430%

   3.342(c)    05/28/24      15,000        14,837,709  

Bank of Nova Scotia (The) (Canada),

           

Sr. Unsec’d. Notes

   1.625    05/01/23      6,000        5,917,756  

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

   2.577(c)    01/10/25      7,750        7,589,111  

Banque Federative du Credit Mutuel SA (France),

           

Sr. Unsec’d. Notes, 144A

   0.650    02/27/24      7,250        6,873,629  

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

   2.704(c)    02/04/25      20,000        19,595,090  

Canadian Imperial Bank of Commerce (Canada),

           

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

   2.597(c)    10/18/24      10,000        9,822,007  

Sr. Unsec’d. Notes, SOFR + 0.800%

   2.751(c)    03/17/23      6,000        5,998,585  

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

   2.426(c)    01/12/24      5,500        5,445,247  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    47


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

          

Banks (cont’d.)

                          

Credit Agricole Corporate & Investment Bank SA (France),
Bank Gtd. Notes, MTN

   0.400%   01/15/23      11,600      $ 11,446,216  

Credit Suisse AG (Switzerland),
Sr. Unsec’d. Notes, SOFR Index + 0.390%

   2.684(c)   02/02/24      2,500        2,466,366  

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

   2.794(c)   11/08/23      20,000        19,851,690  

Federation des Caisses Desjardins du Quebec (Canada),
Sr. Unsec’d. Notes, 144A

   4.400   08/23/25      25,000        24,806,700  

Fifth Third Bank NA,
Sr. Unsec’d. Notes, MTN

   1.800   01/30/23      5,000        4,957,088  

Goldman Sachs Group, Inc. (The),
Sr. Unsec’d. Notes

   0.627(ff)   11/17/23      5,000        4,959,165  

JPMorgan Chase & Co.,
Sr. Unsec’d. Notes

   0.768(ff)   08/09/25      15,000        13,970,570  

Morgan Stanley,
Sr. Unsec’d. Notes, GMTN

   3.750   02/25/23      10,000        10,006,711  

Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 1.400%

   4.183(c)   10/24/23      4,750        4,750,369  

National Australia Bank Ltd. (Australia),
Sr. Unsec’d. Notes

   3.500   06/09/25      7,250        7,126,145  

National Securities Clearing Corp.,
Sr. Unsec’d. Notes, 144A

   0.400   12/07/23      3,750        3,590,486  

Sr. Unsec’d. Notes, 144A

   1.200   04/23/23      3,000        2,955,616  

NatWest Markets PLC (United Kingdom),
Sr. Unsec’d. Notes, 144A, SOFR + 1.450%

   3.405(c)   03/22/25      9,000        9,005,659  

Nordea Bank Abp (Finland),
Sr. Unsec’d. Notes, 144A

   0.625   05/24/24      9,500        8,917,029  

Royal Bank of Canada (Canada),
Sr. Unsec’d. Notes, GMTN, SOFR Index + 0.340%

   2.443(c)   10/07/24      10,000        9,822,549  

Skandinaviska Enskilda Banken AB (Sweden),
Sr. Unsec’d. Notes, 144A

   0.650   09/09/24      11,250        10,441,917  

Sumitomo Mitsui Trust Bank Ltd. (Japan),
Sr. Unsec’d. Notes, 144A, MTN, SOFR + 0.440%

   2.282(c)   09/16/24      7,500        7,404,185  

Toronto-Dominion Bank (The) (Canada),
Sr. Unsec’d. Notes, MTN, SOFR + 0.350%

   2.148(c)   09/10/24      8,000        7,863,918  

Sr. Unsec’d. Notes, MTN, SOFR + 0.480%

   2.748(c)   01/27/23      7,138        7,154,405  

Truist Bank,
Sr. Unsec’d. Notes, SOFR + 0.200%

   2.377(c)   01/17/24      10,000        9,902,539  

 

See Notes to Financial Statements.

 

48


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

          

Banks (cont’d.)

                          

Truist Bank, (cont’d.)

          

Sr. Unsec’d. Notes, SOFR + 0.730% (Cap N/A, Floor 0.000%)

   2.512%(c)   03/09/23      2,000      $ 1,998,557  

UBS AG (Switzerland),
Sr. Unsec’d. Notes, 144A, MTN

   0.450   02/09/24      3,000        2,841,841  

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

   2.654(c)   02/09/24      4,500        4,476,555  

UBS Group AG (Switzerland),
Sr. Unsec’d. Notes, 144A

   1.008(ff)   07/30/24      1,250        1,210,037  
          

 

 

 
             268,005,447  

Beverages    1.5%

                          

Coca-Cola Europacific Partners PLC (United Kingdom),
Sr. Unsec’d. Notes, 144A

   0.500   05/05/23      5,600        5,460,733  

Sr. Unsec’d. Notes, 144A

   0.800   05/03/24      3,000        2,834,101  

Keurig Dr. Pepper, Inc.,
Gtd. Notes

   0.750   03/15/24      25,000        23,774,961  

PepsiCo, Inc.,
Sr. Unsec’d. Notes

   0.400   10/07/23      5,500        5,311,572  
          

 

 

 
             37,381,367  

Biotechnology    0.1%

                          

Gilead Sciences, Inc.,
Sr. Unsec’d. Notes

   0.750   09/29/23      2,250        2,176,661  

Building Materials    0.1%

                          

Martin Marietta Materials, Inc.,
Sr. Unsec’d. Notes

   0.650   07/15/23      2,250        2,186,727  

Chemicals    0.5%

                          

Air Liquide Finance SA (France),
Gtd. Notes, 144A

   2.250   09/27/23      1,000        983,761  

Nutrien Ltd. (Canada),
Sr. Unsec’d. Notes

   1.900   05/13/23      3,000        2,959,339  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    49


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

          

Chemicals (cont’d.)

                          

Sherwin-Williams Co. (The),
Sr. Unsec’d. Notes

   4.250%   08/08/25      5,500      $ 5,495,105  

Westlake Corp.,
Sr. Unsec’d. Notes

   0.875   08/15/24      2,750        2,599,157  
          

 

 

 
             12,037,362  

Computers    0.2%

                          

Apple, Inc.,
Sr. Unsec’d. Notes

   1.700   09/11/22      5,000        4,998,667  

Cosmetics/Personal Care    0.5%

                          

Colgate-Palmolive Co.,
Sr. Unsec’d. Notes

   3.100   08/15/25      6,750        6,637,141  

GSK Consumer Healthcare Capital US LLC,
Gtd. Notes, 144A, SOFR + 0.890%

   2.879(c)   03/24/24      6,250        6,223,197  
          

 

 

 
             12,860,338  

Diversified Financial Services    2.3%

                          

AIG Global Funding,
Sr. Sec’d. Notes, 144A

   0.650   06/17/24      12,750        11,985,883  

Air Lease Corp.,
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.350% (Cap N/A, Floor 0.000%)

   2.179(c)   12/15/22      20,000        19,957,946  

American Express Co.,
Sr. Unsec’d. Notes

   3.400   02/27/23      10,000        9,998,095  

Capital One Financial Corp.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.720%

   3.526(c)   01/30/23      1,660        1,654,553  

Citigroup Global Markets Holdings, Inc.,
Gtd. Notes, MTN

   0.750   06/07/24      13,250        12,488,905  
          

 

 

 
             56,085,382  

Electric    4.7%

                          

American Electric Power Co., Inc.,
Sr. Unsec’d. Notes, Series A, 3 Month LIBOR + 0.480%

   3.262(c)   11/01/23      3,000        2,992,952  

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

   2.944(c)   05/13/24      10,000        9,988,763  

 

See Notes to Financial Statements.

 

50


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Electric (cont’d.)

                           

DTE Energy Co.,

           

Sr. Unsec’d. Notes

   2.250%    11/01/22      8,000      $ 7,983,922  

Sr. Unsec’d. Notes

   4.220    11/01/24      8,250        8,218,846  

Sr. Unsec’d. Notes, Series H

   0.550    11/01/22      12,000        11,923,212  

Entergy Louisiana LLC,
First Mortgage

   0.620    11/17/23      2,569        2,481,286  

Florida Power & Light Co.,
Sr. Unsec’d. Notes, SOFR Index + 0.250%

   2.544(c)    05/10/23      12,000        11,967,545  

NextEra Energy Capital Holdings, Inc.,
Gtd. Notes

  

2.940

  

03/21/24

  

 

15,000

 

  

 

14,738,935

 

OGE Energy Corp.,
Sr. Unsec’d. Notes

   0.703    05/26/23      3,500        3,416,521  

PPL Electric Utilities Corp.,

           

First Mortgage, SOFR + 0.330%

   2.323(c)    06/24/24      2,250        2,245,584  

First Mortgage

   2.500    09/01/22      4,800        4,800,000  

Southern California Edison Co.,

           

First Mortgage, Series C

   4.200    06/01/25      14,250        14,219,519  

First Mortgage, Series D

   3.400    06/01/23      13,475        13,415,907  

WEC Energy Group, Inc.,
Sr. Unsec’d. Notes

  

0.800

  

03/15/24

  

 

7,250

 

  

 

6,908,505

 

           

 

 

 
              115,301,497  

Entertainment    0.3%

                           

Magallanes, Inc.,
Gtd. Notes, 144A, SOFR Index + 1.780%

   3.662(c)    03/15/24      7,500        7,497,583  

Foods    0.3%

                           

Hormel Foods Corp.,
Sr. Unsec’d. Notes

   0.650    06/03/24      3,500        3,324,615  

Nestle Holdings, Inc.,
Gtd. Notes, 144A

   0.375    01/15/24      5,000        4,774,477  
           

 

 

 
              8,099,092  

Forest Products & Paper    0.3%

                           

Georgia-Pacific LLC,
Sr. Unsec’d. Notes, 144A

   3.734    07/15/23      7,000        6,984,599  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    51


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Gas    0.2%

                           

Atmos Energy Corp.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.380%

   2.070%(c)    03/09/23      5,250      $ 5,242,287  

Healthcare-Products    1.5%

                           

Baxter International, Inc.,

           

Sr. Unsec’d. Notes

   0.868    12/01/23      10,000        9,617,980  

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

   2.556(c)    12/01/23      20,000        19,853,967  

Stryker Corp.,
Sr. Unsec’d. Notes

   0.600    12/01/23      1,250        1,200,564  

Thermo Fisher Scientific, Inc.,
Sr. Unsec’d. Notes, SOFR Index + 0.530%

   2.707(c)    10/18/24      6,750        6,708,340  
           

 

 

 
              37,380,851  

Healthcare-Services    0.3%

                           

UnitedHealth Group, Inc.,
Sr. Unsec’d. Notes

   0.550    05/15/24      7,250        6,885,793  

Household Products/Wares    0.5%

                           

Avery Dennison Corp.,
Sr. Unsec’d. Notes

   0.850    08/15/24      12,350        11,566,841  

Insurance    4.0%

                           

Berkshire Hathaway, Inc.,
Sr. Unsec’d. Notes

   2.750    03/15/23      4,853        4,842,360  

Corebridge Financial, Inc.,
Sr. Unsec’d. Notes, 144A

   3.500    04/04/25      8,000        7,709,730  

Equitable Financial Life Global Funding,

           

Sec’d. Notes, 144A

   0.800    08/12/24      3,000        2,794,980  

Sec’d. Notes, 144A, SOFR + 0.390%

   2.494(c)    04/06/23      10,000        9,964,602  

Metropolitan Life Global Funding I,
Sec’d. Notes, 144A, MTN

   4.050    08/25/25      23,250        23,112,370  

New York Life Global Funding,

           

Sec’d. Notes, 144A

   2.900    01/17/24      4,190        4,128,893  

Sec’d. Notes, 144A, MTN

   3.600    08/05/25      19,750        19,399,966  

Pacific Life Global Funding II,
Sr. Sec’d. Notes, 144A

   0.500    09/23/23      4,750        4,584,097  

Principal Life Global Funding II,
Sec’d. Notes, 144A

   0.500    01/08/24      7,250        6,899,547  

 

See Notes to Financial Statements.

 

52


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Insurance (cont’d.)

                           

Principal Life Global Funding II, (cont’d.)
Sec’d. Notes, 144A, SOFR + 0.450%

   2.576%(c)    04/12/24      1,250      $ 1,238,158  

Protective Life Global Funding,

           

Sec’d. Notes, 144A

   0.631    10/13/23      4,250        4,098,912  

Sr. Sec’d. Notes, 144A

   0.473    01/12/24      10,000        9,491,412  
           

 

 

 
              98,265,027  

Iron/Steel    0.3%

                           

Nucor Corp.,
Sr. Unsec’d. Notes

   3.950    05/23/25      8,000        7,941,778  

Machinery-Construction & Mining    1.0%

                           

Caterpillar Financial Services Corp.,

           

Sr. Unsec’d. Notes, MTN

   0.450    09/14/23      10,000        9,680,569  

Sr. Unsec’d. Notes, MTN, SOFR + 0.150%

   2.445(c)    11/17/22      15,000        14,989,665  
           

 

 

 
              24,670,234  

Machinery-Diversified    0.5%

                           

CNH Industrial Capital LLC,
Gtd. Notes

   3.950    05/23/25      12,500        12,286,872  

Media    0.1%

                           

Walt Disney Co. (The),
Gtd. Notes, 3 Month LIBOR + 0.390%

   1.970(c)    09/01/22      3,000        3,000,000  

Miscellaneous Manufacturing    0.5%

                           

Carlisle Cos., Inc.,
Sr. Unsec’d. Notes

   0.550    09/01/23      3,000        2,898,448  

General Electric Co.,
Sr. Unsec’d. Notes, GMTN

   3.100    01/09/23      10,000        9,976,523  
           

 

 

 
              12,874,971  

Oil & Gas    0.4%

                           

Exxon Mobil Corp.,
Sr. Unsec’d. Notes

   1.571    04/15/23      4,000        3,953,825  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    53


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Oil & Gas (cont’d.)

                           

Phillips 66,
Gtd. Notes

   0.900%    02/15/24      4,000      $ 3,826,895  

Pioneer Natural Resources Co.,
Sr. Unsec’d. Notes

   0.550    05/15/23      2,500        2,440,049  
           

 

 

 
              10,220,769  

Pharmaceuticals    1.6%

                           

AbbVie, Inc.,
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.650%

   3.634(c)    11/21/22      3,000        3,002,473  

AmerisourceBergen Corp.,
Sr. Unsec’d. Notes

   0.737    03/15/23      8,066        7,924,813  

Astrazeneca Finance LLC (United Kingdom),
Gtd. Notes

   0.700    05/28/24      12,250        11,613,542  

Bristol-Myers Squibb Co.,
Sr. Unsec’d. Notes

   0.537    11/13/23      10,000        9,665,717  

GlaxoSmithKline Capital PLC (United Kingdom),
Gtd. Notes

   0.534    10/01/23      6,500        6,317,230  
           

 

 

 
              38,523,775  

Pipelines    0.9%

                           

Enbridge, Inc. (Canada),
Gtd. Notes

   0.550    10/04/23      8,000        7,696,743  

Southern Natural Gas Co. LLC,
Sr. Unsec’d. Notes, 144A

   0.625    04/28/23      5,250        5,096,553  

TransCanada PipeLines Ltd. (Canada),
Sr. Unsec’d. Notes

   1.000    10/12/24      9,750        9,087,853  
           

 

 

 
              21,881,149  

Real Estate Investment Trusts (REITs)    0.4%

                           

Public Storage,
Sr. Unsec’d. Notes, SOFR + 0.470%

   2.705(c)    04/23/24      8,500        8,456,400  

Retail     0.4%

                           

7-Eleven, Inc.,

           

Sr. Unsec’d. Notes, 144A

   0.625    02/10/23      1,750        1,724,426  

Sr. Unsec’d. Notes, 144A

   0.800    02/10/24      2,250        2,144,619  

 

See Notes to Financial Statements.

 

54


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Retail (cont’d.)

                           

Home Depot, Inc. (The),
Sr. Unsec’d. Notes

   2.700%    04/15/25      6,000      $ 5,858,121  
           

 

 

 
              9,727,166  

Savings & Loans    0.4%

                           

Nationwide Building Society (United Kingdom),
Sr. Unsec’d. Notes, 144A

   0.550    01/22/24      9,750        9,246,589  

Semiconductors    1.2%

                           

Analog Devices, Inc.,
Sr. Unsec’d. Notes, SOFR + 0.250%

   2.302(c)    10/01/24      2,000        1,963,860  

Microchip Technology, Inc.,
Sr. Sec’d. Notes

   0.972    02/15/24      28,500        27,091,464  
           

 

 

 
              29,055,324  

Software    0.7%

                           

Fidelity National Information Services, Inc.,
Sr. Unsec’d. Notes

   0.600    03/01/24      5,750        5,451,036  

Infor, Inc.,
Sr. Unsec’d. Notes, 144A

   1.450    07/15/23      1,200        1,164,595  

Oracle Corp.,
Sr. Unsec’d. Notes

   2.500    10/15/22      9,000        8,987,752  
           

 

 

 
              15,603,383  

Telecommunications    1.3%

                           

NTT Finance Corp. (Japan),

           

Gtd. Notes, 144A

   0.583    03/01/24      6,500        6,181,628  

Sr. Unsec’d. Notes, 144A

   4.142    07/26/24      3,000        3,004,578  

Verizon Communications, Inc.,

           

Sr. Unsec’d. Notes

   0.750    03/22/24      8,000        7,635,489  

Sr. Unsec’d. Notes, SOFR Index + 0.500%

   2.455(c)    03/22/24      7,000        6,945,218  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    55


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

CORPORATE BONDS (Continued)

           

Telecommunications (cont’d.)

                                   

Vodafone Group PLC (United Kingdom),
Sr. Unsec’d. Notes

     2.500%        09/26/22        8,000      $ 7,993,950  
           

 

 

 
              31,760,863  
           

 

 

 

TOTAL CORPORATE BONDS
(cost $1,062,724,999)

              1,042,047,419  
           

 

 

 

RESIDENTIAL MORTGAGE-BACKED SECURITIES    1.1%

           

Mortgage Repurchase Agreement Financing Trust,
Series 2021-S01, Class A1, 144A, 1 Month LIBOR + 0.500% (Cap N/A, Floor 0.500%)

     2.889(c)        09/10/22        17,000        16,999,978  

Towd Point Mortgage Trust,
Series 2021-SJ01, Class A1, 144A

     2.250(cc)        07/25/68        11,375        10,796,235  
           

 

 

 

TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES
(cost $28,494,349)

              27,796,213  
           

 

 

 

TOTAL LONG-TERM INVESTMENTS
(cost $1,861,923,629)

              1,822,651,872  
           

 

 

 

SHORT-TERM INVESTMENTS    23.5%

           

CERTIFICATES OF DEPOSIT    6.4%

           

BNP Paribas SA, SOFR + 0.510%

     2.800(c)        09/21/22        7,000        7,001,338  

Citibank NA

     3.600        02/10/23        2,500        2,501,055  

Credit Agricole Corporate & Investment Bank SA

     2.380        09/22/22        30,000        30,000,099  

MUFG Bank Ltd.

     0.300        10/25/22        10,000        9,966,157  

Nordea Bank Abp,

           

SOFR + 0.500%

     2.790(c)        09/09/22        15,000        15,001,645  

SOFR + 0.540%

     2.830(c)        05/26/23        15,000        15,004,476  

Skandinaviska Enskilda Banken AB, SOFR + 0.730%

     3.020(c)        03/17/23        15,000        15,022,060  

Standard Chartered Bank, SOFR + 0.420%

     2.710(c)        07/28/23        13,000        12,988,105  

Sumitomo Mitsui Trust Bank Ltd., SOFR + 0.340%

     2.630(c)        10/13/22        25,000        25,002,627  

Svenska Handelsbanken, SOFR + 0.700%

     2.990(c)        03/15/23        25,000        25,031,675  
           

 

 

 

TOTAL CERTIFICATES OF DEPOSIT
(cost $157,496,466)

              157,519,237  
           

 

 

 

 

See Notes to Financial Statements.

 

56


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

COMMERCIAL PAPER     14.1%

           

Alimentation Couche-Tard, Inc.,
144A

   2.725%(n)    09/13/22      5,000      $ 4,995,172  

Banco Santander SA,
144A

   3.291(n)    12/01/22      13,000        12,899,835  

Bell Canada,

           

144A

   2.706(n)    09/08/22      6,000        5,996,779  

144A

   2.716(n)    09/16/22      10,000        9,989,044  

BNP Paribas SA,
144A, SOFR + 0.420%

   2.710(c)    12/07/22      20,000        20,012,125  

Enbridge, Inc.,

           

144A

   2.755(n)    09/08/22      3,000        2,998,165  

144A

   2.756(n)    09/16/22      14,000        13,982,721  

Enel Finance America LLC,

           

144A

   3.367(n)    09/23/22      15,000        14,974,336  

144A

   3.464(n)    09/28/22      10,000        9,978,883  

Federation des Caisses Desjardins du Quebec,
144A

   2.414(n)    10/03/22      25,000        24,943,740  

Glencore Funding LLC,

           

144A

   2.910(n)    09/22/22      11,000        10,981,124  

144A

   2.961(n)    09/26/22      14,000        13,971,497  

144A

   2.971(n)    09/27/22      2,000        1,995,767  

HCP, Inc.,

           

144A

   2.758(n)    09/21/22      5,000        4,992,145  

144A

   2.819(n)    09/27/22      10,000        9,979,465  

Hewlett Packard Enterprise Co.,
144A

   2.754(n)    09/16/22      5,000        4,994,164  

HP Enterprise Corp.,
144A

   2.849(n)    09/22/22      7,000        6,988,578  

Mitsubishi Corp.,
144A

   2.446(n)    09/12/22      10,000        9,992,130  

National Australia Bank Ltd.,
144A, SOFR + 0.180%

   2.450(c)    09/01/22      20,000        20,000,105  

National Securities Clearing Corp.,
144A

   2.354(n)    09/02/22      20,000        19,997,452  

Nutrien Ltd.,
144A

   2.868(n)    09/14/22      12,000        11,987,624  

Ontario Teachers’ Finance Trust,
144A

   3.151(n)    01/12/23      10,000        9,876,311  

Raytheon Technologies Corp.,
144A

   3.269(n)    10/14/22      12,000        11,957,775  

ST Engineering North America, Inc.,
144A

   2.871(n)    11/07/22      15,000        14,917,437  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    57


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

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

COMMERCIAL PAPER (Continued)

           

Swedbank AB, SOFR + 0.410%

   2.700%(c)    11/14/22      20,000      $ 20,004,333  

TransCanada PipeLines Ltd.,
144A

   2.755(n)    09/06/22      10,000        9,995,735  

UDR, Inc.,
144A

   2.726(n)    09/07/22      4,000        3,998,009  

Virginia Electric & Power Co.,
144A

   2.655(n)    09/12/22      10,000        9,991,863  

Waste Management, Inc.,
144A

   0.305(n)    09/09/22      6,500        6,495,822  

Welltower, Inc.,

           

144A

   2.736(n)    09/01/22      10,000        9,999,291  

144A

   2.856(n)    09/26/22      10,000        9,980,500  
           

 

 

 

TOTAL COMMERCIAL PAPER
(cost $343,838,778)

              343,867,927  
           

 

 

 
               Shares         

UNAFFILIATED FUND    3.0%

           

Dreyfus Government Cash Management (Institutional Shares)
(cost $72,118,129)

           72,118,129        72,118,129  
           

 

 

 

TOTAL SHORT-TERM INVESTMENTS
(cost $573,453,373)

              573,505,293  
           

 

 

 

TOTAL INVESTMENTS    98.1%
(cost $2,435,377,002)

              2,396,157,165  

Other assets in excess of liabilities(z)    1.9%

              46,168,289  
           

 

 

 

NET ASSETS    100.0%

            $ 2,442,325,454  
           

 

 

 

 

See the Glossary for a list of the abbreviation(s) used in the annual report.

 

#

Principal or notional amount is shown in U.S. dollars unless otherwise stated.

(c)

Variable rate instrument. The interest rate shown reflects the rate in effect at August 31, 2022.

(cc)

Variable rate instrument. The rate shown is based on the latest available information as of August 31, 2022. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description.

(f)

Indicates a restricted security that is acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer and is considered restricted as to disposition under federal securities law; the aggregate original cost of such securities is $15,000,000. The aggregate value of $14,757,000 is 0.6% of net assets.

 

See Notes to Financial Statements.

 

58


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

(ff)

Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of period end.

(n)

Rate shown reflects yield to maturity at purchased date.

(r)

Principal or notional amount is less than $500 par.

(z)

Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:

Futures contracts outstanding at August 31, 2022:

 

Number
of
  Contracts  

  

Type

   Expiration
Date
   Current
Notional
Amount
   Value /
Unrealized
Appreciation

(Depreciation)

 Short Position:

20     2 Year U.S. Treasury Notes

  Dec. 2022   $4,166,563   $11,093

 

 

 

Interest rate swap agreements outstanding at August 31, 2022:

 

Notional
Amount
    (000)#    

 

      

   Termination
       Date      
   

      

   Fixed
        Rate        
 

      

  

Floating

                Rate                 

 

      

   Value at
Trade Date
   

      

   Value at
August 31,
      2022      
   

      

   Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Interest Rate Swap Agreements:

            

19,000

               09/03/22        1.919%(S)      3 Month LIBOR(1)(Q)      $ (617      $  (155,777      $  (155,160

2,000

       12/10/22        0.362%(S)      1 Day USOIS(1)(A)        3          22,041          22,038  

7,000

       01/14/23        (0.006)%(S)          1 Day USOIS(1)(A)        25          127,708          127,683  

25,000

       01/30/23        1.467%(S)      3 Month LIBOR(1)(Q)        (3,459        202,464          205,923  

5,000

       04/13/23        (0.013)%(S)      1 Day USOIS(1)(A)        36          137,212          137,176  

8,560

       05/11/23        2.250%(S)      1 Day USOIS(1)(A)        (146,332        59,943          206,275  

18,000

       06/07/23        0.148%(S)      1 Day USOIS(1)(A)        73          540,358          540,285  

75,000

       07/26/23        0.192%(S)      1 Day USOIS(1)(A)        143          2,454,916          2,454,773  

11,000

       09/06/23        2.114%(S)      1 Day SOFR(1)(A)        125          128,369          128,244  

4,000

       09/11/23        1.423%(S)      1 Day SOFR(1)(A)        109          83,286          83,177  

8,000

       10/01/23        0.251%(S)      1 Day SOFR(1)(A)        91          313,843          313,752  

10,000

       12/01/23        2.634%(S)      1 Day SOFR(1)(A)        136          85,912          85,776  

5,000

       12/07/23        0.221%(S)      1 Day USOIS(1)(A)        81          234,966          234,885  

8,750

       02/04/24        0.133%(S)      1 Day USOIS(1)(A)        4,873          474,039          469,166  

19,500

       03/01/24        0.230%(S)      1 Day USOIS(1)(A)        12,083          1,062,774          1,050,691  

28,500

       03/01/24        2.478%(S)      1 Day SOFR(1)(A)        214          416,252          416,038  

46,000

       03/09/24        1.440%(S)      1 Day SOFR(1)(A)        24,506          1,416,784          1,392,278  

8,000

       03/15/24        0.276%(S)      1 Day USOIS(1)(A)        86          436,482          436,396  

23,000

       03/15/24        1.658%(S)      1 Day SOFR(1)(A)        154          620,248          620,094  

7,000

       03/18/24        0.278%(S)      1 Day USOIS(1)(A)        85          376,338          376,253  

12,500

       03/25/24        2.055%(S)      1 Day SOFR(1)(A)        139          250,530          250,391  

68,000

       03/31/24        2.305%(S)      1 Day SOFR(1)(A)        211,085          1,060,562          849,477  

3,000

       04/26/24        0.305%(S)      1 Day USOIS(1)(A)        86          171,998          171,912  

11,250

       05/11/24        0.300%(S)      1 Day SOFR(1)(A)        (984        652,991          653,975  

15,000

       05/11/24        2.603%(S)      1 Day SOFR(1)(A)        (11,883        197,061          208,944  

16,750

       05/20/24        0.296%(S)      1 Day USOIS(1)(A)        107          993,572          993,465  

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    59


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

Interest rate swap agreements outstanding at August 31, 2022 (continued):

 

Notional
Amount
    (000)#    

 

      

   Termination
       Date      
   

      

   Fixed
        Rate        
   

      

  

Floating

                Rate                 

 

      

   Value at
Trade Date
   

      

   Value at
August 31,
      2022      
   

      

   Unrealized
Appreciation
(Depreciation)
 

Centrally Cleared Interest Rate Swap Agreements (cont’d.):

       
10,900        06/07/24          0.318%(S)        1 Day USOIS(1)(A)      $ 103        $ 653,865        $ 653,762  
12,750        06/16/24          0.304%(S)        1 Day USOIS(1)(A)        107          775,964          775,857  
15,000        08/05/24          0.261%(S)        1 Day SOFR(1)(A)        118          939,967          939,849  
29,000        08/08/24          2.512%(S)        1 Day SOFR(1)(A)        166,045          557,070          391,025  
3,000        08/13/24          0.368%(S)        1 Day SOFR(1)(A)        102          181,949          181,847  
8,000        08/31/24          0.399%(S)        1 Day USOIS(1)(A)        107          487,841          487,734  
12,500        09/01/24          2.500%(S)        1 Day SOFR(1)(A)        4,344          216,232          211,888  
4,500        09/09/24          0.368%(S)        1 Day SOFR(1)(A)        (11        284,465          284,476  
46,500        09/09/24          1.484%(S)        1 Day SOFR(1)(A)        60,524          1,753,954          1,693,430  
9,750        10/12/24          0.511%(S)        1 Day SOFR(1)(A)        172          600,244          600,072  
12,000        03/21/25          1.998%(S)        1 Day SOFR(1)(A)        150          370,594          370,444  
83,500        03/30/25          2.418%(S)        1 Day SOFR(1)(A)        343,744          1,623,949          1,280,205  
16,000        05/11/25          0.450%(S)        1 Day SOFR(1)(A)        13,855          1,260,404          1,246,549  
18,750        06/29/25          3.083%(S)        1 Day SOFR(1)(A)                 105,272          105,272  
57,000        06/29/25          3.086%(S)        1 Day SOFR(1)(A)        (509,702        318,215          827,917  
53,250        08/17/25          2.957%(S)        1 Day SOFR(1)(A)        115,302          555,765          440,463  
                   

 

 

      

 

 

      

 

 

 
                    $ 285,925        $ 23,050,622        $ 22,764,697  
                   

 

 

      

 

 

      

 

 

 

 

(1)

The Fund pays the fixed rate and receives the floating rate.

(2)

The Fund pays the floating rate and receives the fixed rate.

Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:

Cash and securities segregated as collateral, including pending settlement for closed positions, to cover requirements for centrally cleared/exchange-traded derivatives are listed by broker as follows:

 

Broker

       Cash and/or Foreign Currency                Securities Market Value        

Citigroup Global Markets, Inc.

     $ 11,142,000      $
    

 

 

      

 

 

 

 

See Notes to Financial Statements.

 

60


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

Fair Value Measurements:

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below.

Level 1—unadjusted quoted prices generally in active markets for identical securities.

Level 2—quoted prices for similar securities, interest rates and yield curves, prepayment speeds, foreign currency exchange rates and other observable inputs.

Level 3—unobservable inputs for securities valued in accordance with Board approved fair valuation procedures.

The following is a summary of the inputs used as of August 31, 2022 in valuing such portfolio securities:

 

     Level 1    Level 2   Level 3

Investments in Securities

             

Assets

             

Long-Term Investments

             

Asset-Backed Securities

             

Automobiles

     $      $ 36,411,899       $—    

Collateralized Loan Obligations

              361,926,126       —    

Consumer Loans

              1,279,504       —    

Equipment

              10,829,847       —    

Certificate of Deposit

              14,947,563       —    

Commercial Mortgage-Backed Securities

              327,413,301       —    

Corporate Bonds

              1,042,047,419       —    

Residential Mortgage-Backed Securities

              27,796,213       —    

Short-Term Investments

                    

Certificates of Deposit

              157,519,237       —    

Commercial Paper

              343,867,927       —    

Unaffiliated Fund

       72,118,129              —    
    

 

 

      

 

 

     

 

 

 

Total

     $ 72,118,129      $ 2,324,039,036       $—    
    

 

 

      

 

 

     

 

 

 

Other Financial Instruments*

             

Assets

             

Futures Contracts

     $ 11,093      $       $—    

Centrally Cleared Interest Rate Swap Agreements

              22,919,857       —    
    

 

 

      

 

 

     

 

 

 

Total

     $ 11,093      $ 22,919,857       $—    
    

 

 

      

 

 

     

 

 

 

Liabilities

             

Centrally Cleared Interest Rate Swap Agreement

     $      $ (155,160 )         $—    
    

 

 

      

 

 

     

 

 

 

 

 

*

Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, forwards and centrally cleared swap contracts, which are recorded at the unrealized appreciation (depreciation) on the instrument, and OTC swap contracts which are recorded at fair value.

 

See Notes to Financial Statements.

PGIM Fixed Income ETFs    61


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

Industry Classification:

The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of August 31, 2022 were as follows:

 

Collateralized Loan Obligations

     14.8

Commercial Paper

     14.1  

Commercial Mortgage-Backed Securities

     13.4  

Banks

     11.0  

Certificates of Deposit

     7.0  

Electric

     4.7  

Insurance

     4.0  

Auto Manufacturers

     3.8  

Unaffiliated Fund

     3.0  

Diversified Financial Services

     2.3  

Pharmaceuticals

     1.6  

Beverages

     1.5  

Healthcare-Products

     1.5  

Automobiles

     1.5  

Telecommunications

     1.3  

Semiconductors

     1.2  

Residential Mortgage-Backed Securities

     1.1  

Machinery-Construction & Mining

     1.0  

Pipelines

     0.9  

Software

     0.7  

Miscellaneous Manufacturing

     0.5  

Cosmetics/Personal Care

     0.5  

Machinery-Diversified

     0.5  

Chemicals

     0.5  

Household Products/Wares

     0.5  

Agriculture

     0.5

Equipment

     0.4  

Oil & Gas

     0.4  

Aerospace & Defense

     0.4  

Retail

     0.4  

Savings & Loans

     0.4  

Real Estate Investment Trusts (REITs)

     0.4  

Foods

     0.3  

Iron/Steel

     0.3  

Entertainment

     0.3  

Forest Products & Paper

     0.3  

Healthcare-Services

     0.3  

Gas

     0.2  

Computers

     0.2  

Media

     0.1  

Building Materials

     0.1  

Biotechnology

     0.1  

Consumer Loans

     0.1  
  

 

 

 
     98.1  

Other assets in excess of liabilities

     1.9  
  

 

 

 
     100.0
  

 

 

 

 

Effects of Derivative Instruments on the Financial Statements and Primary Underlying Risk Exposure:

The Fund invested in derivative instruments during the reporting period. The primary type of risk associated with these derivative instruments is interest rate contracts risk. See the Notes to Financial Statements for additional detail regarding these derivative instruments and their risks. The effect of such derivative instruments on the Fund’s financial position and financial performance as reflected in the Statement of Assets and Liabilities and Statement of Operations is presented in the summary below.

 

See Notes to Financial Statements.

 

62


PGIM Ultra Short Bond ETF

Schedule of Investments (continued)

as of August 31, 2022

 

Fair values of derivative instruments as of August 31, 2022 as presented in the Statement of Assets and Liabilities:

 

    

Asset Derivatives

   

Liability Derivatives

 

Derivatives not accounted for
as hedging instruments,
carried at fair value                                

  

Statement
of Assets and
Liabilities Location

   Fair
Value
   

Statement of
Assets and
Liabilities Location

   Fair
Value
 

Interest rate contracts

   Due from/to broker-variation margin futures    $ 11,093*        $  

Interest rate contracts

   Due from/to broker-variation margin swaps      22,919,857  

Due from/to broker-variation margin swaps

     155,160
     

 

 

      

 

 

 
      $ 22,930,950        $ 155,160  
     

 

 

      

 

 

 

 

*

Includes cumulative appreciation (depreciation) as reported in the schedule of open futures and centrally cleared swap contracts. Only unsettled variation margin receivable (payable) is reported within the Statement of Assets and Liabilities.

The effects of derivative instruments on the Sta