Item 1 – Reports to Stockholders
PGIM ULTRA SHORT BOND ETF (NYSE Arca: PULS)
SEMIANNUAL REPORT
FEBRUARY 29, 2020
COMING SOON: PAPERLESS SHAREHOLDER REPORTS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (pgiminvestments.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. You should contact your financial intermediary or follow instructions included with this notice to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.
To enroll in e-delivery, go to pgiminvestments.com/edelivery
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This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
The information about the Fund’s portfolio holdings is for the period covered by this report and is subject to change thereafter.
The accompanying financial statements as of February 29, 2020 were not audited and, accordingly, no auditor’s opinion is expressed on them.
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. © 2020 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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Dear Shareholder:
We hope you find the semiannual report for PGIM Ultra Short Bond ETF informative and useful. The report covers performance for the six-month period ended February 29, 2020.
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 consider it a great privilege and responsibility to help investors participate in opportunities across global markets while meeting their toughest investment challenges. PGIM is a top-10 global investment manager with more than $1 trillion in assets under management. This investment expertise allows us to deliver actively managed funds and strategies to meet the needs of investors around the globe.
Thank you for choosing our family of funds.
Sincerely,
Stuart S. Parker, President
PGIM Ultra Short Bond ETF
April 15, 2020
| PGIM Ultra Short Bond ETF | 3 |
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 pgiminvestments.com or by calling (800) 225-1852.
*Not annualized
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Indexes are measured from the closest month-end to the Fund’s inception date.
The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale or redemption 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.
Benchmark Definitions
ICE BofAML 3-Month T Bill Index—The ICE BofA Merrill Lynch 3-Month US Treasury Bill Index tracks the performance of US dollar-denominated US Treasury bills publicly issued in the US domestic market with a remaining term to final maturity of 3 months.
ICE BofAML USD 3-Month Deposit Offered Rate CM Index—The ICE BofA Merrill Lynch US Dollar 3-Month Deposit Offered Rate Constant Maturity Index is an unmanaged index that 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 current day 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 MERRILL LYNCH IS LICENSING THE BOFA MERRILL LYNCH INDICES “AS IS,” MAKES NO WARRANTIES REGARDING THE SAME, DOES NOT GUARANTEE THE SUITABILITY, QUALITY, ACCURACY, TIMELINESS, AND/OR COMPLETENESS OF THE ICE BOFA MERRILL LYNCH INDICES OR ANY DATA INCLUDED IN, RELATED TO, OR
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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 sales charges, operating expenses of a mutual fund, or taxes.
| Credit Quality expressed as a percentage of total investments as of 2/29/20 (%) | ||||
| AAA | 26.8 | |||
| AA | 17.5 | |||
| A | 31.3 | |||
| BBB | 27.3 | |||
| Not Rated | –0.8 | |||
| Cash and Cash Equivalents | –2.1 | |||
| Total Investments | 100.0 | |||
Source: PGIM Fixed Income
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 a NRSRO and may include derivative instruments that could have a negative value. Credit ratings are subject to change.
Negative weightings may result from specific circumstances (including timing differences between trade and settle dates of securities purchased by the funds) and/or the use of certain financial instruments, including derivatives, which may be used to gain or reduce market exposure and/or risk management.
| Distributions and Yields as of 2/29/20 | ||||||
|
Total Dividends Paid
for Six Months ($) |
SEC 30-Day
Subsidized Yield* (%) |
SEC 30-Day
Unsubsidized Yield** (%) |
||||
| 0.73 | 1.94 | 1.94 | ||||
*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 Ultra Short Bond ETF | 5 |
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 February 29, 2020. The example is for illustrative purposes only.
Actual Expenses
The information under each column in the line entitled “Actual” 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 information under each column in the line entitled “Hypothetical” 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 table 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.
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| PGIM Ultra Short Bond ETF |
Beginning Account
Value September 1, 2019 |
Ending Account
Value February 29, 2020 |
Annualized
Expense Ratio based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
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| Actual | $ | 1,000.00 | $ | 1,013.10 | 0.15 | % | $ | 0.75 | ||||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,024.12 | 0.15 | % | $ | 0.75 | ||||||||||
*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 182 days in the six-month period ended February 29, 2020, and divided by the 366 days in the Fund’s fiscal year ending August 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Fund may invest.
| PGIM Ultra Short Bond ETF | 7 |
Schedule of Investments (unaudited)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
LONG-TERM INVESTMENTS 84.1% |
|
|||||||||||||||
|
ASSET-BACKED SECURITIES 17.9% |
|
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|
Automobile ABS 0.5% |
|
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|
Honda Auto Receivables Owner Trust, Series 2020-1, Class A3 |
1.610 | % | 04/22/24 | 5,500 | $ | 5,559,640 | ||||||||||
|
Collateralized Loan Obligations 17.4% |
|
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|
Adams Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A, 3 Month LIBOR + 1.100% |
2.931 | (c) | 07/15/26 | 697 | 697,472 | |||||||||||
|
Allegro CLO IV Ltd. (Cayman Islands), Series 2016-1A, Class AR, 144A, 3 Month LIBOR + 1.150% |
2.981 | (c) | 01/15/30 | 7,000 | 6,995,678 | |||||||||||
|
Anchorage Capital CLO 8 Ltd. (Cayman Islands), Series 2016-8A, Class AR, 144A, 3 Month LIBOR + 1.000% |
2.795 | (c) | 07/28/28 | 295 | 294,727 | |||||||||||
|
Atlas Senior Loan Fund III Ltd. (Cayman Islands), Series 2013-1A, Class AR, 144A, 3 Month LIBOR + 0.830% |
2.522 | (c) | 11/17/27 | 6,533 | 6,533,782 | |||||||||||
|
Atlas Senior Loan Fund V Ltd. (Cayman Islands), Series 2014-1A, Class AR2, 144A, 3 Month LIBOR + 1.260% |
3.103 | (c) | 07/16/29 | 6,960 | 6,960,264 | |||||||||||
|
Atrium XII (Cayman Islands), Series 12A, Class AR, 144A, 3 Month LIBOR + 0.830% |
2.632 | (c) | 04/22/27 | 8,272 | 8,273,017 | |||||||||||
|
Avery Point III CLO Ltd. (Cayman Islands), Series 2013-3A, Class AR, 144A, 3 Month LIBOR + 1.120% |
2.939 | (c) | 01/18/25 | 134 | 133,803 | |||||||||||
|
Bain Capital Credit CLO (Cayman Islands), Series 2018-1A, Class A1, 144A, 3 Month LIBOR + 0.960% |
2.766 | (c) | 04/23/31 | 3,000 | 2,990,306 | |||||||||||
|
Ballyrock CLO Ltd. (Cayman Islands), Series 2016-1A, Class AR, 144A, 3 Month LIBOR + 1.350% |
3.181 | (c) | 10/15/28 | 625 | 624,684 | |||||||||||
|
Battalion CLO VII Ltd. (Cayman Islands), Series 2014-7A, Class A1RR, 144A, 3 Month LIBOR + 1.040% |
2.876 | (c) | 07/17/28 | 2,300 | 2,301,915 | |||||||||||
|
Battalion CLO VIII Ltd. (Cayman Islands), Series 2015-8A, Class A1R2, 144A, 3 Month LIBOR + 1.100% |
2.777 | (c) | 07/18/30 | 10,000 | 9,989,990 | |||||||||||
|
Battalion CLO X Ltd. (Cayman Islands), Series 2016-10A, Class A1R, 144A, 3 Month LIBOR + 1.250% |
3.051 | (c) | 01/24/29 | 2,000 | 1,997,266 | |||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 9 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
ASSET-BACKED SECURITIES (Continued) |
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|
Collateralized Loan Obligations (cont’d.) |
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|
Brookside Mill CLO Ltd. (Cayman Islands), Series 2013-1A, Class AR, 144A, 3 Month LIBOR + 0.820% |
2.656 | %(c) | 01/17/28 | 5,600 | $ | 5,595,869 | ||||||||||
|
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands), Series 2016-3A, Class A1R, 144A, 3 Month LIBOR + 1.020% |
2.715 | (c) | 10/20/29 | 10,000 | 9,989,990 | |||||||||||
|
Catamaran CLO Ltd. (Cayman Islands), |
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|
Series 2013-1A, Class AR, 144A, 3 Month LIBOR + 0.850% |
2.644 | (c) | 01/27/28 | 449 | 448,846 | |||||||||||
|
Series 2014-2A, Class A1R, 144A, 3 Month LIBOR + 1.400% |
3.219 | (c) | 10/18/26 | 436 | 436,002 | |||||||||||
|
Cathedral Lake CLO Ltd. (Cayman Islands), Series 2016-4A, Class AR, 144A, 3 Month LIBOR + 1.250% |
3.069 | (c) | 10/20/28 | 2,750 | 2,763,574 | |||||||||||
|
CIFC Funding Ltd. (Cayman Islands), |
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|
Series 2013-3RA, Class A1, 144A, 3 Month LIBOR + 0.980% |
2.781 | (c) | 04/24/31 | 2,000 | 1,989,286 | |||||||||||
|
Series 2014-4RA, Class A1A, 144A, 3 Month LIBOR + 1.130% |
2.966 | (c) | 10/17/30 | 5,000 | 5,002,610 | |||||||||||
|
Series 2015-2A, Class AR, 144A, 3 Month LIBOR + 0.780% |
2.611 | (c) | 04/15/27 | 445 | 444,702 | |||||||||||
|
Series 2017-1A, Class AR, 144A, 3 Month LIBOR + 1.010% |
2.829 | (c) | 04/23/29 | 5,000 | 4,998,575 | |||||||||||
|
Elevation CLO Ltd. (Cayman Islands), |
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|
Series 2014-2A, Class A1R, 144A, 3 Month LIBOR + 1.230% |
3.061 | (c) | 10/15/29 | 2,500 | 2,495,690 | |||||||||||
|
Series 2015-4A, Class AR, 144A, 3 Month LIBOR + 0.990% |
2.809 | (c) | 04/18/27 | 605 | 605,279 | |||||||||||
|
Ellington CLO IV Ltd. (Cayman Islands), Series 2019-4A, Class A, 144A, 3 Month LIBOR + 1.840% |
3.671 | (c) | 04/15/29 | 1,900 | 1,890,998 | |||||||||||
|
Flagship CLO VIII Ltd. (Cayman Islands), Series 2014-8A, Class ARR, 144A, 3 Month LIBOR + 0.850% |
2.693 | (c) | 01/16/26 | 459 | 458,960 | |||||||||||
|
Flatiron CLO Ltd. (Cayman Islands), Series 2015-1A, Class AR, 144A, 3 Month LIBOR + 0.890% |
2.721 | (c) | 04/15/27 | 499 | 497,681 | |||||||||||
|
HPS Loan Management Ltd. (Cayman Islands), |
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|
Series 10A-16, Class A1R, 144A, 3 Month LIBOR + 1.140% |
2.959 | (c) | 01/20/28 | 1,500 | 1,500,043 | |||||||||||
|
Series 11A-17, Class AR, 144A, 3 Month LIBOR + 1.020% |
— | (p) | 05/06/30 | 3,500 | 3,496,496 | |||||||||||
See Notes to Financial Statements.
| 10 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
ASSET-BACKED SECURITIES (Continued) |
|
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|
Collateralized Loan Obligations (cont’d.) |
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|
ICG US CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A, 3 Month LIBOR + 1.140% |
2.959 | %(c) | 10/19/28 | 1,000 | $ | 999,098 | ||||||||||
|
Jackson Mill CLO Ltd. (Cayman Islands), Series 2015-1A, Class AR, 144A, 3 Month LIBOR + 0.830% |
2.661 | (c) | 04/15/27 | 1,488 | 1,487,128 | |||||||||||
|
JMP Credit Advisors CLO IV Ltd. (Cayman Islands), Series 2017-1A, Class AR, 144A, 3 Month LIBOR + 1.280% |
3.116 | (c) | 07/17/29 | 1,250 | 1,247,853 | |||||||||||
|
KKR CLO Ltd. (Cayman Islands), Series 11, Class AR, 144A, 3 Month LIBOR + 1.180% |
3.011 | (c) | 01/15/31 | 1,000 | 999,050 | |||||||||||
|
KVK CLO Ltd. (Cayman Islands), Series 2018-1A, Class A, 144A, 3 Month LIBOR + 0.930% |
2.625 | (c) | 05/20/29 | 500 | 499,101 | |||||||||||
|
Limerock CLO III LLC (Cayman Islands), Series 2014-3A, Class A1R, 144A, 3 Month LIBOR + 1.200% |
3.019 | (c) | 10/20/26 | 104 | 103,846 | |||||||||||
|
Madison Park Funding XXX Ltd. (Cayman Islands), Series 2018-30A, Class A, 144A, 3 Month LIBOR + 0.750% |
2.581 | (c) | 04/15/29 | 325 | 321,851 | |||||||||||
|
Man GLG US CLO Ltd. (Cayman Islands), Series 2018-2A, Class A1R, 144A, 3 Month LIBOR + 1.240% |
3.071 | (c) | 10/15/28 | 1,750 | 1,747,719 | |||||||||||
|
Midocean Credit CLO V (Cayman Islands), Series 2016-5A, Class AR, 144A, 3 Month LIBOR + 1.120% |
2.939 | (c) | 07/19/28 | 2,250 | 2,255,388 | |||||||||||
|
Mountain View CLO Ltd. (Cayman Islands), Series 2013-1A, Class AR, 144A, 3 Month LIBOR + 1.250% |
3.098 | (c) | 10/12/30 | 500 | 498,128 | |||||||||||
|
Mountain View CLO XIV Ltd. (Cayman Islands), Series 2019-1A, Class A1, 144A, 3 Month LIBOR + 1.440% |
3.271 | (c) | 04/15/29 | 425 | 424,310 | |||||||||||
|
Oaktree CLO Ltd. (Cayman Islands), Series 2015-1A, Class A1R, 144A, 3 Month LIBOR + 0.870% |
2.689 | (c) | 10/20/27 | 2,250 | 2,247,251 | |||||||||||
|
Ocean Trails CLO IV (Cayman Islands), Series 2013-4A, Class AR, 144A, 3 Month LIBOR + 0.900% |
2.607 | (c) | 08/13/25 | 158 | 158,029 | |||||||||||
|
Ocean Trails CLO VI (Cayman Islands), Series 2016-6A, Class AR, 144A, 3 Month LIBOR + 1.150% |
2.981 | (c) | 07/15/28 | 4,150 | 4,151,122 | |||||||||||
|
OZLM XII Ltd. (Cayman Islands), Series 2015-12A, Class A1R, 144A, 3 Month LIBOR + 1.050% |
2.820 | (c) | 04/30/27 | 300 | 299,677 | |||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 11 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
ASSET-BACKED SECURITIES (Continued) |
|
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|
Collateralized Loan Obligations (cont’d.) |
|
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|
OZLM XIII Ltd. (Cayman Islands), Series 2015-13A, Class A1R, 144A, 3 Month LIBOR + 1.080% |
2.850 | %(c) | 07/30/27 | 1,350 | $ | 1,349,600 | ||||||||||
|
OZLM XV Ltd. (Cayman Islands), Series 2016-15A, Class A1, 144A, 3 Month LIBOR + 1.490% |
3.309 | (c) | 01/20/29 | 250 | 250,158 | |||||||||||
|
Palmer Square CLO Ltd. (Cayman Islands), |
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|
Series 2014-1A, Class A1R2, 144A, 3 Month LIBOR + 1.130% |
2.966 | (c) | 01/17/31 | 1,250 | 1,247,035 | |||||||||||
|
Series 2015-1A, Class A1R2, 144A, 3 Month LIBOR + 1.220% |
2.916 | (c) | 05/21/29 | 2,500 | 2,496,251 | |||||||||||
|
Palmer Square Loan Funding Ltd. (Cayman Islands), Series 2020-1A, Class A1, 144A, 3 Month LIBOR + 0.800% |
— | (p) | 02/20/28 | 5,000 | 4,994,995 | |||||||||||
|
Race Point VIII CLO Ltd. (Cayman Islands), Series 2013-8A, Class AR2, 144A, 3 Month LIBOR + 1.040% |
3.239 | (c) | 02/20/30 | 10,000 | 9,989,990 | |||||||||||
|
Regatta Funding LP (Cayman Islands), Series 2013-2A, Class A1R2, 144A, 3 Month LIBOR + 1.250% |
3.081 | (c) | 01/15/29 | 750 | 750,204 | |||||||||||
|
Saratoga Investment Corp. CLO Ltd. (Cayman Islands), Series 2013-1A, Class AFR2, 144A, 3 Month LIBOR + 1.250% |
3.069 | (c) | 01/20/30 | 1,000 | 999,572 | |||||||||||
|
SCOF-2 Ltd. (Cayman Islands), Series 2015-2A, Class AR, 144A, 3 Month LIBOR + 1.180% |
3.011 | (c) | 07/15/28 | 2,250 | 2,250,819 | |||||||||||
|
Sound Point CLO XI Ltd. (Cayman Islands), Series 2016-1A, Class AR, 144A, 3 Month LIBOR + 1.100% |
2.919 | (c) | 07/20/28 | 500 | 499,503 | |||||||||||
|
Sound Point CLO XIV Ltd. (Cayman Islands), Series 2016-3A, Class AR, 144A, 3 Month LIBOR + 1.150% |
2.956 | (c) | 01/23/29 | 2,250 | 2,246,940 | |||||||||||
|
Sound Point CLO XVI Ltd. (Cayman Islands), Series 2017-2A, Class A, 144A, 3 Month LIBOR + 1.280% |
3.074 | (c) | 07/25/30 | 4,966 | 4,942,445 | |||||||||||
|
TCW CLO Ltd. (Cayman Islands), Series 2017-1A, Class AR, 144A, 3 Month LIBOR +1.030% |
— | (p) | 07/29/29 | 5,500 | 5,494,500 | |||||||||||
|
TICP CLO I Ltd. (Cayman Islands), Series 2015-1A, Class AR, 144A, 3 Month LIBOR + 0.800% |
2.619 | (c) | 07/20/27 | 488 | 488,084 | |||||||||||
|
TICP CLO I-2 Ltd. (Cayman Islands), Series 2018-IA, Class A1, 144A, 3 Month LIBOR + 0.830% |
2.624 | (c) | 04/26/28 | 8,000 | 7,993,348 | |||||||||||
|
TICP CLO III-2 Ltd. (Cayman Islands), Series 2018-3R, Class A, 144A, 3 Month LIBOR + 0.840% |
2.659 | (c) | 04/20/28 | 2,510 | 2,507,379 | |||||||||||
See Notes to Financial Statements.
| 12 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
ASSET-BACKED SECURITIES (Continued) |
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|
Collateralized Loan Obligations (cont’d.) |
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TICP CLO VI Ltd. (Cayman Islands), Series 2016-6A, Class AR, 144A, 3 Month LIBOR + 1.200% |
3.031 | %(c) | 01/15/29 | 1,400 | $ | 1,400,684 | ||||||||||
|
Trinitas CLO V Ltd. (Cayman Islands), Series 2016-5A, Class AR, 144A, 3 Month LIBOR + 1.390% |
3.184 | (c) | 10/25/28 | 2,000 | 2,000,211 | |||||||||||
|
Venture XXIV CLO Ltd. (Cayman Islands), Series 2016-24A, Class AR, 144A, 3 Month LIBOR + 1.180% |
2.999 | (c) | 10/20/28 | 4,000 | 3,993,476 | |||||||||||
|
Vibrant CLO V Ltd. (Cayman Islands), Series 2016-5A, Class AR, 144A, 3 Month LIBOR + 1.250% |
3.069 | (c) | 01/20/29 | 1,250 | 1,248,113 | |||||||||||
|
Voya CLO Ltd. (Cayman Islands), |
||||||||||||||||
|
Series 2014-2A, Class A1RR, 144A, 3 Month LIBOR + 1.020% |
— | (p) | 04/17/30 | 9,000 | 8,990,991 | |||||||||||
|
Series 2015-1A, Class A1R, 144A, 3 Month LIBOR + 0.900% |
2.719 | (c) | 01/18/29 | 750 | 748,869 | |||||||||||
|
Wellfleet CLO Ltd. (Cayman Islands), |
||||||||||||||||
|
Series 2015-1A, Class AR3, 144A, 3 Month LIBOR + 1.280% |
3.099 | (c) | 07/20/29 | 6,800 | 6,788,613 | |||||||||||
|
Series 2016-2A, Class A1R, 144A, 3 Month LIBOR + 1.140% |
2.959 | (c) | 10/20/28 | 4,800 | 4,813,476 | |||||||||||
|
West CLO Ltd. (Cayman Islands), |
||||||||||||||||
|
Series 2014-1A, Class A1R, 144A, 3 Month LIBOR + 0.920% |
2.739 | (c) | 07/18/26 | 67 | 66,564 | |||||||||||
|
Series 2014-2A, Class A1AR, 144A, 3 Month LIBOR + 0.870% |
2.713 | (c) | 01/16/27 | 119 | 118,621 | |||||||||||
|
Westcott Park CLO Ltd. (Cayman Islands), Series 2016-1A, Class AR, 144A, 3 Month LIBOR + 1.210% |
3.029 | (c) | 07/20/28 | 4,100 | 4,097,827 | |||||||||||
|
Zais CLO 5 Ltd. (Cayman Islands), Series 2016-2A, Class A1, 144A, 3 Month LIBOR + 1.530% |
3.361 | (c) | 10/15/28 | 655 | 653,791 | |||||||||||
|
Zais CLO 7 Ltd. (Cayman Islands), Series 2017-2A, Class A, 144A, 3 Month LIBOR + 1.290% |
3.121 | (c) | 04/15/30 | 250 | 246,968 | |||||||||||
|
Zais CLO 8 Ltd. (Cayman Islands), Series 2018-1A, Class A, 144A, 3 Month LIBOR + 0.950% |
2.781 | (c) | 04/15/29 | 900 | 889,834 | |||||||||||
|
|
|
|||||||||||||||
| 192,405,917 | ||||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL ASSET-BACKED SECURITIES
|
197,965,557 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 13 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES 8.0% |
|
|||||||||||||||
|
BANK, |
||||||||||||||||
|
Series 2017-BNK5, Class A1 |
1.909 | % | 06/15/60 | 1,614 | $ | 1,621,244 | ||||||||||
|
Series 2017-BNK7, Class A1 |
1.984 | 09/15/60 | 99 | 99,744 | ||||||||||||
|
Series 2017-BNK8, Class A2 |
2.583 | 11/15/50 | 11,400 | 11,689,730 | ||||||||||||
|
Series 2017-BNK9, Class A1 |
2.322 | 11/15/54 | 826 | 836,361 | ||||||||||||
|
Series 2018-BN14, Class A1 |
3.277 | 09/15/60 | 626 | 647,052 | ||||||||||||
|
BBCMS Mortgage Trust, Series 2017-C1, Class A1 |
2.010 | 02/15/50 | 298 | 298,543 | ||||||||||||
|
Benchmark Mortgage Trust, |
||||||||||||||||
|
Series 2018-B1, Class A1 |
2.560 | 01/15/51 | 840 | 850,870 | ||||||||||||
|
Series 2018-B4, Class A1 |
3.125 | 07/15/51 | 754 | 774,795 | ||||||||||||
|
CCUBS Commercial Mortgage Trust, Series 2017- C1, Class A1 |
2.288 | (cc) | 11/15/50 | 5,347 | 5,400,066 | |||||||||||
|
CD Mortgage Trust, |
||||||||||||||||
|
Series 2016-CD1, Class A1 |
1.443 | 08/10/49 | 18 | 18,338 | ||||||||||||
|
Series 2017-CD3, Class A1 |
1.965 | 02/10/50 | 82 | 82,354 | ||||||||||||
|
Series 2017-CD5, Class A1 |
2.028 | 08/15/50 | 4,836 | 4,862,061 | ||||||||||||
|
CFCRE Commercial Mortgage Trust, |
||||||||||||||||
|
Series 2016-C4, Class A1 |
1.501 | 05/10/58 | 447 | 446,776 | ||||||||||||
|
Series 2016-C7, Class A1 |
1.971 | 12/10/54 | 595 | 595,665 | ||||||||||||
|
CGMS Commercial Mortgage Trust, Series 2017- B1, Class A1 |
2.008 | 08/15/50 | 962 | 965,230 | ||||||||||||
|
Citigroup Commercial Mortgage Trust, |
||||||||||||||||
|
Series 2014-GC21, Class AAB |
3.477 | 05/10/47 | 465 | 485,210 | ||||||||||||
|
Series 2015-GC35, Class A1 |
1.847 | 11/10/48 | 821 | 820,603 | ||||||||||||
|
Series 2016-C1, Class A1 |
1.506 | 05/10/49 | 690 | 689,231 | ||||||||||||
|
Series 2016-GC37, Class A1 |
1.635 | 04/10/49 | 7 | 6,885 | ||||||||||||
|
Series 2016-P5, Class A1 |
1.410 | 10/10/49 | 468 | 467,156 | ||||||||||||
|
Series 2016-P6, Class A1 |
1.884 | 12/10/49 | 1,003 | 1,004,555 | ||||||||||||
|
Series 2017-C4, Class A1 |
2.121 | 10/12/50 | 498 | 502,156 | ||||||||||||
|
Series 2017-P8, Class A1 |
2.065 | 09/15/50 | 676 | 681,170 | ||||||||||||
|
COMM Mortgage Trust, |
||||||||||||||||
|
Series 2012-CR4, Class A3 |
2.853 | 10/15/45 | 2,704 | 2,787,346 | ||||||||||||
|
Series 2013-CR11, Class ASB |
3.660 | 08/10/50 | 856 | 887,593 | ||||||||||||
|
Series 2013-CR7, Class ASB |
2.739 | 03/10/46 | 566 | 578,632 | ||||||||||||
|
Series 2014-CR17, Class ASB |
3.598 | 05/10/47 | 640 | 667,366 | ||||||||||||
|
Series 2014-UBS6, Class ASB |
3.387 | 12/10/47 | 5,043 | 5,263,657 | ||||||||||||
|
Series 2015-CR22, Class A3 |
3.207 | 03/10/48 | 2,000 | 2,061,358 | ||||||||||||
|
Series 2015-CR27, Class A2 |
2.223 | 10/10/48 | 1,050 | 1,051,509 | ||||||||||||
|
Series 2015-DC1, Class A2 |
2.870 | 02/10/48 | 210 | 211,809 | ||||||||||||
|
Series 2015-LC23, Class A2 |
3.221 | 10/10/48 | 1,000 | 1,006,940 | ||||||||||||
|
Series 2016-CR28, Class A1 |
1.770 | 02/10/49 | 156 | 156,157 | ||||||||||||
|
Series 2016-DC2, Class A1 |
1.820 | 02/10/49 | 233 | 233,020 | ||||||||||||
|
Series 2017-COR2, Class A1 |
2.111 | 09/10/50 | 176 | 177,537 | ||||||||||||
See Notes to Financial Statements.
| 14 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued) |
|
|||||||||||||||
|
CSAIL Commercial Mortgage Trust, |
||||||||||||||||
|
Series 2016-C6, Class A3 |
2.956 | % | 01/15/49 | 1,731 | $ | 1,740,203 | ||||||||||
|
Series 2017-C8, Class A1 |
1.930 | 06/15/50 | 1,536 | 1,542,397 | ||||||||||||
|
DBJPM Mortgage Trust, |
||||||||||||||||
|
Series 2016-C3, Class A1 |
1.502 | 08/10/49 | 2,792 | 2,791,527 | ||||||||||||
|
Series 2016-C3, Class A2 |
1.886 | 08/10/49 | 1,085 | 1,087,936 | ||||||||||||
|
FNMA-Aces, Series 2017-M1, Class A1 |
2.417 | (c) | 09/25/26 | 1,073 | 1,098,743 | |||||||||||
|
GS Mortgage Securities Trust, |
||||||||||||||||
|
Series 2013-GC14, Class A3 |
3.526 | 08/10/46 | 7 | 7,371 | ||||||||||||
|
Series 2014-GC22, Class AAB |
3.467 | 06/10/47 | 860 | 891,232 | ||||||||||||
|
Series 2015-GC34, Class A2 |
2.075 | 10/10/48 | 782 | 782,061 | ||||||||||||
|
Series 2016-GS3, Class A1 |
1.429 | 10/10/49 | 1,130 | 1,128,050 | ||||||||||||
|
Series 2016-GS4, Class A1 |
1.731 | 11/10/49 | 616 | 617,349 | ||||||||||||
|
Series 2017-GS5, Class A1 |
2.045 | 03/10/50 | 2,291 | 2,299,372 | ||||||||||||
|
Series 2017-GS7, Class A1 |
1.950 | 08/10/50 | 1,650 | 1,658,539 | ||||||||||||
|
Series 2018-GS9, Class A1 |
2.861 | 03/10/51 | 2,065 | 2,107,259 | ||||||||||||
|
JP Morgan Chase Commercial Mortgage Securities Trust, |
||||||||||||||||
|
Series 2012-C6, Class ASB |
3.144 | 05/15/45 | 1,348 | 1,377,566 | ||||||||||||
|
Series 2016-JP2, Class A1 |
1.324 | 08/15/49 | 347 | 346,251 | ||||||||||||
|
JPMCC Commercial Mortgage Securities Trust, |
||||||||||||||||
|
Series 2013-C12, Class ASB |
3.157 | 07/15/45 | 823 | 838,608 | ||||||||||||
|
Series 2017-JP5, Class A1 |
2.086 | 03/15/50 | 294 | 293,887 | ||||||||||||
|
Series 2017-JP7, Class A1 |
1.969 | 09/15/50 | 579 | 581,997 | ||||||||||||
|
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A1 |
2.081 | 10/15/50 | 150 | 150,900 | ||||||||||||
|
Morgan Stanley Bank of America Merrill Lynch Trust, |
||||||||||||||||
|
Series 2014-C14, Class A3 |
3.669 | 02/15/47 | 87 | 88,086 | ||||||||||||
|
Series 2016-C31, Class A1 |
1.511 | 11/15/49 | 438 | 437,486 | ||||||||||||
|
Series 2017-C34, Class A1 |
2.109 | 11/15/52 | 689 | 692,465 | ||||||||||||
|
Morgan Stanley Capital I Trust, |
||||||||||||||||
|
Series 2015-MS1, Class A1 |
1.638 | 05/15/48 | 124 | 124,065 | ||||||||||||
|
Series 2016-BNK2, Class A1 |
1.424 | 11/15/49 | 80 | 79,841 | ||||||||||||
|
Series 2016-UB11, Class A1 |
1.445 | 08/15/49 | 369 | 368,053 | ||||||||||||
|
UBS Commercial Mortgage Trust, |
||||||||||||||||
|
Series 2012-C1, Class A3 |
3.400 | 05/10/45 | 1,356 | 1,397,469 | ||||||||||||
|
Series 2017-C4, Class A1 |
2.129 | 10/15/50 | 167 | 168,129 | ||||||||||||
|
Series 2017-C5, Class A1 |
2.139 | 11/15/50 | 716 | 720,279 | ||||||||||||
|
Series 2017-C6, Class A1 |
2.344 | 12/15/50 | 6,279 | 6,352,377 | ||||||||||||
|
Series 2018-C11, Class A1 |
3.211 | 06/15/51 | 72 | 74,168 | ||||||||||||
|
Series 2018-C8, Class A1 |
2.659 | 02/15/51 | 2,335 | 2,374,105 | ||||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 15 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
See Notes to Financial Statements.
| 16 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Auto Manufacturers (cont’d.) |
|
|||||||||||||||
|
Nissan Motor Acceptance Corp., Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.390% |
2.238 | %(c) | 07/13/20 | 410 | $ | 410,175 | ||||||||||
|
Toyota Motor Credit Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.290% |
2.164 | (c) | 10/07/21 | 6,000 | 6,017,313 | |||||||||||
|
Volkswagen Group of America Finance LLC, Gtd. Notes, 144A, 3 Month LIBOR + 0.770% |
2.477 | (c) | 11/13/20 | 1,000 | 1,003,606 | |||||||||||
|
|
|
|||||||||||||||
| 16,779,913 | ||||||||||||||||
|
Banks 13.6% |
|
|||||||||||||||
|
ABN AMRO Bank NV (Netherlands), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.570% |
2.208 | (c) | 08/27/21 | 500 | 502,932 | |||||||||||
|
Australia & New Zealand Banking Group Ltd. (Australia), |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.320% |
2.054 | (c) | 11/09/20 | 450 | 450,923 | |||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.490% |
2.186 | (c) | 11/21/22 | 7,500 | 7,539,738 | |||||||||||
|
Banco del Estado de Chile (Chile), |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
3.875 | 02/08/22 | 4,045 | 4,176,564 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
4.125 | 10/07/20 | 2,232 | 2,257,455 | ||||||||||||
|
Banco Santander SA (Spain), Sr. Unsec’d. Notes, 3 Month LIBOR + 1.560% |
3.408 | (c) | 04/11/22 | 9,000 | 9,163,922 | |||||||||||
|
Bangkok Bank PCL (Thailand), Sr. Unsec’d. Notes |
4.800 | 10/18/20 | 300 | 306,299 | ||||||||||||
|
Bank of America Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes, GMTN, 3 Month LIBOR + 0.660% |
2.369 | (c) | 07/21/21 | 3,225 | 3,235,283 | |||||||||||
|
Sr. Unsec’d. Notes, MTN |
5.000 | 05/13/21 | 1,225 | 1,274,770 | ||||||||||||
|
Bank of China Ltd. (China), Sr. Unsec’d. Notes, EMTN |
2.875 | 06/30/20 | 250 | 251,011 | ||||||||||||
|
Bank of Montreal (Canada), |
||||||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.460% |
2.308 | (c) | 04/13/21 | 275 | 276,166 | |||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.340% |
2.188 | (c) | 07/13/20 | 250 | 250,330 | |||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.440% |
2.334 | (c) | 06/15/20 | 1,021 | 1,021,629 | |||||||||||
|
Bank of New York Mellon Corp. (The), Sr. Unsec’d. Notes, MTN |
1.950 | 08/23/22 | 5,000 | 5,074,537 | ||||||||||||
|
Capital One NA, Sr. Unsec’d. Notes |
2.150 | 09/06/22 | 6,000 | 6,077,795 | ||||||||||||
|
Citibank NA, Sr. Unsec’d. Notes, BKNT, 3 Month LIBOR + 0.530% |
3.165 | (c) | 02/19/22 | 3,000 | 3,044,311 | |||||||||||
|
Commonwealth Bank of Australia (Australia), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.700% |
2.591 | (c) | 03/10/22 | 5,000 | 5,028,158 | |||||||||||
|
Cooperatieve Rabobank UA (Netherlands), Sr. Unsec’d. Notes |
3.125 | 04/26/21 | 2,000 | 2,038,779 | ||||||||||||
|
Credit Suisse AG (Switzerland), |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.100 | 11/12/21 | 3,000 | 3,029,897 | ||||||||||||
|
Sr. Unsec’d. Notes, SOFR + 0.450% |
2.035 | (c) | 02/04/22 | 5,000 | 4,999,729 | |||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 17 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Banks (cont’d.) |
|
|||||||||||||||
|
DIB Sukuk Ltd. (Cayman Islands), Sr. Unsec’d. Notes |
3.664 | % | 02/14/22 | 2,400 | $ | 2,456,934 | ||||||||||
|
Federation des Caisses Desjardins du Quebec (Canada), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.330% |
2.100 | (c) | 10/30/20 | 2,507 | 2,511,599 | |||||||||||
|
Fifth Third Bank, Sr. Unsec’d. Notes, BKNT |
1.800 | 01/30/23 | 5,000 | 5,059,600 | ||||||||||||
|
Goldman Sachs Group, Inc. (The), |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.894 | 03/15/21 | 925 | 925,000 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.750 | 01/24/22 | 3,000 | 3,234,783 | ||||||||||||
|
Huntington National Bank (The), Sr. Unsec’d. Notes |
1.800 | 02/03/23 | 6,000 | 6,068,875 | ||||||||||||
|
Industrial & Commercial Bank of China Ltd. (China), Sr. Unsec’d. Notes, BKNT |
2.905 | 11/13/20 | 550 | 554,862 | ||||||||||||
|
Industrial Bank of Korea (South Korea), Sr. Unsec’d. Notes, 144A |
2.000 | 04/23/20 | 350 | 350,369 | ||||||||||||
|
Intesa Sanpaolo SpA (Italy), 144A |
6.500 | 02/24/21 | 8,000 | 8,348,320 | ||||||||||||
|
JPMorgan Chase & Co., Sr. Unsec’d. Notes |
2.750 | 06/23/20 | 2,900 | 2,908,882 | ||||||||||||
|
Lloyds Banking Group PLC (United Kingdom), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.008% |
2.728 | (c) | 06/21/21 | 1,400 | 1,406,734 | |||||||||||
|
Mitsubishi UFJ Financial Group, Inc. (Japan), Sr. Unsec’d. Notes |
2.623 | 07/18/22 | 1,000 | 1,022,717 | ||||||||||||
|
Morgan Stanley, Sr. Unsec’d. Notes |
2.750 | 05/19/22 | 3,000 | 3,083,482 | ||||||||||||
|
National Australia Bank Ltd. (Australia), Sr. Unsec’d. Notes |
2.500 | 01/12/21 | 1,600 | 1,612,234 | ||||||||||||
|
Nordea Bank Abp (Finland), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.470% |
2.083 | (c) | 05/29/20 | 400 | 400,560 | |||||||||||
|
PNC Bank NA, |
||||||||||||||||
|
Sr. Unsec’d. Notes, BKNT |
2.150 | 04/29/21 | 5,000 | 5,042,945 | ||||||||||||
|
Sr. Unsec’d. Notes, BKNT,3 Month LIBOR + 0.250% |
2.052 | (c) | 01/22/21 | 500 | 500,560 | |||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.325% |
2.004 | (c) | 02/24/23 | 7,000 | 6,962,303 | |||||||||||
|
QIB Sukuk Ltd. (Cayman Islands), Sr. Unsec’d. Notes |
2.754 | 10/27/20 | 2,000 | 2,004,254 | ||||||||||||
|
RHB Bank Bhd (Malaysia), Sr. Unsec’d. Notes, EMTN |
2.503 | 10/06/21 | 1,300 | 1,319,089 | ||||||||||||
|
Santander UK PLC (United Kingdom), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.660% |
2.352 | (c) | 11/15/21 | 1,000 | 1,007,322 | |||||||||||
|
Shinhan Bank Co. Ltd. (South Korea), Sr. Unsec’d. Notes |
2.250 | 04/15/20 | 500 | 500,491 | ||||||||||||
|
Skysea International Capital Management Ltd. (British Virgin Islands), Gtd. Notes, EMTN |
4.875 | 12/07/21 | 4,300 | 4,536,827 | ||||||||||||
|
State Street Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.900% |
2.592 | (c) | 08/18/20 | 1,127 | 1,131,792 | |||||||||||
|
Toronto-Dominion Bank (The) (Canada), Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.280% |
2.168 | (c) | 06/11/20 | 500 | 500,282 | |||||||||||
See Notes to Financial Statements.
| 18 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Banks (cont’d.) |
|
|||||||||||||||
|
Truist Bank, Sr. Unsec’d. Notes, BKNT, 3 Month LIBOR + 0.590% |
2.282 | %(c) | 05/17/22 | 3,000 | $ | 3,022,265 | ||||||||||
|
Truist Financial Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.570% |
2.464 | (c) | 06/15/20 | 200 | 200,066 | |||||||||||
|
UBS AG (Switzerland), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.580% |
2.465 | (c) | 06/08/20 | 1,000 | 1,000,919 | |||||||||||
|
UBS Group AG (Switzerland), Sr. Unsec’d. Notes, 144A |
3.000 | 04/15/21 | 9,000 | 9,152,233 | ||||||||||||
|
US Bank NA, Sr. Unsec’d. Notes, BKNT, 3 Month LIBOR + 0.440% |
2.123 | (c) | 05/23/22 | 3,700 | 3,713,896 | |||||||||||
|
Wells Fargo Bank NA, Sr. Unsec’d. Notes, BKNT |
3.625 | 10/22/21 | 10,000 | 10,335,963 | ||||||||||||
|
|
|
|||||||||||||||
| 150,876,386 | ||||||||||||||||
|
Beverages 1.2% |
|
|||||||||||||||
|
Diageo Capital PLC (United Kingdom), |
||||||||||||||||
|
Gtd. Notes |
3.000 | 05/18/20 | 975 | 976,801 | ||||||||||||
|
Gtd. Notes, 3 Month LIBOR + 0.240% |
1.932 | (c) | 05/18/20 | 2,000 | 2,001,458 | |||||||||||
|
Keurig Dr Pepper, Inc., Gtd. Notes |
3.551 | 05/25/21 | 10,000 | 10,246,421 | ||||||||||||
|
|
|
|||||||||||||||
| 13,224,680 | ||||||||||||||||
|
Biotechnology 0.7% |
|
|||||||||||||||
|
Biogen, Inc., Sr. Unsec’d. Notes |
2.900 | 09/15/20 | 8,300 | 8,350,946 | ||||||||||||
|
Building Materials 0.0% |
|
|||||||||||||||
|
Johnson Controls International PLC (Ireland), Sr. Unsec’d. Notes |
5.000 | 03/30/20 | 500 | 501,287 | ||||||||||||
|
Chemicals 1.2% |
|
|||||||||||||||
|
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.750% |
2.513 | (c) | 05/01/20 | 4,600 | 4,607,479 | |||||||||||
|
CNAC HK Finbridge Co. Ltd. (Hong Kong), |
||||||||||||||||
|
Gtd. Notes |
3.000 | 07/19/20 | 450 | 451,746 | ||||||||||||
|
Gtd. Notes |
4.125 | 03/14/21 | 3,750 | 3,829,412 | ||||||||||||
|
DuPont de Nemours, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
3.766 | 11/15/20 | 2,630 | 2,667,360 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.710% |
2.402 | (c) | 11/15/20 | 2,000 | 2,007,922 | |||||||||||
|
|
|
|||||||||||||||
| 13,563,919 | ||||||||||||||||
|
Coal 0.3% |
|
|||||||||||||||
|
Korea Resources Corp. (South Korea), Sr. Unsec’d. Notes |
3.000 | 04/24/22 | 3,200 | 3,287,464 | ||||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 19 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Commercial Services 0.4% |
|
|||||||||||||||
|
Verisk Analytics, Inc., Sr. Unsec’d. Notes |
5.800 | % | 05/01/21 | 4,000 | $ | 4,192,238 | ||||||||||
|
Computers 1.9% |
|
|||||||||||||||
|
Apple, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
1.700 | 09/11/22 | 5,000 | 5,065,667 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.500% |
2.234 | (c) | 02/09/22 | 2,163 | 2,178,364 | |||||||||||
|
Hewlett Packard Enterprise Co., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
3.600 | 10/15/20 | 5,765 | 5,817,229 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.680% |
2.567 | (c) | 03/12/21 | 5,000 | 5,019,923 | |||||||||||
|
IBM Credit LLC, |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.650 | 02/05/21 | 2,000 | 2,022,198 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.470% |
2.083 | (c) | 11/30/20 | 1,000 | 1,003,303 | |||||||||||
|
|
|
|||||||||||||||
| 21,106,684 | ||||||||||||||||
|
Cosmetics & Personal Care 0.6% |
|
|||||||||||||||
|
Procter & Gamble Co. (The), Sr. Unsec’d. Notes |
2.150 | 08/11/22 | 6,500 | 6,644,119 | ||||||||||||
|
Diversified Financial Services 1.8% |
|
|||||||||||||||
|
American Express Co., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.525% |
2.217 | (c) | 05/17/21 | 2,000 | 2,009,324 | |||||||||||
|
American Express Credit Corp., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.730% |
2.377 | (c) | 05/26/20 | 415 | 415,473 | |||||||||||
|
BOC Aviation Ltd. (Singapore), |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
2.375 | 09/15/21 | 5,000 | 5,036,494 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
3.000 | 03/30/20 | 250 | 250,219 | ||||||||||||
|
Capital One Bank USA NA, Subordinated |
3.375 | 02/15/23 | 4,000 | 4,197,414 | ||||||||||||
|
Charles Schwab Corp. (The), Sr. Unsec’d. Notes, 3 Month LIBOR + 0.320% |
2.016 | (c) | 05/21/21 | 350 | 350,391 | |||||||||||
|
GE Capital International Funding Co. Unlimited Co. (Ireland), Gtd. Notes |
2.342 | 11/15/20 | 7,477 | 7,498,570 | ||||||||||||
|
|
|
|||||||||||||||
| 19,757,885 | ||||||||||||||||
|
Electric 4.1% |
|
|||||||||||||||
|
Abu Dhabi National Energy Co. PJSC (United Arab Emirates), |
||||||||||||||||
|
Sr. Unsec’d. Notes |
3.625 | 06/22/21 | 2,500 | 2,549,973 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.875 | 12/13/21 | 2,000 | 2,134,326 | ||||||||||||
|
American Electric Power Co., Inc., Sr. Unsec’d. Notes |
3.650 | 12/01/21 | 4,000 | 4,154,685 | ||||||||||||
|
CenterPoint Energy, Inc., Sr. Unsec’d. Notes |
3.600 | 11/01/21 | 750 | 773,570 | ||||||||||||
|
CMS Energy Corp., Sr. Unsec’d. Notes |
5.050 | 03/15/22 | 4,250 | 4,511,536 | ||||||||||||
|
Consolidated Edison, Inc., Sr. Unsec’d. Notes |
2.000 | 05/15/21 | 6,500 | 6,549,769 | ||||||||||||
|
DTE Energy Co., Sr. Unsec’d. Notes |
2.250 | 11/01/22 | 8,000 | 8,130,999 | ||||||||||||
See Notes to Financial Statements.
| 20 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Electric (cont’d.) |
|
|||||||||||||||
|
Duke Energy Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.700% |
2.594 | %(c) | 06/15/20 | 1,630 | $ | 1,629,449 | ||||||||||
|
Duke Energy Indiana LLC |
3.750 | 07/15/20 | 3,400 | 3,424,768 | ||||||||||||
|
NextEra Energy Capital Holdings, Inc., Gtd. Notes |
2.900 | 04/01/22 | 2,500 | 2,573,096 | ||||||||||||
|
Saudi Electricity Global Sukuk Co. (Cayman Islands), Sr. Unsec’d. Notes |
4.211 | 04/03/22 | 1,800 | 1,876,113 | ||||||||||||
|
Sempra Energy, Sr. Unsec’d. Notes |
2.400 | 03/15/20 | 1,255 | 1,255,225 | ||||||||||||
|
State Grid Overseas Investment 2016 Ltd. (British Virgin Islands), Gtd. Notes, 144A |
2.250 | 05/04/20 | 3,000 | 3,003,354 | ||||||||||||
|
WEC Energy Group, Inc., Sr. Unsec’d. Notes |
3.100 | 03/08/22 | 2,500 | 2,568,938 | ||||||||||||
|
|
|
|||||||||||||||
| 45,135,801 | ||||||||||||||||
|
Electronics 0.1% |
|
|||||||||||||||
|
Tyco Electronics Group SA (Luxembourg), Gtd. Notes, 3 Month LIBOR + 0.450% |
2.342 | (c) | 06/05/20 | 1,100 | 1,096,909 | |||||||||||
|
Environmental Control 0.3% |
|
|||||||||||||||
|
Waste Management, Inc., Gtd. Notes |
4.750 | 06/30/20 | 3,490 | 3,523,925 | ||||||||||||
|
Food 2.0% |
|
|||||||||||||||
|
Campbell Soup Co., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.500% |
2.394 | (c) | 03/16/20 | 400 | 400,098 | |||||||||||
|
General Mills, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
3.200 | 04/16/21 | 3,080 | 3,141,601 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.540% |
2.383 | (c) | 04/16/21 | 400 | 401,437 | |||||||||||
|
JM Smucker Co. (The), Sr. Unsec’d. Notes |
2.500 | 03/15/20 | 1,300 | 1,300,148 | ||||||||||||
|
Mondelez International Holdings Netherlands BV (Netherlands), Gtd. Notes, 144A |
2.000 | 10/28/21 | 8,000 | 8,065,914 | ||||||||||||
|
Nestle Holdings, Inc., Gtd. Notes, 144A |
3.100 | 09/24/21 | 3,500 | 3,591,822 | ||||||||||||
|
Tyson Foods, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.250 | 08/23/21 | 4,775 | 4,828,232 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.450% |
2.146 | (c) | 08/21/20 | 500 | 500,793 | |||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.550% |
2.130 | (c) | 06/02/20 | 500 | 500,513 | |||||||||||
|
|
|
|||||||||||||||
| 22,730,558 | ||||||||||||||||
|
Hand & Machine Tools 0.4% |
|
|||||||||||||||
|
Stanley Black & Decker, Inc., Gtd. Notes |
3.400 | 12/01/21 | 4,000 | 4,116,845 | ||||||||||||
|
Healthcare-Products 0.5% |
|
|||||||||||||||
|
Medtronic, Inc., |
||||||||||||||||
|
Gtd. Notes |
3.150 | 03/15/22 | 707 | 732,648 | ||||||||||||
|
Gtd. Notes, 3 Month LIBOR + 0.800% |
2.694 | (c) | 03/15/20 | 750 | 750,241 | |||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 21 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Healthcare-Products (cont’d.) |
|
|||||||||||||||
|
Stryker Corp., Sr. Unsec’d. Notes |
2.625 | % | 03/15/21 | 4,000 | $ | 4,034,016 | ||||||||||
|
|
|
|||||||||||||||
| 5,516,905 | ||||||||||||||||
|
Holding Companies-Diversified 0.2% |
|
|||||||||||||||
|
Swire Pacific MTN Financing Ltd. (Cayman Islands), Gtd. Notes, EMTN |
4.500 | 02/28/22 | 2,000 | 2,105,507 | ||||||||||||
|
Insurance 2.4% |
|
|||||||||||||||
|
AIA Group Ltd. (Hong Kong), Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.520% |
2.428 | (c) | 09/20/21 | 600 | 599,909 | |||||||||||
|
Chubb INA Holdings, Inc., Gtd. Notes |
2.300 | 11/03/20 | 4,000 | 4,014,941 | ||||||||||||
|
Marsh & McLennan Cos., Inc., Sr. Unsec’d. Notes |
3.500 | 12/29/20 | 8,500 | 8,627,989 | ||||||||||||
|
Metropolitan Life Global Funding I, |
||||||||||||||||
|
Sec’d. Notes, 144A |
3.375 | 01/11/22 | 1,250 | 1,294,602 | ||||||||||||
|
Sec’d. Notes, 144A |
3.450 | 10/09/21 | 750 | 775,974 | ||||||||||||
|
New York Life Global Funding, |
||||||||||||||||
|
Sec’d. Notes, 144A, 3 Month LIBOR + 0.320% |
2.057 | (c) | 08/06/21 | 500 | 501,977 | |||||||||||
|
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.440% |
2.288 | (c) | 07/12/22 | 3,000 | 3,012,045 | |||||||||||
|
Principal Life Global Funding II, |
||||||||||||||||
|
Sr. Sec’d. Notes, 144A |
2.625 | 11/19/20 | 4,000 | 4,032,939 | ||||||||||||
|
Sr. Sec’d. Notes, 144A, 3 Month LIBOR + 0.300% |
2.247 | (c) | 06/26/20 | 400 | 400,272 | |||||||||||
|
Protective Life Global Funding, |
||||||||||||||||
|
Sec’d. Notes, 144A |
2.262 | 04/08/20 | 500 | 500,345 | ||||||||||||
|
Sec’d. Notes, 144A, 3 Month LIBOR + 0.370% |
2.218 | (c) | 07/13/20 | 2,500 | 2,501,091 | |||||||||||
|
|
|
|||||||||||||||
| 26,262,084 | ||||||||||||||||
|
Lodging 0.5% |
|
|||||||||||||||
|
Marriott International, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.125 | 10/03/22 | 5,000 | 5,037,166 | ||||||||||||
|
Sr. Unsec’d. Notes, 3 Month LIBOR + 0.600% |
2.180 | (c) | 12/01/20 | 800 | 801,615 | |||||||||||
|
|
|
|||||||||||||||
| 5,838,781 | ||||||||||||||||
|
Machinery-Constructions & Mining 1.0% |
|
|||||||||||||||
|
Caterpillar Financial Services Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
1.700 | 08/09/21 | 3,500 | 3,514,964 | ||||||||||||
|
Sr. Unsec’d. Notes, MTN |
3.150 | 09/07/21 | 6,500 | 6,680,292 | ||||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.350% |
2.235 | (c) | 12/07/20 | 600 | 600,663 | |||||||||||
|
|
|
|||||||||||||||
| 10,795,919 | ||||||||||||||||
|
Machinery-Diversified 1.2% |
|
|||||||||||||||
|
John Deere Capital Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.260% |
2.151 | (c) | 09/10/21 | 400 | 400,397 | |||||||||||
See Notes to Financial Statements.
| 22 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Machinery-Diversified (cont’d.) |
|
|||||||||||||||
|
John Deere Capital Corp., (cont’d.) |
||||||||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.300% |
2.187 | %(c) | 03/13/20 | 1,000 | $ | 1,000,148 | ||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.490% |
2.377 | (c) | 06/13/22 | 5,000 | 5,033,837 | |||||||||||
|
Otis Worldwide Corp., Gtd. Notes, 144A, 3 Month LIBOR + 0.450% |
2.069 | (c) | 04/05/23 | 6,700 | 6,698,008 | |||||||||||
|
|
|
|||||||||||||||
| 13,132,390 | ||||||||||||||||
|
Media 0.7% |
|
|||||||||||||||
|
Comcast Corp., Gtd. Notes, 3 Month LIBOR + 0.330% |
2.239 | (c) | 10/01/20 | 750 | 750,644 | |||||||||||
|
Walt Disney Co. (The), |
||||||||||||||||
|
Gtd. Notes, 3 Month LIBOR + 0.250% |
1.830 | (c) | 09/01/21 | 2,000 | 2,000,603 | |||||||||||
|
Gtd. Notes, 3 Month LIBOR + 0.390% |
1.970 | (c) | 09/01/22 | 5,000 | 5,026,632 | |||||||||||
|
|
|
|||||||||||||||
| 7,777,879 | ||||||||||||||||
|
Miscellaneous Manufacturer 0.8% |
|
|||||||||||||||
|
General Electric Co., Sr. Unsec’d. Notes |
2.500 | 03/28/20 | 4,500 | 4,501,070 | ||||||||||||
|
Siemens Financieringsmaatschappij NV (Netherlands), |
||||||||||||||||
|
Gtd. Notes, 144A |
2.200 | 03/16/20 | 1,000 | 1,000,217 | ||||||||||||
|
Gtd. Notes, 144A, 3 Month LIBOR + 0.340% |
2.234 | (c) | 03/16/20 | 1,000 | 1,000,197 | |||||||||||
|
Textron, Inc., Sr. Unsec’d. Notes |
3.650 | 03/01/21 | 3,000 | 3,059,309 | ||||||||||||
|
|
|
|||||||||||||||
| 9,560,793 | ||||||||||||||||
|
Oil & Gas 2.2% |
|
|||||||||||||||
|
Canadian Natural Resources Ltd. (Canada), Sr. Unsec’d. Notes |
3.450 | 11/15/21 | 1,764 | 1,810,510 | ||||||||||||
|
CNOOC Finance 2012 Ltd. (British Virgin Islands), Gtd. Notes, 144A |
3.875 | 05/02/22 | 2,000 | 2,094,286 | ||||||||||||
|
EOG Resources, Inc., Sr. Unsec’d. Notes |
2.450 | 04/01/20 | 500 | 500,288 | ||||||||||||
|
Exxon Mobil Corp., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.330% |
2.022 | (c) | 08/16/22 | 6,000 | 6,023,688 | |||||||||||
|
Korea National Oil Corp. (South Korea), Sr. Unsec’d. Notes, 144A |
2.125 | 04/14/21 | 3,000 | 3,023,956 | ||||||||||||
|
Occidental Petroleum Corp., Sr. Unsec’d. Notes |
4.100 | 02/01/21 | 262 | 265,518 | ||||||||||||
|
Pioneer Natural Resources Co., Sr. Unsec’d. Notes |
3.450 | 01/15/21 | 3,000 | 3,042,662 | ||||||||||||
|
Reliance Holding USA, Inc., Gtd. Notes |
4.500 | 10/19/20 | 1,300 | 1,321,101 | ||||||||||||
|
Saudi Arabian Oil Co. (Saudi Arabia), Sr. Unsec’d. Notes, 144A |
2.750 | 04/16/22 | 1,980 | 2,011,023 | ||||||||||||
|
Sinopec Group Overseas Development 2015 Ltd. (British Virgin Islands), Gtd. Notes, 144A |
2.500 | 04/28/20 | 375 | 375,528 | ||||||||||||
|
Total Capital International SA (France), Gtd. Notes |
2.218 | 07/12/21 | 4,400 | 4,450,146 | ||||||||||||
|
|
|
|||||||||||||||
| 24,918,706 | ||||||||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 23 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Pharmaceuticals 3.8% |
|
|||||||||||||||
|
AbbVie, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
3.375 | % | 11/14/21 | 3,730 | $ | 3,851,388 | ||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.350% |
2.046 | (c) | 05/21/21 | 2,000 | 2,003,430 | |||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.650% |
2.346 | (c) | 11/21/22 | 3,000 | 3,027,844 | |||||||||||
|
AstraZeneca PLC (United Kingdom), Sr. Unsec’d. Notes |
2.375 | 11/16/20 | 3,956 | 3,980,236 | ||||||||||||
|
Bayer US Finance II LLC, Gtd. Notes, 144A |
3.500 | 06/25/21 | 1,800 | 1,841,060 | ||||||||||||
|
Bristol-Myers Squibb Co., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.200% |
1.892 | (c) | 11/16/20 | 1,000 | 999,950 | |||||||||||
|
Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.380% |
2.072 | (c) | 05/16/22 | 2,000 | 2,009,096 | |||||||||||
|
Cigna Corp., Gtd. Notes, 144A |
3.900 | 02/15/22 | 4,020 | 4,191,374 | ||||||||||||
|
CVS Health Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.800 | 07/20/20 | 788 | 789,961 | ||||||||||||
|
Sr. Unsec’d. Notes |
3.700 | 03/09/23 | 7,800 | 8,235,840 | ||||||||||||
|
GlaxoSmithKline Capital PLC (United Kingdom), Gtd. Notes, 3 Month LIBOR + 0.350% |
2.054 | (c) | 05/14/21 | 3,295 | 3,304,816 | |||||||||||
|
McKesson Corp., Sr. Unsec’d. Notes |
3.650 | 11/30/20 | 4,738 | 4,806,687 | ||||||||||||
|
Pfizer, Inc., Sr. Unsec’d. Notes |
5.200 | 08/12/20 | 500 | 507,605 | ||||||||||||
|
Zoetis, Inc., Sr. Unsec’d. Notes |
3.450 | 11/13/20 | 2,235 | 2,258,858 | ||||||||||||
|
|
|
|||||||||||||||
| 41,808,145 | ||||||||||||||||
|
Pipelines 2.7% |
|
|||||||||||||||
|
Colonial Pipeline Co., Sr. Unsec’d. Notes, 144A |
3.500 | 10/15/20 | 3,750 | 3,769,109 | ||||||||||||
|
Enterprise Products Operating LLC, |
||||||||||||||||
|
Gtd. Notes |
2.800 | 02/15/21 | 8,753 | 8,842,597 | ||||||||||||
|
Gtd. Notes |
3.500 | 02/01/22 | 750 | 775,585 | ||||||||||||
|
Kinder Morgan Energy Partners LP, Sr. Unsec’d. Notes |
3.500 | 03/01/21 | 5,000 | 5,061,050 | ||||||||||||
|
Kinder Morgan, Inc., Gtd. Notes, 144A |
5.000 | 02/15/21 | 4,000 | 4,102,979 | ||||||||||||
|
MPLX LP, Sr. Unsec’d. Notes, 3 Month LIBOR + 0.900% |
2.785 | (c) | 09/09/21 | 7,000 | 7,021,478 | |||||||||||
|
|
|
|||||||||||||||
| 29,572,798 | ||||||||||||||||
|
Real Estate 0.8% |
|
|||||||||||||||
|
Ontario Teachers’ Cadillac Fairview Properties Trust (Canada), Sr. Unsec’d. Notes, 144A |
3.125 | 03/20/22 | 6,775 | 6,992,742 | ||||||||||||
|
Sinochem Overseas Capital Co. Ltd. (British Virgin Islands), Gtd. Notes, 144A |
4.500 | 11/12/20 | 1,610 | 1,640,076 | ||||||||||||
|
|
|
|||||||||||||||
| 8,632,818 | ||||||||||||||||
See Notes to Financial Statements.
| 24 |
| Description |
Interest
Rate |
Maturity
Date |
Principal Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
|
|||||||||||||||
|
Real Estate Investment Trusts (REITs) 1.3% |
|
|||||||||||||||
|
AvalonBay Communities, Inc., Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.430% |
2.261 | %(c) | 01/15/21 | 395 | $ | 395,006 | ||||||||||
|
ERP Operating LP, Sr. Unsec’d. Notes |
4.625 | 12/15/21 | 7,605 | 7,978,027 | ||||||||||||
|
Kimco Realty Corp., Sr. Unsec’d. Notes |
3.400 | 11/01/22 | 5,935 | 6,220,926 | ||||||||||||
|
|
|
|||||||||||||||
| 14,593,959 | ||||||||||||||||
|
Retail 1.4% |
||||||||||||||||
|
AutoZone, Inc., Sr. Unsec’d. Notes |
3.700 | 04/15/22 | 3,000 | 3,125,630 | ||||||||||||
|
Home Depot, Inc. (The), Sr. Unsec’d. Notes |
2.625 | 06/01/22 | 3,250 | 3,339,000 | ||||||||||||
|
McDonald’s Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes, MTN |
2.625 | 01/15/22 | 2,193 | 2,241,533 | ||||||||||||
|
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.430% |
2.225 | (c) | 10/28/21 | 1,900 | 1,907,576 | |||||||||||
|
Walmart, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
2.850 | 06/23/20 | 4,500 | 4,519,134 | ||||||||||||
|
Sr. Unsec’d. Notes |
3.125 | 06/23/21 | 500 | 511,306 | ||||||||||||
|
|
|
|||||||||||||||
| 15,644,179 | ||||||||||||||||
|
Semiconductors 0.8% |
||||||||||||||||
|
NVIDIA Corp., Sr. Unsec’d. Notes |
2.200 | 09/16/21 | 4,330 | 4,377,898 | ||||||||||||
|
QUALCOMM, Inc., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.550% |
2.245 | (c) | 05/20/20 | 4,472 | 4,477,502 | |||||||||||
|
|
|
|||||||||||||||
| 8,855,400 | ||||||||||||||||
|
Software 0.9% |
||||||||||||||||
|
Electronic Arts, Inc., Sr. Unsec’d. Notes |
3.700 | 03/01/21 | 9,827 | 10,021,950 | ||||||||||||
|
Telecommunications 0.3% |
||||||||||||||||
|
Verizon Communications, Inc., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.550% |
2.233 | (c) | 05/22/20 | 3,000 | 3,004,093 | |||||||||||
|
Transportation 0.8% |
||||||||||||||||
|
FedEx Corp., Gtd. Notes |
3.400 | 01/14/22 | 3,000 | 3,106,385 | ||||||||||||
|
Ryder System, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes, MTN |
2.500 | 05/11/20 | 382 | 382,093 | ||||||||||||
|
Sr. Unsec’d. Notes, MTN |
2.875 | 06/01/22 | 3,000 | 3,077,534 | ||||||||||||
|
United Parcel Service, Inc., Sr. Unsec’d. Notes, 3 Month LIBOR + 0.150% |
2.059 | (c) | 04/01/21 | 2,500 | 2,502,649 | |||||||||||
|
|
|
|||||||||||||||
| 9,068,661 | ||||||||||||||||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 25 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
See Notes to Financial Statements.
| 26 |
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 27 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
COMMERCIAL PAPER 15.2% |
||||||||||||||||
|
ASSA ABLOY Financial Services 144A |
1.802 | % | 03/20/20 | 5,000 | $ | 4,994,908 | ||||||||||
|
B.A.T. International Finance PLC 144A |
1.953 | 03/23/20 | 4,000 | 3,995,323 | ||||||||||||
|
B.A.T. International Finance PLC 144A |
2.057 | 03/13/20 | 1,000 | 999,329 | ||||||||||||
|
Boeing Co. 144A |
2.205 | 11/18/20 | 10,000 | 9,856,340 | ||||||||||||
|
Commonwealth Bank of Australia (Australia) 144A |
1.959 | (c) | 04/02/20 | 1,000 | 1,000,074 | |||||||||||
|
Daimler Finance North America LLC 144A |
2.142 | 03/26/20 | 4,250 | 4,244,384 | ||||||||||||
|
Enbridge US, Inc. 144A |
1.773 | 03/31/20 | 5,000 | 4,992,129 | ||||||||||||
|
Enbridge US, Inc. 144A |
1.803 | 03/20/20 | 3,000 | 2,996,945 | ||||||||||||
|
Eni Finance USA, Inc. 144A |
2.151 | 03/12/20 | 5,000 | 4,996,786 | ||||||||||||
|
Eni Finance USA, Inc. 144A |
2.009 | 03/27/20 | 3,000 | 2,995,905 | ||||||||||||
|
Exelon Generation Co. LLC 144A |
1.792 | 03/23/20 | 3,000 | 2,996,492 | ||||||||||||
|
Exelon Generation Co. LLC 144A |
1.813 | 03/04/20 | 7,000 | 6,998,172 | ||||||||||||
|
Federation des Caisses Desjardins du Quebec (Canada) 144A |
1.900 | (c) | 08/14/20 | 1,500 | 1,501,402 | |||||||||||
|
Federation des Caisses Desjardins du Quebec (Canada) 144A |
1.987 | (c) | 09/04/20 | 6,000 | 6,002,699 | |||||||||||
|
General Electric Co. |
2.112 | 03/17/20 | 2,500 | 2,497,827 | ||||||||||||
|
Glencore Funding LLC 144A |
1.884 | 03/26/20 | 10,000 | 9,985,720 | ||||||||||||
|
HSBC Bank PLC (United Kingdom) 144A |
2.078 | (c) | 10/13/20 | 6,000 | 6,007,673 | |||||||||||
|
HSBC Bank PLC (United Kingdom) 144A |
1.977 | (c) | 11/02/20 | 2,000 | 2,001,865 | |||||||||||
|
ING US Funding LLC 144A |
2.098 | (c) | 09/23/20 | 7,000 | 7,005,865 | |||||||||||
|
Marriott International, Inc. 144A |
1.847 | 09/04/20 | 5,000 | 4,950,703 | ||||||||||||
|
McKesson Corp. 144A |
2.160 | 03/05/20 | 3,000 | 2,999,152 | ||||||||||||
|
NextEra Energy, Inc. 144A |
1.846 | 03/24/20 | 6,000 | 5,992,679 | ||||||||||||
|
Nissan Motor Acceptance Corp. 144A |
1.963 | 12/15/20 | 4,000 | 3,935,883 | ||||||||||||
|
Nissan Motor Acceptance Corp. 144A |
1.942 | 12/11/20 | 4,000 | 3,936,956 | ||||||||||||
|
Nissan Motor Acceptance Corp. 144A |
1.973 | 12/14/20 | 1,500 | 1,476,063 | ||||||||||||
|
Phillips 66 144A |
1.921 | 03/11/20 | 4,000 | 3,997,708 | ||||||||||||
|
Sempra Energy 144A |
2.070 | 03/03/20 | 6,000 | 5,998,874 | ||||||||||||
|
Shell International Finance BV 144A |
2.037 | (s) | 06/30/20 | 3,500 | 3,482,935 | |||||||||||
|
Starbucks Corp. 144A |
1.966 | 06/10/20 | 5,000 | 4,975,523 | ||||||||||||
|
SunCor Energy, Inc. (Canada) 144A |
2.118 | (s) | 03/23/20 | 7,000 | 6,991,815 | |||||||||||
|
SunCor Energy, Inc. 144A |
2.030 | 04/01/20 | 1,000 | 998,376 | ||||||||||||
|
TransCanada Pipelines Ltd. 144A |
2.085 | (s) | 03/06/20 | 8,000 | 7,997,355 | |||||||||||
|
VW Credit, Inc. 144A |
1.988 | 01/29/21 | 7,000 | 6,871,228 | ||||||||||||
|
VW Credit, Inc. 144A |
2.118 | (s) | 03/30/20 | 1,000 | 998,475 | |||||||||||
|
Walgreens Boots Alliance, Inc. 144A |
2.097 | 09/15/20 | 4,500 | 4,452,800 | ||||||||||||
|
Walgreens Boots Alliance, Inc. 144A |
1.847 | 08/28/20 | 2,000 | 1,981,072 | ||||||||||||
|
Walgreens Boots Alliance, Inc. 144A |
2.096 | 09/10/20 | 4,500 | 4,454,102 | ||||||||||||
|
Welltower, Inc. 144A |
2.161 | 03/13/20 | 6,000 | 5,995,972 | ||||||||||||
|
|
|
|||||||||||||||
|
TOTAL COMMERCIAL PAPER
|
168,557,509 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Financial Statements.
| 28 |
| The |
following abbreviations are used in the semi-annual report: |
(Q)—Quarterly payment frequency for swaps
(S)—Semiannual payment frequency for swaps
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
BKNT—Bank Note
CLO—Collateralized Loan Obligation
EMTN—Euro Medium Term Note
GMTN—Global Medium Term Note
LIBOR—London Interbank Offered Rate
MTN—Medium Term Note
SOFR—Secured Overnight Financing Rate Data
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at February 29, 2020. |
| (cc) |
Variable rate instrument. The rate shown is based on the latest available information as of February 29, 2020. 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. |
| (p) |
Interest rate not available as of February 29, 2020. |
| (s) |
Represents zero coupon bond. Rate represents yield to maturity at purchase date. |
| (w) |
PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 29 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
Futures contracts outstanding at February 29, 2020:
|
Number of
contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Short Positions: | ||||||||||||||||
| 84 | 2 Year U.S. Treasury Notes | Jun. 2020 | $ | 18,339,563 | $ | (75,039 | ) | |||||||||
|
|
|
|||||||||||||||
Interest rate swap agreements outstanding at February 29, 2020:
|
Notional Amount (000)# |
Termination
Date |
Fixed
Rate |
Floating Rate |
Value at
Trade Date |
Value at
February 29, 2020 |
Unrealized
Appreciation (Depreciation) |
||||||||||||||||||
|
Centrally cleared swap agreements: |
||||||||||||||||||||||||
| 4,510 | 04/10/20 | 2.587%(S) | 3 Month LIBOR(1)(Q) | $ | 10,989 | $ | (37,878 | ) | $ | (48,867 | ) | |||||||||||||
| 30,250 | 07/18/20 | 2.711%(S) | 3 Month LIBOR(1)(Q) | (176,283 | ) | (175,064 | ) | 1,219 | ||||||||||||||||
| 28,850 | 11/02/20 | 2.806%(S) | 3 Month LIBOR(1)(Q) | (236,080 | ) | (519,206 | ) | (283,126 | ) | |||||||||||||||
| 37,080 | 05/09/21 | 2.855%(S) | 3 Month LIBOR(1)(Q) | (582,261 | ) | (1,044,587 | ) | (462,326 | ) | |||||||||||||||
| 44,290 | 03/11/21 | 2.850%(S) | 3 Month LIBOR(1)(Q) | (627,506 | ) | (1,188,234 | ) | (560,728 | ) | |||||||||||||||
| 20,295 | 07/27/21 | 2.929%(S) | 3 Month LIBOR(1)(Q) | (373,325 | ) | (545,622 | ) | (172,297 | ) | |||||||||||||||
| 14,930 | 10/04/21 | 3.046%(S) | 3 Month LIBOR(1)(Q) | (281,998 | ) | (611,863 | ) | (329,865 | ) | |||||||||||||||
| 29,445 | 12/21/20 | 3.008%(S) | 3 Month LIBOR(1)(Q) | (343,957 | ) | (485,347 | ) | (141,390 | ) | |||||||||||||||
| 26,525 | 01/11/22 | 2.672%(S) | 3 Month LIBOR(1)(Q) | (440,463 | ) | (836,159 | ) | (395,696 | ) | |||||||||||||||
| 24,945 | 04/01/22 | 2.265%(S) | 3 Month LIBOR(1)(Q) | (286,335 | ) | (811,074 | ) | (524,739 | ) | |||||||||||||||
| 16,000 | 04/12/22 | 2.357%(S) | 3 Month LIBOR(1)(Q) | (207,614 | ) | (559,730 | ) | (352,116 | ) | |||||||||||||||
| 26,765 | 10/02/21 | 1.898%(S) | 3 Month LIBOR(1)(Q) | (96,315 | ) | (486,790 | ) | (390,475 | ) | |||||||||||||||
| 4,640 | 05/04/20 | 1.713%(S) | 3 Month LIBOR(1)(Q) | 21,244 | (19,576 | ) | (40,820 | ) | ||||||||||||||||
| 3,250 | 06/15/22 | 1.873%(S) |
3 Month LIBOR(1)(Q) |
32,504 | (66,283 | ) | (98,787 | ) | ||||||||||||||||
| 9,235 | 11/10/20 | 1.943%(S) |
3 Month LIBOR(1)(Q) |
(12,578 | ) | (88,006 | ) | (75,428 | ) | |||||||||||||||
| 33,600 | 08/22/22 | 1.421%(S) |
3 Month LIBOR(1)(Q) |
(25,571 | ) | (370,620 | ) | (345,049 | ) | |||||||||||||||
| 19,000 | 09/03/22 | 1.919%(S) |
3 Month LIBOR(1)(Q) |
(220,783 | ) | (547,328 | ) | (326,545 | ) | |||||||||||||||
| 25,000 | 01/30/23 | 1.467%(S) |
3 Month LIBOR(1)(Q) |
(24,714 | ) | (363,120 | ) | (338,406 | ) | |||||||||||||||
| 9,900 | 02/12/22 | 1.420%(S) |
3 Month LIBOR(1)(Q) |
2,861 | (77,168 | ) | (80,029 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $ | (3,868,185 | ) | $ | (8,833,655 | ) | $ | (4,965,470 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (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 to cover requirements for open centrally cleared/ exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or
Foreign Currency |
Securities
Market Value |
||||||
|
Citigroup Global Markets, Inc. |
$ | 2,817,000 | $ | — | ||||
See Notes to Financial Statements.
| 30 |
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 February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Automobile |
$ | — | $ | 5,559,640 | $ | — | ||||||
|
Collateralized Loan Obligations |
— | 192,405,917 | — | |||||||||
|
Commercial Mortgage-Backed Securities |
— | 89,184,264 | — | |||||||||
|
Corporate Bonds |
— | 602,269,393 | — | |||||||||
|
Time Deposit |
— | 5,060,301 | — | |||||||||
|
Certificates of Deposit |
— | 60,424,374 | — | |||||||||
|
Sovereign Bonds |
— | 6,724,269 | — | |||||||||
|
Affiliated Mutual Funds |
10,967,199 | — | — | |||||||||
|
Commercial Paper |
— | 168,557,509 | — | |||||||||
|
Corporate Notes |
— | 10,140,629 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 10,967,199 | $ | 1,140,326,296 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Centrally Cleared Interest Rate Swap Agreements |
$ | — | $ | 1,219 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | — | $ | 1,219 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures Contracts |
$ | (75,039 | ) | $ | — | $ | — | |||||
|
Centrally Cleared Interest Rate Swap Agreements |
— | (4,966,689 | ) | — | ||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (75,039 | ) | $ | (4,966,689 | ) | $ | — | ||||
|
|
|
|
|
|
|
|||||||
| * |
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 Ultra Short Bond ETF | 31 |
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Banks |
18.7 | % | ||
|
Collateralized Loan Obligations |
17.4 | |||
|
Commercial Paper |
15.2 | |||
|
Commercial Mortgage-Backed Securities |
8.0 | |||
|
Pharmaceuticals |
4.3 | |||
|
Electric |
4.1 | |||
|
Pipelines |
2.7 | |||
|
Insurance |
2.4 | |||
|
Oil & Gas |
2.2 | |||
|
Diversified Financial Services |
2.2 | |||
|
Food |
2.0 | |||
|
Computers |
1.9 | |||
|
Auto Manufacturers |
1.5 | |||
|
Retail |
1.4 | |||
|
Real Estate Investment Trusts (REITS) |
1.3 | |||
|
Chemicals |
1.2 | |||
|
Beverages |
1.2 | |||
|
Machinery-Diversified |
1.2 | |||
|
Affiliated Mutual Fund |
1.0 | |||
|
Machinery-Constructions & Mining |
1.0 | |||
|
Software |
0.9 | |||
|
Miscellaneous Manufacturer |
0.8 | |||
|
Transportation |
0.8 | |||
|
Semiconductors |
0.8 | |||
|
Advertising |
0.8 | |||
|
Real Estate |
0.8 | % | ||
|
Biotechnology |
0.7 | |||
|
Telecommunications |
0.7 | |||
|
Media |
0.7 | |||
|
Sovereign |
0.6 | |||
|
Cosmetics & Personal Care |
0.6 | |||
|
Lodging |
0.5 | |||
|
Automobile ABS |
0.5 | |||
|
Healthcare-Products |
0.5 | |||
|
Aerospace & Defense |
0.5 | |||
|
Agriculture |
0.5 | |||
|
Time Deposit |
0.5 | |||
|
Commercial Services |
0.4 | |||
|
Hand & Machine Tools |
0.4 | |||
|
Environmental Control |
0.3 | |||
|
Coal |
0.3 | |||
|
Holding Companies-Diversified |
0.2 | |||
|
Electronics |
0.1 | |||
|
Trucking & Leasing |
0.1 | |||
|
Building Materials |
0.0 | * | ||
|
|
|
|||
| 103.9 | ||||
|
Liabilities in excess of other assets |
(3.9 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05%. |
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.
| 32 |
Fair values of derivative instruments as of February 29, 2020 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted for as hedging instruments, carried at fair value |
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of
|
Fair
Value |
Statement of
|
Fair
Value |
|||||||||
| Interest rate contracts | Due from/to broker—variation margin futures* | $ | — | Due from/to broker—variation margin futures* | $ | (75,039 | ) | |||||
| Interest rate contracts | Due from/to broker—variation margin swaps* | 1,219 | Due from/to broker—variation margin swaps* | (4,966,689 | ) | |||||||
|
|
|
|
|
|||||||||
| $ | 1,219 | $ | (5,041,728 | ) | ||||||||
|
|
|
|
|
|||||||||
| * |
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 Statement of Operations for the period ended February 29, 2020 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||||||||||
|
Derivatives not accounted for as hedging
|
Futures | Swaps | Total | |||||||||
|
Interest rate contracts |
$ | (108 | ) | $ | (154,263 | ) | $ | (154,371 | ) | |||
|
|
|
|
|
|
|
|||||||
For the period ended February 29, 2020 the Fund’s average volume of derivative activities is as follows:
|
Futures Contracts— Long Positions(1) |
Futures
Contracts— Short Positions(1) |
Interest
Rate Swap Agreements(1) |
||||||||
| $ | — | $ | 6,113,188 | $ | 345,235,000 | |||||
| (1) |
Notional Amount in USD. |
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 33 |
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
|
|||
|
Investments at value: |
|
|||
|
Unaffiliated investments (cost $1,135,184,722) |
$ | 1,140,326,296 | ||
|
Affiliated investments (cost $10,967,199) |
10,967,199 | |||
|
Cash |
460 | |||
|
Receivable for Fund shares sold |
17,527,965 | |||
|
Interest and dividends receivable |
5,434,152 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
2,817,000 | |||
|
Receivable for investments sold |
102,042 | |||
|
Other assets |
386 | |||
|
|
|
|||
|
Total Assets |
1,177,175,500 | |||
|
|
|
|||
|
Liabilities |
|
|||
|
Payable for investments purchased |
68,062,017 | |||
|
Payable to broker for collateral for securities on loan |
411 | |||
|
Management fee payable |
120,144 | |||
|
Due to broker—variation margin swaps |
902,264 | |||
|
Due to broker—variation margin futures |
65,625 | |||
|
|
|
|||
|
Total Liabilities |
69,150,461 | |||
|
|
|
|||
|
Net Assets |
$ | 1,108,025,039 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 22,125 | ||
|
Paid-in capital in excess of par |
1,107,398,544 | |||
|
Total distributable earnings (loss) |
604,370 | |||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 1,108,025,039 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 50.08 | ||
|
|
|
|||
See Notes to Financial Statements.
| 34 |
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
|
Net Investment Income (Loss) |
|
|||
|
Income |
|
|||
|
Interest income |
$ | 9,726,890 | ||
|
Affiliated dividend income |
218,349 | |||
|
Income from securities lending, net (including affiliated income of $1,877) |
1,877 | |||
|
|
|
|||
|
Total income |
9,947,116 | |||
|
|
|
|||
|
Expenses |
||||
|
Management fee |
601,972 | |||
|
|
|
|||
|
Total expenses |
601,972 | |||
|
|
|
|||
|
Net investment income (loss) |
9,345,144 | |||
|
|
|
|||
|
Realized And Unrealized Gain (Loss) On Investments |
|
|||
|
Net realized gain (loss) on: |
|
|||
|
Investment transactions (including affiliated of $411) |
163,967 | |||
|
Futures transactions |
(108 | ) | ||
|
Swap agreement transactions |
(154,263 | ) | ||
|
|
|
|||
| 9,596 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
2,974,084 | |||
|
Futures |
(75,039 | ) | ||
|
Swap agreements |
(2,182,801 | ) | ||
|
|
|
|||
| 716,244 | ||||
|
|
|
|||
|
Net gain (loss) on investment transactions |
725,840 | |||
|
|
|
|||
|
Net Increase (Decrease) In Net Assets Resulting From Operations |
$ | 10,070,984 | ||
|
|
|
|||
See Notes to Financial Statements.
| PGIM Ultra Short Bond ETF | 35 |
Statements of Changes in Net Assets
|
Six Months
February 29, 2020 (unaudited) |
Year
Ended August 31, 2019 |
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 9,345,144 | $ | 6,839,166 | ||||
|
Net realized gain (loss) on investments |
9,596 | 985,575 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
716,244 | (584,275 | ) | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
10,070,984 | 7,240,466 | ||||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(10,604,027 | ) | (6,192,897 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
750,969,240 | 549,371,823 | ||||||
|
Cost of shares reacquired |
(205,400,923 | ) | (40,056,360 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
545,568,317 | 509,315,463 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
545,035,274 | 510,363,032 | ||||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
562,989,765 | 52,626,733 | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 1,108,025,039 | $ | 562,989,765 | ||||
|
|
|
|
|
|||||
See Notes to Financial Statements.
| 36 |
Notes to Financial Statements (unaudited)
PGIM ETF Trust (the “Trust”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”), and operated as an exchange-traded fund. The Trust was organized as a Delaware statutory trust on October 23, 2017 and consists of six separate series (each, a “Fund” and collectively, the “Funds”): PGIM Ultra Short Bond ETF, PGIM Active High Yield Bond ETF, PGIM QMA Strategic Alpha Large-Cap Core ETF, PGIM QMA Strategic Alpha Small-Cap Growth ETF, PGIM QMA Strategic Alpha Small-Cap Value ETF and PGIM QMA Strategic Alpha International Equity ETF.
These financial statements relate only to PGIM Ultra Short Bond ETF.
The investment objective of the Fund is to seek total return through a combination of current income and capital appreciation, consistent with preservation of capital.
1. Accounting Policies
The Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services—Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Fund consistently follows such policies in the preparation of its financial statements.
Securities Valuation: The Fund holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Fund to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign
| PGIM Ultra Short Bond ETF | 37 |
Notes to Financial Statements (unaudited) (continued)
securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Fund’s foreign investments may change on days when investors cannot purchase or redeem Fund shares.
Various inputs determine how the Fund’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820—Fair Value Measurements and Disclosures.
Derivative instruments, such as futures, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Fund utilizes the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
OTC and centrally cleared derivative instruments are generally classified as Level 2 in the fair value hierarchy. Such derivative instruments are typically valued using the market approach and/or income approach which generally involves obtaining data from an
| 38 |
approved independent third-party vendor source. The Fund utilizes the market approach when quoted prices in broker-dealer markets are available but also includes consideration of alternative valuation approaches, including the income approach. In the absence of reliable market quotations, the income approach is typically utilized for purposes of valuing derivatives such as interest rate swaps based on a discounted cash flow analysis whereby the value of the instrument is equal to the present value of its future cash inflows or outflows. Such analysis includes projecting future cash flows and determining the discount rate (including the present value factors that affect the discount rate) used to discount the future cash flows. In addition, the third-party vendors’ valuation techniques used to derive the evaluated derivative price is based on evaluating observable inputs, including but not limited to, underlying asset prices, indices, spreads, interest rates and exchange rates. Certain derivatives may be classified as Level 3 when valued using the market approach by obtaining a single broker quote or when utilizing unobservable inputs in the income approach. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under
| PGIM Ultra Short Bond ETF | 39 |
Notes to Financial Statements (unaudited) (continued)
federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, are made or received by the Fund each day, depending on the daily fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
The Fund invested in financial futures contracts in order to hedge its existing portfolio securities, or securities the Fund intends to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange-traded, there is minimal counterparty credit risk to the Fund since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Swap Agreements: The Fund may enter into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with a counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and
| 40 |
received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period-end, if any, are listed on the Schedule of Investments.
Interest Rate Swaps: Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates, applied to a notional principal amount for a specified period. The Fund is subject to interest rate risk in the normal course of pursuing its investment objective. The Fund used interest rate swaps to maintain its ability to generate steady cash flow by receiving a stream of fixed-rate payments and to increase exposure to prevailing market rates by receiving floating rate payments. The Fund’s maximum risk of loss from counterparty credit risk is the discounted net present value of the cash flows to be received from the counterparty over the contract’s remaining life.
Master Netting Arrangements: The Trust, on behalf of the Fund, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of the Fund. A master netting arrangement between the Fund and the counterparty permits the Fund to offset amounts payable by the Fund to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Fund to cover the Fund’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Fund lends its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the Fund securities identical to the loaned securities. Should the borrower of the securities fail financially, the Fund has the right to repurchase the securities in the open market using the collateral.
The Fund recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned
| PGIM Ultra Short Bond ETF | 41 |
Notes to Financial Statements (unaudited) (continued)
and such payments are passed back to the lender in amounts equivalent thereto. The Fund also continues to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Fund becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: It is the Fund’s policy to continue to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable net investment income and capital gains, if any, to its shareholders. Therefore, no federal income tax provision is required. Withholding taxes on foreign dividends, interest and capital gains, if any, are recorded, net of reclaimable amounts, at the time the related income is earned.
Dividends and Distributions: The Fund expects to pay dividends from net investment income monthly and distributions from net realized capital and currency gains, if any, annually. Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and which may differ from generally accepted accounting principles, are recorded on the ex-date. Permanent book/tax differences relating to income and gain (loss) are reclassified between total distributable earnings (loss) and paid-in capital in excess of par, as appropriate.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. Agreements
Pursuant to a management agreement with the Trust on behalf of the Fund (the Management Agreement), PGIM Investments, subject to the supervision of the Board and in conformity with the stated policies of the Fund, manages both the investment operations of the Fund and the composition of the Fund’s portfolio, including the purchase, retention
| 42 |
and disposition of assets. In connection therewith, the Manager is obligated to keep certain books and records of the Fund. The Manager is authorized to enter into subadvisory agreements for investment advisory services in connection with the management of the Fund. The Manager will continue to have responsibility for all investment advisory services performed pursuant to any such subadvisory agreements. PGIM Investments will review the performance of the investment subadviser(s) and make recommendations to the Board with respect to the retention of investment subadvisers and the renewal of contracts. The Manager also administers the Fund’s business affairs and, in connection therewith, furnishes the Fund with office facilities, together with those ordinary clerical and bookkeeping services which are not being furnished by the Fund’s custodian (the Custodian). The management services of PGIM Investments to the Fund are not exclusive under the terms of the Management Agreement and PGIM Investments is free to, and does, render management services to others.
The Board of Trustees of the Trust has approved a unitary management fee structure for the Fund. Under the unitary fee structure, the Manager is responsible for paying substantially all the expenses of the Fund, costs of borrowing money (including interest expenses and any loan commitment or other associated fees), taxes, acquired fund fees and expenses, brokerage fees, costs of holding shareholder meetings, litigation, indemnification and extraordinary expenses.
The unitary fee paid to the Manager is accrued daily and payable monthly, at an annual rate of 0.15% of the Fund’s average daily net assets. The Manager has contractually agreed, beginning from the inception of the Fund, to waive any management fees it receives from the Fund in an amount equal to the subadvisory fees paid by the Fund to the PGIM Institutional Money Market Fund due to the Fund’s investment of its excess overnight cash in the PGIM Institutional Money Market Fund. This waiver will remain in effect for as long as the Fund remains invested or intends to invest in the PGIM Institutional Money Market Fund.
The Manager has entered into a subadvisory agreement (Subadvisory Agreement) with PGIM, Inc., the Fund’s investment subadvisor (the “subadvisor”), which provides subadvisory services to the Fund through PGIM Fixed Income and PGIM Limited, each of which is a business unit of PGIM, Inc. The Subadvisory Agreement provides that the subadviser will furnish investment advisory services in connection with the management of the Fund. In connection therewith, the subadviser is obligated to keep certain books and records of the Fund. Under the Subadvisory Agreement, the subadviser, subject to the supervision of PGIM Investments, is responsible for managing the assets of the Fund in accordance with the Fund’s investment objectives, policies and restrictions. The subadviser determines what securities and other instruments are purchased and sold for the Fund and is responsible for obtaining and evaluating financial data relevant to the Fund. PGIM Investments continues to have responsibility for all investment advisory services pursuant to the Management Agreement and supervises the subadviser’s performance of such services. The Manager pays for the services of the subadviser.
| PGIM Ultra Short Bond ETF | 43 |
Notes to Financial Statements (unaudited) (continued)
Brown Brothers Harriman & Co. (“BBH”) serves as the Custodian, Transfer Agent, Administrative Agent and Securities Lending Agent for the Trust. Pursuant to a Custodian Agreement, BBH maintains certain financial accounting books and records pursuant to an agreement with the Trust. Subcustodians provide custodial services for any non-US assets held outside the United States. Pursuant to an Administrative and Transfer Agency Agreement, BBH maintains certain books and records and provides transfer agency, administrative, legal, tax support and accounting and financial reporting services for the maintenance and operations of the Trust. As the transfer and dividend disbursing agent of the Trust, BBH provides customary transfer agency services to the Trust, including the handling of shareholder communications, the processing of shareholder transactions, the maintenance of shareholder account records, the payment of dividends and distributions, and related functions. For these services, BBH receives compensation from the Manager and is reimbursed for expenses, including custodian and administration fees and certain out-of-pocket expenses including, but not limited to, postage, stationery, printing, allocable communication expenses and other costs. The Manager is responsible for compensating BBH under the Custodian and Administrative and Transfer Agency Agreements. As securities lending agent, BBH is responsible for marketing to approved borrowers available securities from the Fund’s portfolio. As administered by BBH, available securities from the Fund’s portfolio are furnished to borrowers through security-by-security loans effected by BBH as lending agent on behalf of the Fund. BBH is responsible for the administration and management of the Fund’s securities lending program, including the preparation and execution of a participant agreement with each borrower governing the terms and conditions of any securities loan, ensuring that securities loans are properly coordinated and documented with the Fund’s custodian, ensuring that loaned securities are daily valued and that the corresponding required cash collateral is delivered by the borrower(s), and arranging for the investment of cash collateral received from borrowers in accordance with the Fund’s investment guidelines. BBH receives as compensation for its services a portion of the amount earned by the Fund for lending securities.
PGIM Investments, PGIM, Inc., PGIM Limited and PIMS are indirect, wholly-owned subsidiaries of Prudential Financial, Inc. (“Prudential”).
3. Other Transactions with Affiliates
The Fund may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), and its securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through the Fund’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings
| 44 |
from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Fund may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Fund’s Rule 17a-7 procedures. For the period ended February 29, 2020, no 17a-7 transactions were entered into by the Fund.
Prudential Investment Management Services LLC (“PIMS” or the “Distributor”), acts as the distributor of the Fund. The Distributor is a subsidiary of Prudential, pursuant to the terms of a distribution agreement (“Distribution Agreement”) between the Trust and the Distributor. Shares are continuously offered for sale by the Distributor only. Although the Distributor does not receive any fees under the Distribution Agreement, the Manager or its affiliates may pay the Distributor for certain distribution related services.
4. Portfolio Securities
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments and U.S. Government securities) for the period ended February 29, 2020, were $518,444,702 and $6,820,574 respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the period ended February 29, 2020, is presented as follows:
| * |
The Fund did not have any capital gain distributions during the reporting period. |
| ** |
Represents the affiliated amount of securities lending income shown on the Statement of Operations. |
| PGIM Ultra Short Bond ETF | 45 |
Notes to Financial Statements (unaudited) (continued)
5. Tax Information
The United States federal income tax basis of the Fund’s investments and the net unrealized depreciation as of February 29, 2020 were as follows:
|
Tax Basis |
$ | 1,146,366,957 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
5,337,706 | |||
|
Gross Unrealized Depreciation |
(5,451,677 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (113,971 | ) | |
|
|
|
The book basis may differ from tax basis due to certain tax-related adjustments.
For federal income tax purposes, the Fund had a capital loss carryforward as of August 31, 2019 of $12,087 which can be carried forward for an unlimited period. No capital gains distributions are expected to be paid to shareholders until net gains have been realized in excess of such losses.
The Manager has analyzed the Fund’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Fund’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Fund’s U.S. federal and state tax returns for each of the two fiscal years up to the most recent fiscal year ended August 31, 2019 are subject to such review.
6. Capital and Ownership
The Fund is an exchange-traded fund, commonly known as an “ETF”. Individual shares of the Fund may only be purchased and sold in secondary market transactions through brokers or other financial intermediaries. Shares of the Fund are listed for trading on the NYSE Arca, Inc. (the “Exchange”), and because the shares of the Fund trade at market prices rather than NAV, shares of the Fund may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Fund will issue and redeem its shares at NAV only in a large specified number of shares called a “Creation Unit” or multiples thereof to investors who have entered into an agreement with the Distributor and are authorized to transact with the Trust in Creation Units (“Authorized Participants”). A Creation Unit consists of 25,000 shares of the Fund. The Fund generally issues and redeems Creation Units in return for a specified amount of cash and/ or designated portfolio of securities. Except when aggregated in Creation Units, shares are not individually redeemable. Authorized Participants transacting in Creation Units including non-standard orders and whole or partial cash purchases or redemptions may also pay variable transaction fees to compensate the Fund for certain transaction costs (e.g. brokerage costs) relating to
| 46 |
investing in portfolio securities. Such variable transaction fees, if any, are currently being waived by the Fund. In addition, fixed transaction fees are imposed for the transfer and other costs associated with the creation or redemption of Creation Units. Authorized Participants are responsible for paying these fixed transaction fees to BBH. As of February 29, 2020, these fixed transaction fees are being paid by PGIM Investments. For the reporting period ended February 29, 2020 PGIM Investments paid $29,250 of fixed transaction fees to BBH.
The Trust is authorized to issue an unlimited number of shares of beneficial interest, $0.001 par value per share.
As of February 29, 2020, Prudential, through its affiliated entities, including affiliated funds (if applicable), owned shares of the Fund as follows:
|
Fund |
Number of
Shares |
Percentage of
Outstanding Shares |
||||||
|
PGIM Ultra Short Bond Fund ETF |
2,497,880 | 11 | % | |||||
At reporting period end, the number of shareholders holding greater than 5% of the Funds are as follows:
| Affiliated | Unaffiliated | |||||||||||||||
|
Fund |
Number of
Shareholders |
Percentage of
Outstanding Shares |
Number of
Shareholders |
Percentage of
Outstanding Shares |
||||||||||||
|
PGIM Ultra Short Bond Fund ETF |
1 | 11 | % | 5 | 61 | % | ||||||||||
Transactions in shares of beneficial interest were as follows: Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
15,000,000 | $ | 750,969,240 | |||||
|
Shares reacquired |
(4,100,000 | ) | (205,400,923 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
10,900,000 | 545,568,317 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
10,900,000 | $ | 545,568,317 | |||||
|
|
|
|
|
|||||
Year ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
10,975,000 | $ | 549,371,823 | |||||
|
Shares reacquired |
(800,000 | ) | (40,056,360 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
10,175,000 | 509,315,463 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
10,175,000 | $ | 509,315,463 | |||||
|
|
|
|
|
|||||
| PGIM Ultra Short Bond ETF | 47 |
Notes to Financial Statements (unaudited) (continued)
7. Borrowings
The Trust, on behalf of the Fund, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Fund utilized the SCA during the period ended February 29, 2020. The average daily balance for the 1 day that the Fund had loans outstanding during the period was approximately $830,000, borrowed at a weighted average interest rate of 3.69%. The maximum loan balance outstanding during the period was $830,000. At February 29, 2020, the Fund did not have an outstanding loan balance.
8. Risks of Investing in the Fund
The Fund’s risks include, but are not limited to, some or all of the risks discussed below:
Authorized Participant Concentration Risk: Only an Authorized Participant may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of
| 48 |
intermediaries that act as Authorized Participants and none of these Authorized Participants is or will be obligated to engage in creation or redemption transactions. To the extent that these intermediaries exit the business or are unable to or choose not to proceed with creation and/ or redemption orders with respect to the Fund and no other Authorized Participant creates or redeems, shares of the Fund may trade at a substantial discount or premium to NAV, may trade at larger spreads and possibly face trading halts and/or delisting.
Bond Obligations Risk: The Fund’s holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk”, which is the risk that the issuer may call a bond held by the Fund for redemption before it matures and the Fund may not be able to reinvest at the same level and therefore would earn less income.
ETF Shares Trading Risk: Fund shares are listed for trading on the Exchange and the shares are bought and sold in the secondary market at market prices. The market prices of the shares of the Fund are expected to fluctuate in response to changes in the Fund’s NAV, the intraday value of the Fund’s holdings and supply and demand for shares of the Fund. We cannot predict whether shares of the Fund will trade above, below or at their NAV. Trading on the Exchange, including trading of Fund shares, may be halted in certain circumstances and shareholders may not be able to sell Fund shares at the time or price desired. During periods of stressed market conditions, the market for the shares of the Fund may become less liquid in response to deteriorating liquidity in the markets for the Fund’s portfolio investments. This adverse effect on the liquidity of the Fund’s shares could lead to differences between the market price of the Fund’s shares and the NAV of those shares. There can be no assurance that the requirements of the Exchange to maintain the listing of shares of the Fund will continue to be met. At times, trading in the securities of ETFs has become volatile and unpredictable and the price of ETF shares has diverged from market driven fundamentals.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Fund may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk”. When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Fund’s holdings may fall sharply. This is referred to as “extension risk”. The Fund may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Fund’s investments may lose value if short-term or long-term interest rates rise sharply or in a manner not anticipated by the subadviser.
Liquidity Risk: The Fund may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the
Fund are difficult to purchase or sell. Liquidity risk includes the risk that the Fund may
| PGIM Ultra Short Bond ETF | 49 |
Notes to Financial Statements (unaudited) (continued)
make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Fund is forced to sell these investments to pay redemption proceeds or for other reasons, the Fund may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Fund may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Fund’s value or prevent the Fund from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Fund’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Fund fall, the value of an investment in the Fund will decline. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Fund. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Fund will depend on the subadviser’s ability to analyze and manage derivatives transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Fund. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Fund’s derivatives positions. In fact, many over-the-counter derivative instruments will not have liquidity beyond the counterparty to the instrument. Over-the-counter derivative instruments also involve the risk that the other party will not meet its obligations to the Fund.
9. Recent Accounting Pronouncements and Reporting Updates
In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Fund’s policy for the timing of transfers between levels. The amendments are
| 50 |
effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has adopted the aspects related to the removal and modification of certain fair value measurement disclosures under the ASU. The Manager continues to evaluate certain other provisions of the ASU and does not expect a material impact to financial statement disclosures.
In September 2019, the Securities and Exchange Commission adopted a new rule and related form amendments regulating ETFs. The Manager is currently evaluating the rule and form amendments, but does not anticipate any material impact on future financial statement disclosures.
10. Subsequent Event
Subsequent to February 29, 2020 the COVID-19 outbreak was declared a pandemic by the World Health Organization. The situation is dynamic with various cities and countries around the world responding in different ways to address the outbreak.
There are meaningful direct and indirect effects developing particularly with companies in which we invest, which have adversely impacted the valuation of these companies. The Manager will continue to monitor the impact of COVID-19.
| PGIM Ultra Short Bond ETF | 51 |
Financial Highlights
|
Six Months
Ended
2020
|
Year Ended
2019 |
April 5, 2018(e)
through
2018 |
||||||||||||||||||
| Per Share Operating Performance(a): | ||||||||||||||||||||
| Net Asset Value, Beginning of Period | $50.15 | $50.12 | $50.00 | |||||||||||||||||
| Income (loss) from investment operations: | ||||||||||||||||||||
| Net investment income (loss) | 0.58 | 1.40 | 0.53 | |||||||||||||||||
| Net realized and unrealized gain (loss) on investments | 0.08 | (0.02 | ) | 0.01 | ||||||||||||||||
| Total from investment operations | 0.66 | 1.38 | 0.54 | |||||||||||||||||
| Less Dividends and Distributions: | ||||||||||||||||||||
|
Dividends from net investment income |
(0.73 | ) | (1.35 | ) | (0.42 | ) | ||||||||||||||
| Net asset value, end of period | $50.08 | $50.15 | $50.12 | |||||||||||||||||
| Total Return(b): | 1.31% | 2.80% | 1.08% | |||||||||||||||||
| Ratios/Supplemental Data: | ||||||||||||||||||||
| Net assets, end of period (000) | $1,108,025 | $562,990 | $52,627 | |||||||||||||||||
| Average net assets (000) | $807,039 | $246,678 | $33,209 | |||||||||||||||||
| Ratios to average net assets(c): | ||||||||||||||||||||
| Expenses after waivers and/or expense reimbursement | 0.15% | (d) | 0.15% | 0.15% | (d) | |||||||||||||||
| Expenses before waivers and/or expense reimbursement | 0.15% | (d) | 0.15% | 0.15% | (d) | |||||||||||||||
| Net investment income (loss) | 2.33% | (d) | 2.77% | 2.58% | (d) | |||||||||||||||
| Portfolio turnover rate(f) | 1% | 7% | 145% | |||||||||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
See Notes to Financial Statements.
| 52 |
| ∎ TELEPHONE | ∎ WEBSITE | |||
|
655 Broad Street Newark, NJ 07102 |
(800) 225-1852 |
pgiminvestments.com |
||
| PROXY VOTING |
| The Board of Trustees of the Fund has delegated to the Fund’s subadviser the responsibility for voting any proxies and maintaining proxy recordkeeping with respect to the Fund. A description of these proxy voting policies and procedures is available without charge, upon request, by calling (800) 225-1852. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website and on the Securities and Exchange Commission’s website. |
| TRUSTEES |
| Ellen S. Alberding • Kevin J. Bannon • Scott E. Benjamin • Linda W. Bynoe • Barry H. Evans • Keith F. Hartstein • Laurie Simon Hodrick • Michael S. Hyland • Stuart S. Parker • Brian K. Reid • Grace C. Torres |
| OFFICERS |
| Stuart S. Parker, President • Scott E. Benjamin, Vice President • Christian J. Kelly, Treasurer and Principal Financial and Accounting Officer • Raymond A. O’Hara, Chief Legal Officer • Dino Capasso, Chief Compliance Officer • Charles H. Smith, Anti-Money Laundering Compliance Officer • Andrew R. French, Secretary • Jonathan D. Shain, Assistant Secretary • Claudia DiGiacomo, Assistant Secretary • Melissa Gonzalez, Assistant Secretary • Diana N. Huffman, Assistant Secretary • Kelly A. Coyne, Assistant Secretary • Lana Lomuti, Assistant Treasurer • Russ Shupak, Assistant Treasurer • Elyse McLaughlin, Assistant Treasurer • Deborah Conway, Assistant Treasurer |
| MANAGER | PGIM Investments LLC |
655 Broad Street Newark, NJ 07102 |
||
|
|
||||
| SUBADVISER |
PGIM Fixed Income PGIM Limited |
655 Broad Street Newark, NJ 07102 |
||
|
|
||||
| DISTRIBUTOR |
Prudential Investment
Management Services LLC |
655 Broad Street Newark, NJ 07102 |
||
|
|
||||
| CUSTODIAN/TRANSFER AGENT | Brown Brothers Harriman & Co. |
50 Post Office Square Boston, MA 02110 |
||
|
|
||||
| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | KPMG LLP |
345 Park Avenue
New York, NY 10154 |
||
|
|
||||
| FUND COUNSEL | Willkie Farr & Gallagher LLP |
787 Seventh Avenue
New York, NY 10019 |
||
|
|
||||
| An investor should consider the investment objectives, risks, charges, and expenses of the Fund carefully before investing. The prospectus and summary prospectus contain this and other information about the Fund. An investor may obtain the prospectus and summary prospectus by visiting our website at pgiminvestments.com or by calling (800) 225-1852. The prospectus and summary prospectus should be read carefully before investing. |
| E-DELIVERY |
| To receive your fund documents online, go to pgiminvestments.com/edelivery and enroll. Instead of receiving printed documents by mail, you will receive notification via email when new materials are available. You can cancel your enrollment or change your email address at any time by visiting the website address above. |
| SHAREHOLDER COMMUNICATIONS WITH TRUSTEES |
| Shareholders can communicate directly with the Board of Trustees by writing to the Chair of the Board, PGIM Ultra Short Bond ETF, PGIM Investments, Attn: Board of Trustees, 655 Broad Street, Newark, NJ 07102. Shareholders can communicate directly with an individual Trustee by writing to the same address. Communications are not screened before being delivered to the addressee. |
| AVAILABILITY OF PORTFOLIO SCHEDULE |
| The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT filings are available on the Commission’s website at sec.gov. |
Funds:
| ARE NOT INSURED BY THE FDIC OR ANY FEDERAL GOVERNMENT AGENCY | MAY LOSE VALUE | ARE NOT A DEPOSIT OF OR GUARANTEED BY ANY BANK OR ANY BANK AFFILIATE |
PGIM ULTRA SHORT BOND ETF
| TICKER SYMBOL | PULS |
ETF1000E2
PGIM ACTIVE HIGH YIELD BOND ETF (NYSE Arca: PHYL)
SEMIANNUAL REPORT
FEBRUARY 29, 2020
COMING SOON: PAPERLESS SHAREHOLDER REPORTS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (pgiminvestments.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. You should contact your financial intermediary or follow instructions included with this notice to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.
To enroll in e-delivery, go to pgiminvestments.com/edelivery
| 3 | ||||
| 4 | ||||
| 6 | ||||
| 9 | ||||
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
The information about the Fund’s portfolio holdings is for the period covered by this report and is subject to change thereafter.
The accompanying financial statements as of February 29, 2020 were not audited and, accordingly, no auditor’s opinion is expressed on them.
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. © 2020 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.
| 2 | Visit our website at pgiminvestments.com |
Dear Shareholder:
We hope you find the semiannual report for PGIM Active High Yield Bond ETF informative and useful. The report covers performance for the six-month period ended February 29, 2020.
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 consider it a great privilege and responsibility to help investors participate in opportunities across global markets while meeting their toughest investment challenges. PGIM is a top-10 global investment manager with more than $1 trillion in assets under management. This investment expertise allows us to deliver actively managed funds and strategies to meet the needs of investors around the globe.
Thank you for choosing our family of funds.
Sincerely,
Stuart S. Parker, President
PGIM Active High Yield Bond ETF
April 15, 2020
| PGIM Active High Yield Bond ETF | 3 |
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 pgiminvestments.com or by calling (800) 225-1852.
| Total Returns as of 2/29/20 |
Average Annual Total Returns
|
|||||
| Six Months* (%) | One Year (%) | Since Inception (%) | ||||
| Net Asset Value (NAV) | 1.68 | 7.62 | 6.88 (9/24/18) | |||
| Market Price** | 2.57 | 8.53 | 7.76 (9/24/18) | |||
| Bloomberg Barclays US High Yield Very Liquid Index | 0.93 | 5.60 | 5.32 | |||
*Not annualized.
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Index are measured from the closest month-end to the Fund’s inception date.
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.
Benchmark Definitions
Bloomberg Barclays US High Yield Very Liquid Index (VLI)—The Bloomberg Barclays 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 sales charges, operating expenses of a mutual fund, or taxes.
| 4 | Visit our website at pgiminvestments.com |
| Credit Quality expressed as a percentage of total investments as of 2/29/20 (%) | ||||
| AAA | 5.0 | |||
| BBB | 2.3 | |||
| BB | 35.2 | |||
| B | 43.2 | |||
| CCC | 12.3 | |||
| CC | 0.2 | |||
| C | 0.1 | |||
| Not Rated | –0.4 | |||
| Cash/Cash Equivalents | 2.1 | |||
| Total Investments | 100.0 | |||
Source: PGIM Fixed Income
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. Credit ratings are subject to change.
| Distributions and Yields as of 2/29/20 | ||||||
|
Total Dividends
Paid for Six Months ($) |
SEC 30-Day
Subsidized Yield* (%) |
SEC 30-Day
Unsubsidized Yield** (%) |
||||
| 1.74 | 6.68 | 6.68 | ||||
*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 Active High Yield Bond ETF | 5 |
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 February 29, 2020. The example is for illustrative purposes only.
Actual Expenses
The information under each column in the line entitled “Actual” 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 information under each column in the line entitled “Hypothetical” 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 table 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.
| 6 | Visit our website at pgiminvestments.com |
|
PGIM Active High Yield
Bond ETF |
Beginning Account
Value September 1, 2019 |
Ending Account
Value February 29, 2020 |
Annualized
Expense Ratio based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
||||||||||||||
|
Actual Hypothetical |
$
$ |
1,000.00
1,000.00 |
|
$
$ |
1,016.80
1,022.53 |
|
|
0.53
0.53 |
%
% |
$
$ |
2.66
2.66 |
|
||||||
*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 182 days in the six-month period ended February 29, 2020, and divided by the 366 days in the Fund’s fiscal year ending August 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Fund may invest.
| PGIM Active High Yield Bond ETF | 7 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited)
as of February 29, 2020
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 9 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
See Notes to Financial Statements.
| 10 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (continued) |
||||||||||||||||
|
Aerospace & Defense (cont’d.) |
||||||||||||||||
|
SSL Robotics LLC, Sr. Sec’d. Notes, 144A |
9.750 | % | 12/31/23 | 50 | $ | 53,190 | ||||||||||
|
TransDigm, Inc., Gtd. Notes |
6.500 | 05/15/25 | 100 | 103,353 | ||||||||||||
|
|
|
|||||||||||||||
| 788,491 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Agriculture 0.6% |
||||||||||||||||
|
Vector Group Ltd., |
||||||||||||||||
|
Gtd. Notes, 144A |
10.500 | 11/01/26 | 25 | 24,938 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
6.125 | 02/01/25 | 150 | 145,050 | ||||||||||||
|
|
|
|||||||||||||||
| 169,988 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Auto Manufacturers 1.6% |
||||||||||||||||
|
Allison Transmission, Inc., Sr. Unsec’d. Notes, 144A |
4.750 | 10/01/27 | 50 | 51,234 | ||||||||||||
|
Ford Motor Co., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
4.750 | 01/15/43 | 125 | 109,931 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.291 | 12/08/46 | 175 | 160,248 | ||||||||||||
|
Navistar International Corp., Gtd. Notes, 144A |
6.625 | 11/01/25 | 140 | 145,298 | ||||||||||||
|
|
|
|||||||||||||||
| 466,711 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Auto Parts & Equipment 2.0% |
||||||||||||||||
|
Adient Global Holdings Ltd. (Jersey, Channel Islands), Gtd. Notes, 144A |
4.875 | 08/15/26 | 200 | 172,406 | ||||||||||||
|
American Axle & Manufacturing, Inc., |
||||||||||||||||
|
Gtd. Notes |
6.250 | 04/01/25 | 25 | 24,227 | ||||||||||||
|
Gtd. Notes |
6.250 | 03/15/26 | 100 | 96,331 | ||||||||||||
|
Gtd. Notes |
6.500 | 04/01/27 | 50 | 48,041 | ||||||||||||
|
Cooper-Standard Automotive, Inc., Gtd. Notes, 144A |
5.625 | 11/15/26 | 75 | 66,929 | ||||||||||||
|
Dana Financing Luxembourg Sarl (Luxembourg), Gtd. Notes, 144A |
6.500 | 06/01/26 | 100 | 105,432 | ||||||||||||
|
Titan International, Inc., Sr. Sec’d. Notes |
6.500 | 11/30/23 | 75 | 58,927 | ||||||||||||
|
|
|
|||||||||||||||
| 572,293 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Banks 0.2% |
||||||||||||||||
|
CIT Group, Inc., Subordinated |
6.125 | 03/09/28 | 50 | 60,059 | ||||||||||||
|
Building Materials 1.6% |
||||||||||||||||
|
Cornerstone Building Brands, Inc., Gtd. Notes, 144A(a) |
8.000 | 04/15/26 | 75 | 74,246 | ||||||||||||
|
Griffon Corp., Sr. Unsec’d. Notes, 144A |
5.750 | 03/01/28 | 25 | 25,189 | ||||||||||||
|
Masonite International Corp. (Canada), Gtd. Notes, 144A |
5.375 | 02/01/28 | 30 | 31,508 | ||||||||||||
|
Patrick Industries, Inc., Sr. Unsec’d. Notes, 144A |
7.500 | 10/15/27 | 50 | 54,383 | ||||||||||||
|
Standard Industries, Inc., Sr. Unsec’d. Notes, 144A |
4.750 | 01/15/28 | 100 | 102,852 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 11 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (continued) |
||||||||||||||||
|
Building Materials (cont’d.) |
||||||||||||||||
|
Summit Materials LLC/Summit Materials Finance Corp., Gtd. Notes, 144A |
6.500 | % | 03/15/27 | 20 | $ | 21,461 | ||||||||||
|
US Concrete, Inc., Gtd. Notes |
6.375 | 06/01/24 | 150 | 152,911 | ||||||||||||
|
|
|
|||||||||||||||
| 462,550 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Chemicals 4.1% |
||||||||||||||||
|
Ashland LLC, Gtd. Notes |
6.875 | 05/15/43 | 75 | 89,361 | ||||||||||||
|
Atotech Alpha 2 BV (Netherlands), Sr. Unsec’d. Notes, Cash coupon 8.750% or PIK 9.500%, 144A |
8.750 | 06/01/23 | 200 | 202,551 | ||||||||||||
|
Blue Cube Spinco LLC, Gtd. Notes |
10.000 | 10/15/25 | 75 | 81,656 | ||||||||||||
|
Chemours Co. (The), |
||||||||||||||||
|
Gtd. Notes(a) |
5.375 | 05/15/27 | 50 | 42,936 | ||||||||||||
|
Gtd. Notes |
6.625 | 05/15/23 | 75 | 72,345 | ||||||||||||
|
Gtd. Notes(a) |
7.000 | 05/15/25 | 100 | 93,565 | ||||||||||||
|
Cornerstone Chemical Co., Sr. Sec’d. Notes, 144A |
6.750 | 08/15/24 | 50 | 44,875 | ||||||||||||
|
Hexion, Inc., Gtd. Notes, 144A |
7.875 | 07/15/27 | 80 | 79,635 | ||||||||||||
|
NOVA Chemicals Corp. (Canada), Sr. Unsec’d. Notes, 144A |
5.250 | 06/01/27 | 115 | 109,369 | ||||||||||||
|
Rain CII Carbon LLC/CII Carbon Corp., Sec’d. Notes, 144A |
7.250 | 04/01/25 | 75 | 72,297 | ||||||||||||
|
TPC Group, Inc., Sr. Sec’d. Notes, 144A |
10.500 | 08/01/24 | 65 | 66,022 | ||||||||||||
|
Tronox Finance PLC (United Kingdom), Gtd. Notes, 144A |
5.750 | 10/01/25 | 95 | 89,867 | ||||||||||||
|
Tronox, Inc., Gtd. Notes, 144A(a) |
6.500 | 04/15/26 | 75 | 71,980 | ||||||||||||
|
Valvoline, Inc., Gtd. Notes, 144A |
4.250 | 02/15/30 | 20 | 19,726 | ||||||||||||
|
Venator Finance Sarl/Venator Materials LLC, Gtd. Notes, 144A(a) |
5.750 | 07/15/25 | 60 | 54,717 | ||||||||||||
|
|
|
|||||||||||||||
| 1,190,902 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Commercial Services 4.7% |
||||||||||||||||
|
Allied Universal Holdco LLC/Allied Universal Finance Corp., |
||||||||||||||||
|
Sr. Sec’d. Notes, 144A |
6.625 | 07/15/26 | 25 | 26,208 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
9.750 | 07/15/27 | 125 | 133,345 | ||||||||||||
|
AMN Healthcare, Inc., Gtd. Notes, 144A |
4.625 | 10/01/27 | 25 | 25,469 | ||||||||||||
|
Laureate Education, Inc., Gtd. Notes, 144A |
8.250 | 05/01/25 | 135 | 143,169 | ||||||||||||
|
Refinitiv US Holdings, Inc., Gtd. Notes, 144A |
8.250 | 11/15/26 | 335 | 370,265 | ||||||||||||
|
United Rentals North America, Inc., |
||||||||||||||||
|
Gtd. Notes |
4.000 | 07/15/30 | 25 | 24,479 | ||||||||||||
|
Gtd. Notes |
4.875 | 01/15/28 | 325 | 334,011 | ||||||||||||
|
Gtd. Notes |
5.250 | 01/15/30 | 200 | 211,684 | ||||||||||||
See Notes to Financial Statements.
| 12 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Commercial Services (cont’d.) |
||||||||||||||||
|
Verscend Escrow Corp., Sr. Unsec’d. Notes, 144A |
9.750 | % | 08/15/26 | 95 | $ | 103,551 | ||||||||||
|
|
|
|||||||||||||||
| 1,372,181 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Computers 1.0% |
||||||||||||||||
|
Banff Merger Sub, Inc., Sr. Unsec’d. Notes, 144A |
9.750 | 09/01/26 | 226 | 227,589 | ||||||||||||
|
Everi Payments, Inc., Gtd. Notes, 144A |
7.500 | 12/15/25 | 59 | 61,824 | ||||||||||||
|
|
|
|||||||||||||||
| 289,413 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Distribution/Wholesale 0.1% |
||||||||||||||||
|
H&E Equipment Services, Inc., Gtd. Notes |
5.625 | 09/01/25 | 25 | 25,970 | ||||||||||||
|
Diversified Financial Services 3.3% |
||||||||||||||||
|
Alliance Data Systems Corp., Gtd. Notes, 144A |
4.750 | 12/15/24 | 50 | 49,291 | ||||||||||||
|
Fairstone Financial, Inc. (Canada), Sr. Unsec’d. Notes, 144A |
7.875 | 07/15/24 | 55 | 60,005 | ||||||||||||
|
LPL Holdings, Inc., Gtd. Notes, 144A |
5.750 | 09/15/25 | 25 | 26,086 | ||||||||||||
|
Nationstar Mortgage Holdings, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
6.000 | 01/15/27 | 75 | 76,183 | ||||||||||||
|
Gtd. Notes, 144A |
8.125 | 07/15/23 | 25 | 26,097 | ||||||||||||
|
Gtd. Notes, 144A |
9.125 | 07/15/26 | 250 | 271,626 | ||||||||||||
|
Springleaf Finance Corp., |
||||||||||||||||
|
Gtd. Notes |
5.375 | 11/15/29 | 25 | 25,552 | ||||||||||||
|
Gtd. Notes |
6.625 | 01/15/28 | 50 | 54,931 | ||||||||||||
|
Gtd. Notes |
6.875 | 03/15/25 | 75 | 83,287 | ||||||||||||
|
Gtd. Notes |
7.125 | 03/15/26 | 250 | 277,402 | ||||||||||||
|
|
|
|||||||||||||||
| 950,460 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Electric 3.5% |
||||||||||||||||
|
Calpine Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
5.750 | 01/15/25 | 350 | 348,926 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.125 | 03/15/28 | 275 | 259,240 | ||||||||||||
|
NRG Energy, Inc., Gtd. Notes |
5.750 | 01/15/28 | 75 | 78,341 | ||||||||||||
|
Vistra Operations Co. LLC, |
||||||||||||||||
|
Gtd. Notes, 144A |
5.000 | 07/31/27 | 90 | 91,030 | ||||||||||||
|
Gtd. Notes, 144A |
5.625 | 02/15/27 | 225 | 230,589 | ||||||||||||
|
|
|
|||||||||||||||
| 1,008,126 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Electronics 0.1% |
||||||||||||||||
|
Sensata Technologies BV (Netherlands),
|
5.000 | 10/01/25 | 25 | 26,417 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 13 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Energy—Alternate Sources 0.2% |
||||||||||||||||
|
Enviva Partners LP/Enviva Partners Finance Corp., Gtd. Notes, 144A |
6.500 | % | 01/15/26 | 50 | $ | 52,072 | ||||||||||
|
Engineering & Construction 0.8% |
||||||||||||||||
|
AECOM, |
||||||||||||||||
|
Gtd. Notes |
5.125 | 03/15/27 | 125 | 129,313 | ||||||||||||
|
Gtd. Notes |
5.875 | 10/15/24 | 25 | 27,045 | ||||||||||||
|
TopBuild Corp., Gtd. Notes, 144A |
5.625 | 05/01/26 | 75 | 78,326 | ||||||||||||
|
|
|
|||||||||||||||
| 234,684 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Entertainment 3.3% |
||||||||||||||||
|
AMC Entertainment Holdings, Inc., |
||||||||||||||||
|
Gtd. Notes |
5.750 | 06/15/25 | 50 | 40,306 | ||||||||||||
|
Gtd. Notes(a) |
5.875 | 11/15/26 | 175 | 139,706 | ||||||||||||
|
Gtd. Notes(a) |
6.125 | 05/15/27 | 25 | 19,988 | ||||||||||||
|
Caesars Resort Collection LLC/CRC Finco, Inc., Gtd. Notes, 144A |
5.250 | 10/15/25 | 175 | 173,426 | ||||||||||||
|
Golden Entertainment, Inc., Sr. Unsec’d. Notes, 144A |
7.625 | 04/15/26 | 100 | 107,342 | ||||||||||||
|
Jacobs Entertainment, Inc., Sec’d. Notes, 144A |
7.875 | 02/01/24 | 75 | 79,283 | ||||||||||||
|
Penn National Gaming, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 01/15/27 | 50 | 51,189 | ||||||||||||
|
Scientific Games International, Inc., |
||||||||||||||||
|
Gtd. Notes |
6.625 | 05/15/21 | 125 | 124,828 | ||||||||||||
|
Gtd. Notes, 144A |
7.000 | 05/15/28 | 25 | 24,392 | ||||||||||||
|
Gtd. Notes, 144A |
7.250 | 11/15/29 | 25 | 24,403 | ||||||||||||
|
Gtd. Notes, 144A |
8.250 | 03/15/26 | 100 | 103,259 | ||||||||||||
|
Twin River Worldwide Holdings, Inc., Sr. Unsec’d. Notes, 144A |
6.750 | 06/01/27 | 50 | 52,311 | ||||||||||||
|
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Gtd. Notes, 144A |
5.125 | 10/01/29 | 30 | 29,187 | ||||||||||||
|
|
|
|||||||||||||||
| 969,620 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Food 2.8% |
||||||||||||||||
|
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC, Gtd. Notes, 144A |
4.875 | 02/15/30 | 25 | 25,000 | ||||||||||||
|
B&G Foods, Inc., |
||||||||||||||||
|
Gtd. Notes |
5.250 | 04/01/25 | 50 | 49,444 | ||||||||||||
|
Gtd. Notes(a) |
5.250 | 09/15/27 | 50 | 48,659 | ||||||||||||
|
JBS USA LUX SA/JBS USA Finance, Inc., Gtd. Notes, 144A |
5.750 | 06/15/25 | 325 | 333,735 | ||||||||||||
See Notes to Financial Statements.
| 14 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Food (cont’d.) |
||||||||||||||||
|
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
6.500 | % | 04/15/29 | 5 | $ | 5,432 | ||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.500 | 01/15/30 | 25 | 26,455 | ||||||||||||
|
Pilgrim’s Pride Corp., Gtd. Notes, 144A |
5.875 | 09/30/27 | 125 | 129,719 | ||||||||||||
|
Post Holdings, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.500 | 12/15/29 | 125 | 129,723 | ||||||||||||
|
Gtd. Notes, 144A |
5.625 | 01/15/28 | 50 | 52,038 | ||||||||||||
|
|
|
|||||||||||||||
| 800,205 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Gas 0.9% |
||||||||||||||||
|
AmeriGas Partners LP/AmeriGas Finance Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
5.500 | 05/20/25 | 125 | 125,979 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.750 | 05/20/27 | 75 | 77,997 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.875 | 08/20/26 | 50 | 51,933 | ||||||||||||
|
|
|
|||||||||||||||
| 255,909 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Healthcare—Services 5.2% |
||||||||||||||||
|
Centene Corp., Sr. Unsec’d. Notes, 144A |
4.250 | 12/15/27 | 25 | 25,793 | ||||||||||||
|
CHS/Community Health Systems, Inc., Sr. Sec’d. Notes |
6.250 | 03/31/23 | 100 | 100,330 | ||||||||||||
|
HCA, Inc., |
||||||||||||||||
|
Gtd. Notes |
5.625 | 09/01/28 | 150 | 170,216 | ||||||||||||
|
Gtd. Notes |
5.875 | 02/01/29 | 150 | 173,263 | ||||||||||||
|
MEDNAX, Inc., Gtd. Notes, 144A |
6.250 | 01/15/27 | 75 | 72,163 | ||||||||||||
|
Polaris Intermediate Corp., Sr. Unsec’d. Notes, Cash coupon 8.500% or PIK 9.250%, 144A(a) |
8.500 | 12/01/22 | 210 | 178,503 | ||||||||||||
|
RegionalCare Hospital Partners Holdings, Inc./ LifePoint Health, Inc., Gtd. Notes, 144A |
9.750 | 12/01/26 | 225 | 241,893 | ||||||||||||
|
Surgery Center Holdings, Inc., Gtd. Notes, 144A |
10.000 | 04/15/27 | 75 | 82,893 | ||||||||||||
|
Tenet Healthcare Corp., |
||||||||||||||||
|
Sec’d. Notes, 144A |
6.250 | 02/01/27 | 125 | 131,077 | ||||||||||||
|
Sr. Unsec’d. Notes |
6.750 | 06/15/23 | 200 | 214,019 | ||||||||||||
|
Sr. Unsec’d. Notes |
6.875 | 11/15/31 | 125 | 129,748 | ||||||||||||
|
|
|
|||||||||||||||
| 1,519,898 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Home Builders 5.6% |
||||||||||||||||
|
Ashton Woods USA LLC/Ashton Woods Finance Co., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.750 | 08/01/25 | 100 | 103,699 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
9.875 | 04/01/27 | 75 | 86,383 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 15 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Home Builders (cont’d.) |
||||||||||||||||
|
Beazer Homes USA, Inc., |
||||||||||||||||
|
Gtd. Notes |
5.875 | % | 10/15/27 | 50 | $ | 50,657 | ||||||||||
|
Gtd. Notes |
6.750 | 03/15/25 | 75 | 77,412 | ||||||||||||
|
Gtd. Notes, 144A |
7.250 | 10/15/29 | 50 | 53,037 | ||||||||||||
|
Brookfield Residential Properties, Inc./Brookfield Residential US Corp. (Canada), |
||||||||||||||||
|
Gtd. Notes, 144A |
4.875 | 02/15/30 | 25 | 24,762 | ||||||||||||
|
Gtd. Notes, 144A |
6.250 | 09/15/27 | 75 | 77,650 | ||||||||||||
|
Gtd. Notes, 144A |
6.375 | 05/15/25 | 50 | 52,050 | ||||||||||||
|
Century Communities, Inc., Gtd. Notes |
6.750 | 06/01/27 | 75 | 82,466 | ||||||||||||
|
Forestar Group, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
8.000 | 04/15/24 | 25 | 27,098 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.000 | 03/01/28 | 25 | 24,590 | ||||||||||||
|
KB Home, |
||||||||||||||||
|
Gtd. Notes |
4.800 | 11/15/29 | 25 | 26,416 | ||||||||||||
|
Gtd. Notes |
6.875 | 06/15/27 | 50 | 59,153 | ||||||||||||
|
M/I Homes, Inc., |
||||||||||||||||
|
Gtd. Notes |
5.625 | 08/01/25 | 50 | 52,307 | ||||||||||||
|
Gtd. Notes, 144A |
4.950 | 02/01/28 | 25 | 25,455 | ||||||||||||
|
Mattamy Group Corp. (Canada), |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
4.625 | 03/01/30 | 25 | 24,243 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.250 | 12/15/27 | 75 | 78,514 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.500 | 10/01/25 | 75 | 80,466 | ||||||||||||
|
Meritage Homes Corp., Gtd. Notes |
5.125 | 06/06/27 | 125 | 139,025 | ||||||||||||
|
New Home Co., Inc. (The), Gtd. Notes |
7.250 | 04/01/22 | 50 | 50,723 | ||||||||||||
|
PulteGroup, Inc., Gtd. Notes |
5.000 | 01/15/27 | 25 | 27,488 | ||||||||||||
|
Taylor Morrison Communities, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.875 | 01/31/25 | 125 | 128,442 | ||||||||||||
|
Gtd. Notes, 144A |
5.875 | 06/15/27 | 75 | 84,081 | ||||||||||||
|
Gtd. Notes, 144A |
6.625 | 07/15/27 | 75 | 81,234 | ||||||||||||
|
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., Gtd. Notes, 144A |
5.625 | 03/01/24 | 100 | 107,974 | ||||||||||||
|
|
|
|||||||||||||||
| 1,625,325 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Household Products/Wares 0.1% |
||||||||||||||||
|
Spectrum Brands, Inc., Gtd. Notes |
5.750 | 07/15/25 | 25 | 25,661 | ||||||||||||
|
Housewares 0.2% |
||||||||||||||||
|
Scotts Miracle-Gro Co. (The), Gtd. Notes, 144A |
4.500 | 10/15/29 | 50 | 51,890 | ||||||||||||
See Notes to Financial Statements.
| 16 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Internet 0.9% |
||||||||||||||||
|
Zayo Group LLC/Zayo Capital, Inc., |
||||||||||||||||
|
Gtd. Notes |
6.000 | % | 04/01/23 | 75 | $ | 76,592 | ||||||||||
|
Gtd. Notes |
6.375 | 05/15/25 | 50 | 51,052 | ||||||||||||
|
Gtd. Notes, 144A |
5.750 | 01/15/27 | 120 | 122,423 | ||||||||||||
|
|
|
|||||||||||||||
| 250,067 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Iron/Steel 0.4% |
||||||||||||||||
|
Cleveland-Cliffs, Inc., |
||||||||||||||||
|
Gtd. Notes(a) |
5.750 | 03/01/25 | 29 | 26,505 | ||||||||||||
|
Gtd. Notes, 144A |
5.875 | 06/01/27 | 100 | 84,233 | ||||||||||||
|
|
|
|||||||||||||||
| 110,738 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Lodging 0.3% |
||||||||||||||||
|
Marriott Ownership Resorts, Inc., Gtd. Notes, 144A |
4.750 | 01/15/28 | 20 | 19,961 | ||||||||||||
|
MGM Resorts International, Gtd. Notes |
5.500 | 04/15/27 | 25 | 27,465 | ||||||||||||
|
Station Casinos LLC, Gtd. Notes, 144A |
4.500 | 02/15/28 | 25 | 23,850 | ||||||||||||
|
Wyndham Destinations, Inc., Sr. Sec’d. Notes, 144A |
4.625 | 03/01/30 | 25 | 25,241 | ||||||||||||
|
|
|
|||||||||||||||
| 96,517 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Machinery-Diversified 0.5% |
||||||||||||||||
|
ATS Automation Tooling Systems, Inc. (Canada), Gtd. Notes, 144A |
6.500 | 06/15/23 | 25 | 25,675 | ||||||||||||
|
Cloud Crane LLC, Sec’d. Notes, 144A |
10.125 | 08/01/24 | 125 | 127,500 | ||||||||||||
|
|
|
|||||||||||||||
| 153,175 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Media 7.8% |
||||||||||||||||
|
AMC Networks, Inc., Gtd. Notes |
4.750 | 08/01/25 | 40 | 39,865 | ||||||||||||
|
CCO Holdings LLC/CCO Holdings Capital Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
4.750 | 03/01/30 | 150 | 154,612 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.000 | 02/01/28 | 230 | 239,243 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.375 | 06/01/29 | 175 | 186,497 | ||||||||||||
|
Clear Channel Worldwide Holdings, Inc., Gtd. Notes, 144A |
9.250 | 02/15/24 | 434 | 462,061 | ||||||||||||
|
Cumulus Media New Holdings, Inc., Sr. Sec’d. Notes, 144A |
6.750 | 07/01/26 | 75 | 77,959 | ||||||||||||
|
Diamond Sports Group LLC/Diamond Sports Finance Co., |
||||||||||||||||
|
Gtd. Notes, 144A(a) |
6.625 | 08/15/27 | 255 | 206,521 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
5.375 | 08/15/26 | 175 | 161,441 | ||||||||||||
|
DISH DBS Corp., Gtd. Notes |
7.750 | 07/01/26 | 90 | 96,794 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 17 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Media (cont’d.) |
||||||||||||||||
|
Entercom Media Corp., |
||||||||||||||||
|
Gtd. Notes, 144A(a) |
7.250 | % | 11/01/24 | 50 | $ | 52,632 | ||||||||||
|
Sec’d. Notes, 144A |
6.500 | 05/01/27 | 20 | 21,025 | ||||||||||||
|
Gray Television, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.875 | 07/15/26 | 65 | 67,127 | ||||||||||||
|
Gtd. Notes, 144A |
7.000 | 05/15/27 | 75 | 81,355 | ||||||||||||
|
iHeartCommunications, Inc., Gtd. Notes |
8.375 | 05/01/27 | 125 | 135,795 | ||||||||||||
|
Radiate Holdco LLC/Radiate Finance, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.625 | 02/15/25 | 60 | 60,241 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.875 | 02/15/23 | 100 | 100,574 | ||||||||||||
|
Scripps Escrow, Inc., Gtd. Notes, 144A |
5.875 | 07/15/27 | 20 | 20,751 | ||||||||||||
|
Univision Communications, Inc., Sr. Sec’d. Notes, 144A |
5.125 | 02/15/25 | 100 | 94,181 | ||||||||||||
|
|
|
|||||||||||||||
| 2,258,674 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Mining 3.1% |
||||||||||||||||
|
Constellium SE (France), Gtd. Notes, 144A |
5.875 | 02/15/26 | 250 | 253,960 | ||||||||||||
|
Eldorado Gold Corp. (Canada), Sec’d. Notes, 144A |
9.500 | 06/01/24 | 75 | 81,379 | ||||||||||||
|
First Quantum Minerals Ltd. (Canada), Gtd. Notes, 144A |
6.875 | 03/01/26 | 200 | 186,853 | ||||||||||||
|
Freeport-McMoRan, Inc., Gtd. Notes |
4.550 | 11/14/24 | 30 | 30,944 | ||||||||||||
|
Hecla Mining Co., Gtd. Notes |
7.250 | 02/15/28 | 25 | 24,567 | ||||||||||||
|
IAMGOLD Corp. (Canada), Gtd. Notes, 144A |
7.000 | 04/15/25 | 85 | 87,259 | ||||||||||||
|
New Gold, Inc. (Canada), |
||||||||||||||||
|
Gtd. Notes, 144A |
6.250 | 11/15/22 | 40 | 40,290 | ||||||||||||
|
Gtd. Notes, 144A |
6.375 | 05/15/25 | 55 | 53,990 | ||||||||||||
|
Novelis Corp., Gtd. Notes, 144A |
5.875 | 09/30/26 | 150 | 155,126 | ||||||||||||
|
|
|
|||||||||||||||
| 914,368 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Miscellaneous Manufacturer 0.3% |
||||||||||||||||
|
Amsted Industries, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.625 | 07/01/27 | 25 | 26,524 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
4.625 | 05/15/30 | 35 | 35,213 | ||||||||||||
|
FXI Holdings, Inc., Sr. Sec’d. Notes, 144A |
7.875 | 11/01/24 | 25 | 23,498 | ||||||||||||
|
|
|
|||||||||||||||
| 85,235 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Oil & Gas 6.8% |
||||||||||||||||
|
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp., Gtd. Notes(d) |
7.875 | 12/15/24 | 310 | 664 | ||||||||||||
|
Antero Resources Corp., |
||||||||||||||||
|
Gtd. Notes |
5.000 | 03/01/25 | 175 | 90,048 | ||||||||||||
|
Gtd. Notes |
5.125 | 12/01/22 | 25 | 15,558 | ||||||||||||
See Notes to Financial Statements.
| 18 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Oil & Gas (cont’d.) |
||||||||||||||||
|
Antero Resources Corp., (cont’d.) |
||||||||||||||||
|
Gtd. Notes |
5.375 | % | 11/01/21 | 50 | $ | 41,655 | ||||||||||
|
Gtd. Notes |
5.625 | 06/01/23 | 50 | 27,142 | ||||||||||||
|
Ascent Resources Utica Holdings LLC/ARU Finance Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
7.000 | 11/01/26 | 75 | 47,204 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
10.000 | 04/01/22 | 175 | 149,300 | ||||||||||||
|
Centennial Resource Production LLC, Gtd. Notes, 144A |
5.375 | 01/15/26 | 25 | 21,733 | ||||||||||||
|
Chesapeake Energy Corp., |
||||||||||||||||
|
Gtd. Notes |
4.875 | 04/15/22 | 25 | 15,206 | ||||||||||||
|
Sec’d. Notes, 144A |
11.500 | 01/01/25 | 142 | 82,141 | ||||||||||||
|
Citgo Holding, Inc., Sr. Sec’d. Notes, 144A |
9.250 | 08/01/24 | 125 | 129,987 | ||||||||||||
|
CNX Resources Corp., |
||||||||||||||||
|
Gtd. Notes |
5.875 | 04/15/22 | 58 | 53,130 | ||||||||||||
|
Gtd. Notes, 144A |
7.250 | 03/14/27 | 100 | 74,102 | ||||||||||||
|
CrownRock LP/CrownRock Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.625 | 10/15/25 | 25 | 24,053 | ||||||||||||
|
Diamond Offshore Drilling, Inc., Sr. Unsec’d. Notes |
7.875 | 08/15/25 | 50 | 34,624 | ||||||||||||
|
Endeavor Energy Resources LP/EER Finance, Inc., Sr. Unsec’d. Notes, 144A |
5.750 | 01/30/28 | 75 | 73,636 | ||||||||||||
|
Extraction Oil & Gas, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.625 | 02/01/26 | 175 | 61,311 | ||||||||||||
|
Gtd. Notes, 144A |
7.375 | 05/15/24 | 50 | 17,922 | ||||||||||||
|
Hilcorp Energy I LP/Hilcorp Finance Co., |
||||||||||||||||
|
Sr. Unsec’d. Notes, 144A |
5.750 | 10/01/25 | 100 | 80,655 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.250 | 11/01/28 | 25 | 18,211 | ||||||||||||
|
MEG Energy Corp. (Canada), |
||||||||||||||||
|
Gtd. Notes, 144A |
7.000 | 03/31/24 | 30 | 28,410 | ||||||||||||
|
Sr. Unsec’d. Notes, 144A |
7.125 | 02/01/27 | 50 | 47,171 | ||||||||||||
|
Nabors Industries Ltd. (Bermuda), |
||||||||||||||||
|
Gtd. Notes, 144A |
7.250 | 01/15/26 | 25 | 22,976 | ||||||||||||
|
Gtd. Notes, 144A |
7.500 | 01/15/28 | 25 | 24,038 | ||||||||||||
|
Nabors Industries, Inc., Gtd. Notes |
5.750 | 02/01/25 | 150 | 107,530 | ||||||||||||
|
Precision Drilling Corp. (Canada), Gtd. Notes, 144A |
7.125 | 01/15/26 | 75 | 69,177 | ||||||||||||
|
Range Resources Corp., |
||||||||||||||||
|
Gtd. Notes |
4.875 | 05/15/25 | 50 | 31,642 | ||||||||||||
|
Gtd. Notes |
5.000 | 03/15/23 | 150 | 108,728 | ||||||||||||
|
Gtd. Notes, 144A |
9.250 | 02/01/26 | 50 | 33,932 | ||||||||||||
|
Sunoco LP/Sunoco Finance Corp., Gtd. Notes |
5.500 | 02/15/26 | 50 | 50,517 | ||||||||||||
|
Transocean Pontus Ltd. (Cayman Islands), Sr. Sec’d. Notes, 144A |
6.125 | 08/01/25 | 42 | 42,144 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 19 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Oil & Gas (cont’d.) |
||||||||||||||||
|
Transocean, Inc. (Cayman Islands), |
||||||||||||||||
|
Gtd. Notes, 144A |
7.250 | % | 11/01/25 | 85 | $ | 70,336 | ||||||||||
|
Gtd. Notes, 144A |
7.500 | 01/15/26 | 50 | 40,271 | ||||||||||||
|
Gtd. Notes, 144A |
8.000 | 02/01/27 | 25 | 20,937 | ||||||||||||
|
Valaris PLC (United Kingdom), |
||||||||||||||||
|
Sr. Unsec’d. Notes |
5.750 | 10/01/44 | 25 | 7,637 | ||||||||||||
|
Sr. Unsec’d. Notes |
7.750 | 02/01/26 | 90 | 35,468 | ||||||||||||
|
WPX Energy, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
5.250 | 09/15/24 | 75 | 75,358 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.250 | 10/15/27 | 50 | 49,272 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.750 | 06/01/26 | 50 | 49,654 | ||||||||||||
|
|
|
|||||||||||||||
| 1,973,480 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Packaging & Containers 0.4% |
||||||||||||||||
|
Owens-Brockway Glass Container, Inc., Gtd. Notes, 144A(a) |
6.375 | 08/15/25 | 50 | 55,180 | ||||||||||||
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Gtd. Notes, 144A |
7.000 | 07/15/24 | 50 | 50,545 | ||||||||||||
|
|
|
|||||||||||||||
| 105,725 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Pharmaceuticals 2.3% |
||||||||||||||||
|
Bausch Health Americas, Inc., Gtd. Notes, 144A |
8.500 | 01/31/27 | 65 | 71,427 | ||||||||||||
|
Bausch Health Cos., Inc. (Canada), |
||||||||||||||||
|
Gtd. Notes, 144A |
5.000 | 01/30/28 | 50 | 49,278 | ||||||||||||
|
Gtd. Notes, 144A |
5.250 | 01/30/30 | 50 | 49,428 | ||||||||||||
|
Gtd. Notes, 144A |
6.125 | 04/15/25 | 250 | 255,017 | ||||||||||||
|
Gtd. Notes, 144A |
7.000 | 01/15/28 | 50 | 53,532 | ||||||||||||
|
Gtd. Notes, 144A |
7.250 | 05/30/29 | 140 | 153,018 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
5.750 | 08/15/27 | 25 | 26,595 | ||||||||||||
|
|
|
|||||||||||||||
| 658,295 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Pipelines 1.6% |
||||||||||||||||
|
Antero Midstream Partners LP/Antero Midstream Finance Corp., |
||||||||||||||||
|
Gtd. Notes |
5.375 | 09/15/24 | 25 | 18,927 | ||||||||||||
|
Gtd. Notes, 144A |
5.750 | 01/15/28 | 125 | 85,932 | ||||||||||||
|
CNX Midstream Partners LP/CNX Midstream Finance Corp., Sr. Unsec’d. Notes, 144A |
6.500 | 03/15/26 | 25 | 20,481 | ||||||||||||
|
Energy Transfer Operating LP, 5 Year CMT Index + 5.306% |
7.125 | (c) | 50 | 47,229 | ||||||||||||
See Notes to Financial Statements.
| 20 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Pipelines (cont’d.) |
||||||||||||||||
|
Rockies Express Pipeline LLC, Sr. Unsec’d. Notes, 144A |
7.500 | % | 07/15/38 | 100 | $ | 108,406 | ||||||||||
|
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., |
||||||||||||||||
|
Gtd. Notes, 144A |
5.500 | 09/15/24 | 25 | 23,237 | ||||||||||||
|
Gtd. Notes, 144A |
5.500 | 01/15/28 | 125 | 111,328 | ||||||||||||
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Gtd. Notes |
5.875 | 04/15/26 | 50 | 50,933 | ||||||||||||
|
|
|
|||||||||||||||
| 466,473 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Real Estate 1.2% |
||||||||||||||||
|
Five Point Operating Co. LP/Five Point Capital Corp., Gtd. Notes, 144A |
7.875 | 11/15/25 | 47 | 47,177 | ||||||||||||
|
Greystar Real Estate Partners LLC, Sr. Sec’d. Notes, 144A |
5.750 | 12/01/25 | 150 | 155,078 | ||||||||||||
|
Howard Hughes Corp. (The), Sr. Unsec’d. Notes, 144A |
5.375 | 03/15/25 | 25 | 25,533 | ||||||||||||
|
Hunt Cos., Inc., Sr. Sec’d. Notes, 144A |
6.250 | 02/15/26 | 125 | 122,135 | ||||||||||||
|
|
|
|||||||||||||||
| 349,923 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Real Estate Investment Trusts (REITs) 0.8% |
|
|||||||||||||||
|
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc., Gtd. Notes |
4.500 | 01/15/28 | 75 | 76,887 | ||||||||||||
|
MPT Operating Partnership LP/MPT Finance Corp., Gtd. Notes |
5.000 | 10/15/27 | 50 | 52,240 | ||||||||||||
|
VICI Properties LP/VICI Note Co., Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
4.250 | 12/01/26 | 55 | 55,629 | ||||||||||||
|
Gtd. Notes, 144A |
4.625 | 12/01/29 | 40 | 41,364 | ||||||||||||
|
|
|
|||||||||||||||
| 226,120 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Retail 5.0% |
||||||||||||||||
|
Brinker International, Inc., Gtd. Notes, 144A |
5.000 | 10/01/24 | 75 | 78,673 | ||||||||||||
|
CEC Entertainment, Inc., Gtd. Notes |
8.000 | 02/15/22 | 75 | 73,241 | ||||||||||||
|
eG Global Finance PLC (United Kingdom), Sr. Sec’d. Notes, 144A |
8.500 | 10/30/25 | 200 | 208,263 | ||||||||||||
|
Ferrellgas LP/Ferrellgas Finance Corp., |
||||||||||||||||
|
Gtd. Notes |
6.750 | 06/15/23 | 75 | 62,874 | ||||||||||||
|
Sr. Unsec’d. Notes(a) |
6.500 | 05/01/21 | 50 | 42,997 | ||||||||||||
|
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
8.625 | 06/15/20 | 150 | 58,858 | ||||||||||||
|
Sr. Unsec’d. Notes |
8.625 | 06/15/20 | 50 | 21,407 | ||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 21 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Retail (cont’d.) |
||||||||||||||||
|
Golden Nugget, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
8.750 | % | 10/01/25 | 125 | $ | 126,014 | ||||||||||
|
Sr. Unsec’d. Notes, 144A |
6.750 | 10/15/24 | 100 | 98,369 | ||||||||||||
|
L Brands, Inc., Gtd. Notes |
5.625 | 10/15/23 | 50 | 53,864 | ||||||||||||
|
Michaels Stores, Inc., Gtd. Notes, 144A(a) |
8.000 | 07/15/27 | 125 | 104,256 | ||||||||||||
|
PetSmart, Inc., Sr. Sec’d. Notes, 144A |
5.875 | 06/01/25 | 167 | 168,063 | ||||||||||||
|
Rite Aid Corp., |
||||||||||||||||
|
Gtd. Notes, 144A |
6.125 | 04/01/23 | 80 | 72,463 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
7.500 | 07/01/25 | 20 | 19,974 | ||||||||||||
|
Sally Holdings LLC/Sally Capital, Inc., Gtd. Notes |
5.625 | 12/01/25 | 150 | 152,174 | ||||||||||||
|
Suburban Propane Partners LP/Suburban Energy Finance Corp., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
5.500 | 06/01/24 | 50 | 50,232 | ||||||||||||
|
Sr. Unsec’d. Notes |
5.875 | 03/01/27 | 50 | 51,128 | ||||||||||||
|
|
|
|||||||||||||||
| 1,442,850 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Software 1.9% |
||||||||||||||||
|
Infor US, Inc., Gtd. Notes |
6.500 | 05/15/22 | 435 | 436,878 | ||||||||||||
|
TIBCO Software, Inc., Sr. Unsec’d. Notes, 144A |
11.375 | 12/01/21 | 120 | 123,413 | ||||||||||||
|
|
|
|||||||||||||||
| 560,291 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Telecommunications 7.8% |
||||||||||||||||
|
CenturyLink, Inc., |
||||||||||||||||
|
Sr. Unsec’d. Notes |
6.450 | 06/15/21 | 100 | 103,759 | ||||||||||||
|
Sr. Unsec’d. Notes |
7.600 | 09/15/39 | 50 | 53,398 | ||||||||||||
|
CommScope Technologies LLC, Gtd. Notes, 144A |
6.000 | 06/15/25 | 115 | 108,098 | ||||||||||||
|
CommScope, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
8.250 | 03/01/27 | 35 | 35,278 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
6.000 | 03/01/26 | 100 | 102,779 | ||||||||||||
|
Digicel Group One Ltd. (Bermuda), Sr. Sec’d. Notes, 144A |
8.250 | 12/30/22 | 100 | 65,554 | ||||||||||||
|
Digicel Ltd. (Bermuda), Gtd. Notes, 144A |
6.750 | 03/01/23 | 400 | 257,473 | ||||||||||||
|
Embarq Corp., Sr. Unsec’d. Notes |
7.995 | 06/01/36 | 270 | 287,675 | ||||||||||||
|
Front Range BidCo, Inc., Sr. Unsec’d. Notes, 144A |
6.125 | 03/01/28 | 25 | 24,668 | ||||||||||||
|
Intelsat Jackson Holdings SA (Luxembourg), |
||||||||||||||||
|
Gtd. Notes |
5.500 | 08/01/23 | 40 | 34,440 | ||||||||||||
|
Gtd. Notes, 144A |
9.750 | 07/15/25 | 295 | 261,075 | ||||||||||||
|
Sr. Sec’d. Notes, 144A |
8.000 | 02/15/24 | 50 | 51,260 | ||||||||||||
|
Intelsat Luxembourg SA (Luxembourg), Gtd. Notes |
8.125 | 06/01/23 | 50 | 20,743 | ||||||||||||
|
Intrado Corp., Gtd. Notes, 144A(a) |
8.500 | 10/15/25 | 280 | 188,792 | ||||||||||||
See Notes to Financial Statements.
| 22 |
| Description |
Interest
Rate |
Maturity
Date |
Principal
Amount (000)# |
Value | ||||||||||||
|
CORPORATE BONDS (Continued) |
||||||||||||||||
|
Telecommunications (cont’d.) |
||||||||||||||||
|
ORBCOMM, Inc., Sr. Sec’d. Notes, 144A |
8.000 | % | 04/01/24 | 100 | $ | 99,953 | ||||||||||
|
Sprint Capital Corp., Gtd. Notes |
8.750 | 03/15/32 | 135 | 187,630 | ||||||||||||
|
Sprint Corp., |
||||||||||||||||
|
Gtd. Notes |
7.125 | 06/15/24 | 50 | 56,834 | ||||||||||||
|
Gtd. Notes |
7.625 | 02/15/25 | 50 | 57,977 | ||||||||||||
|
T-Mobile USA Inc., Gtd. Notes |
6.500 | 01/15/26 | 55 | 57,985 | ||||||||||||
|
Xplornet Communications, Inc. (Canada), Gtd. Notes, Cash coupon 9.625% or PIK 10.625%, 144A |
9.625 | 06/01/22 | 193 | 197,295 | ||||||||||||
|
|
|
|||||||||||||||
| 2,252,666 | ||||||||||||||||
|
|
|
|||||||||||||||
|
Transportation 0.6% |
||||||||||||||||
|
XPO Logistics, Inc., |
||||||||||||||||
|
Gtd. Notes, 144A |
6.125 | 09/01/23 | 50 | 51,212 | ||||||||||||
|
Gtd. Notes, 144A |
6.750 | 08/15/24 | 125 | 132,057 | ||||||||||||
|
|
|
|||||||||||||||
| 183,269 | ||||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL CORPORATE BONDS
|
25,226,763 | |||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL LONG-TERM INVESTMENTS
|
28,056,162 | |||||||||||||||
|
|
|
|||||||||||||||
|
Shares |
||||||||||||||||
|
SHORT-TERM INVESTMENTS 4.7% |
||||||||||||||||
|
AFFILIATED MUTUAL FUNDS 4.7% |
||||||||||||||||
|
PGIM Core Ultra Short Bond Fund(w) |
324,748 | 324,748 | ||||||||||||||
|
PGIM Institutional Money Market Fund
|
1,049,970 | 1,049,970 | ||||||||||||||
|
|
|
|||||||||||||||
|
TOTAL AFFILIATED MUTUAL FUNDS
|
1,374,718 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 23 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
The following abbreviations are used in the semi-annual report:
(Q)—Quarterly payment frequency for swaps
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
CDX—Credit Derivative Index
CLO—Collateralized Loan Obligation
LIBOR—London Interbank Offered Rate
PIK—Payment-in-Kind
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $986,571; cash collateral of $1,048,426 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (c) |
Variable rate instrument. The interest rate shown reflects the rate in effect at February 29, 2020. |
| (d) |
Represents issuer in default on interest payments and/or principal repayment. Non-income producing security. Such security may be post-maturity. |
| (p) |
Interest rate not available as of February 29, 2020. |
| (w) |
PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Core Ultra Short Bond Fund and PGIM Institutional Money Market Fund. |
See Notes to Financial Statements.
| 24 |
Futures contracts outstanding at February 29, 2020:
|
Number of
contracts |
Type |
Expiration
Date |
Current
Notional Amount |
Value /
Unrealized Appreciation (Depreciation) |
||||||||||||
| Long Positions: | ||||||||||||||||
| 5 | 5 Year U.S. Treasury Notes | Jun. 2020 | $ | 613,750 | $ | 11,352 | ||||||||||
| 6 | 2 Year U.S. Treasury Notes | Jun. 2020 | 1,309,969 | 11,724 | ||||||||||||
| 18 | 10 Year U.S. Treasury Notes | Jun. 2020 | 2,425,500 | 68,242 | ||||||||||||
|
|
|
|||||||||||||||
| 91,318 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Positions: | ||||||||||||||||
| 2 | 30 Year U.S. Long Treasury Bond | Jun. 2020 | 340,500 | (8,078 | ) | |||||||||||
| 1 | 30 Year U.S. Ultra Treasury Bonds | Jun. 2020 | 207,500 | (5,015 | ) | |||||||||||
|
|
|
|||||||||||||||
| (13,093 | ) | |||||||||||||||
|
|
|
|||||||||||||||
| $ | 78,225 | |||||||||||||||
|
|
|
|||||||||||||||
Credit default swap agreements outstanding at February 29, 2020:
The Fund entered into credit default swaps (“CDS”) to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases.
| (1) |
If the Fund is a buyer of protection, it pays the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and make delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) |
If the Fund is a seller of protection, it receives the fixed rate. When a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (3) |
Notional amount represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 25 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| (4) |
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements where the Fund is the seller of protection as of the reporting date serve as an indicator of the current status of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include up-front payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
| * |
When an implied credit spread is not available, reference the fair value of credit default swap agreements on credit indices and asset-backed securities. Where the Fund is the seller of protection, it serves as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the reporting date. Increasing fair value in absolute terms, when compared to the notional amount of the swap, represents a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Summary of Collateral for Centrally Cleared/Exchange-traded Derivatives:
Cash and securities segregated as collateral to cover requirements for open centrally cleared/ exchange-traded derivatives are listed by broker as follows:
|
Broker |
Cash and/or Foreign Currency | Securities Market Value | ||||||
|
Citigroup Global Markets, Inc. |
$ | 330,000 | $ | — | ||||
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.
See Notes to Financial Statements.
| 26 |
The following is a summary of the inputs used as of February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Asset-Backed Securities |
||||||||||||
|
Collateralized Loan Obligations |
$ | — | $ | 1,445,396 | $ | — | ||||||
|
Bank Loans |
— | 1,384,003 | — | |||||||||
|
Corporate Bonds |
— | 25,226,763 | — | |||||||||
|
Affiliated Mutual Funds |
1,374,718 | — | — | |||||||||
|
Time Deposit |
— | 639 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 1,374,718 | $ | 28,056,801 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Other Financial Instruments* |
||||||||||||
|
Assets |
||||||||||||
|
Futures contracts |
$ | 91,318 | $ | — | $ | — | ||||||
|
Centrally Cleared Credit Default Swap Agreements |
$ | — | $ | 42,125 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 91,318 | $ | 42,125 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
|
Liabilities |
||||||||||||
|
Futures contracts |
$ | (13,093 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | (13,093 | ) | $ | — | $ | — | |||||
|
|
|
|
|
|
|
|||||||
| * |
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. |
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Media |
7.8 | % | ||
|
Oil & Gas |
7.8 | |||
|
Telecommunications |
7.8 | |||
|
Home Builders |
5.6 | |||
|
Healthcare-Services |
5.2 | |||
|
Collateralized Loan Obligations |
5.0 | |||
|
Retail |
5.0 | |||
|
Affiliated Mutual Fund (3.6% represents investments purchased with collateral from securities on loan) |
4.7 | |||
|
Commercial Services |
4.7 | |||
|
Chemicals |
4.1 | |||
|
Electric |
3.5 | |||
|
Entertainment |
3.3 | % | ||
|
Diversified Financial Services |
3.3 | |||
|
Mining |
3.1 | |||
|
Food |
2.8 | |||
|
Aerospace & Defense |
2.7 | |||
|
Software |
2.6 | |||
|
Pharmaceuticals |
2.3 | |||
|
Auto Parts & Equipment |
2.0 | |||
|
Auto Manufacturers |
1.6 | |||
|
Pipelines |
1.6 | |||
|
Building Materials |
1.6 | |||
|
Infrastructure Software |
1.6 |
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 27 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
Industry Classification (cont’d.):
|
Real Estate |
1.2 | % | ||
|
Computers |
1.0 | |||
|
Gas |
0.9 | |||
|
Internet |
0.9 | |||
|
Engineering & Construction |
0.8 | |||
|
Real Estate Investment Trusts (REITs) |
0.8 | |||
|
Advertising |
0.8 | |||
|
Specialty Chemicals |
0.7 | |||
|
Transportation |
0.6 | |||
|
Agriculture |
0.6 | |||
|
Machinery-Diversified |
0.5 | |||
|
Iron/Steel |
0.4 | |||
|
Packaging & Containers |
0.4 | |||
|
Lodging |
0.3 | |||
|
Electric & Gas Marketing |
0.3 | |||
|
Miscellaneous Manufacturer |
0.3 | % | ||
|
Casinos & Gaming |
0.2 | |||
|
Banks |
0.2 | |||
|
Energy-Alternate Sources |
0.2 | |||
|
Housewares |
0.2 | |||
|
Healthcare & Pharmaceuticals |
0.2 | |||
|
Diversified/Conglomerate Services |
0.1 | |||
|
Electronics |
0.1 | |||
|
Distribution/Wholesale |
0.1 | |||
|
Household Products/Wares |
0.1 | |||
|
Time Deposit |
0.0 | * | ||
|
|
|
|||
| 101.6 | ||||
|
Liabilities in excess of other assets |
(1.6 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
| * |
Less than +/- 0.05%. |
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 types of risk associated with these derivative instruments are credit contracts risk and 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.
Fair values of derivative instruments as of February 29, 2020 as presented in the Statement of Assets and Liabilities:
|
Derivatives not accounted
|
Asset Derivatives |
Liability Derivatives |
||||||||||
|
Statement of
|
Fair
Value |
Statement of Assets
and
|
Fair
Value |
|||||||||
| Interest rate contracts | Due from/to broker—variation margin futures* | $ | 91,318 | Due from/to broker—variation margin futures* | $ | (13,093 | ) | |||||
| Credit Contracts | Due from/to broker—variation margin swaps* | 42,125 | Due from/to broker—variation margin swaps* | — | ||||||||
|
|
|
|
|
|||||||||
| $ | 133,444 | $ | (13,093 | ) | ||||||||
|
|
|
|
|
|||||||||
See Notes to Financial Statements.
| 28 |
| * |
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 Statement of Operations for the period ended February 29, 2020 are as follows:
For the period ended February 29, 2020 the Fund’s average volume of derivative activities is as follows:
|
Futures Contracts-Long
Positions (1) |
Futures Contracts-Short
Positions (1) |
Credit Default Swap
Agreements-Buy Protection (1) |
||||||||
| $ | 3,891,602 | $ | 527,198 | $ | 1,590,133 | |||||
| (1) |
Notional Amount in USD. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements :
The Fund entered into financial instruments/transactions during the period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 29 |
PGIM Active High Yield Bond ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below:
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 986,571 | $ | (986,571 | ) | $ | — | |||||
|
|
|
|||||||||||
| (1) |
Collateral amount disclosed by the Fund is limited to the market value of the financial instruments/transactions. |
See Notes to Financial Statements.
| 30 |
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
|
|||
|
Investments at value, including securities on loan of $986,571: |
|
|||
|
Unaffiliated investments (cost $28,648,137) |
$ | 28,056,801 | ||
|
Affiliated investments (cost $1,374,877) |
1,374,718 | |||
|
Cash |
9 | |||
|
Interest and dividends receivable |
454,620 | |||
|
Receivable for investments sold |
357,313 | |||
|
Deposit with broker for centrally cleared/exchange-traded derivatives |
330,000 | |||
|
Due from broker—variation margin futures |
25,172 | |||
|
Due from broker—variation margin swaps |
3,789 | |||
|
|
|
|||
|
Total Assets |
30,602,422 | |||
|
|
|
|||
|
Liabilities |
|
|||
|
Payable for investments purchased |
585,296 | |||
|
Payable to broker for collateral for securities on loan |
1,048,426 | |||
|
Management fee payable |
12,446 | |||
|
Other liabilities |
1,499 | |||
|
|
|
|||
|
Total Liabilities |
1,647,667 | |||
|
|
|
|||
|
Net Assets |
$ | 28,954,755 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 725 | ||
|
Paid-in capital in excess of par |
29,205,123 | |||
|
Total distributable earnings (loss) |
(251,093 | ) | ||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 28,954,755 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 39.94 | ||
|
|
|
|||
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 31 |
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
|
Net Investment Income (Loss) |
|
|||
|
Income |
|
|||
|
Interest income |
$ | 946,856 | ||
|
Affiliated dividend income |
4,912 | |||
|
Income from securities lending, net (including affiliated income of $1,742) |
1,921 | |||
|
|
|
|||
|
Total income |
953,689 | |||
|
|
|
|||
|
Expenses |
||||
|
Management fee |
74,891 | |||
|
|
|
|||
|
Total expenses |
74,891 | |||
|
|
|
|||
|
Net investment income (loss) |
878,798 | |||
|
|
|
|||
|
Realized And Unrealized Gain (Loss) On Investments |
|
|||
|
Net realized gain (loss) on: |
|
|||
|
Investment transactions (including affiliated of $(98)) |
248,366 | |||
|
Futures transactions |
(22,514 | ) | ||
|
Swap agreement transactions |
(27,501 | ) | ||
|
|
|
|||
| 198,351 | ||||
|
|
|
|||
|
Net change in unrealized appreciation (depreciation) on: |
|
|||
|
Investments (including affiliated of $(138)) |
(742,515 | ) | ||
|
Futures |
71,350 | |||
|
Swap agreements |
47,880 | |||
|
|
|
|||
| (623,285 | ) | |||
|
|
|
|||
|
Net gain (loss) on investment transactions |
(424,934 | ) | ||
|
|
|
|||
|
Net Increase (Decrease) In Net Assets Resulting From Operations |
$ | 453,864 | ||
|
|
|
|||
See Notes to Financial Statements.
| 32 |
Statements of Changes in Net Assets
|
Six Months
February 29, 2020
|
Period
Ended August 31, 2019* |
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 878,798 | $ | 1,525,743 | ||||
|
Net realized gain (loss) on investments |
198,351 | 274,239 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
(623,285 | ) | 152,140 | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
453,864 | 1,952,122 | ||||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(1,200,988 | ) | (1,456,091 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
2,052,911 | 27,152,937 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
2,052,911 | 27,152,937 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
1,305,787 | 27,648,968 | ||||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
27,648,968 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 28,954,755 | $ | 27,648,968 | ||||
|
|
|
|
|
|||||
| * |
For the period from September 24, 2018 (commencement of operations) through August 31, 2019. |
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 33 |
Notes to Financial Statements (unaudited)
PGIM ETF Trust (the “Trust”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”), and operated as an exchange-traded fund. The Trust was organized as a Delaware statutory trust on October 23, 2017 and consists of six separate series (each, a “Fund” and collectively, the “Funds”): PGIM Ultra Short Bond ETF, PGIM Active High Yield Bond ETF, PGIM QMA Strategic Alpha Large-Cap Core ETF, PGIM QMA Strategic Alpha Small-Cap Growth ETF, PGIM QMA Strategic Alpha Small- Cap Value ETF and PGIM QMA Strategic Alpha International Equity ETF.
These financial statements relate only to PGIM Active High Yield Bond ETF.
The investment objective of the Fund is to seek total return through a combination of current income and capital appreciation.
1. Accounting Policies
The Fund follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services—Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Fund consistently follows such policies in the preparation of its financial statements.
Securities Valuation: The Fund holds securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Fund to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign
| 34 |
securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Fund’s foreign investments may change on days when investors cannot purchase or redeem Fund shares.
Various inputs determine how the Fund’s investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820 - Fair Value Measurements and Disclosures.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Fixed income securities traded in the OTC market are generally classified as Level 2 in the fair value hierarchy. Such fixed income securities are typically valued using the market approach which generally involves obtaining data from an approved independent third-party vendor source. The Fund utilizes the market approach as the primary method to value securities when market prices of identical or comparable instruments are available. The third-party vendors’ valuation techniques used to derive the evaluated bid price are based on evaluating observable inputs, including but not limited to, yield curves, yield spreads, credit ratings, deal terms, tranche level attributes, default rates, cash flows, prepayment speeds, broker/dealer quotations and reported trades. Certain Level 3 securities are also valued using the market approach when obtaining a single broker quote or when utilizing transaction prices for identical securities that have been used in excess of five business days. During the reporting period, there were no changes to report with respect to the valuation approach and/or valuation techniques discussed above.
Bank loans are generally valued at prices provided by approved independent pricing vendors. The pricing vendors utilize broker/dealer quotations and provide prices based on the average of such quotations. Bank loans valued using such vendor prices are generally classified as Level 2 in the fair value hierarchy. Bank loans valued based on a single broker quote or at the original transaction price in excess of five business days are classified as Level 3 in the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are generally valued at the daily settlement price determined by the respective exchange. These securities are classified as Level 2 in the fair value hierarchy, as the daily settlement price is not public.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
| PGIM Active High Yield Bond ETF | 35 |
Notes to Financial Statements (unaudited) continued)
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates. Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Financial Futures Contracts: A financial futures contract is an agreement to purchase (long) or sell (short) an agreed amount of securities at a set price for delivery on a future date. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, are made or received by the Fund each day, depending on the daily
| 36 |
fluctuations in the value of the underlying security. Such variation margin is recorded for financial statement purposes on a daily basis as unrealized gain (loss). When the contract expires or is closed, the gain (loss) is realized and is presented in the Statement of Operations as net realized gain (loss) on futures transactions.
The Fund invested in financial futures contracts in order to hedge its existing portfolio securities, or securities the Fund intends to purchase, against fluctuations in value caused by changes in prevailing interest rates. Should interest rates move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged assets. Since futures contracts are exchange- traded, there is minimal counterparty credit risk to the Fund since the exchanges’ clearinghouse acts as counterparty to all exchange-traded futures and guarantees the futures contracts against default.
Bank Loans: The Fund invested in bank loans. Bank loans include fixed and floating rate loans that are privately negotiated between a corporate borrower and one or more financial institutions, including, but not limited to, term loans, revolvers, and other instruments issued in the bank loan market. The Fund acquired interests in loans directly (by way of assignment from the selling institution) or indirectly (by way of the purchase of a participation interest from the selling institution). Under a bank loan assignment, the Fund generally will succeed to all the rights and obligations of an assigning lending institution and becomes a lender under the loan agreement with the relevant borrower in connection with that loan. Under a bank loan participation, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result, the Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral supporting the debt obligation in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the institution selling the participation to the Fund.
Swap Agreements: The Fund may enter into certain types of swap agreements detailed in the disclosures below. A swap agreement is an agreement to exchange the return generated by one instrument for the return generated by another instrument. Swap agreements are negotiated in the OTC market and may be executed either directly with counterparty (“OTC-traded”) or through a central clearing facility, such as a registered exchange. Swap agreements are valued daily at current market value and any change in value is included in the net unrealized appreciation (depreciation) on swap agreements. Centrally cleared swaps pay or receive an amount known as “variation margin”, based on daily changes in the valuation of the swap contract. Any upfront premiums paid and received are shown as swap premiums paid and swap premiums received in the Statement of Assets and Liabilities. Risk of loss may exceed amounts recognized on the Statement of Assets and Liabilities. Swap agreements outstanding at period end, if any, are listed on the Schedule of Investments.
| PGIM Active High Yield Bond ETF | 37 |
Notes to Financial Statements (unaudited) (continued)
Credit Default Swaps (“CDS”): CDS involve one party (the protection buyer) making a stream of payments to another party (the protection seller) in exchange for the right to receive a specified payment in the event of a default or as a result of a default (collectively a “credit event”) for the referenced entity (typically corporate issues or sovereign issues of an emerging country) on its obligation; or in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising a credit index.
The Fund is subject to credit risk in the normal course of pursuing its investment objectives, and as such, has entered into CDS contracts to provide a measure of protection against defaults or to take an active long or short position with respect to the likelihood of a particular issuer’s default or the reference entity’s credit soundness. CDS contracts generally trade based on a spread which represents the cost a protection buyer has to pay the protection seller. The protection buyer is said to be short the credit as the value of the contract rises the more the credit deteriorates. The value of the CDS contract increases for the protection buyer if the spread increases. The Fund’s maximum risk of loss from counterparty credit risk for purchased CDS is the inability of the counterparty to honor the contract up to the notional value due to a credit event.
As a seller of protection on credit default swap agreements, the Fund generally receives an agreed upon payment from the buyer of protection throughout the term of the swap, provided no credit event occurs. As the seller, the Fund effectively increases its investment risk because, in addition to its total net assets, the Fund may be subject to investment exposure on the notional amount of the swap.
The maximum amount of the payment that the Fund, as a seller of protection, could be required to make under a credit default swap agreement would be equal to the notional amount of the underlying security or index contract as a result of a credit event. This potential amount will be partially offset by any recovery values of the respective referenced obligations, or net amounts received from the settlement of buy protection credit default swap agreements which the Fund entered into for the same referenced entity or index. As a buyer of protection, the Fund generally receives an amount up to the notional value of the swap if a credit event occurs.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements where the Fund is the seller of protection as of period end are disclosed in the footnotes to the Schedule of Investments, if applicable. These spreads serve as indicators of the current status of the payment/performance risk and represent the likelihood of default risk for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to enter into the agreement. Wider credit spreads
| 38 |
and increased market value in absolute terms, when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.
Payment-In-Kind: The Fund invests in the open market or receive pursuant to debt restructuring, securities that pay-in-kind (PIK) the interest due on such debt instruments. The PIK interest, computed at the contractual rate specified, is added to the existing principal balance of the debt when issued bonds have same terms as the bond or recorded as a separate bond when terms are different from the existing debt, and is recorded as interest income.
Master Netting Arrangements: The Trust, on behalf of the Fund, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of the Fund. A master netting arrangement between the Fund and the counterparty permits the Fund to offset amounts payable by the Fund to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Fund to cover the Fund’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Fund lends its portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the borrower will return to the Fund securities identical to the loaned securities. Should the borrower of the securities fail financially, the Fund has the right to repurchase the securities in the open market using the collateral.
The Fund recognizes income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Fund also continues to recognize any unrealized gain (loss) in the market price of the securities
| PGIM Active High Yield Bond ETF | 39 |
Notes to Financial Statements (unaudited) (continued)
loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when the Fund becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: It is the Fund’s policy to continue to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable net investment income and capital gains, if any, to its shareholders. Therefore, no federal income tax provision is required. Withholding taxes on foreign dividends, interest and capital gains, if any, are recorded, net of reclaimable amounts, at the time the related income is earned.
Dividends and Distributions: The Fund expects to pay dividends from net investment income monthly and distributions from net realized capital and currency gains, if any, annually. Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and which may differ from generally accepted accounting principles, are recorded on the ex-date. Permanent book/tax differences relating to income and gain (loss) are reclassified between total distributable earnings (loss) and paid-in capital in excess of par, as appropriate.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
2. Agreements
Pursuant to a management agreement with the Trust on behalf of the Fund (the Management Agreement), PGIM Investments, subject to the supervision of the Board and in conformity with the stated policies of the Fund, manages both the investment operations of the Fund and the composition of the Fund’s portfolio, including the purchase, retention and disposition of assets. In connection therewith, the Manager is obligated to keep certain
| 40 |
books and records of the Fund. The Manager is authorized to enter into subadvisory agreements for investment advisory services in connection with the management of the Fund. The Manager will continue to have responsibility for all investment advisory services performed pursuant to any such subadvisory agreements. PGIM Investments will review the performance of the investment subadviser(s) and make recommendations to the Board with respect to the retention of investment subadvisers and the renewal of contracts. The Manager also administers the Fund’s business affairs and, in connection therewith, furnishes the Fund with office facilities, together with those ordinary clerical and bookkeeping services which are not being furnished by the Fund’s custodian (the Custodian). The management services of PGIM Investments to the Fund are not exclusive under the terms of the Management Agreement and PGIM Investments is free to, and does, render management services to others.
The Board of Trustees of the Trust has approved a unitary management fee structure for the Fund. Under the unitary fee structure, the Manager is responsible for paying substantially all the expenses of the Fund, costs of borrowing money (including interest expenses and any loan commitment or other associated fees), taxes, acquired fund fees and expenses, brokerage fees, costs of holding shareholder meetings, litigation, indemnification and extraordinary expenses.
The unitary fee paid to the Manager is accrued daily and payable monthly, at an annual rate of 0.53% of the Fund’s average daily net assets. The Manager has contractually agreed, beginning from the inception of the Fund, to waive any management fees it receives from the Fund in an amount equal to the subadvisory fees paid by the Fund to the PGIM Institutional Money Market Fund due to the Fund’s investment of its excess overnight cash in the PGIM Institutional Money Market Fund. This waiver will remain in effect for as long as the Fund remains invested or intends to invest in the PGIM Institutional Money Market Fund.
The Manager has entered into a subadvisory agreement (Subadvisory Agreement) with PGIM, Inc., the Fund’s investment subadviser (the “subadviser”), which provides subadvisory services to the Fund through its PGIM Fixed Income unit. The Subadvisory Agreement provides that the subadviser will furnish investment advisory services in connection with the management of the Fund. In connection therewith, the subadviser is obligated to keep certain books and records of the Fund. Under the Subadvisory Agreement, the subadviser, subject to the supervision of PGIM Investments, is responsible for managing the assets of the Fund in accordance with the Fund’s investment objectives, policies and restrictions. The subadviser determines what securities and other instruments are purchased and sold for the Fund and is responsible for obtaining and evaluating financial data relevant to the Fund. PGIM Investments continues to have responsibility for all investment advisory services pursuant to the Management Agreement and supervises the subadviser’s performance of such services. The Manager pays for the services of the subadviser.
Brown Brothers Harriman & Co. (“BBH”) serves as the Custodian, Transfer Agent, Administrative Agent and Securities Lending Agent for the Trust. Pursuant to a Custodian
| PGIM Active High Yield Bond ETF | 41 |
Notes to Financial Statements (unaudited) (continued)
Agreement, BBH maintains certain financial accounting books and records pursuant to an agreement with the Trust. Subcustodians provide custodial services for any non-US assets held outside the United States. Pursuant to an Administrative and Transfer Agency Agreement, BBH maintains certain books and records and provides transfer agency, administrative, legal, tax support and accounting and financial reporting services for the maintenance and operations of the Trust. As the transfer and dividend disbursing agent of the Trust, BBH provides customary transfer agency services to the Trust, including the handling of shareholder communications, the processing of shareholder transactions, the maintenance of shareholder account records, the payment of dividends and distributions, and related functions. For these services, BBH receives compensation from the Manager and is reimbursed for expenses, including custodian and administration fees and certain out-of-pocket expenses including, but not limited to, postage, stationery, printing, allocable communication expenses and other costs. The Manager is responsible for compensating BBH under the Custodian and Administrative and Transfer Agency Agreements. As securities lending agent, BBH is responsible for marketing to approved borrowers available securities from the Fund’s portfolio. As administered by BBH, available securities from the Fund’s portfolio are furnished to borrowers through security-by-security loans effected by BBH as lending agent on behalf of the Fund. BBH is responsible for the administration and management of the Fund’s securities lending program, including the preparation and execution of a participant agreement with each borrower governing the terms and conditions of any securities loan, ensuring that securities loans are properly coordinated and documented with the Fund’s custodian, ensuring that loaned securities are daily valued and that the corresponding required cash collateral is delivered by the borrower(s), and arranging for the investment of cash collateral received from borrowers in accordance with the Fund’s investment guidelines. BBH receives as compensation for its services a portion of the amount earned by the Fund for lending securities.
3. Other Transactions with Affiliates
The Fund may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), and its securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through the Fund’s investments in the mentioned underlying funds, PGIM Investments and/or its affiliates are paid fees or reimbursed for providing their services. In addition to the realized and unrealized gains on investments in the Core Fund and Money Market Fund, earnings from such investments are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Fund may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act,
| 42 |
that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Fund’s Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Fund’s Rule 17a-7 procedures. For the period ended February 29, 2020, no 17a-7 transactions were entered into by the Fund.
Prudential Investment Management Services LLC (“PIMS” or the “Distributor”), acts as the distributor of the Fund. The Distributor is a subsidiary of Prudential Financial, Inc. (“Prudential”), pursuant to the terms of a distribution agreement (“Distribution Agreement”) between the Trust and the Distributor. Shares are continuously offered for sale by the Distributor only. Although the Distributor does not receive any fees under the Distribution Agreement, the Manager or its affiliates may pay the Distributor for certain distribution related services.
4. Portfolio Securities
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short- term investments and U.S. Government securities) for the period ended February 29, 2020, were $10,138,789 and $7,498,610 respectively.
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended February 29, 2020, is presented as follows:
| * |
The Fund did not have any capital gain distributions during the reporting period. |
| ** |
Represents the affiliated amount of securities lending income shown on the Statement of Operations. |
5. Tax Information
The United States federal income tax basis of the Fund’s investments and the net unrealized depreciation as of February 29, 2020 were as follows:
|
Tax Basis |
$ | 30,069,242 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
835,553 | |||
|
Gross Unrealized Depreciation |
(1,352,926 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (517,373 | ) | |
|
|
|
| PGIM Active High Yield Bond ETF | 43 |
Notes to Financial Statements (unaudited) (continued)
The book basis may differ from tax basis due to certain tax-related adjustments.
The Manager has analyzed the Fund’s tax positions taken on federal, state and local income tax returns for all open tax years and has concluded that no provision for income tax is required in the Fund’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Fund’s U.S. federal and state tax returns for the most recent fiscal year ended August 31, 2019 are subject to such review.
6. Capital and Ownership
The Fund is an exchange-traded fund, commonly known as an “ETF”. Individual shares of the Fund may only be purchased and sold in secondary market transactions through brokers or other financial intermediaries. Shares of the Fund are listed for trading on the NYSE Arca, Inc. (the “Exchange”), and because the shares of the Fund trade at market prices rather than NAV, shares of the Fund may trade at a price greater than NAV (a premium) or less than NAV (a discount). The Fund will issue and redeem its shares at NAV only in a large specified number of shares called a “Creation Unit” or multiples thereof to investors who have entered into an agreement with the Distributor and are authorized to transact with the Trust in Creation Units (“Authorized Participants”). A Creation Unit consists of 25,000 shares of the Fund. The Fund generally issues and redeems Creation Units in return for a specified amount of cash and/ or designated portfolio of securities. Except when aggregated in Creation Units, shares are not individually redeemable. Authorized Participants transacting in Creation Units including non-standard orders and whole or partial cash purchases or redemptions may also pay variable transaction fees to compensate the Fund for certain transaction costs (e.g. brokerage costs) relating to investing in portfolio securities. Such variable transaction fees, if any, are currently being waived by the Fund. In addition, fixed transaction fees are imposed for the transfer and other costs associated with the creation or redemption of Creation Units. Authorized Participants are responsible for paying these fixed transaction fees to BBH.
The Trust is authorized to issue an unlimited number of shares of beneficial interest, $0.001 par value per share.
As of February 29, 2020, Prudential, through its affiliated entities, including affiliated funds (if applicable), owned shares of the Fund as follows:
|
Fund |
Number of Shares |
Percentage of
Outstanding Shares |
||||||
|
PGIM Active High Yield Bond ETF |
625,000 | 93 | % | |||||
| 44 |
At reporting period end, the number of shareholders holding greater than 5% of the Funds are as follows:
| Affiliated | Unaffiliated | |||||||||||||||
|
Fund |
Number of
Shareholders |
Percentage of
Outstanding Shares |
Number of
Shareholders |
Percentage of
Outstanding Shares |
||||||||||||
|
PGIM Active High Yield Bond ETF |
1 | 93 | % | — | — | % | ||||||||||
Transactions in shares of beneficial interest were as follows:
Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
50,000 | $ | 2,052,911 | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
50,000 | 2,052,911 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
50,000 | $ | 2,052,911 | |||||
|
|
|
|
|
|||||
Reporting period ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
675,000 | $ | 27,152,937 | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
675,000 | 27,152,937 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
675,000 | $ | 27,152,937 | |||||
|
|
|
|
|
|||||
7. Borrowings
The Trust, on behalf of the Fund, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.
| PGIM Active High Yield Bond ETF | 45 |
Notes to Financial Statements (unaudited) (continued)
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Fund did not utilize the SCA during the reporting period ended February 29, 2020.
8. Risks of Investing in the Fund
The Fund’s risks include, but are not limited to, some or all of the risks discussed below:
Authorized Participant Concentration Risk: Only an Authorized Participant may engage in creation or redemption transactions directly with the Fund. The Fund has a limited number of intermediaries that act as Authorized Participants and none of these Authorized Participants is or will be obligated to engage in creation or redemption transactions. To the extent that these intermediaries exit the business or are unable to or choose not to proceed with creation and/ or redemption orders with respect to the Fund and no other Authorized Participant creates or redeems, shares of the Fund may trade at a substantial discount or premium to NAV, may trade at larger spreads and possibly face trading halts and/or delisting.
Bond Obligations Risk: The Fund’s holdings, share price, yield and total return may fluctuate in response to bond market movements. The value of bonds may decline for issuer-related reasons, including management performance, financial leverage and reduced demand for the issuer’s goods and services. Certain types of fixed-income obligations also may be subject to “call and redemption risk”, which is the risk that the issuer may call a bond held by the Fund for redemption before it matures and the Fund may not be able to reinvest at the same level and therefore would earn less income.
ETF Shares Trading Risk: Fund shares are listed for trading on the Exchange and the shares are bought and sold in the secondary market at market prices. The market prices of the shares of the Fund are expected to fluctuate in response to changes in the Fund’s NAV, the intraday value of the Fund’s holdings and supply and demand for shares of the Fund. We cannot predict whether shares of the Fund will trade above, below or at their NAV. Trading on the Exchange, including trading of Fund shares, may be halted in certain circumstances and shareholders may not be able to sell Fund shares at the time or price
| 46 |
desired. During periods of stressed market conditions, the market for the shares of the Fund may become less liquid in response to deteriorating liquidity in the markets for the Fund’s portfolio investments. This adverse effect on the liquidity of the Fund’s shares could lead to differences between the market price of the Fund’s shares and the NAV of those shares. There can be no assurance that the requirements of the Exchange to maintain the listing of shares of the Fund will continue to be met. At times, trading in the securities of ETFs has become volatile and unpredictable and the price of ETF shares has diverged from market driven fundamentals.
Interest Rate Risk: The value of an investment may go down when interest rates rise. A rise in rates tends to have a greater impact on the prices of longer term or duration securities. When interest rates fall, the issuers of debt obligations may prepay principal more quickly than expected, and the Fund may be required to reinvest the proceeds at a lower interest rate. This is referred to as “prepayment risk”. When interest rates rise, debt obligations may be repaid more slowly than expected, and the value of the Fund’s holdings may fall sharply. This is referred to as “extension risk”. The Fund may face a heightened level of interest rate risk as a result of the U.S. Federal Reserve Board’s policies. The Fund’s investments may lose value if short-term or long- term interest rates rise sharply or in a manner not anticipated by the subadviser.
Liquidity Risk: The Fund may invest in instruments that trade in lower volumes and are less liquid than other investments. Liquidity risk exists when particular investments made by the Fund are difficult to purchase or sell. Liquidity risk includes the risk that the Fund may make investments that may become less liquid in response to market developments or adverse investor perceptions. Investments that are illiquid or that trade in lower volumes may be more difficult to value. If the Fund is forced to sell these investments to pay redemption proceeds or for other reasons, the Fund may lose money. In addition, when there is no willing buyer and investments may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment, the Fund may incur higher transaction costs when executing trade orders of a given size. The reduction in dealer market-making capacity in the fixed-income markets that has occurred in recent years also has the potential to reduce liquidity. An inability to sell a portfolio position can adversely affect the Fund’s value or prevent the Fund from being able to take advantage of other investment opportunities.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Fund’s securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Fund fall, the value of an investment in the Fund will decline. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
| PGIM Active High Yield Bond ETF | 47 |
Notes to Financial Statements (unaudited) (continued)
Derivatives Risk: Derivatives involve special risks and costs and may result in losses to the Fund. The successful use of derivatives requires sophisticated management, and, to the extent that derivatives are used, the Fund will depend on the subadviser’s ability to analyze and manage derivatives transactions. The prices of derivatives may move in unexpected ways, especially in abnormal market conditions. Some derivatives are “leveraged” and therefore may magnify or otherwise increase investment losses to the Fund. The Fund’s use of derivatives may also increase the amount of taxes payable by shareholders. Other risks arise from the potential inability to terminate or sell derivatives positions. A liquid secondary market may not always exist for the Fund’s derivatives positions. In fact, many over-the-counter derivative instruments will not have liquidity beyond the counterparty to the instrument. Over-the-counter derivative instruments also involve the risk that the other party will not meet its obligations to the Fund.
9. Recent Accounting Pronouncements and Reporting Updates
In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Fund’s policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has adopted the aspects related to the removal and modification of certain fair value measurement disclosures under the ASU. The Manager continues to evaluate certain other provisions of the ASU and does not expect a material impact to financial statement disclosures.
In September 2019, the Securities and Exchange Commission adopted a new rule and related form amendments regulating ETFs. The Manager is currently evaluating the rule and form amendments, but does not anticipate any material impact on future financial statement disclosures.
10. Subsequent Event
Subsequent to February 29, 2020 the COVID-19 outbreak was declared a pandemic by the World Health Organization. The situation is dynamic with various cities and countries around the world responding in different ways to address the outbreak.
There are meaningful direct and indirect effects developing particularly with companies in which we invest, which have adversely impacted the valuation of these companies. The Manager will continue to monitor the impact of COVID-19.
| 48 |
PGIM Active High Yield Bond ETF
Financial Highlights
|
Six Months
Ended February 29, 2020 (unaudited) |
September 24,
2018(e)
2019 |
|||||||||||
| Per Share Operating Performance(a): | ||||||||||||
| Net Asset Value, Beginning of Period | $40.96 | $40.00 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss) | 1.27 | 2.30 | ||||||||||
| Net realized and unrealized gain (loss) on investment | (0.55 | ) | 0.85 | |||||||||
| Total from investment operations | 0.72 | 3.15 | ||||||||||
| Less Dividends and Distributions: | ||||||||||||
|
Dividends from net investment income |
(1.32 | ) | (2.19 | ) | ||||||||
| Distributions from net realized gains | (0.42 | ) | - | |||||||||
| Total Dividends and Distributions | (1.74 | ) | (2.19 | ) | ||||||||
| Net asset value, end of period | $39.94 | $40.96 | ||||||||||
| Total Return(b): | 1.68% | 8.20% | ||||||||||
| Ratios/Supplemental Data: | ||||||||||||
| Net assets, end of period (000) | $28,955 | $27,649 | ||||||||||
| Average net assets (000) | $28,416 | $26,467 | ||||||||||
| Ratios to average net assets(c): | ||||||||||||
| Expenses after waivers and/or expense reimbursement(d) | 0.53% | 0.52% | ||||||||||
| Expenses before waivers and/or expense reimbursement(d) | 0.53% | 0.53% | ||||||||||
| Net investment income (loss)(d) | 6.22% | 6.15% | ||||||||||
| Portfolio turnover rate(f) | 27% | 55% | ||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
See Notes to Financial Statements.
| PGIM Active High Yield Bond ETF | 49 |
| ∎ TELEPHONE | ∎ WEBSITE | |||
|
655 Broad Street Newark, NJ 07102 |
(800) 225-1852 |
pgiminvestments.com |
||
| PROXY VOTING |
| The Board of Trustees of the Fund has delegated to the Fund’s subadviser the responsibility for voting any proxies and maintaining proxy recordkeeping with respect to the Fund. A description of these proxy voting policies and procedures is available without charge, upon request, by calling (800) 225-1852. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Fund’s website and on the Securities and Exchange Commission’s website. |
| TRUSTEES |
| Ellen S. Alberding • Kevin J. Bannon • Scott E. Benjamin • Linda W. Bynoe • Barry H. Evans • Keith F. Hartstein • Laurie Simon Hodrick • Michael S. Hyland • Stuart S. Parker • Brian K. Reid • Grace C. Torres |
| OFFICERS |
| Stuart S. Parker, President • Scott E. Benjamin, Vice President • Christian J. Kelly, Treasurer and Principal Financial and Accounting Officer • Raymond A. O’Hara, Chief Legal Officer • Dino Capasso, Chief Compliance Officer • Charles H. Smith, Anti-Money Laundering Compliance Officer • Andrew R. French, Secretary • Jonathan D. Shain, Assistant Secretary • Claudia DiGiacomo, Assistant Secretary • Melissa Gonzalez, Assistant Secretary • Diana N. Huffman, Assistant Secretary • Kelly A. Coyne, Assistant Secretary • Lana Lomuti, Assistant Treasurer • Russ Shupak, Assistant Treasurer • Elyse McLaughlin, Assistant Treasurer • Deborah Conway, Assistant Treasurer |
| MANAGER | PGIM Investments LLC |
655 Broad Street Newark, NJ 07102 |
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| SUBADVISER | PGIM Fixed Income |
655 Broad Street Newark, NJ 07102 |
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| DISTRIBUTOR |
Prudential Investment
Management Services LLC |
655 Broad Street Newark, NJ 07102 |
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| CUSTODIAN/TRANSFER AGENT | Brown Brothers Harriman & Co. |
50 Post Office Square Boston, MA 02110 |
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| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | KPMG LLP |
345 Park Avenue
New York, NY 10154 |
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| FUND COUNSEL | Willkie Farr & Gallagher LLP |
787 Seventh Avenue
New York, NY 10019 |
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| An investor should consider the investment objectives, risks, charges, and expenses of the Fund carefully before investing. The prospectus and summary prospectus contain this and other information about the Fund. An investor may obtain the prospectus and summary prospectus by visiting our website at pgiminvestments.com or by calling (800) 225-1852. The prospectus and summary prospectus should be read carefully before investing. |
| E-DELIVERY |
| To receive your fund documents online, go to pgiminvestments.com/edelivery and enroll. Instead of receiving printed documents by mail, you will receive notification via email when new materials are available. You can cancel your enrollment or change your email address at any time by visiting the website address above. |
| SHAREHOLDER COMMUNICATIONS WITH TRUSTEES |
| Shareholders can communicate directly with the Board of Trustees by writing to the Chair of the Board, PGIM Active High Yield Bond ETF, PGIM Investments, Attn: Board of Trustees, 655 Broad Street, Newark, NJ 07102. Shareholders can communicate directly with an individual Trustee by writing to the same address. Communications are not screened before being delivered to the addressee. |
| AVAILABILITY OF PORTFOLIO SCHEDULE |
| The Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Fund’s Form N-PORT filings are available on the Commission’s website at sec.gov. |
Funds:
| ARE NOT INSURED BY THE FDIC OR ANY FEDERAL GOVERNMENT AGENCY | MAY LOSE VALUE | ARE NOT A DEPOSIT OF OR GUARANTEED BY ANY BANK OR ANY BANK AFFILIATE |
PGIM ACTIVE HIGH YIELD BOND ETF
| TICKER SYMBOL | PHYL |
ETF1001E2
PGIM QMA STRATEGIC ALPHA ETFs
| PGIM QMA Strategic Alpha Large-Cap Core ETF | PQLC | |
| PGIM QMA Strategic Alpha Small-Cap Growth ETF | PQSG | |
| PGIM QMA Strategic Alpha Small-Cap Value ETF | PQSV | |
| PGIM QMA Strategic Alpha International Equity ETF | PQIN |
SEMIANNUAL REPORT
FEBRUARY 29, 2020
COMING SOON: PAPERLESS SHAREHOLDER REPORTS
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semiannual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (pgiminvestments.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank).
You may elect to receive all future reports in paper free of charge. You should contact your financial intermediary or follow instructions included with this notice to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account.
To enroll in e-delivery, go to pgiminvestments.com/edelivery
Table of Contents
| 3 | ||||
| 4 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 15 | ||||
This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus.
The information about the Fund’s portfolio holdings is for the period covered by this report and is subject to change thereafter.
The accompanying financial statements as of February 29, 2020 were not audited and, accordingly, no auditor’s opinion is expressed on them.
Exchange-traded funds are distributed by Prudential Investment Management Services LLC (PIMS), member SIPC. QMA is the primary business name of QMA LLC, a wholly owned subsidiary of PGIM, Inc. (PGIM), a Prudential Financial company and registered investment adviser. © 2020 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.
| 2 | Visit our website at pgiminvestments.com |
Dear Shareholder:
We hope you find the semiannual report for PGIM QMA Strategic Alpha ETFs informative and useful. The report covers performance for the six-month period ended February 29, 2020.
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 consider it a great privilege and responsibility to help investors participate in opportunities across global markets while meeting their toughest investment challenges. PGIM is a top-10 global investment manager with more than $1 trillion in assets under management. This investment expertise allows us to deliver actively managed funds and strategies to meet the needs of investors around the globe.
Thank you for choosing our family of funds.
Sincerely,
Stuart S. Parker, President
PGIM QMA Strategic Alpha ETFs
April 15, 2020
| PGIM QMA Strategic Alpha ETFs | 3 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Your Fund’s Performance
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 pgiminvestments.com or by calling (800) 225-1852.
|
Total Returns as of 2/29/20
Six Months* (%) |
Average Annual Total Returns as of 2/29/20 | |||||
| One Year (%) | Since Inception (%) | |||||
| Net Asset Value (NAV) | –1.82 | 1.22 | 2.38 (10/17/18) | |||
| Market Price** | 7.82 | 11.14 | 9.63 (10/17/18) | |||
| S&P 500 Index | 1.94 | 8.21 | 8.85 | |||
*Not annualized
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the Market Price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Index are measured from the closest month-end to the Fund’s inception date.
The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale or redemption 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.
Benchmark Definitions
S&P 500 Index—The S&P 500 Index is an unmanaged index of over 500 stocks of large public US companies. It gives a broad look at how stock prices in the United States have performed.
Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of sales charges, operating expenses of a mutual fund, or taxes.
| 4 | Visit our website at pgiminvestments.com |
Presentation of Fund Holdings as of 2/29/20
| PGIM QMA Strategic Alpha Large-Cap Core ETF (As of 2/29/2020) | ||||
| Ten Largest Holdings | Line of Business | (% of Net Assets) | ||
| MSCI, Inc. (Class A Stock) | Capital Markets | 0.5 | ||
| T-Mobile US, Inc. | Wireless Telecommunication Services | 0.4 | ||
| Jacobs Engineering Group, Inc. | Construction & Engineering | 0.4 | ||
| Vertex Pharmaceuticals, Inc. | Biotechnology | 0.4 | ||
| Laboratory Corp. of America Holdings | Health Care Providers & Services | 0.4 | ||
| Lennar Corp. (Class A Stock) | Household Durables | 0.4 | ||
| Biogen, Inc. | Biotechnology | 0.4 | ||
| Synopsys, Inc. | Software | 0.4 | ||
| STERIS PLC | Health Care Equipment & Supplies | 0.4 | ||
| Moody’s Corp. | Capital Markets | 0.4 | ||
| PGIM QMA Strategic Alpha ETFs | 5 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Your Fund’s Performance
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 pgiminvestments.com or by calling (800) 225-1852.
|
Total Returns as of 2/29/20
Six Months* (%) |
Average Annual Total Returns as of 2/29/20 | |||||
| One Year (%) | Since Inception (%) | |||||
| Net Asset Value (NAV) | –0.07 | –7.22 | –2.76 (11/13/18) | |||
| Market Price** | –0.21 | –7.41 | –2.89 (11/13/18) | |||
| Russell 2000 Growth Index | 1.37 | –0.72 | 4.28 | |||
*Not annualized
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Index are measured from the closest month-end to the Fund’s inception date.
The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale or redemption 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.
Benchmark Definitions
Russell 2000 Growth Index—The Russell 2000 Growth Index is unmanaged and comprises securities in the Russell 2000 Index with a higher-than-average growth orientation. Companies in this index generally have high price-to-book and price-to-earnings ratios. London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2020. FTSE Russell is a trading name of certain of the LSE Group companies. Russell® is a trademark of the relevant LSE Group companies and is/are used by any other LSE Group company under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in this communication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor, or endorse the content of this communication.
Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of sales charges, operating expenses of a mutual fund, or taxes.
| 6 | Visit our website at pgiminvestments.com |
Presentation of Fund Holdings as of 2/29/20
| PGIM QMA Strategic Alpha Small-Cap Growth ETF (As of 2/29/2020) | ||||
| Ten Largest Holdings | Line of Business | (% of Net Assets) | ||
| Aduro Biotech, Inc. | Biotechnology | 0.4 | ||
| Independent Bank Corp. | Banks | 0.4 | ||
| Atreca, Inc. (Class A Stock) | Biotechnology | 0.3 | ||
| CytoSorbents Corp. | Health Care Equipment & Supplies | 0.3 | ||
| Scholar Rock Holding Corp. | Biotechnology | 0.3 | ||
| Teladoc Health, Inc. | Health Care Technology | 0.3 | ||
| Telenav, Inc. | Software | 0.3 | ||
| Cyclerion Therapeutics, Inc. | Biotechnology | 0.3 | ||
| AMN Healthcare Services, Inc. | Health Care Providers & Services | 0.2 | ||
| Penn National Gaming, Inc. | Hotels, Restaurants & Leisure | 0.2 | ||
| PGIM QMA Strategic Alpha ETFs | 7 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Your Fund’s Performance
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 pgiminvestments.com or by calling (800) 225-1852.
|
Total Returns as of 2/29/20
Six Months* (%) |
Average Annual Total Returns as of 2/29/20 | |||||
| One Year (%) | Since Inception (%) | |||||
| Net Asset Value (NAV) | –2.99 | –9.68 | –6.39 (11/13/18) | |||
| Market Price** | –2.96 | –9.80 | –6.41 (11/13/18) | |||
| Russell 2000 Value Index | –2.58 | –9.29 | –5.00 | |||
*Not annualized
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Index are measured from the closest month-end to the Fund’s inception date.
The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale or redemption 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.
Benchmark Definitions
Russell 2000 Value Index—The Russell 2000 Value Index is unmanaged and comprises securities in the Russell 2000 Index with a less-than-average growth orientation. Companies in this index generally have low price-to-book and price-to-earnings ratios. London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). © LSE Group 2020. FTSE Russell is a trading name of certain of the LSE Group companies. Russell® is a trademark of the relevant LSE Group companies and is/are used by any other LSE Group company under license. All rights in the FTSE Russell indexes or data vest in the relevant LSE Group company which owns the index or the data. Neither LSE Group nor its licensors accept any liability for any errors or omissions in the indexes or data and no party may rely on any indexes or data contained in this communication. No further distribution of data from the LSE Group is permitted without the relevant LSE Group company’s express written consent. The LSE Group does not promote, sponsor, or endorse the content of this communication.
Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of sales charges, operating expenses of a mutual fund, or taxes.
| 8 | Visit our website at pgiminvestments.com |
Presentation of Fund Holdings as of 2/29/20
| PGIM QMA Strategic Alpha Small-Cap Value ETF (As of 2/29/2020) | ||||
| Ten Largest Holdings | Line of Business | (% of Net Assets) | ||
| Stamps.com, Inc. | Internet & Direct Marketing Retail | 0.3 | ||
| Consolidated Communications Holdings, Inc. | Diversified Telecommunication Services | 0.3 | ||
| GAIN Capital Holdings, Inc. | Capital Markets | 0.2 | ||
| Navistar International Corp. | Machinery | 0.2 | ||
| FGL Holdings (Bermuda) | Diversified Financial Services | 0.2 | ||
| Telenav, Inc. | Software | 0.2 | ||
| Kezar Life Sciences, Inc. | Biotechnology | 0.2 | ||
| Lineage Cell Therapeutics, Inc. | Biotechnology | 0.2 | ||
| Clearwater Paper Corp. | Paper & Forest Products | 0.2 | ||
| Era Group, Inc. | Energy Equipment & Services | 0.2 | ||
| PGIM QMA Strategic Alpha ETFs | 9 |
PGIM QMA Strategic Alpha International Equity ETF
Your Fund’s Performance
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 pgiminvestments.com or by calling (800) 225-1852.
|
Total Returns as of 2/29/20
Six Months* (%) |
Average Annual Total Returns as of 2/29/20 | |||||
| One Year (%) | Since Inception (%) | |||||
| Net Asset Value (NAV) | –1.40 | –3.41 | –0.27 (12/4/18) | |||
| Market Price** | 0.45 | –1.97 | 1.45 (12/4/18) | |||
| MSCI EAFE Index | –0.91 | –0.57 | 2.70 | |||
*Not annualized
**The market price is determined using the midpoint between the highest bid and the lowest offer on the listing exchange, as of the time that the Fund’s NAV is calculated. The first day of secondary market trading is typically several days after the date on which the Fund commenced investment operations; therefore, the NAV of the Fund is used as a proxy for the period from inception of investment operations to the first day of secondary market trading to calculate the market price returns.
Source: PGIM Investments LLC and Lipper Inc.
Since inception returns for the Index are measured from the closest month-end to the Fund’s inception date.
The returns in the table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or following the sale or redemption 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.
Benchmark Definitions
MSCI EAFE Index—The MSCI EAFE Index is a free-float-adjusted market capitalization index that is designed to measure the equity performance of developed markets, excluding the US and Canada.
Investors cannot invest directly in an index. The returns for the Index would be lower if they included the effects of sales charges, operating expenses of a mutual fund, or taxes.
| 10 | Visit our website at pgiminvestments.com |
Presentation of Fund Holdings as of 2/29/20
| PGIM QMA Strategic Alpha International Equity ETF (As of 2/29/2020) | ||||||
| Ten Largest Holdings | Line of Business | Country | (% of Net Assets) | |||
| Swedish Match AB | Tobacco | Sweden | 0.3 | |||
| Chugai Pharmaceutical Co. Ltd. | Pharmaceuticals | Japan | 0.3 | |||
| Hitachi High-Tech Corp. | Electronic Equipment, Instruments & Components | Japan | 0.3 | |||
| Kyowa Kirin Co. Ltd. | Pharmaceuticals | Japan | 0.3 | |||
| Fisher & Paykel Healthcare Corp. Ltd. | Health Care Equipment & Supplies | New Zealand | 0.3 | |||
| Fujitsu Ltd. | IT Services | Japan | 0.3 | |||
| RWE AG | Multi-Utilities | Germany | 0.3 | |||
| Wheelock & Co. Ltd. | Real Estate Management & Development | Hong Kong | 0.3 | |||
| Olympus Corp. | Health Care Equipment & Supplies | Japan | 0.3 | |||
| Iberdrola SA | Electric Utilities | Spain | 0.3 | |||
| PGIM QMA Strategic Alpha ETFs | 11 |
As a shareholder of a 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 a 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 February 29, 2020. The example is for illustrative purposes only.
Actual Expenses
The information under each column in the line entitled “Actual” 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 information under each column in the line entitled “Hypothetical” on the following page provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not a 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 a 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 table 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.
| 12 | Visit our website at pgiminvestments.com |
|
PGIM QMA Strategic
Alpha
Large-Cap Core ETF |
Beginning Account
Value September 1, 2019 |
Ending Account
Value February 29, 2020 |
Annualized
Expense Ratio Based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
||||||||||||
| Actual | $ | 1,000.00 | $ | 981.80 | 0.17 | % | $ | 0.84 | ||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,024.02 | 0.17 | % | $ | 0.86 | ||||||||
|
PGIM QMA Strategic
Alpha
Small-Cap Growth ETF |
Beginning Account
Value September 1, 2019 |
Ending Account
Value February 29, 2020 |
Annualized
Expense Ratio Based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
||||||||||||
| Actual | $ | 1,000.00 | $ | 999.30 | 0.29 | % | $ | 1.44 | ||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.42 | 0.29 | % | $ | 1.46 | ||||||||
|
PGIM QMA Strategic
Alpha
Small-Cap Value ETF |
Beginning Account
September 1, 2019 |
Ending Account
February 29, 2020 |
Annualized
Expense Ratio Based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
||||||||||||
| Actual | $ | 1,000.00 | $ | 970.10 | 0.29 | % | $ | 1.42 | ||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.42 | 0.29 | % | $ | 1.46 | ||||||||
|
PGIM QMA Strategic
Alpha
International Equity ETF |
Beginning Account
Value September 1, 2019 |
Ending Account
Value February 29, 2020 |
Annualized
Expense Ratio Based on the Six-Month Period |
Expenses Paid
During the Six-Month Period* |
||||||||||||
| Actual | $ | 1,000.00 | $ | 986.00 | 0.29 | % | $ | 1.43 | ||||||||
| Hypothetical | $ | 1,000.00 | $ | 1,023.42 | 0.29 | % | $ | 1.46 | ||||||||
*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 182 days in the six-month period ended February 29, 2020, and divided by the 366 days in the Fund’s fiscal year ending August 31, 2020 (to reflect the six-month period). Expenses presented in the table include the expenses of any underlying portfolios in which the Fund may invest.
| PGIM QMA Strategic Alpha ETFs | 13 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
LONG-TERM INVESTMENTS 99.4% |
||||||||
|
COMMON STOCKS 99.4% |
||||||||
|
Aerospace & Defense 1.6% |
||||||||
|
Arconic, Inc. |
1,224 | $ | 35,925 | |||||
|
General Dynamics Corp. |
196 | 31,299 | ||||||
|
Huntington Ingalls Industries, Inc. |
144 | 29,596 | ||||||
|
Textron, Inc. |
790 | 32,074 | ||||||
|
United Technologies Corp. |
263 | 34,345 | ||||||
|
|
|
|||||||
| 163,239 | ||||||||
|
Air Freight & Logistics 0.3% |
||||||||
|
FedEx Corp. |
249 | 35,151 | ||||||
|
Airlines 0.5% |
||||||||
|
Alaska Air Group, Inc. |
581 | 29,317 | ||||||
|
United Airlines Holdings, Inc.* |
424 | 26,114 | ||||||
|
|
|
|||||||
| 55,431 | ||||||||
|
Auto Components 0.3% |
||||||||
|
BorgWarner, Inc. |
906 | 28,630 | ||||||
|
Automobiles 0.6% |
||||||||
|
Ford Motor Co. |
3,877 | 26,984 | ||||||
|
General Motors Co. |
1,094 | 33,367 | ||||||
|
|
|
|||||||
| 60,351 | ||||||||
|
Banks 2.6% |
||||||||
|
Bank of America Corp. |
1,223 | 34,856 | ||||||
|
Citigroup, Inc. |
488 | 30,968 | ||||||
|
Fifth Third Bancorp |
1,300 | 31,720 | ||||||
|
Huntington Bancshares, Inc. |
2,669 | 32,749 | ||||||
|
JPMorgan Chase & Co. |
283 | 32,859 | ||||||
|
KeyCorp |
2,182 | 35,676 | ||||||
|
Regions Financial Corp. |
2,345 | 31,704 | ||||||
|
Wells Fargo & Co. |
737 | 30,106 | ||||||
|
|
|
|||||||
| 260,638 | ||||||||
|
Beverages 2.2% |
||||||||
|
Brown-Forman Corp. (Class B Stock) |
574 | 35,249 | ||||||
|
Coca-Cola Co. (The) |
671 | 35,892 | ||||||
|
Constellation Brands, Inc. (Class A Stock) |
210 | 36,200 | ||||||
|
Molson Coors Beverage Co. (Class B Stock) |
694 | 34,429 | ||||||
|
Monster Beverage Corp.* |
618 | 38,569 | ||||||
|
PepsiCo, Inc. |
280 | 36,969 | ||||||
|
|
|
|||||||
| 217,308 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 15 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Biotechnology 2.6% |
||||||||
|
AbbVie, Inc. |
432 | $ | 37,027 | |||||
|
Alexion Pharmaceuticals, Inc.* |
360 | 33,851 | ||||||
|
Amgen, Inc. |
174 | 34,753 | ||||||
|
Biogen, Inc.* |
133 | 41,016 | ||||||
|
Gilead Sciences, Inc. |
548 | 38,009 | ||||||
|
Incyte Corp.* |
498 | 37,554 | ||||||
|
Vertex Pharmaceuticals, Inc.* |
188 | 42,117 | ||||||
|
|
|
|||||||
| 264,327 | ||||||||
|
Building Products 1.4% |
||||||||
|
Allegion PLC (Ireland) |
315 | 36,222 | ||||||
|
Fortune Brands Home & Security, Inc. |
586 | 36,186 | ||||||
|
Johnson Controls International PLC |
905 | 33,096 | ||||||
|
Masco Corp. |
817 | 33,758 | ||||||
|
|
|
|||||||
| 139,262 | ||||||||
|
Capital Markets 4.9% |
||||||||
|
Bank of New York Mellon Corp. (The) |
750 | 29,925 | ||||||
|
BlackRock, Inc. (Class A Stock) |
78 | 36,115 | ||||||
|
Cboe Global Markets, Inc. |
325 | 37,050 | ||||||
|
Franklin Resources, Inc. |
1,505 | 32,749 | ||||||
|
Goldman Sachs Group, Inc. (The) |
176 | 35,335 | ||||||
|
Intercontinental Exchange, Inc. |
390 | 34,796 | ||||||
|
Invesco Ltd. |
2,221 | 31,982 | ||||||
|
Moody’s Corp. |
168 | 40,325 | ||||||
|
Morgan Stanley |
755 | 33,998 | ||||||
|
MSCI, Inc. (Class A Stock) |
159 | 46,975 | ||||||
|
Northern Trust Corp. |
363 | 31,857 | ||||||
|
Raymond James Financial, Inc. |
428 | 35,794 | ||||||
|
State Street Corp. |
469 | 31,943 | ||||||
|
T Rowe Price Group, Inc. |
335 | 39,533 | ||||||
|
|
|
|||||||
| 498,377 | ||||||||
|
Chemicals 2.6% |
||||||||
|
Air Products & Chemicals, Inc. |
170 | 37,334 | ||||||
|
Corteva, Inc. |
1,351 | 36,747 | ||||||
|
Dow, Inc. |
737 | 29,782 | ||||||
|
DuPont de Nemours, Inc. |
633 | 27,156 | ||||||
|
Eastman Chemical Co. |
534 | 32,846 | ||||||
|
LyondellBasell Industries NV (Class A Stock) |
423 | 30,227 | ||||||
|
PPG Industries, Inc. |
300 | 31,335 | ||||||
|
Sherwin-Williams Co. (The) |
69 | 35,656 | ||||||
|
|
|
|||||||
| 261,083 | ||||||||
See Notes to Financial Statements.
| 16 |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 17 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Diversified Telecommunication Services 1.1% |
||||||||
|
AT&T, Inc. |
1,077 | $ | 37,932 | |||||
|
CenturyLink, Inc. |
3,127 | 37,743 | ||||||
|
Verizon Communications, Inc. |
629 | 34,066 | ||||||
|
|
|
|||||||
| 109,741 | ||||||||
|
Electric Utilities 3.7% |
||||||||
|
American Electric Power Co., Inc. |
410 | 36,597 | ||||||
|
Duke Energy Corp. |
426 | 39,064 | ||||||
|
Entergy Corp. |
333 | 38,931 | ||||||
|
Evergy, Inc. |
607 | 39,668 | ||||||
|
Exelon Corp. |
788 | 33,971 | ||||||
|
FirstEnergy Corp. |
812 | 36,158 | ||||||
|
NRG Energy, Inc. |
1,037 | 34,439 | ||||||
|
Pinnacle West Capital Corp. |
433 | 38,749 | ||||||
|
PPL Corp. |
1,130 | 33,911 | ||||||
|
Southern Co. (The) |
614 | 37,061 | ||||||
|
|
|
|||||||
| 368,549 | ||||||||
|
Electrical Equipment 0.7% |
||||||||
|
AMETEK, Inc. |
412 | 35,432 | ||||||
|
Eaton Corp. PLC |
434 | 39,372 | ||||||
|
|
|
|||||||
| 74,804 | ||||||||
|
Electronic Equipment, Instruments & Components 2.0% |
||||||||
|
Amphenol Corp. (Class A Stock) |
356 | 32,638 | ||||||
|
CDW Corp. |
273 | 31,182 | ||||||
|
Corning, Inc. |
1,286 | 30,684 | ||||||
|
Keysight Technologies, Inc.* |
414 | 39,231 | ||||||
|
TE Connectivity Ltd. (Switzerland) |
398 | 32,982 | ||||||
|
Zebra Technologies Corp. (Class A Stock)* |
150 | 31,645 | ||||||
|
|
|
|||||||
| 198,362 | ||||||||
|
Energy Equipment & Services 0.2% |
||||||||
|
Baker Hughes Co. (Class A Stock) |
1,533 | 24,666 | ||||||
|
Entertainment 1.1% |
||||||||
|
Activision Blizzard, Inc. |
637 | 37,029 | ||||||
|
Electronic Arts, Inc.* |
361 | 36,594 | ||||||
|
Take-Two Interactive Software, Inc.* |
306 | 32,889 | ||||||
|
|
|
|||||||
| 106,512 | ||||||||
See Notes to Financial Statements.
| 18 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Equity Real Estate Investment Trusts (REITs) 5.5% |
||||||||
|
Apartment Investment & Management Co. (Class A Stock) |
693 | $ | 33,153 | |||||
|
AvalonBay Communities, Inc. |
177 | 35,505 | ||||||
|
Boston Properties, Inc. |
258 | 33,267 | ||||||
|
Crown Castle International Corp. |
253 | 36,252 | ||||||
|
Equity Residential |
443 | 33,269 | ||||||
|
Essex Property Trust, Inc. |
125 | 35,420 | ||||||
|
Federal Realty Investment Trust |
307 | 35,716 | ||||||
|
Host Hotels & Resorts, Inc. |
2,175 | 31,494 | ||||||
|
Kimco Realty Corp. |
1,948 | 33,798 | ||||||
|
Mid-America Apartment Communities, Inc. |
289 | 37,356 | ||||||
|
Regency Centers Corp. |
623 | 35,785 | ||||||
|
Simon Property Group, Inc. |
266 | 32,739 | ||||||
|
SL Green Realty Corp. |
460 | 36,082 | ||||||
|
UDR, Inc. |
799 | 35,939 | ||||||
|
Ventas, Inc. |
672 | 36,134 | ||||||
|
Welltower, Inc. |
467 | 34,941 | ||||||
|
|
|
|||||||
| 556,850 | ||||||||
|
Food & Staples Retailing 1.8% |
||||||||
|
Costco Wholesale Corp. |
130 | 36,548 | ||||||
|
Kroger Co. (The) |
1,345 | 37,835 | ||||||
|
Sysco Corp. |
508 | 33,858 | ||||||
|
Walgreens Boots Alliance, Inc. |
662 | 30,293 | ||||||
|
Walmart, Inc. |
364 | 39,196 | ||||||
|
|
|
|||||||
| 177,730 | ||||||||
|
Food Products 2.5% |
||||||||
|
Archer-Daniels-Midland Co. |
852 | 32,078 | ||||||
|
Campbell Soup Co. |
798 | 36,006 | ||||||
|
General Mills, Inc. |
736 | 36,064 | ||||||
|
Hormel Foods Corp. |
863 | 35,901 | ||||||
|
JM Smucker Co. (The) |
376 | 38,724 | ||||||
|
Kellogg Co. |
599 | 36,221 | ||||||
|
Mondelez International, Inc. (Class A Stock) |
658 | 34,742 | ||||||
|
|
|
|||||||
| 249,736 | ||||||||
|
Gas Utilities 0.4% |
||||||||
|
Atmos Energy Corp. |
344 | 35,518 | ||||||
|
Health Care Equipment & Supplies 5.6% |
||||||||
|
Abbott Laboratories |
413 | 31,813 | ||||||
|
ABIOMED, Inc.* |
213 | 32,005 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 19 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Health Care Equipment & Supplies (cont’d.) |
||||||||
|
Becton Dickinson & Co. |
143 | $ | 34,008 | |||||
|
Boston Scientific Corp.* |
837 | 31,295 | ||||||
|
Cooper Cos., Inc. (The) |
119 | 38,624 | ||||||
|
DENTSPLY SIRONA, Inc. |
707 | 34,813 | ||||||
|
Edwards Lifesciences Corp.* |
164 | 33,594 | ||||||
|
Hologic, Inc.* |
748 | 35,246 | ||||||
|
IDEXX Laboratories, Inc.* |
145 | 36,904 | ||||||
|
Intuitive Surgical, Inc.* |
72 | 38,445 | ||||||
|
Medtronic PLC (Ireland) |
350 | 35,235 | ||||||
|
STERIS PLC |
255 | 40,448 | ||||||
|
Stryker Corp. |
184 | 35,069 | ||||||
|
Teleflex, Inc. |
102 | 34,172 | ||||||
|
Varian Medical Systems, Inc.* |
263 | 32,341 | ||||||
|
Zimmer Biomet Holdings, Inc. |
260 | 35,399 | ||||||
|
|
|
|||||||
| 559,411 | ||||||||
|
Health Care Providers & Services 3.1% |
||||||||
|
Anthem, Inc. |
126 | 32,393 | ||||||
|
Cigna Corp. |
185 | 33,844 | ||||||
|
CVS Health Corp. |
522 | 30,892 | ||||||
|
Henry Schein, Inc.* |
576 | 35,102 | ||||||
|
Humana, Inc. |
105 | 33,566 | ||||||
|
Laboratory Corp. of America Holdings* |
238 | 41,814 | ||||||
|
Quest Diagnostics, Inc. |
353 | 37,439 | ||||||
|
UnitedHealth Group, Inc. |
133 | 33,910 | ||||||
|
Universal Health Services, Inc. (Class B Stock) |
270 | 33,410 | ||||||
|
|
|
|||||||
| 312,370 | ||||||||
|
Health Care Technology 0.4% |
||||||||
|
Cerner Corp. |
533 | 36,921 | ||||||
|
Hotels, Restaurants & Leisure 1.7% |
||||||||
|
Carnival Corp. |
781 | 26,132 | ||||||
|
MGM Resorts International |
1,169 | 28,711 | ||||||
|
Norwegian Cruise Line Holdings Ltd.* |
675 | 25,151 | ||||||
|
Royal Caribbean Cruises Ltd. |
295 | 23,721 | ||||||
|
Starbucks Corp. |
438 | 34,352 | ||||||
|
Yum! Brands, Inc. |
377 | 33,647 | ||||||
|
|
|
|||||||
| 171,714 | ||||||||
|
Household Durables 2.5% |
||||||||
|
DR Horton, Inc. |
723 | 38,514 | ||||||
|
Garmin Ltd. (Switzerland) |
394 | 34,826 | ||||||
See Notes to Financial Statements.
| 20 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Household Durables (cont’d.) |
||||||||
|
Lennar Corp. (Class A Stock) |
683 | $ | 41,212 | |||||
|
Mohawk Industries, Inc.* |
313 | 37,920 | ||||||
|
Newell Brands, Inc. |
2,024 | 31,230 | ||||||
|
PulteGroup, Inc. |
972 | 39,074 | ||||||
|
Whirlpool Corp. |
261 | 33,372 | ||||||
|
|
|
|||||||
| 256,148 | ||||||||
|
Household Products 1.4% |
||||||||
|
Church & Dwight Co., Inc. |
550 | 38,236 | ||||||
|
Colgate-Palmolive Co. |
569 | 38,447 | ||||||
|
Kimberly-Clark Corp. |
257 | 33,716 | ||||||
|
Procter & Gamble Co. (The) |
306 | 34,649 | ||||||
|
|
|
|||||||
| 145,048 | ||||||||
|
Independent Power & Renewable Electricity Producers 0.3% |
||||||||
|
AES Corp. |
1,914 | 32,021 | ||||||
|
Industrial Conglomerates 0.7% |
||||||||
|
3M Co. |
218 | 32,535 | ||||||
|
Honeywell International, Inc. |
219 | 35,515 | ||||||
|
|
|
|||||||
| 68,050 | ||||||||
|
Insurance 4.3% |
||||||||
|
Aflac, Inc. |
682 | 29,224 | ||||||
|
Allstate Corp. (The) |
367 | 38,627 | ||||||
|
American International Group, Inc. |
752 | 31,704 | ||||||
|
Aon PLC (United Kingdom) |
188 | 39,104 | ||||||
|
Chubb Ltd. (Switzerland) |
226 | 32,777 | ||||||
|
Everest Re Group Ltd. (Bermuda) |
142 | 35,199 | ||||||
|
Hartford Financial Services Group, Inc. (The) |
641 | 32,018 | ||||||
|
Loews Corp. |
707 | 32,260 | ||||||
|
MetLife, Inc. |
795 | 33,962 | ||||||
|
Principal Financial Group, Inc. |
695 | 30,851 | ||||||
|
Progressive Corp. (The) |
528 | 38,629 | ||||||
|
Travelers Cos., Inc. (The) |
285 | 34,146 | ||||||
|
Unum Group |
1,285 | 29,953 | ||||||
|
|
|
|||||||
| 438,454 | ||||||||
|
Interactive Media & Services 1.1% |
||||||||
|
Alphabet, Inc., |
||||||||
|
(Class A Stock)* |
28 | 37,499 | ||||||
|
(Class C Stock)* |
28 | 37,501 | ||||||
|
Facebook, Inc. (Class A Stock)* |
191 | 36,762 | ||||||
|
|
|
|||||||
| 111,762 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 21 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Internet & Direct Marketing Retail 1.0% |
||||||||
|
Booking Holdings, Inc.* |
20 | $ | 33,913 | |||||
|
eBay, Inc. |
1,080 | 37,411 | ||||||
|
Expedia Group, Inc. |
349 | 34,419 | ||||||
|
|
|
|||||||
| 105,743 | ||||||||
|
IT Services 3.6% |
||||||||
|
Accenture PLC (Ireland) (Class A Stock) |
196 | 35,396 | ||||||
|
Akamai Technologies, Inc.* |
426 | 36,853 | ||||||
|
Automatic Data Processing, Inc. |
229 | 35,435 | ||||||
|
Cognizant Technology Solutions Corp. (Class A Stock) |
581 | 35,400 | ||||||
|
International Business Machines Corp. |
264 | 34,360 | ||||||
|
Jack Henry & Associates, Inc. |
263 | 39,908 | ||||||
|
Mastercard, Inc. (Class A Stock) |
128 | 37,152 | ||||||
|
Paychex, Inc. |
456 | 35,331 | ||||||
|
VeriSign, Inc.* |
183 | 34,724 | ||||||
|
Visa, Inc. (Class A Stock) |
219 | 39,805 | ||||||
|
|
|
|||||||
| 364,364 | ||||||||
|
Life Sciences Tools & Services 1.7% |
||||||||
|
Agilent Technologies, Inc. |
452 | 34,836 | ||||||
|
Illumina, Inc.* |
117 | 31,084 | ||||||
|
Mettler-Toledo International, Inc.* |
49 | 34,383 | ||||||
|
PerkinElmer, Inc. |
389 | 33,625 | ||||||
|
Thermo Fisher Scientific, Inc. |
129 | 37,513 | ||||||
|
|
|
|||||||
| 171,441 | ||||||||
|
Machinery 2.5% |
||||||||
|
Cummins, Inc. |
237 | 35,856 | ||||||
|
Deere & Co. |
221 | 34,582 | ||||||
|
Dover Corp. |
365 | 37,500 | ||||||
|
Ingersoll-Rand PLC |
291 | 37,551 | ||||||
|
PACCAR, Inc. |
493 | 32,982 | ||||||
|
Pentair PLC (United Kingdom) |
882 | 34,742 | ||||||
|
Snap-on, Inc. |
234 | 33,871 | ||||||
|
|
|
|||||||
| 247,084 | ||||||||
|
Media 0.6% |
||||||||
|
Fox Corp., |
||||||||
|
(Class A Stock) |
1,024 | 31,478 | ||||||
|
(Class B Stock) |
1,025 | 31,211 | ||||||
|
|
|
|||||||
| 62,689 | ||||||||
See Notes to Financial Statements.
| 22 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Metals & Mining 0.3% |
||||||||
|
Nucor Corp. |
715 | $ | 29,565 | |||||
|
Multiline Retail 1.0% |
||||||||
|
Dollar General Corp. |
253 | 38,026 | ||||||
|
Kohl’s Corp. |
766 | 29,989 | ||||||
|
Target Corp. |
311 | 32,033 | ||||||
|
|
|
|||||||
| 100,048 | ||||||||
|
Multi-Utilities 2.8% |
||||||||
|
CenterPoint Energy, Inc. |
1,432 | 32,965 | ||||||
|
CMS Energy Corp. |
617 | 37,279 | ||||||
|
Consolidated Edison, Inc. |
458 | 36,099 | ||||||
|
Dominion Energy, Inc. |
482 | 37,683 | ||||||
|
DTE Energy Co. |
280 | 31,268 | ||||||
|
NiSource, Inc. |
1,298 | 35,072 | ||||||
|
Public Service Enterprise Group, Inc. |
648 | 33,249 | ||||||
|
Sempra Energy |
261 | 36,482 | ||||||
|
|
|
|||||||
| 280,097 | ||||||||
|
Oil, Gas & Consumable Fuels 3.1% |
||||||||
|
Concho Resources, Inc. |
413 | 28,092 | ||||||
|
ConocoPhillips |
578 | 27,987 | ||||||
|
Devon Energy Corp. |
1,519 | 24,668 | ||||||
|
Exxon Mobil Corp. |
509 | 26,183 | ||||||
|
HollyFrontier Corp. |
745 | 25,092 | ||||||
|
Kinder Morgan, Inc. |
1,750 | 33,547 | ||||||
|
Marathon Oil Corp. |
2,789 | 23,093 | ||||||
|
Marathon Petroleum Corp. |
650 | 30,823 | ||||||
|
ONEOK, Inc. |
515 | 34,361 | ||||||
|
Phillips 66 |
387 | 28,971 | ||||||
|
Valero Energy Corp. |
415 | 27,494 | ||||||
|
|
|
|||||||
| 310,311 | ||||||||
|
Pharmaceuticals 2.5% |
||||||||
|
Bristol-Myers Squibb Co. |
601 | 35,495 | ||||||
|
Eli Lilly & Co. |
301 | 37,965 | ||||||
|
Johnson & Johnson |
255 | 34,293 | ||||||
|
Merck & Co., Inc. |
426 | 32,615 | ||||||
|
Perrigo Co. PLC (Ireland) |
770 | 39,031 | ||||||
|
Pfizer, Inc. |
1,019 | 34,055 | ||||||
|
Zoetis, Inc. (Class A Stock) |
288 | 38,370 | ||||||
|
|
|
|||||||
| 251,824 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 23 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Professional Services 0.7% |
||||||||
|
Nielsen Holdings PLC |
1,889 | $ | 34,399 | |||||
|
Robert Half International, Inc. |
634 | 31,960 | ||||||
|
|
|
|||||||
| 66,359 | ||||||||
|
Real Estate Management & Development 0.4% |
||||||||
|
CBRE Group, Inc. (Class A Stock)* |
634 | 35,593 | ||||||
|
Semiconductors & Semiconductor Equipment 2.1% |
||||||||
|
Intel Corp. |
652 | 36,199 | ||||||
|
Lam Research Corp. |
130 | 38,146 | ||||||
|
Maxim Integrated Products, Inc. |
664 | 36,931 | ||||||
|
Qorvo, Inc.* |
346 | 34,801 | ||||||
|
Skyworks Solutions, Inc. |
327 | 32,759 | ||||||
|
Texas Instruments, Inc. |
291 | 33,215 | ||||||
|
|
|
|||||||
| 212,051 | ||||||||
|
Software 3.7% |
||||||||
|
Adobe, Inc.* |
116 | 40,034 | ||||||
|
ANSYS, Inc.* |
150 | 36,329 | ||||||
|
Autodesk, Inc.* |
205 | 39,130 | ||||||
|
Cadence Design Systems, Inc.* |
519 | 34,327 | ||||||
|
Citrix Systems, Inc. |
342 | 35,359 | ||||||
|
Intuit, Inc. |
145 | 38,548 | ||||||
|
Microsoft Corp. |
244 | 39,530 | ||||||
|
Oracle Corp. |
648 | 32,050 | ||||||
|
salesforce.com, Inc.* |
219 | 37,318 | ||||||
|
Synopsys, Inc.* |
296 | 40,827 | ||||||
|
|
|
|||||||
| 373,452 | ||||||||
|
Specialty Retail 2.4% |
||||||||
|
AutoZone, Inc.* |
34 | 35,105 | ||||||
|
Best Buy Co., Inc. |
435 | 32,908 | ||||||
|
Home Depot, Inc. (The) |
172 | 37,468 | ||||||
|
Lowe’s Cos., Inc. |
321 | 34,209 | ||||||
|
O’Reilly Automotive, Inc.* |
90 | 33,185 | ||||||
|
Ross Stores, Inc. |
324 | 35,245 | ||||||
|
Tractor Supply Co. |
427 | 37,794 | ||||||
|
|
|
|||||||
| 245,914 | ||||||||
|
Technology Hardware, Storage & Peripherals 1.6% |
||||||||
|
Apple, Inc. |
129 | 35,264 | ||||||
|
Hewlett Packard Enterprise Co. |
2,679 | 34,264 | ||||||
See Notes to Financial Statements.
| 24 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Technology Hardware, Storage & Peripherals (cont’d.) |
||||||||
|
NetApp, Inc. |
621 | $ | 29,013 | |||||
|
Seagate Technology PLC |
653 | 31,311 | ||||||
|
Xerox Holdings Corp. |
1,070 | 34,454 | ||||||
|
|
|
|||||||
| 164,306 | ||||||||
|
Textiles, Apparel & Luxury Goods 1.5% |
||||||||
|
Capri Holdings Ltd. (United Kingdom)* |
1,023 | 26,414 | ||||||
|
NIKE, Inc. (Class B Stock) |
378 | 33,786 | ||||||
|
PVH Corp. |
364 | 26,976 | ||||||
|
Ralph Lauren Corp. (Class A Stock) |
320 | 33,763 | ||||||
|
Tapestry, Inc. |
1,344 | 31,517 | ||||||
|
|
|
|||||||
| 152,456 | ||||||||
|
Tobacco 0.4% |
||||||||
|
Philip Morris International, Inc. |
445 | 36,432 | ||||||
|
Trading Companies & Distributors 0.3% |
||||||||
|
WW Grainger, Inc. |
114 | 31,640 | ||||||
|
Water Utilities 0.4% |
||||||||
|
American Water Works Co., Inc. |
295 | 36,480 | ||||||
|
Wireless Telecommunication Services 0.4% |
||||||||
|
T-Mobile US, Inc.* |
487 | 43,908 | ||||||
|
|
|
|||||||
|
TOTAL LONG-TERM INVESTMENTS
|
10,013,775 | |||||||
|
|
|
|||||||
The following abbreviations are used in the semi-annual report:
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| * |
Non-income producing security. |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 25 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
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 February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 163,239 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
35,151 | — | — | |||||||||
|
Airlines |
55,431 | — | — | |||||||||
|
Auto Components |
28,630 | — | — | |||||||||
|
Automobiles |
60,351 | — | — | |||||||||
|
Banks |
260,638 | — | — | |||||||||
|
Beverages |
217,308 | — | — | |||||||||
|
Biotechnology |
264,327 | — | — | |||||||||
|
Building Products |
139,262 | — | — | |||||||||
|
Capital Markets |
498,377 | — | — | |||||||||
|
Chemicals |
261,083 | — | — | |||||||||
|
Commercial Services & Supplies |
70,816 | — | — | |||||||||
|
Communications Equipment |
137,267 | — | — | |||||||||
|
Construction & Engineering |
78,325 | — | — | |||||||||
|
Construction Materials |
62,520 | — | — | |||||||||
|
Consumer Finance |
94,153 | — | — | |||||||||
|
Containers & Packaging |
129,302 | — | — | |||||||||
|
Distributors |
64,123 | — | — | |||||||||
|
Diversified Financial Services |
37,348 | — | — | |||||||||
|
Diversified Telecommunication Services |
109,741 | — | — | |||||||||
|
Electric Utilities |
368,549 | — | — | |||||||||
|
Electrical Equipment |
74,804 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
198,362 | — | — | |||||||||
|
Energy Equipment & Services |
24,666 | — | — | |||||||||
|
Entertainment |
106,512 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
556,850 | — | — | |||||||||
See Notes to Financial Statements.
| 26 |
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Food & Staples Retailing |
$ | 177,730 | $ | — | $ | — | ||||||
|
Food Products |
249,736 | — | — | |||||||||
|
Gas Utilities |
35,518 | — | — | |||||||||
|
Health Care Equipment & Supplies |
559,411 | — | — | |||||||||
|
Health Care Providers & Services |
312,370 | — | — | |||||||||
|
Health Care Technology |
36,921 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
171,714 | — | — | |||||||||
|
Household Durables |
256,148 | — | — | |||||||||
|
Household Products |
145,048 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
32,021 | — | — | |||||||||
|
Industrial Conglomerates |
68,050 | — | — | |||||||||
|
Insurance |
438,454 | — | — | |||||||||
|
Interactive Media & Services |
111,762 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
105,743 | — | — | |||||||||
|
IT Services |
364,364 | — | — | |||||||||
|
Life Sciences Tools & Services |
171,441 | — | — | |||||||||
|
Machinery |
247,084 | — | — | |||||||||
|
Media |
62,689 | — | — | |||||||||
|
Metals & Mining |
29,565 | — | — | |||||||||
|
Multiline Retail |
100,048 | — | — | |||||||||
|
Multi-Utilities |
280,097 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
310,311 | — | — | |||||||||
|
Pharmaceuticals |
251,824 | — | — | |||||||||
|
Professional Services |
66,359 | — | — | |||||||||
|
Real Estate Management & Development |
35,593 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
212,051 | — | — | |||||||||
|
Software |
373,452 | — | — | |||||||||
|
Specialty Retail |
245,914 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
164,306 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
152,456 | — | — | |||||||||
|
Tobacco |
36,432 | — | — | |||||||||
|
Trading Companies & Distributors |
31,640 | — | — | |||||||||
|
Water Utilities |
36,480 | — | — | |||||||||
|
Wireless Telecommunication Services |
43,908 | — | — | |||||||||
|
Time Deposit |
— | 40,058 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 10,013,775 | $ | 40,058 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 27 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
Industry Classification:
The industry classification of investments and other assets in excess of liabilities shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Health Care Equipment & Supplies |
5.6 | % | ||
|
Equity Real Estate Investment Trusts (REITs) |
5.5 | |||
|
Capital Markets |
4.9 | |||
|
Insurance |
4.3 | |||
|
Software |
3.7 | |||
|
Electric Utilities |
3.7 | |||
|
IT Services |
3.6 | |||
|
Health Care Providers & Services |
3.1 | |||
|
Oil, Gas & Consumable Fuels |
3.1 | |||
|
Multi-Utilities |
2.8 | |||
|
Biotechnology |
2.6 | |||
|
Chemicals |
2.6 | |||
|
Banks |
2.6 | |||
|
Household Durables |
2.5 | |||
|
Pharmaceuticals |
2.5 | |||
|
Food Products |
2.5 | |||
|
Machinery |
2.5 | |||
|
Specialty Retail |
2.4 | |||
|
Beverages |
2.2 | |||
|
Semiconductors & Semiconductor Equipment |
2.1 | |||
|
Electronic Equipment, Instruments & Components |
2.0 | |||
|
Food & Staples Retailing |
1.8 | |||
|
Hotels, Restaurants & Leisure |
1.7 | |||
|
Life Sciences Tools & Services |
1.7 | |||
|
Technology Hardware, Storage & Peripherals |
1.6 | |||
|
Aerospace & Defense |
1.6 | |||
|
Textiles, Apparel & Luxury Goods |
1.5 | |||
|
Household Products |
1.4 | |||
|
Building Products |
1.4 | |||
|
Communications Equipment |
1.4 | |||
|
Containers & Packaging |
1.3 | |||
|
Interactive Media & Services |
1.1 | |||
|
Diversified Telecommunication Services |
1.1 | |||
|
Entertainment |
1.1 | |||
|
Internet & Direct Marketing Retail |
1.0 | % | ||
|
Multiline Retail |
1.0 | |||
|
Consumer Finance |
0.9 | |||
|
Construction & Engineering |
0.8 | |||
|
Electrical Equipment |
0.7 | |||
|
Commercial Services & Supplies |
0.7 | |||
|
Industrial Conglomerates |
0.7 | |||
|
Professional Services |
0.7 | |||
|
Distributors |
0.6 | |||
|
Media |
0.6 | |||
|
Construction Materials |
0.6 | |||
|
Automobiles |
0.6 | |||
|
Airlines |
0.5 | |||
|
Wireless Telecommunication Services |
0.4 | |||
|
Time Deposit |
0.4 | |||
|
Diversified Financial Services |
0.4 | |||
|
Health Care Technology |
0.4 | |||
|
Water Utilities |
0.4 | |||
|
Tobacco |
0.4 | |||
|
Gas Utilities |
0.4 | |||
|
Real Estate Management & Development |
0.4 | |||
|
Air Freight & Logistics |
0.3 | |||
|
Independent Power & Renewable Electricity Producers |
0.3 | |||
|
Trading Companies & Distributors |
0.3 | |||
|
Metals & Mining |
0.3 | |||
|
Auto Components |
0.3 | |||
|
Energy Equipment & Services |
0.2 | |||
|
|
|
|||
| 99.8 | ||||
|
Other assets in excess of liabilities |
0.2 | |||
|
|
|
|||
| 100.0 | % | |||
|
|
|
See Notes to Financial Statements.
| 28 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
|
|||
|
Investments at value: |
|
|||
|
Unaffiliated investments (cost $10,433,401) |
$ | 10,053,833 | ||
|
Cash |
27 | |||
|
Interest and dividends receivable |
22,331 | |||
|
|
|
|||
|
Total Assets |
10,076,191 | |||
|
|
|
|||
|
Liabilities |
|
|||
|
Management fee payable |
1,520 | |||
|
Other liabilities |
21 | |||
|
|
|
|||
|
Total Liabilities |
1,541 | |||
|
|
|
|||
|
Net Assets |
$ | 10,074,650 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 200 | ||
|
Paid-in capital in excess of par |
10,206,445 | |||
|
Total distributable earnings (loss) |
(131,995 | ) | ||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 10,074,650 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 50.37 | ||
|
|
|
|||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 29 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
|
Net Investment Income (Loss) |
|
|||
|
Income |
|
|||
|
Interest income |
$ | 714 | ||
|
Unaffiliated dividend income (net of $224 foreign withholding tax) |
116,979 | |||
|
Income from securities lending, net (including affiliated income of $22) |
22 | |||
|
|
|
|||
|
Total income |
117,715 | |||
|
|
|
|||
|
Expenses |
||||
|
Management fee |
9,292 | |||
|
|
|
|||
|
Total expenses |
9,292 | |||
|
|
|
|||
|
Net investment income (loss) |
108,423 | |||
|
|
|
|||
|
Realized And Unrealized Gain (Loss) On Investments |
|
|||
|
Net realized gain (loss) on: |
|
|||
|
Investment transactions (including affiliated of $(1)) |
307,524 | |||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments |
(597,617 | ) | ||
|
|
|
|||
|
Net gain (loss) on investment transactions |
(290,093 | ) | ||
|
|
|
|||
|
Net Increase (Decrease) In Net Assets Resulting From Operations |
$ | (181,670 | ) | |
|
|
|
|||
See Notes to Financial Statements.
| 30 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Statements of Changes in Net Assets
|
Six Months Ended
February 29, 2020
|
Period
Ended
|
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 108,423 | $ | 198,181 | ||||
|
Net realized gain (loss) on investments and in-kind redemptions |
307,524 | 177,495 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
(597,617 | ) | 218,049 | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
(181,670 | ) | 593,725 | |||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(123,424 | ) | (150,716 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
— | 15,004,125 | ||||||
|
Cost of shares reacquired |
— | (5,067,390 | ) | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
— | 9,936,735 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
(305,094 | ) | 10,379,744 | |||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
10,379,744 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 10,074,650 | $ | 10,379,744 | ||||
|
|
|
|
|
|||||
| * |
For the period from October 17, 2018 (commencement of operations) through August 31, 2019. |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 31 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
LONG-TERM INVESTMENTS 99.6% |
||||||||
|
COMMON STOCKS 99.6% |
||||||||
|
Aerospace & Defense 0.5% |
||||||||
|
Astronics Corp.* |
695 | $ | 14,088 | |||||
|
Ducommun, Inc.* |
462 | 20,628 | ||||||
|
Moog, Inc. (Class A Stock) |
204 | 15,732 | ||||||
|
|
|
|||||||
| 50,448 | ||||||||
|
Air Freight & Logistics 0.5% |
||||||||
|
Air Transport Services Group, Inc.* |
850 | 15,215 | ||||||
|
Forward Air Corp. |
279 | 16,464 | ||||||
|
Radiant Logistics, Inc.* |
3,410 | 15,004 | ||||||
|
|
|
|||||||
| 46,683 | ||||||||
|
Airlines 0.1% |
||||||||
|
Mesa Air Group, Inc.* |
2,161 | 12,469 | ||||||
|
Auto Components 0.4% |
||||||||
|
LCI Industries |
184 | 17,765 | ||||||
|
Standard Motor Products, Inc. |
393 | 17,292 | ||||||
|
|
|
|||||||
| 35,057 | ||||||||
|
Automobiles 0.2% |
||||||||
|
Winnebago Industries, Inc. |
356 | 18,473 | ||||||
|
Banks 4.2% |
||||||||
|
Ameris Bancorp |
421 | 14,390 | ||||||
|
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) |
585 | 16,193 | ||||||
|
Baycom Corp.* |
863 | 18,390 | ||||||
|
Cambridge Bancorp |
260 | 17,802 | ||||||
|
Central Pacific Financial Corp. |
682 | 16,313 | ||||||
|
Coastal Financial Corp.* |
1,154 | 18,914 | ||||||
|
Eagle Bancorp, Inc. |
393 | 14,706 | ||||||
|
Esquire Financial Holdings, Inc.* |
709 | 16,243 | ||||||
|
FB Financial Corp. |
478 | 15,568 | ||||||
|
First Financial Corp. |
448 | 17,898 | ||||||
|
First Foundation, Inc. |
1,128 | 16,328 | ||||||
|
Hanmi Financial Corp. |
1,031 | 16,084 | ||||||
|
HarborOne Bancorp, Inc.* |
1,667 | 16,662 | ||||||
|
Heritage Commerce Corp. |
1,466 | 15,041 | ||||||
|
HomeTrust Bancshares, Inc. |
697 | 16,561 | ||||||
|
Independent Bank Corp. |
1,128 | 34,017 | ||||||
|
Independent Bank Group, Inc. |
369 | 17,081 | ||||||
|
Investar Holding Corp. |
826 | 17,643 | ||||||
See Notes to Financial Statements.
| 32 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Banks (cont’d.) |
||||||||
|
Midland States Bancorp, Inc. |
696 | $ | 16,579 | |||||
|
ServisFirst Bancshares, Inc. |
540 | 18,657 | ||||||
|
TriState Capital Holdings, Inc.* |
746 | 14,823 | ||||||
|
United Community Banks, Inc. |
638 | 15,803 | ||||||
|
West Bancorporation, Inc. |
822 | 16,810 | ||||||
|
|
|
|||||||
| 398,506 | ||||||||
|
Beverages 0.5% |
||||||||
|
Boston Beer Co., Inc. (The) (Class A Stock)* |
51 | 18,910 | ||||||
|
Coca-Cola Consolidated, Inc. |
70 | 13,747 | ||||||
|
National Beverage Corp.* |
436 | 18,438 | ||||||
|
|
|
|||||||
| 51,095 | ||||||||
|
Biotechnology 10.6% |
||||||||
|
ACADIA Pharmaceuticals, Inc.* |
452 | 19,319 | ||||||
|
Aduro Biotech, Inc.* |
13,906 | 42,413 | ||||||
|
Aldeyra Therapeutics, Inc.* |
2,958 | 11,240 | ||||||
|
Allogene Therapeutics, Inc.* |
768 | 20,736 | ||||||
|
Amicus Therapeutics, Inc.* |
2,003 | 19,119 | ||||||
|
AnaptysBio, Inc.* |
1,261 | 18,852 | ||||||
|
Arena Pharmaceuticals, Inc.* |
432 | 19,267 | ||||||
|
Atreca, Inc. (Class A Stock)* |
1,307 | 30,898 | ||||||
|
Avid Bioservices, Inc.* |
3,016 | 19,001 | ||||||
|
Avrobio, Inc.* |
879 | 16,965 | ||||||
|
BioSpecifics Technologies Corp.* |
330 | 18,213 | ||||||
|
CASI Pharmaceuticals, Inc.* |
5,819 | 10,300 | ||||||
|
Castle Biosciences, Inc.* |
635 | 19,012 | ||||||
|
Catalyst Pharmaceuticals, Inc.* |
4,759 | 20,035 | ||||||
|
Crinetics Pharmaceuticals, Inc.* |
823 | 16,937 | ||||||
|
Cyclerion Therapeutics, Inc.* |
5,602 | 23,977 | ||||||
|
Eagle Pharmaceuticals, Inc.* |
336 | 15,422 | ||||||
|
Eiger BioPharmaceuticals, Inc.* |
1,382 | 13,115 | ||||||
|
Emergent BioSolutions, Inc.* |
314 | 18,426 | ||||||
|
Enanta Pharmaceuticals, Inc.* |
338 | 17,197 | ||||||
|
FibroGen, Inc.* |
448 | 18,726 | ||||||
|
G1 Therapeutics, Inc.* |
750 | 13,455 | ||||||
|
GlycoMimetics, Inc.* |
3,837 | 13,890 | ||||||
|
Gossamer Bio, Inc.* |
1,403 | 18,421 | ||||||
|
Heron Therapeutics, Inc.* |
896 | 16,710 | ||||||
|
Homology Medicines, Inc.* |
1,153 | 18,448 | ||||||
|
Hookipa Pharma, Inc.* |
1,607 | 15,941 | ||||||
|
Intellia Therapeutics, Inc.(a)* |
1,364 | 18,209 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 33 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Biotechnology (cont’d.) |
||||||||
|
Invitae Corp.(a)* |
1,045 | $ | 21,297 | |||||
|
Ironwood Pharmaceuticals, Inc. (Class A Stock)(a)* |
1,564 | 18,831 | ||||||
|
Kindred Biosciences, Inc.* |
2,002 | 21,762 | ||||||
|
Krystal Biotech, Inc.* |
360 | 19,242 | ||||||
|
Kura Oncology, Inc.* |
1,545 | 18,648 | ||||||
|
Lexicon Pharmaceuticals, Inc.* |
4,841 | 13,434 | ||||||
|
Ligand Pharmaceuticals, Inc.* |
219 | 20,498 | ||||||
|
LogicBio Therapeutics, Inc.* |
2,526 | 20,309 | ||||||
|
MacroGenics, Inc.* |
1,505 | 13,199 | ||||||
|
Madrigal Pharmaceuticals, Inc.* |
234 | 20,164 | ||||||
|
MeiraGTx Holdings PLC* |
1,018 | 16,492 | ||||||
|
Mustang Bio, Inc.* |
4,657 | 13,598 | ||||||
|
Palatin Technologies, Inc.* |
27,812 | 14,204 | ||||||
|
PhaseBio Pharmaceuticals, Inc.* |
3,482 | 14,659 | ||||||
|
Prevail Therapeutics, Inc.* |
1,072 | 13,700 | ||||||
|
PTC Therapeutics, Inc.* |
366 | 20,071 | ||||||
|
Radius Health, Inc.* |
1,005 | 21,165 | ||||||
|
REGENXBIO, Inc.* |
434 | 17,360 | ||||||
|
Retrophin, Inc.* |
1,224 | 18,966 | ||||||
|
Scholar Rock Holding Corp.* |
1,792 | 25,285 | ||||||
|
Spectrum Pharmaceuticals, Inc.* |
6,428 | 18,384 | ||||||
|
Stemline Therapeutics, Inc.* |
2,835 | 17,067 | ||||||
|
Stoke Therapeutics, Inc.* |
818 | 20,246 | ||||||
|
Translate Bio, Inc.* |
2,429 | 18,412 | ||||||
|
Vanda Pharmaceuticals, Inc.* |
1,300 | 14,339 | ||||||
|
Vericel Corp.* |
1,172 | 18,096 | ||||||
|
Xencor, Inc.* |
476 | 15,465 | ||||||
|
|
|
|||||||
| 1,009,137 | ||||||||
|
Building Products 2.1% |
||||||||
|
Advanced Drainage Systems, Inc. |
479 | 20,051 | ||||||
|
American Woodmark Corp.* |
173 | 14,492 | ||||||
|
Apogee Enterprises, Inc. |
580 | 17,510 | ||||||
|
Builders FirstSource, Inc.* |
787 | 17,873 | ||||||
|
CSW Industrials, Inc. |
256 | 16,855 | ||||||
|
JELD-WEN Holding, Inc.* |
769 | 14,457 | ||||||
|
Masonite International Corp.* |
251 | 18,449 | ||||||
|
Patrick Industries, Inc. |
383 | 20,234 | ||||||
|
PGT Innovations, Inc.* |
1,228 | 18,629 | ||||||
|
Simpson Manufacturing Co., Inc. |
235 | 18,666 | ||||||
|
Universal Forest Products, Inc. |
418 | 19,587 | ||||||
|
|
|
|||||||
| 196,803 | ||||||||
See Notes to Financial Statements.
| 34 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Capital Markets 2.4% |
||||||||
|
Artisan Partners Asset Management, Inc. (Class A Stock) |
571 | $ | 16,319 | |||||
|
Blucora, Inc.* |
777 | 13,520 | ||||||
|
Cohen & Steers, Inc. |
294 | 18,419 | ||||||
|
Diamond Hill Investment Group, Inc. |
128 | 16,221 | ||||||
|
Federated Hermes, Inc. (Class B Stock) |
521 | 15,031 | ||||||
|
GAMCO Investors, Inc. (Class A Stock) |
1,128 | 17,552 | ||||||
|
Greenhill & Co., Inc. |
1,109 | 16,214 | ||||||
|
Moelis & Co. (Class A Stock) |
521 | 16,651 | ||||||
|
PJT Partners, Inc. (Class A Stock) |
429 | 19,283 | ||||||
|
Pzena Investment Management, Inc. (Class A Stock) |
2,117 | 13,824 | ||||||
|
Safeguard Scientifics, Inc. |
1,803 | 15,920 | ||||||
|
Silvercrest Asset Management Group, Inc. (Class A Stock) |
1,585 | 18,323 | ||||||
|
Virtus Investment Partners, Inc. |
153 | 16,891 | ||||||
|
WisdomTree Investments, Inc. |
4,646 | 18,863 | ||||||
|
|
|
|||||||
| 233,031 | ||||||||
|
Chemicals 1.3% |
||||||||
|
Balchem Corp. |
184 | 17,381 | ||||||
|
Chase Corp. |
174 | 15,449 | ||||||
|
HB Fuller Co.(a) |
376 | 14,751 | ||||||
|
Ingevity Corp.* |
244 | 10,990 | ||||||
|
Innospec, Inc. |
186 | 16,096 | ||||||
|
Kraton Corp.* |
879 | 8,896 | ||||||
|
Orion Engineered Carbons SA (Luxembourg) |
1,015 | 14,423 | ||||||
|
PolyOne Corp. |
575 | 14,237 | ||||||
|
Stepan Co. |
175 | 15,370 | ||||||
|
|
|
|||||||
| 127,593 | ||||||||
|
Commercial Services & Supplies 2.5% |
||||||||
|
Brady Corp. (Class A Stock)(a) |
316 | 14,959 | ||||||
|
Brink’s Co. (The) |
214 | 16,754 | ||||||
|
Cimpress PLC (Ireland)* |
184 | 21,419 | ||||||
|
Deluxe Corp. |
363 | 12,088 | ||||||
|
Harsco Corp.* |
1,000 | 11,990 | ||||||
|
Herman Miller, Inc. |
478 | 16,367 | ||||||
|
HNI Corp. |
505 | 16,579 | ||||||
|
Interface, Inc. (Class A Stock) |
1,204 | 17,566 | ||||||
|
Kimball International, Inc. (Class B Stock) |
853 | 13,802 | ||||||
|
Knoll, Inc. |
741 | 13,071 | ||||||
|
McGrath RentCorp |
248 | 17,224 | ||||||
|
Mobile Mini, Inc. |
449 | 17,507 | ||||||
|
MSA Safety, Inc. |
154 | 18,737 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 35 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
| COMMON STOCKS (Continued) | ||||||||
|
Commercial Services & Supplies (cont’d.) |
||||||||
|
Steelcase, Inc. (Class A Stock) |
1,013 | $ | 16,431 | |||||
|
Tetra Tech, Inc. |
215 | 17,387 | ||||||
|
|
|
|||||||
| 241,881 | ||||||||
|
Communications Equipment 1.0% |
||||||||
|
Calix, Inc.* |
2,261 | 20,349 | ||||||
|
Clearfield, Inc.* |
1,337 | 14,333 | ||||||
|
DASAN Zhone Solutions, Inc.* |
1,862 | 14,207 | ||||||
|
Extreme Networks, Inc.* |
2,583 | 12,993 | ||||||
|
InterDigital, Inc. |
324 | 17,136 | ||||||
|
Viavi Solutions, Inc.* |
1,185 | 15,630 | ||||||
|
|
|
|||||||
| 94,648 | ||||||||
|
Construction & Engineering 1.7% |
||||||||
|
Comfort Systems USA, Inc. |
392 | 16,550 | ||||||
|
Construction Partners, Inc. (Class A Stock)* |
1,126 | 19,153 | ||||||
|
Dycom Industries, Inc.* |
416 | 12,297 | ||||||
|
EMCOR Group, Inc. |
227 | 17,461 | ||||||
|
Great Lakes Dredge & Dock Corp.* |
1,590 | 15,423 | ||||||
|
IES Holdings, Inc.* |
826 | 19,254 | ||||||
|
MasTec, Inc.* |
310 | 15,215 | ||||||
|
MYR Group, Inc.* |
613 | 15,638 | ||||||
|
Primoris Services Corp. |
841 | 15,962 | ||||||
|
Sterling Construction Co., Inc.* |
1,344 | 18,359 | ||||||
|
|
|
|||||||
| 165,312 | ||||||||
|
Construction Materials 0.3% |
||||||||
|
Summit Materials, Inc. (Class A Stock)* |
853 | 16,668 | ||||||
|
US Concrete, Inc.* |
504 | 13,527 | ||||||
|
|
|
|||||||
| 30,195 | ||||||||
|
Consumer Finance 0.9% |
||||||||
|
Curo Group Holdings Corp. |
1,830 | 16,891 | ||||||
|
Elevate Credit, Inc.* |
4,184 | 13,807 | ||||||
|
Enova International, Inc.* |
831 | 15,972 | ||||||
|
Oportun Financial Corp.* |
917 | 19,284 | ||||||
|
Regional Management Corp.* |
678 | 17,391 | ||||||
|
|
|
|||||||
| 83,345 | ||||||||
|
Containers & Packaging 0.2% |
||||||||
|
Myers Industries, Inc. |
1,154 | 15,660 | ||||||
See Notes to Financial Statements.
| 36 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Distributors 0.2% |
||||||||
|
Core-Mark Holding Co., Inc. |
779 | $ | 17,925 | |||||
|
Diversified Consumer Services 0.9% |
||||||||
|
Collectors Universe, Inc. |
797 | 18,335 | ||||||
|
K12, Inc.* |
963 | 19,145 | ||||||
|
Perdoceo Education Corp.* |
1,072 | 16,005 | ||||||
|
Select Interior Concepts, Inc. (Class A Stock)* |
2,290 | 17,106 | ||||||
|
Strategic Education, Inc. |
121 | 17,833 | ||||||
|
|
|
|||||||
| 88,424 | ||||||||
|
Diversified Financial Services 0.2% |
||||||||
|
Marlin Business Services Corp. |
924 | 18,166 | ||||||
|
Diversified Telecommunication Services 1.0% |
||||||||
|
Anterix, Inc.* |
405 | 18,974 | ||||||
|
Cogent Communications Holdings, Inc. |
266 | 19,421 | ||||||
|
IDT Corp. (Class B Stock)* |
2,573 | 19,812 | ||||||
|
ORBCOMM, Inc.* |
4,829 | 15,984 | ||||||
|
Vonage Holdings Corp.* |
2,248 | 20,142 | ||||||
|
|
|
|||||||
| 94,333 | ||||||||
|
Electric Utilities 0.5% |
||||||||
|
MGE Energy, Inc. |
247 | 17,621 | ||||||
|
Otter Tail Corp. |
333 | 16,187 | ||||||
|
Spark Energy, Inc. (Class A Stock) |
2,062 | 17,651 | ||||||
|
|
|
|||||||
| 51,459 | ||||||||
|
Electrical Equipment 0.9% |
||||||||
|
Allied Motion Technologies, Inc. |
400 | 15,416 | ||||||
|
Atkore International Group, Inc.* |
465 | 17,163 | ||||||
|
AZZ, Inc. |
431 | 15,900 | ||||||
|
Generac Holdings, Inc.* |
196 | 20,186 | ||||||
|
Thermon Group Holdings, Inc.* |
746 | 13,107 | ||||||
|
|
|
|||||||
| 81,772 | ||||||||
|
Electronic Equipment, Instruments & Components 2.0% |
||||||||
|
Badger Meter, Inc. |
311 | 18,725 | ||||||
|
ePlus, Inc.* |
221 | 16,743 | ||||||
|
Fabrinet (Thailand)* |
296 | 16,316 | ||||||
|
Insight Enterprises, Inc.* |
297 | 16,362 | ||||||
|
Itron, Inc.* |
226 | 17,140 | ||||||
|
MTS Systems Corp. |
380 | 15,253 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 37 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
| COMMON STOCKS (Continued) | ||||||||
|
Electronic Equipment, Instruments & Components (cont’d.) |
||||||||
|
Napco Security Technologies, Inc.* |
600 | $ | 12,204 | |||||
|
OSI Systems, Inc.* |
196 | 15,929 | ||||||
|
Plexus Corp.* |
267 | 17,715 | ||||||
|
Rogers Corp.* |
150 | 17,400 | ||||||
|
Sanmina Corp.* |
583 | 15,327 | ||||||
|
Vishay Precision Group, Inc.* |
528 | 14,504 | ||||||
|
|
|
|||||||
| 193,618 | ||||||||
|
Energy Equipment & Services 0.3% |
||||||||
|
Liberty Oilfield Services, Inc. (Class A Stock) |
2,006 | 13,420 | ||||||
|
ProPetro Holding Corp.* |
1,758 | 15,400 | ||||||
|
|
|
|||||||
| 28,820 | ||||||||
|
Entertainment 0.4% |
||||||||
|
Glu Mobile, Inc.* |
3,112 | 22,157 | ||||||
|
IMAX Corp. (Canada)* |
1,003 | 15,627 | ||||||
|
|
|
|||||||
| 37,784 | ||||||||
|
Equity Real Estate Investment Trusts (REITs) 5.1% |
||||||||
|
Alexander’s, Inc. |
57 | 17,727 | ||||||
|
American Assets Trust, Inc. |
412 | 17,077 | ||||||
|
American Finance Trust, Inc. |
1,474 | 15,330 | ||||||
|
Armada Hoffler Properties, Inc. |
1,039 | 17,414 | ||||||
|
Bluerock Residential Growth REIT, Inc. (Class A Stock) |
1,459 | 15,159 | ||||||
|
Clipper Realty, Inc. |
1,812 | 20,421 | ||||||
|
Community Healthcare Trust, Inc. |
430 | 20,481 | ||||||
|
Easterly Government Properties, Inc. |
823 | 19,563 | ||||||
|
EastGroup Properties, Inc. |
131 | 16,471 | ||||||
|
First Industrial Realty Trust, Inc. |
414 | 15,939 | ||||||
|
Four Corners Property Trust, Inc. |
675 | 19,366 | ||||||
|
GEO Group, Inc. (The) |
1,221 | 17,875 | ||||||
|
Gladstone Commercial Corp. |
869 | 16,398 | ||||||
|
iStar, Inc. |
1,364 | 20,637 | ||||||
|
LTC Properties, Inc. |
414 | 18,560 | ||||||
|
Monmouth Real Estate Investment Corp. |
1,327 | 18,843 | ||||||
|
National Health Investors, Inc. |
231 | 18,880 | ||||||
|
National Storage Affiliates Trust |
559 | 18,861 | ||||||
|
New Senior Investment Group, Inc. |
2,580 | 15,661 | ||||||
|
NexPoint Residential Trust, Inc. |
403 | 17,933 | ||||||
|
Pennsylvania Real Estate Investment Trust(a) |
4,017 | 9,480 | ||||||
|
PS Business Parks, Inc. |
114 | 16,935 | ||||||
|
Ryman Hospitality Properties, Inc. |
227 | 15,779 | ||||||
See Notes to Financial Statements.
| 38 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
||||||||
|
Saul Centers, Inc. |
360 | $ | 15,484 | |||||
|
Seritage Growth Properties (Class A Stock) |
491 | 16,880 | ||||||
|
Terreno Realty Corp. |
314 | 17,229 | ||||||
|
UMH Properties, Inc. |
1,148 | 16,657 | ||||||
|
Universal Health Realty Income Trust |
159 | 17,127 | ||||||
|
|
|
|||||||
| 484,167 | ||||||||
|
Food & Staples Retailing 0.5% |
||||||||
|
BJ’s Wholesale Club Holdings, Inc.* |
871 | 16,775 | ||||||
|
Performance Food Group Co.* |
374 | 15,858 | ||||||
|
PriceSmart, Inc. |
307 | 17,097 | ||||||
|
|
|
|||||||
| 49,730 | ||||||||
|
Food Products 1.0% |
||||||||
|
B&G Foods, Inc.(a) |
1,222 | 18,086 | ||||||
|
Bridgford Foods Corp.* |
717 | 12,533 | ||||||
|
Calavo Growers, Inc. |
244 | 17,678 | ||||||
|
John B Sanfilippo & Son, Inc. |
217 | 15,231 | ||||||
|
Sanderson Farms, Inc. |
126 | 15,569 | ||||||
|
Tootsie Roll Industries, Inc.(a) |
566 | 18,157 | ||||||
|
|
|
|||||||
| 97,254 | ||||||||
|
Gas Utilities 0.5% |
||||||||
|
Chesapeake Utilities Corp. |
208 | 17,784 | ||||||
|
New Jersey Resources Corp. |
450 | 15,890 | ||||||
|
Southwest Gas Holdings, Inc. |
252 | 16,299 | ||||||
|
|
|
|||||||
| 49,973 | ||||||||
|
Health Care Equipment & Supplies 5.9% |
||||||||
|
Alphatec Holdings, Inc.* |
2,866 | 16,766 | ||||||
|
Antares Pharma, Inc.* |
5,057 | 15,677 | ||||||
|
AtriCure, Inc.* |
507 | 19,479 | ||||||
|
Atrion Corp. |
27 | 16,640 | ||||||
|
AxoGen, Inc.* |
1,465 | 18,137 | ||||||
|
Cardiovascular Systems, Inc.* |
365 | 13,731 | ||||||
|
Conformis, Inc.* |
16,071 | 12,523 | ||||||
|
CONMED Corp. |
173 | 16,373 | ||||||
|
Cutera, Inc.* |
576 | 14,273 | ||||||
|
CytoSorbents Corp.* |
4,309 | 25,983 | ||||||
|
GenMark Diagnostics, Inc.* |
3,875 | 13,524 | ||||||
|
Glaukos Corp.* |
338 | 14,865 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 39 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Health Care Equipment & Supplies (cont’d.) |
||||||||
|
Globus Medical, Inc. (Class A Stock)* |
369 | $ | 16,690 | |||||
|
Haemonetics Corp.* |
170 | 18,416 | ||||||
|
Heska Corp.* |
186 | 17,757 | ||||||
|
Inogen, Inc.* |
403 | 18,449 | ||||||
|
Integer Holdings Corp.* |
225 | 20,288 | ||||||
|
iRadimed Corp.* |
752 | 17,852 | ||||||
|
Lantheus Holdings, Inc.* |
1,047 | 16,281 | ||||||
|
LeMaitre Vascular, Inc. |
523 | 14,906 | ||||||
|
LivaNova PLC (United Kingdom)* |
242 | 16,872 | ||||||
|
Mesa Laboratories, Inc. |
72 | 17,229 | ||||||
|
Natus Medical, Inc.* |
537 | 14,435 | ||||||
|
Neuronetics, Inc.* |
4,507 | 13,048 | ||||||
|
Nevro Corp.* |
161 | 20,954 | ||||||
|
Novocure Ltd. (Jersey, Channel Islands)* |
205 | 14,914 | ||||||
|
NuVasive, Inc.* |
261 | 17,176 | ||||||
|
Orthofix Medical, Inc.* |
424 | 14,984 | ||||||
|
Quidel Corp.* |
265 | 20,469 | ||||||
|
Silk Road Medical, Inc.* |
449 | 17,893 | ||||||
|
Surmodics, Inc.* |
477 | 16,652 | ||||||
|
Utah Medical Products, Inc. |
176 | 15,382 | ||||||
|
Vapotherm, Inc.* |
1,667 | 14,436 | ||||||
|
Varex Imaging Corp.* |
580 | 13,468 | ||||||
|
|
|
|||||||
| 566,522 | ||||||||
|
Health Care Providers & Services 3.0% |
||||||||
|
Amedisys, Inc.* |
109 | 18,967 | ||||||
|
AMN Healthcare Services, Inc.* |
318 | 23,405 | ||||||
|
Apollo Medical Holdings, Inc.* |
1,066 | 18,623 | ||||||
|
CorVel Corp.* |
201 | 13,857 | ||||||
|
Cross Country Healthcare, Inc.* |
1,878 | 17,803 | ||||||
|
Ensign Group, Inc. (The) |
418 | 18,601 | ||||||
|
Hanger, Inc.* |
734 | 16,933 | ||||||
|
LHC Group, Inc.* |
144 | 17,490 | ||||||
|
Magellan Health, Inc.* |
255 | 15,303 | ||||||
|
National Research Corp. |
282 | 15,507 | ||||||
|
Option Care Health, Inc.* |
1,175 | 17,331 | ||||||
|
Providence Service Corp. (The)* |
308 | 19,028 | ||||||
|
R1 RCM, Inc.* |
1,455 | 17,867 | ||||||
|
RadNet, Inc.* |
927 | 18,939 | ||||||
|
Select Medical Holdings Corp.* |
809 | 19,368 | ||||||
|
Tenet Healthcare Corp.* |
542 | 14,244 | ||||||
|
|
|
|||||||
| 283,266 | ||||||||
See Notes to Financial Statements.
| 40 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Health Care Technology 1.6% |
||||||||
|
Castlight Health, Inc. (Class B Stock)* |
12,800 | $ | 11,601 | |||||
|
Evolent Health, Inc. (Class A Stock)* |
1,792 | 16,558 | ||||||
|
HealthStream, Inc.* |
652 | 15,857 | ||||||
|
HMS Holdings Corp.* |
682 | 15,665 | ||||||
|
Inovalon Holdings, Inc. (Class A Stock)* |
968 | 18,857 | ||||||
|
NextGen Healthcare, Inc.* |
1,260 | 16,481 | ||||||
|
Omnicell, Inc.* |
224 | 18,249 | ||||||
|
Simulations Plus, Inc. |
557 | 18,136 | ||||||
|
Teladoc Health, Inc.* |
200 | 24,992 | ||||||
|
|
|
|||||||
| 156,396 | ||||||||
|
Hotels, Restaurants & Leisure 2.6% |
||||||||
|
Biglari Holdings, Inc. (Class B Stock)* |
171 | 18,034 | ||||||
|
Cheesecake Factory, Inc. (The)(a) |
497 | 17,708 | ||||||
|
Churchill Downs, Inc. |
137 | 17,213 | ||||||
|
Chuy’s Holdings, Inc.* |
778 | 16,680 | ||||||
|
Cracker Barrel Old Country Store, Inc. |
124 | 17,773 | ||||||
|
Denny’s Corp.* |
937 | 16,313 | ||||||
|
Golden Entertainment, Inc.* |
1,063 | 17,306 | ||||||
|
Jack in the Box, Inc. |
240 | 16,526 | ||||||
|
Marriott Vacations Worldwide Corp. |
160 | 15,485 | ||||||
|
Nathan’s Famous, Inc. |
264 | 15,708 | ||||||
|
Papa John’s International, Inc. |
304 | 17,513 | ||||||
|
Penn National Gaming, Inc.* |
778 | 23,005 | ||||||
|
PlayAGS, Inc.* |
1,792 | 17,365 | ||||||
|
Twin River Worldwide Holdings, Inc. |
725 | 18,850 | ||||||
|
|
|
|||||||
| 245,479 | ||||||||
|
Household Durables 2.3% |
||||||||
|
Cavco Industries, Inc.* |
87 | 17,550 | ||||||
|
Century Communities, Inc.* |
648 | 21,598 | ||||||
|
Hamilton Beach Brands Holding Co. (Class A Stock) |
1,044 | 12,110 | ||||||
|
Helen of Troy Ltd.* |
110 | 18,106 | ||||||
|
Installed Building Products, Inc.* |
276 | 18,230 | ||||||
|
KB Home |
482 | 15,708 | ||||||
|
La-Z-Boy, Inc. |
604 | 17,305 | ||||||
|
LGI Homes, Inc.* |
242 | 18,235 | ||||||
|
Skyline Champion Corp.* |
563 | 14,345 | ||||||
|
Sonos, Inc.* |
1,324 | 15,279 | ||||||
|
Taylor Morrison Home Corp. (Class A Stock)* |
785 | 17,678 | ||||||
|
TopBuild Corp.* |
168 | 16,968 | ||||||
|
Universal Electronics, Inc.* |
338 | 14,270 | ||||||
|
|
|
|||||||
| 217,382 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 41 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Independent Power & Renewable Electricity Producers 0.4% |
||||||||
|
Atlantic Power Corp.* |
8,169 | $ | 18,544 | |||||
|
Ormat Technologies, Inc. |
221 | 15,399 | ||||||
|
|
|
|||||||
| 33,943 | ||||||||
|
Insurance 1.7% |
||||||||
|
Crawford & Co. (Class A Stock) |
1,703 | 12,670 | ||||||
|
Enstar Group Ltd.* |
88 | 15,698 | ||||||
|
FedNat Holding Co. |
1,268 | 16,535 | ||||||
|
James River Group Holdings Ltd. (Bermuda) |
432 | 17,457 | ||||||
|
MBIA, Inc.* |
2,124 | 16,567 | ||||||
|
National General Holdings Corp. |
865 | 16,842 | ||||||
|
ProSight Global, Inc.* |
1,213 | 16,254 | ||||||
|
Selective Insurance Group, Inc. |
288 | 16,065 | ||||||
|
United Fire Group, Inc. |
426 | 16,333 | ||||||
|
Universal Insurance Holdings, Inc. |
746 | 15,435 | ||||||
|
|
|
|||||||
| 159,856 | ||||||||
|
Interactive Media & Services 1.2% |
||||||||
|
Cargurus, Inc. (Class A Stock)* |
516 | 13,153 | ||||||
|
Cars.com, Inc.* |
1,495 | 13,575 | ||||||
|
Liberty TripAdvisor Holdings, Inc. (Class A Stock)* |
2,736 | 11,915 | ||||||
|
Meet Group, Inc. (The)* |
3,526 | 17,983 | ||||||
|
QuinStreet, Inc.* |
1,254 | 16,151 | ||||||
|
Travelzoo* |
1,604 | 13,121 | ||||||
|
TrueCar, Inc.* |
4,549 | 11,964 | ||||||
|
Yelp, Inc. (Class A Stock)* |
502 | 15,697 | ||||||
|
|
|
|||||||
| 113,559 | ||||||||
|
Internet & Direct Marketing Retail 1.0% |
||||||||
|
1-800-Flowers.com, Inc. (Class A Stock)* |
1,176 | 21,215 | ||||||
|
Duluth Holdings, Inc. (Class B Stock)(a)* |
2,142 | 14,694 | ||||||
|
Groupon, Inc. (Class A Stock)* |
6,102 | 8,177 | ||||||
|
PetMed Express, Inc. |
765 | 20,196 | ||||||
|
Quotient Technology, Inc.* |
2,040 | 18,258 | ||||||
|
Shutterstock, Inc.* |
438 | 16,880 | ||||||
|
|
|
|||||||
| 99,420 | ||||||||
|
IT Services 2.6% |
||||||||
|
Cardtronics PLC (United Kingdom) (Class A Stock)* |
423 | 15,342 | ||||||
|
Cass Information Systems, Inc. |
314 | 14,742 | ||||||
|
CSG Systems International, Inc. |
386 | 17,081 | ||||||
See Notes to Financial Statements.
| 42 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
IT Services (cont’d.) |
||||||||
|
Endurance International Group Holdings, Inc.* |
3,844 | $ | 14,338 | |||||
|
EVERTEC, Inc. (Puerto Rico) |
566 | 16,799 | ||||||
|
ExlService Holdings, Inc.* |
249 | 18,588 | ||||||
|
Hackett Group, Inc. (The) |
1,042 | 16,047 | ||||||
|
NIC, Inc. |
800 | 14,632 | ||||||
|
Perficient, Inc.* |
398 | 16,306 | ||||||
|
Perspecta, Inc. |
641 | 16,006 | ||||||
|
PRGX Global, Inc.* |
4,466 | 16,122 | ||||||
|
Science Applications International Corp. |
201 | 16,106 | ||||||
|
TTEC Holdings, Inc. |
483 | 18,079 | ||||||
|
Tucows, Inc. (Canada) (Class A Stock)* |
314 | 16,042 | ||||||
|
Virtusa Corp.* |
471 | 20,776 | ||||||
|
|
|
|||||||
| 247,006 | ||||||||
|
Leisure Products 1.0% |
||||||||
|
Johnson Outdoors, Inc. (Class A Stock) |
254 | 15,852 | ||||||
|
Malibu Boats, Inc. (Class A Stock)* |
459 | 20,169 | ||||||
|
Marine Products Corp. |
1,433 | 18,027 | ||||||
|
MasterCraft Boat Holdings, Inc.* |
1,253 | 20,261 | ||||||
|
Sturm Ruger & Co., Inc. |
370 | 17,775 | ||||||
|
|
|
|||||||
| 92,084 | ||||||||
|
Life Sciences Tools & Services 1.1% |
||||||||
|
Fluidigm Corp.* |
4,560 | 15,139 | ||||||
|
Medpace Holdings, Inc.* |
208 | 18,707 | ||||||
|
NeoGenomics, Inc.* |
605 | 17,140 | ||||||
|
Personalis, Inc.* |
1,721 | 15,024 | ||||||
|
Repligen Corp.* |
208 | 17,805 | ||||||
|
Syneos Health, Inc. (Class A Stock)* |
328 | 20,779 | ||||||
|
|
|
|||||||
| 104,594 | ||||||||
|
Machinery 3.5% |
||||||||
|
Alamo Group, Inc. |
144 | 15,951 | ||||||
|
Albany International Corp. (Class A Stock) |
256 | 16,402 | ||||||
|
Barnes Group, Inc.(a) |
320 | 17,184 | ||||||
|
Blue Bird Corp.* |
862 | 15,413 | ||||||
|
Columbus McKinnon Corp. |
518 | 16,105 | ||||||
|
Douglas Dynamics, Inc. |
382 | 16,628 | ||||||
|
Federal Signal Corp. |
534 | 15,486 | ||||||
|
Franklin Electric Co., Inc. |
330 | 17,058 | ||||||
|
Gorman-Rupp Co. (The) |
514 | 16,443 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 43 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Machinery (cont’d.) |
||||||||
|
Hillenbrand, Inc. |
576 | $ | 13,478 | |||||
|
Luxfer Holdings PLC (United Kingdom) |
1,105 | 17,138 | ||||||
|
Mayville Engineering Co., Inc.* |
2,154 | 15,703 | ||||||
|
Mueller Industries, Inc. |
611 | 17,096 | ||||||
|
Omega Flex, Inc. |
172 | 13,468 | ||||||
|
REV Group, Inc. |
1,822 | 14,266 | ||||||
|
Rexnord Corp. |
576 | 16,796 | ||||||
|
Spartan Motors, Inc. |
1,119 | 16,505 | ||||||
|
SPX Corp.* |
379 | 15,891 | ||||||
|
Tennant Co. |
244 | 17,456 | ||||||
|
Terex Corp. |
701 | 15,429 | ||||||
|
Watts Water Technologies, Inc. (Class A Stock) |
192 | 18,031 | ||||||
|
|
|
|||||||
| 337,927 | ||||||||
|
Marine 0.1% |
||||||||
|
Scorpio Bulkers, Inc. |
3,937 | 12,677 | ||||||
|
Media 1.3% |
||||||||
|
Boston Omaha Corp. (Class A Stock)* |
961 | 18,701 | ||||||
|
Fluent, Inc.* |
7,002 | 16,315 | ||||||
|
Gray Television, Inc.* |
898 | 16,990 | ||||||
|
Hemisphere Media Group, Inc. (Class A Stock)* |
1,338 | 16,899 | ||||||
|
Loral Space & Communications, Inc.* |
586 | 18,201 | ||||||
|
Meredith Corp. |
641 | 16,890 | ||||||
|
TechTarget, Inc.* |
731 | 16,908 | ||||||
|
|
|
|||||||
| 120,904 | ||||||||
|
Metals & Mining 0.5% |
||||||||
|
Kaiser Aluminum Corp. |
191 | 18,059 | ||||||
|
Ryerson Holding Corp.* |
1,807 | 15,052 | ||||||
|
Worthington Industries, Inc. |
495 | 15,741 | ||||||
|
|
|
|||||||
| 48,852 | ||||||||
|
Oil, Gas & Consumable Fuels 1.1% |
||||||||
|
CVR Energy, Inc. |
528 | 15,006 | ||||||
|
Dorian LPG Ltd.* |
1,323 | 14,712 | ||||||
|
Evolution Petroleum Corp. |
3,882 | 18,284 | ||||||
|
GasLog Ltd. (Monaco) |
2,261 | 12,684 | ||||||
|
Golar LNG Ltd. (Bermuda) |
1,477 | 18,928 | ||||||
|
Matador Resources Co.* |
1,169 | 11,269 | ||||||
|
Ring Energy, Inc.* |
7,843 | 11,058 | ||||||
|
|
|
|||||||
| 101,941 | ||||||||
See Notes to Financial Statements.
| 44 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Paper & Forest Products 0.6% |
||||||||
|
Boise Cascade Co. |
570 | $ | 20,223 | |||||
|
Louisiana-Pacific Corp. |
633 | 18,009 | ||||||
|
Neenah, Inc. |
280 | 16,176 | ||||||
|
|
|
|||||||
| 54,408 | ||||||||
|
Personal Products 0.7% |
||||||||
|
BellRing Brands, Inc. (Class A Stock)* |
854 | 16,781 | ||||||
|
elf Beauty, Inc.* |
1,236 | 19,727 | ||||||
|
Lifevantage Corp.* |
1,176 | 14,006 | ||||||
|
USANA Health Sciences, Inc.* |
243 | 16,062 | ||||||
|
|
|
|||||||
| 66,576 | ||||||||
|
Pharmaceuticals 3.3% |
||||||||
|
Amphastar Pharmaceuticals, Inc.* |
980 | 15,082 | ||||||
|
ANI Pharmaceuticals, Inc.* |
322 | 15,459 | ||||||
|
BioDelivery Sciences International, Inc.* |
3,486 | 16,942 | ||||||
|
Chiasma, Inc.* |
4,110 | 18,290 | ||||||
|
Collegium Pharmaceutical, Inc.* |
909 | 21,589 | ||||||
|
Corcept Therapeutics, Inc.* |
1,534 | 19,359 | ||||||
|
Cymabay Therapeutics, Inc.* |
10,055 | 16,691 | ||||||
|
Eloxx Pharmaceuticals, Inc.* |
4,654 | 14,567 | ||||||
|
Innoviva, Inc.* |
1,353 | 18,225 | ||||||
|
Intersect ENT, Inc.* |
815 | 19,446 | ||||||
|
Odonate Therapeutics, Inc.* |
713 | 21,098 | ||||||
|
Pacira BioSciences, Inc.* |
427 | 18,523 | ||||||
|
Phibro Animal Health Corp. (Class A Stock) |
764 | 19,291 | ||||||
|
SIGA Technologies, Inc.* |
3,852 | 19,241 | ||||||
|
Supernus Pharmaceuticals, Inc.* |
794 | 14,284 | ||||||
|
Tricida, Inc.* |
589 | 18,718 | ||||||
|
Verrica Pharmaceuticals, Inc.* |
1,284 | 15,241 | ||||||
|
Zogenix, Inc.* |
359 | 9,004 | ||||||
|
|
|
|||||||
| 311,050 | ||||||||
|
Professional Services 1.8% |
||||||||
|
ASGN, Inc.* |
299 | 15,162 | ||||||
|
Barrett Business Services, Inc. |
218 | 13,058 | ||||||
|
BG Staffing, Inc. |
944 | 14,556 | ||||||
|
CRA International, Inc. |
353 | 16,418 | ||||||
|
Exponent, Inc. |
272 | 20,033 | ||||||
|
Franklin Covey Co.* |
598 | 18,807 | ||||||
|
Heidrick & Struggles International, Inc. |
607 | 13,536 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 45 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Professional Services (cont’d.) |
||||||||
|
Huron Consulting Group, Inc.* |
273 | $ | 16,200 | |||||
|
ICF International, Inc. |
222 | 16,868 | ||||||
|
Kforce, Inc. |
500 | 15,230 | ||||||
|
Korn Ferry |
456 | 15,951 | ||||||
|
|
|
|||||||
| 175,819 | ||||||||
|
Real Estate Management & Development 0.9% |
||||||||
|
Cushman & Wakefield PLC* |
997 | 18,136 | ||||||
|
Kennedy-Wilson Holdings, Inc. |
866 | 17,502 | ||||||
|
Marcus & Millichap, Inc.* |
520 | 16,619 | ||||||
|
Newmark Group, Inc. (Class A Stock) |
1,635 | 15,614 | ||||||
|
RMR Group, Inc. (The) (Class A Stock) |
443 | 16,506 | ||||||
|
|
|
|||||||
| 84,377 | ||||||||
|
Road & Rail 0.3% |
||||||||
|
PAM Transportation Services, Inc.* |
346 | 13,705 | ||||||
|
Universal Logistics Holdings, Inc. |
1,033 | 15,919 | ||||||
|
|
|
|||||||
| 29,624 | ||||||||
|
Semiconductors & Semiconductor Equipment 2.0% |
||||||||
|
Ambarella, Inc.* |
325 | 19,321 | ||||||
|
Brooks Automation, Inc. |
458 | 15,806 | ||||||
|
CEVA, Inc.* |
669 | 19,006 | ||||||
|
Diodes, Inc.* |
335 | 14,743 | ||||||
|
DSP Group, Inc.* |
1,284 | 17,475 | ||||||
|
FormFactor, Inc.* |
717 | 16,039 | ||||||
|
Lattice Semiconductor Corp.* |
846 | 15,186 | ||||||
|
MaxLinear, Inc. (Class A Stock)* |
919 | 14,208 | ||||||
|
Power Integrations, Inc. |
191 | 16,627 | ||||||
|
Semtech Corp.* |
360 | 14,216 | ||||||
|
Silicon Laboratories, Inc.* |
154 | 13,657 | ||||||
|
Xperi Corp. |
1,051 | 18,067 | ||||||
|
|
|
|||||||
| 194,351 | ||||||||
|
Software 7.6% |
||||||||
|
8x8, Inc.* |
947 | 17,519 | ||||||
|
A10 Networks, Inc.* |
2,646 | 17,755 | ||||||
|
ACI Worldwide, Inc.* |
540 | 15,050 | ||||||
|
Agilysys, Inc.* |
616 | 19,792 | ||||||
|
Alarm.com Holdings, Inc.* |
424 | 20,458 | ||||||
|
American Software, Inc. (Class A Stock) |
1,312 | 21,582 | ||||||
See Notes to Financial Statements.
| 46 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Software (cont’d.) |
||||||||
|
Blackbaud, Inc. |
239 | $ | 16,204 | |||||
|
Bottomline Technologies DE, Inc.* |
358 | 15,852 | ||||||
|
Box, Inc. (Class A Stock)* |
1,205 | 20,184 | ||||||
|
ChannelAdvisor Corp.* |
1,912 | 18,202 | ||||||
|
Cloudera, Inc.* |
1,733 | 15,424 | ||||||
|
CommVault Systems, Inc.* |
430 | 17,931 | ||||||
|
Cornerstone OnDemand, Inc.* |
295 | 12,104 | ||||||
|
Domo, Inc. (Class B Stock)* |
807 | 17,020 | ||||||
|
Ebix, Inc.(a) |
559 | 14,780 | ||||||
|
eGain Corp.* |
2,297 | 18,560 | ||||||
|
Envestnet, Inc.* |
283 | 21,361 | ||||||
|
Five9, Inc.* |
268 | 19,572 | ||||||
|
ForeScout Technologies, Inc.* |
613 | 19,947 | ||||||
|
Intelligent Systems Corp.* |
497 | 18,225 | ||||||
|
j2 Global, Inc. |
177 | 15,457 | ||||||
|
Majesco* |
2,678 | 17,889 | ||||||
|
MicroStrategy, Inc. (Class A Stock)* |
135 | 18,247 | ||||||
|
Mitek Systems, Inc.* |
2,131 | 18,561 | ||||||
|
Model N, Inc.* |
582 | 16,878 | ||||||
|
OneSpan, Inc.* |
1,126 | 18,590 | ||||||
|
Ping Identity Holding Corp.* |
786 | 18,188 | ||||||
|
Progress Software Corp. |
447 | 16,669 | ||||||
|
QAD, Inc. (Class A Stock) |
365 | 17,903 | ||||||
|
Qualys, Inc.* |
230 | 18,441 | ||||||
|
Rimini Street, Inc.* |
3,784 | 17,482 | ||||||
|
Rosetta Stone, Inc.* |
1,078 | 18,617 | ||||||
|
SharpSpring, Inc.* |
1,680 | 19,152 | ||||||
|
SPS Commerce, Inc.* |
312 | 16,411 | ||||||
|
SVMK, Inc.* |
1,005 | 18,321 | ||||||
|
Telenav, Inc.* |
4,034 | 24,063 | ||||||
|
Tenable Holdings, Inc.* |
742 | 18,194 | ||||||
|
Verint Systems, Inc.* |
337 | 18,495 | ||||||
|
Workiva, Inc. (Class A Stock)* |
437 | 18,677 | ||||||
|
Zuora, Inc. (Class A Stock)* |
1,291 | 17,093 | ||||||
|
|
|
|||||||
| 720,850 | ||||||||
|
Specialty Retail 2.1% |
||||||||
|
Aaron’s, Inc. |
325 | 12,782 | ||||||
|
American Eagle Outfitters, Inc. |
1,362 | 17,543 | ||||||
|
America’s Car-Mart, Inc.* |
178 | 18,293 | ||||||
|
Asbury Automotive Group, Inc.* |
191 | 16,930 | ||||||
|
Children’s Place, Inc. (The)(a) |
313 | 18,029 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 47 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Specialty Retail (cont’d.) |
||||||||
|
Designer Brands, Inc. (Class A Stock) |
1,243 | $ | 16,793 | |||||
|
Lithia Motors, Inc. (Class A Stock) |
132 | 15,729 | ||||||
|
Murphy USA, Inc.* |
173 | 16,867 | ||||||
|
National Vision Holdings, Inc.* |
580 | 20,196 | ||||||
|
Rent-A-Center, Inc. |
636 | 13,540 | ||||||
|
Sleep Number Corp.* |
377 | 16,607 | ||||||
|
Winmark Corp. |
92 | 18,400 | ||||||
|
|
|
|||||||
| 201,709 | ||||||||
|
Technology Hardware, Storage & Peripherals 0.3% |
||||||||
|
AstroNova, Inc. |
1,523 | 16,540 | ||||||
|
Avid Technology, Inc.* |
2,205 | 16,295 | ||||||
|
|
|
|||||||
| 32,835 | ||||||||
|
Textiles, Apparel & Luxury Goods 1.0% |
||||||||
|
Crocs, Inc.* |
470 | 12,300 | ||||||
|
Deckers Outdoor Corp.* |
114 | 19,813 | ||||||
|
Kontoor Brands, Inc. |
471 | 15,892 | ||||||
|
Oxford Industries, Inc. |
268 | 16,185 | ||||||
|
Steven Madden Ltd. |
472 | 15,434 | ||||||
|
Wolverine World Wide, Inc. |
605 | 15,905 | ||||||
|
|
|
|||||||
| 95,529 | ||||||||
|
Thrifts & Mortgage Finance 2.4% |
||||||||
|
Axos Financial, Inc.* |
657 | 16,366 | ||||||
|
Essent Group Ltd. |
362 | 15,798 | ||||||
|
Federal Agricultural Mortgage Corp. (Class C Stock) |
240 | 18,014 | ||||||
|
First Defiance Financial Corp. |
579 | 13,847 | ||||||
|
Greene County Bancorp, Inc. |
616 | 16,663 | ||||||
|
Hingham Institution for Savings |
91 | 16,649 | ||||||
|
Kearny Financial Corp. |
1,503 | 16,398 | ||||||
|
Meridian Bancorp, Inc. |
927 | 15,305 | ||||||
|
Meta Financial Group, Inc. |
498 | 16,359 | ||||||
|
Mr Cooper Group, Inc.* |
1,426 | 18,295 | ||||||
|
NMI Holdings, Inc. (Class A Stock)* |
617 | 14,401 | ||||||
|
OceanFirst Financial Corp. |
788 | 16,107 | ||||||
|
PennyMac Financial Services, Inc. |
523 | 18,441 | ||||||
|
Walker & Dunlop, Inc. |
298 | 19,325 | ||||||
|
|
|
|||||||
| 231,968 | ||||||||
See Notes to Financial Statements.
| 48 |
|
Interest Rate |
Maturity Date |
Principal
|
||||||||||||||
|
TIME DEPOSIT 0.3% |
||||||||||||||||
|
JPMorgan Chase
|
0.950 | % | 03/02/20 | 28 | 28,449 | |||||||||||
|
|
|
|||||||||||||||
|
TOTAL SHORT-TERM INVESTMENTS
|
234,052 | |||||||||||||||
|
|
|
|||||||||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 49 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Value | ||||||||||||||||
|
TOTAL INVESTMENTS 102.1%
|
$ | 9,740,550 | ||||||||||||||
|
Liabilities in excess of other assets (2.1)% |
(200,227 | ) | ||||||||||||||
|
|
|
|||||||||||||||
|
NET ASSETS 100.0% |
$ | 9,540,323 | ||||||||||||||
|
|
|
|||||||||||||||
The following abbreviations are used in the semi-annual report:
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $192,826; cash collateral of $205,427 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Institutional Money Market Fund. |
| * |
Non-income producing security. |
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 February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 50,448 | $ | — | $ | — | ||||||
|
Air Freight & Logistics |
46,683 | — | — | |||||||||
|
Airlines |
12,469 | — | — | |||||||||
|
Auto Components |
35,057 | — | — | |||||||||
|
Automobiles |
18,473 | — | — | |||||||||
|
Banks |
398,506 | — | — | |||||||||
|
Beverages |
51,095 | — | — | |||||||||
|
Biotechnology |
1,009,137 | — | — | |||||||||
See Notes to Financial Statements.
| 50 |
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Building Products |
$ | 196,803 | $ | — | $ | — | ||||||
|
Capital Markets |
233,031 | — | — | |||||||||
|
Chemicals |
127,593 | — | — | |||||||||
|
Commercial Services & Supplies |
241,881 | — | — | |||||||||
|
Communications Equipment |
94,648 | — | — | |||||||||
|
Construction & Engineering |
165,312 | — | — | |||||||||
|
Construction Materials |
30,195 | — | — | |||||||||
|
Consumer Finance |
83,345 | — | — | |||||||||
|
Containers & Packaging |
15,660 | — | — | |||||||||
|
Distributors |
17,925 | — | — | |||||||||
|
Diversified Consumer Services |
88,424 | — | — | |||||||||
|
Diversified Financial Services |
18,166 | — | — | |||||||||
|
Diversified Telecommunication Services |
94,333 | — | — | |||||||||
|
Electric Utilities |
51,459 | — | — | |||||||||
|
Electrical Equipment |
81,772 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
193,618 | — | — | |||||||||
|
Energy Equipment & Services |
28,820 | — | — | |||||||||
|
Entertainment |
37,784 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
484,167 | — | — | |||||||||
|
Food & Staples Retailing |
49,730 | — | — | |||||||||
|
Food Products |
97,254 | — | — | |||||||||
|
Gas Utilities |
49,973 | — | — | |||||||||
|
Health Care Equipment & Supplies |
566,522 | — | — | |||||||||
|
Health Care Providers & Services |
283,266 | — | — | |||||||||
|
Health Care Technology |
156,396 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
245,479 | — | — | |||||||||
|
Household Durables |
217,382 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
33,943 | — | — | |||||||||
|
Insurance |
159,856 | — | — | |||||||||
|
Interactive Media & Services |
113,559 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
99,420 | — | — | |||||||||
|
IT Services |
247,006 | — | — | |||||||||
|
Leisure Products |
92,084 | — | — | |||||||||
|
Life Sciences Tools & Services |
104,594 | — | — | |||||||||
|
Machinery |
337,927 | — | — | |||||||||
|
Marine |
12,677 | — | — | |||||||||
|
Media |
120,904 | — | — | |||||||||
|
Metals & Mining |
48,852 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
101,941 | — | — | |||||||||
|
Paper & Forest Products |
54,408 | — | — | |||||||||
|
Personal Products |
66,576 | — | — | |||||||||
|
Pharmaceuticals |
311,050 | — | — | |||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 51 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Professional Services |
$ | 175,819 | $ | — | $ | — | ||||||
|
Real Estate Management & Development |
84,377 | — | — | |||||||||
|
Road & Rail |
29,624 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
194,351 | — | — | |||||||||
|
Software |
720,850 | — | — | |||||||||
|
Specialty Retail |
201,709 | — | — | |||||||||
|
Technology Hardware, Storage & Peripherals |
32,835 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
95,529 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
231,968 | — | — | |||||||||
|
Trading Companies & Distributors |
138,620 | — | — | |||||||||
|
Water Utilities |
123,213 | — | — | |||||||||
|
Affiliated Mutual Fund |
205,603 | — | — | |||||||||
|
Time Deposit |
— | 28,449 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 9,712,101 | $ | 28,449 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Biotechnology |
10.6 | % | ||
|
Software |
7.6 | |||
|
Health Care Equipment & Supplies |
5.9 | |||
|
Equity Real Estate Investment Trusts (REITs) |
5.1 | |||
|
Banks |
4.2 | |||
|
Machinery |
3.5 | |||
|
Pharmaceuticals |
3.3 | |||
|
Health Care Providers & Services |
3.0 | |||
|
IT Services |
2.6 | |||
|
Hotels, Restaurants & Leisure |
2.6 | |||
|
Commercial Services & Supplies |
2.5 | |||
|
Capital Markets |
2.4 | |||
|
Thrifts & Mortgage Finance |
2.4 | |||
|
Household Durables |
2.3 | |||
|
Affiliated Mutual Fund (2.2% represents investments purchased with collateral from securities on loan) |
2.2 | |||
|
Specialty Retail |
2.1 | |||
|
Building Products |
2.1 | |||
|
Semiconductors & Semiconductor Equipment |
2.0 | |||
|
Electronic Equipment, Instruments & Components |
2.0 | |||
|
Professional Services |
1.8 | |||
|
Construction & Engineering |
1.7 | |||
|
Insurance |
1.7 | |||
|
Health Care Technology |
1.6 | % | ||
|
Trading Companies & Distributors |
1.5 | |||
|
Chemicals |
1.3 | |||
|
Water Utilities |
1.3 | |||
|
Media |
1.3 | |||
|
Interactive Media & Services |
1.2 | |||
|
Life Sciences Tools & Services |
1.1 | |||
|
Oil, Gas & Consumable Fuels |
1.1 | |||
|
Internet & Direct Marketing Retail |
1.0 | |||
|
Food Products |
1.0 | |||
|
Textiles, Apparel & Luxury Goods |
1.0 | |||
|
Communications Equipment |
1.0 | |||
|
Diversified Telecommunication Services |
1.0 | |||
|
Leisure Products |
1.0 | |||
|
Diversified Consumer Services |
0.9 | |||
|
Real Estate Management & Development |
0.9 | |||
|
Consumer Finance |
0.9 | |||
|
Electrical Equipment |
0.9 | |||
|
Personal Products |
0.7 | |||
|
Paper & Forest Products |
0.6 | |||
|
Electric Utilities |
0.5 | |||
|
Beverages |
0.5 | |||
|
Aerospace & Defense |
0.5 |
See Notes to Financial Statements.
| 52 |
|
Industry Classification (cont’d.) |
||||
|
Gas Utilities |
0.5 | % | ||
|
Food & Staples Retailing |
0.5 | |||
|
Metals & Mining |
0.5 | |||
|
Air Freight & Logistics |
0.5 | |||
|
Entertainment |
0.4 | |||
|
Auto Components |
0.4 | |||
|
Independent Power & Renewable Electricity Producers |
0.4 | |||
|
Technology Hardware, Storage & Peripherals |
0.3 | |||
|
Construction Materials |
0.3 | |||
|
Road & Rail |
0.3 | |||
|
Energy Equipment & Services |
0.3 | |||
|
Time Deposit |
0.3 | % | ||
|
Automobiles |
0.2 | |||
|
Diversified Financial Services |
0.2 | |||
|
Distributors |
0.2 | |||
|
Containers & Packaging |
0.2 | |||
|
Marine |
0.1 | |||
|
Airlines |
0.1 | |||
|
|
|
|||
| 102.1 | ||||
|
Liabilities in excess of other assets |
(2.1 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
|||
Financial Instruments/Transactions-Summary of Offsetting and Netting Agreements:
The Fund entered into financial instruments/transactions during the period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below:
Financial Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 192,826 | $ | (192,826 | ) | $ | — | |||||
|
|
|
|||||||||||
| (1) |
Collateral amount disclosed by the Fund is limited to the market value of financial instruments/transactions. |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 53 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
||||
|
Investments, at value including securities on loan of $192,826: |
||||
|
Unaffiliated investments (cost $10,401,277) |
$ | 9,534,947 | ||
|
Affiliated investments (cost $205,612) |
205,603 | |||
|
Cash |
19 | |||
|
Interest and dividends receivable |
7,702 | |||
|
|
|
|||
|
Total Assets |
9,748,271 | |||
|
|
|
|||
|
Liabilities |
||||
|
Payable to broker for collateral for securities on loan |
205,427 | |||
|
Management fee payable |
2,450 | |||
|
Other liabilities |
71 | |||
|
|
|
|||
|
Total Liabilities |
207,948 | |||
|
|
|
|||
|
Net Assets |
$ | 9,540,323 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 200 | ||
|
Paid-in capital in excess of par |
10,026,367 | |||
|
Total distributable earnings (loss) |
(486,244 | ) | ||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 9,540,323 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 47.70 | ||
|
|
|
|||
See Notes to Financial Statements.
| 54 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
|
Net Investment Income (Loss) |
|
|||
|
Income |
|
|||
|
Interest income |
$ | 263 | ||
|
Unaffiliated dividend income (net of $57 foreign withholding tax) |
47,928 | |||
|
Income from securities lending, net (including affiliated income of $680) |
1,067 | |||
|
|
|
|||
|
Total income |
49,258 | |||
|
|
|
|||
|
Expenses |
||||
|
Management fee |
14,927 | |||
|
|
|
|||
|
Total expenses |
14,927 | |||
|
|
|
|||
|
Net investment income (loss) |
34,331 | |||
|
|
|
|||
|
Realized And Unrealized Gain (Loss) On Investments |
|
|||
|
Net realized gain (loss) on: |
|
|||
|
Investment transactions (including affiliated of $(7)) |
466,592 | |||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $(3)) |
(505,776 | ) | ||
|
|
|
|||
|
Net gain (loss) on investment transactions |
(39,184 | ) | ||
|
|
|
|||
|
Net Increase (Decrease) In Net Assets Resulting From Operations |
$ | (4,853 | ) | |
|
|
|
|||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 55 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Statements of Changes in Net Assets
|
Six Months
February 29, 2020
|
Period
Ended August 31, 2019* |
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 34,331 | $ | 84,526 | ||||
|
Net realized gain (loss) on investments and in-kind redemptions |
466,592 | (14,886 | ) | |||||
|
Net change in unrealized appreciation (depreciation) on investments |
(505,776 | ) | (360,564 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
(4,853 | ) | (290,924 | ) | ||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(48,022 | ) | (65,848 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
— | 12,487,720 | ||||||
|
Cost of shares reacquired |
— | (2,537,750 | ) | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
— | 9,949,970 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
(52,875 | ) | 9,593,198 | |||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
9,593,198 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 9,540,323 | $ | 9,593,198 | ||||
|
|
|
|
|
|||||
| * |
For the period from November 13, 2018 (commencement of operations) through August 31, 2019. |
See Notes to Financial Statements.
| 56 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
LONG-TERM INVESTMENTS 99.4% |
||||||||
|
COMMON STOCKS 99.4% |
||||||||
|
Aerospace & Defense 0.6% |
||||||||
|
AAR Corp.(a) |
303 | $ | 10,469 | |||||
|
Ducommun, Inc.* |
340 | 15,181 | ||||||
|
Moog, Inc. (Class A Stock) |
147 | 11,336 | ||||||
|
Vectrus, Inc.* |
254 | 13,231 | ||||||
|
|
|
|||||||
| 50,217 | ||||||||
|
Airlines 0.3% |
||||||||
|
Hawaiian Holdings, Inc. |
507 | 10,586 | ||||||
|
Mesa Air Group, Inc.* |
1,587 | 9,157 | ||||||
|
SkyWest, Inc. |
213 | 9,670 | ||||||
|
|
|
|||||||
| 29,413 | ||||||||
|
Auto Components 0.5% |
||||||||
|
Cooper-Standard Holdings, Inc.* |
465 | 8,035 | ||||||
|
Dana, Inc. |
861 | 12,381 | ||||||
|
Modine Manufacturing Co.* |
1,907 | 14,227 | ||||||
|
Standard Motor Products, Inc. |
296 | 13,024 | ||||||
|
|
|
|||||||
| 47,667 | ||||||||
|
Banks 21.3% |
||||||||
|
1st Source Corp. |
290 | 12,194 | ||||||
|
ACNB Corp. |
413 | 12,588 | ||||||
|
Amalgamated Bank (Class A Stock) |
772 | 12,360 | ||||||
|
Amerant Bancorp, Inc. (Class A Stock)* |
708 | 13,070 | ||||||
|
American National Bankshares, Inc. |
357 | 11,028 | ||||||
|
Ames National Corp. |
490 | 12,676 | ||||||
|
Arrow Financial Corp. |
404 | 12,795 | ||||||
|
Atlantic Union Bankshares Corp. |
405 | 12,045 | ||||||
|
Bancorp, Inc. (The)* |
1,280 | 15,578 | ||||||
|
BancorpSouth Bank |
475 | 11,623 | ||||||
|
Bank of Commerce Holdings |
1,234 | 12,901 | ||||||
|
Bank of Marin Bancorp |
327 | 12,469 | ||||||
|
Bank7 Corp. |
731 | 13,085 | ||||||
|
BankFinancial Corp. |
1,040 | 11,794 | ||||||
|
Bankwell Financial Group, Inc. |
522 | 14,861 | ||||||
|
Banner Corp. |
238 | 10,862 | ||||||
|
Bar Harbor Bankshares |
618 | 12,620 | ||||||
|
Baycom Corp.* |
634 | 13,511 | ||||||
|
BCB Bancorp, Inc. |
1,018 | 11,544 | ||||||
|
Berkshire Hills Bancorp, Inc. |
452 | 11,033 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 57 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Banks (cont’d.) |
||||||||
|
Bridge Bancorp, Inc. |
440 | $ | 12,109 | |||||
|
Brookline Bancorp, Inc. |
908 | 12,594 | ||||||
|
Bryn Mawr Bank Corp. |
339 | 11,268 | ||||||
|
Business First Bancshares, Inc. |
520 | 12,516 | ||||||
|
C&F Financial Corp. |
252 | 11,466 | ||||||
|
Cadence BanCorp (Class A Stock) |
768 | 10,844 | ||||||
|
Camden National Corp. |
311 | 12,754 | ||||||
|
Capital Bancorp, Inc.* |
928 | 12,844 | ||||||
|
Capstar Financial Holdings, Inc. |
885 | 11,894 | ||||||
|
Carter Bank & Trust |
646 | 10,917 | ||||||
|
Cathay General Bancorp |
367 | 11,296 | ||||||
|
CBTX, Inc. |
463 | 11,552 | ||||||
|
CenterState Bank Corp. |
605 | 12,239 | ||||||
|
Central Pacific Financial Corp. |
449 | 10,740 | ||||||
|
Central Valley Community Bancorp |
709 | 12,195 | ||||||
|
Chemung Financial Corp. |
343 | 12,314 | ||||||
|
Civista Bancshares, Inc. |
645 | 12,345 | ||||||
|
CNB Financial Corp. |
449 | 11,256 | ||||||
|
Coastal Financial Corp.* |
839 | 13,751 | ||||||
|
Codorus Valley Bancorp, Inc. |
637 | 13,122 | ||||||
|
Colony Bankcorp, Inc. |
926 | 13,770 | ||||||
|
Community Financial Corp. (The) |
398 | 12,633 | ||||||
|
Community Trust Bancorp, Inc. |
298 | 11,527 | ||||||
|
ConnectOne Bancorp, Inc. |
571 | 11,997 | ||||||
|
CrossFirst Bankshares, Inc.* |
1,096 | 14,522 | ||||||
|
Customers Bancorp, Inc.* |
677 | 13,736 | ||||||
|
Dime Community Bancshares, Inc. |
716 | 12,014 | ||||||
|
Eagle Bancorp, Inc. |
298 | 11,151 | ||||||
|
Enterprise Bancorp, Inc. |
439 | 12,059 | ||||||
|
Enterprise Financial Services Corp. |
297 | 11,366 | ||||||
|
Equity Bancshares, Inc. (Class A Stock)* |
485 | 12,697 | ||||||
|
Esquire Financial Holdings, Inc.* |
541 | 12,394 | ||||||
|
Evans Bancorp, Inc. |
343 | 13,470 | ||||||
|
FB Financial Corp. |
377 | 12,279 | ||||||
|
Financial Institutions, Inc. |
458 | 12,325 | ||||||
|
First Bancorp |
353 | 11,331 | ||||||
|
First Bancorp, Inc. |
480 | 12,240 | ||||||
|
First BanCorp (Puerto Rico) |
1,417 | 11,251 | ||||||
|
First Bank |
1,370 | 13,357 | ||||||
|
First Busey Corp. |
509 | 11,234 | ||||||
|
First Business Financial Services, Inc. |
530 | 12,720 | ||||||
|
First Choice Bancorp |
583 | 13,205 | ||||||
See Notes to Financial Statements.
| 58 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Banks (cont’d.) |
||||||||
|
First Commonwealth Financial Corp. |
976 | $ | 11,517 | |||||
|
First Financial Corp. |
330 | 13,183 | ||||||
|
First Financial Northwest, Inc. |
946 | 13,197 | ||||||
|
First Foundation, Inc. |
907 | 13,129 | ||||||
|
First Guaranty Bancshares, Inc. |
640 | 10,931 | ||||||
|
First Internet Bancorp |
640 | 15,546 | ||||||
|
First Interstate BancSystem, Inc. (Class A Stock) |
358 | 12,193 | ||||||
|
First Merchants Corp. |
342 | 11,963 | ||||||
|
First Mid Bancshares, Inc. |
391 | 11,014 | ||||||
|
First Midwest Bancorp, Inc. |
656 | 11,906 | ||||||
|
First Northwest Bancorp |
826 | 13,150 | ||||||
|
First of Long Island Corp. (The) |
556 | 11,515 | ||||||
|
Flushing Financial Corp. |
692 | 12,563 | ||||||
|
FNCB Bancorp, Inc. |
1,645 | 10,873 | ||||||
|
Franklin Financial Network, Inc. |
422 | 14,133 | ||||||
|
Franklin Financial Services Corp. |
354 | 10,981 | ||||||
|
Fulton Financial Corp.(a) |
834 | 12,051 | ||||||
|
FVCBankcorp, Inc.* |
871 | 13,440 | ||||||
|
Great Western Bancorp, Inc. |
385 | 10,345 | ||||||
|
Guaranty Bancshares, Inc. |
412 | 11,375 | ||||||
|
Hancock Whitney Corp. |
347 | 11,625 | ||||||
|
Hanmi Financial Corp. |
699 | 10,904 | ||||||
|
HarborOne Bancorp, Inc.* |
1,314 | 13,133 | ||||||
|
Hawthorn Bancshares, Inc. |
571 | 12,414 | ||||||
|
Heartland Financial USA, Inc. |
285 | 12,212 | ||||||
|
Heritage Commerce Corp. |
1,111 | 11,399 | ||||||
|
Hilltop Holdings, Inc. |
598 | 12,456 | ||||||
|
HomeTrust Bancshares, Inc. |
497 | 11,809 | ||||||
|
Hope Bancorp, Inc. |
992 | 12,112 | ||||||
|
Horizon Bancorp, Inc. |
781 | 11,731 | ||||||
|
IBERIABANK Corp. |
181 | 10,894 | ||||||
|
Independent Bank Corp. |
597 | 11,683 | ||||||
|
Independent Bank Group, Inc. |
248 | 11,480 | ||||||
|
International Bancshares Corp. |
339 | 11,560 | ||||||
|
Investar Holding Corp. |
560 | 11,962 | ||||||
|
Investors Bancorp, Inc. |
1,107 | 11,668 | ||||||
|
Lakeland Bancorp, Inc. |
824 | 11,870 | ||||||
|
LCNB Corp. |
710 | 11,239 | ||||||
|
Level One Bancorp, Inc. |
515 | 12,489 | ||||||
|
Macatawa Bank Corp. |
1,326 | 12,783 | ||||||
|
Mackinac Financial Corp. |
830 | 11,612 | ||||||
|
MainStreet Bancshares, Inc.* |
599 | 12,148 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 59 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Banks (cont’d.) |
||||||||
|
Malvern Bancorp, Inc.* |
609 | $ | 11,644 | |||||
|
Metropolitan Bank Holding Corp.* |
303 | 12,953 | ||||||
|
Mid Penn Bancorp, Inc. |
518 | 11,018 | ||||||
|
Midland States Bancorp, Inc. |
510 | 12,148 | ||||||
|
MidWestOne Financial Group, Inc. |
437 | 12,555 | ||||||
|
National Bankshares, Inc. |
345 | 12,058 | ||||||
|
Northeast Bank |
640 | 11,392 | ||||||
|
Oak Valley Bancorp |
684 | 11,416 | ||||||
|
OFG Bancorp (Puerto Rico) |
666 | 11,149 | ||||||
|
Ohio Valley Banc Corp. |
365 | 10,147 | ||||||
|
Old Second Bancorp, Inc. |
1,035 | 11,012 | ||||||
|
Origin Bancorp, Inc. |
399 | 12,066 | ||||||
|
Orrstown Financial Services, Inc. |
625 | 11,125 | ||||||
|
Pacific Mercantile Bancorp* |
1,951 | 12,740 | ||||||
|
Pacific Premier Bancorp, Inc. |
461 | 11,908 | ||||||
|
Parke Bancorp, Inc. |
649 | 12,007 | ||||||
|
PCB Bancorp |
828 | 11,070 | ||||||
|
Peapack Gladstone Financial Corp. |
481 | 13,203 | ||||||
|
Penns Woods Bancorp, Inc. |
417 | 12,577 | ||||||
|
Peoples Bancorp of North Carolina, Inc. |
475 | 12,079 | ||||||
|
Peoples Bancorp, Inc. |
392 | 11,192 | ||||||
|
Peoples Financial Services Corp. |
270 | 11,858 | ||||||
|
People’s Utah Bancorp |
496 | 11,889 | ||||||
|
Premier Financial Bancorp, Inc. |
833 | 13,869 | ||||||
|
QCR Holdings, Inc. |
363 | 13,816 | ||||||
|
RBB Bancorp |
703 | 11,860 | ||||||
|
Reliant Bancorp, Inc. |
574 | 11,394 | ||||||
|
Renasant Corp. |
379 | 10,737 | ||||||
|
Republic Bancorp, Inc. (Class A Stock) |
294 | 10,508 | ||||||
|
Richmond Mutual Bancorporation, Inc.* |
917 | 12,334 | ||||||
|
SB One Bancorp |
564 | 12,363 | ||||||
|
Select Bancorp, Inc.* |
1,112 | 11,676 | ||||||
|
ServisFirst Bancshares, Inc. |
397 | 13,716 | ||||||
|
Shore Bancshares, Inc. |
820 | 12,759 | ||||||
|
Sierra Bancorp |
480 | 11,434 | ||||||
|
Simmons First National Corp. (Class A Stock) |
567 | 12,122 | ||||||
|
SmartFinancial, Inc. |
613 | 11,641 | ||||||
|
South Plains Financial, Inc. |
688 | 13,781 | ||||||
|
Southern First Bancshares, Inc.* |
337 | 12,846 | ||||||
|
Southern National Bancorp of Virginia, Inc. |
878 | 12,459 | ||||||
|
Summit Financial Group, Inc. |
576 | 12,626 | ||||||
|
Towne Bank |
519 | 11,968 | ||||||
See Notes to Financial Statements.
| 60 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Banks (cont’d.) |
||||||||
|
TriState Capital Holdings, Inc.* |
576 | $ | 11,445 | |||||
|
Union Bankshares, Inc. |
399 | 11,962 | ||||||
|
United Community Banks, Inc. |
474 | 11,741 | ||||||
|
United Security Bancshares |
1,246 | 10,790 | ||||||
|
Unity Bancorp, Inc. |
666 | 11,409 | ||||||
|
Univest Financial Corp. |
532 | 12,449 | ||||||
|
Valley National Bancorp |
1,273 | 11,839 | ||||||
|
Washington Trust Bancorp, Inc. |
281 | 12,061 | ||||||
|
WesBanco, Inc. |
397 | 12,152 | ||||||
|
West Bancorporation, Inc. |
599 | 12,250 | ||||||
|
|
|
|||||||
| 1,893,332 | ||||||||
|
Biotechnology 2.0% |
||||||||
|
AnaptysBio, Inc.* |
926 | 13,844 | ||||||
|
Anika Therapeutics, Inc.* |
314 | 13,113 | ||||||
|
Arena Pharmaceuticals, Inc.* |
317 | 14,138 | ||||||
|
Geron Corp.(a)* |
10,214 | 11,746 | ||||||
|
Jounce Therapeutics, Inc.* |
2,003 | 9,053 | ||||||
|
Kezar Life Sciences, Inc.* |
3,994 | 17,494 | ||||||
|
Ligand Pharmaceuticals, Inc.* |
161 | 15,070 | ||||||
|
Lineage Cell Therapeutics, Inc.* |
16,923 | 17,092 | ||||||
|
OPKO Health, Inc.(a)* |
9,115 | 13,672 | ||||||
|
PDL BioPharma, Inc.* |
4,500 | 15,300 | ||||||
|
Synlogic, Inc.* |
4,529 | 9,330 | ||||||
|
TCR2 Therapeutics, Inc.* |
1,040 | 12,355 | ||||||
|
Viking Therapeutics, Inc.* |
1,948 | 11,532 | ||||||
|
|
|
|||||||
| 173,739 | ||||||||
|
Building Products 1.8% |
||||||||
|
Apogee Enterprises, Inc. |
426 | 12,861 | ||||||
|
Armstrong Flooring, Inc.* |
3,388 | 8,944 | ||||||
|
Builders FirstSource, Inc.* |
531 | 12,059 | ||||||
|
Caesarstone Ltd. (Israel) |
935 | 10,107 | ||||||
|
Cornerstone Building Brands, Inc.* |
1,642 | 12,069 | ||||||
|
Gibraltar Industries, Inc.* |
268 | 13,580 | ||||||
|
Griffon Corp. |
620 | 10,788 | ||||||
|
JELD-WEN Holding, Inc.* |
565 | 10,622 | ||||||
|
Masonite International Corp.* |
184 | 13,524 | ||||||
|
Patrick Industries, Inc. |
284 | 15,004 | ||||||
|
PGT Innovations, Inc.* |
902 | 13,683 | ||||||
|
Quanex Building Products Corp. |
815 | 13,692 | ||||||
|
Universal Forest Products, Inc. |
317 | 14,855 | ||||||
|
|
|
|||||||
| 161,788 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 61 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Capital Markets 1.7% |
||||||||
|
Artisan Partners Asset Management, Inc. (Class A Stock) |
420 | $ | 12,004 | |||||
|
B. Riley Financial, Inc. |
546 | 12,918 | ||||||
|
Blucora, Inc.* |
589 | 10,249 | ||||||
|
Brightsphere Investment Group, Inc. |
1,368 | 12,791 | ||||||
|
Diamond Hill Investment Group, Inc. |
96 | 12,166 | ||||||
|
Donnelley Financial Solutions, Inc.* |
1,435 | 12,485 | ||||||
|
GAIN Capital Holdings, Inc. |
3,547 | 20,927 | ||||||
|
Oppenheimer Holdings, Inc. (Class A Stock) |
497 | 11,794 | ||||||
|
Virtus Investment Partners, Inc. |
113 | 12,475 | ||||||
|
Waddell & Reed Financial, Inc. (Class A Stock) |
803 | 11,049 | ||||||
|
Westwood Holdings Group, Inc. |
456 | 11,573 | ||||||
|
WisdomTree Investments, Inc. |
3,412 | 13,853 | ||||||
|
|
|
|||||||
| 154,284 | ||||||||
|
Chemicals 1.6% |
||||||||
|
AdvanSix, Inc.* |
858 | 12,467 | ||||||
|
FutureFuel Corp. |
1,257 | 12,784 | ||||||
|
Hawkins, Inc. |
348 | 12,441 | ||||||
|
HB Fuller Co.(a) |
274 | 10,749 | ||||||
|
Innospec, Inc. |
141 | 12,202 | ||||||
|
Kraton Corp.* |
646 | 6,537 | ||||||
|
Kronos Worldwide, Inc. |
1,087 | 10,859 | ||||||
|
Orion Engineered Carbons SA (Luxembourg) |
770 | 10,942 | ||||||
|
PolyOne Corp. |
410 | 10,152 | ||||||
|
PQ Group Holdings, Inc.* |
802 | 10,643 | ||||||
|
Trecora Resources* |
2,014 | 11,379 | ||||||
|
Tredegar Corp. |
655 | 11,174 | ||||||
|
Trinseo SA |
423 | 9,255 | ||||||
|
|
|
|||||||
| 141,584 | ||||||||
|
Commercial Services & Supplies 2.4% |
||||||||
|
ABM Industries, Inc. |
361 | 11,884 | ||||||
|
ACCO Brands Corp. |
1,582 | 12,672 | ||||||
|
Brady Corp. (Class A Stock)(a) |
240 | 11,362 | ||||||
|
BrightView Holdings, Inc.* |
881 | 12,334 | ||||||
|
CECO Environmental Corp.* |
1,795 | 12,116 | ||||||
|
Deluxe Corp. |
275 | 9,158 | ||||||
|
Ennis, Inc. |
684 | 13,748 | ||||||
|
HNI Corp. |
381 | 12,508 | ||||||
|
Interface, Inc. (Class A Stock) |
897 | 13,087 | ||||||
|
Kimball International, Inc. (Class B Stock) |
647 | 10,468 | ||||||
|
Knoll, Inc. |
559 | 9,861 | ||||||
See Notes to Financial Statements.
| 62 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Commercial Services & Supplies (cont’d.) |
||||||||
|
Matthews International Corp. (Class A Stock) |
362 | $ | 10,701 | |||||
|
PICO Holdings, Inc.* |
1,388 | 13,172 | ||||||
|
Quad/Graphics, Inc. |
2,969 | 14,251 | ||||||
|
Steelcase, Inc. (Class A Stock) |
711 | 11,532 | ||||||
|
Team, Inc.* |
913 | 11,623 | ||||||
|
UniFirst Corp. |
71 | 13,193 | ||||||
|
VSE Corp. |
427 | 12,575 | ||||||
|
|
|
|||||||
| 216,245 | ||||||||
|
Communications Equipment 1.5% |
||||||||
|
ADTRAN, Inc. |
1,402 | 11,279 | ||||||
|
CalAmp Corp.* |
1,440 | 13,853 | ||||||
|
Calix, Inc.* |
1,661 | 14,949 | ||||||
|
Comtech Telecommunications Corp. |
401 | 11,236 | ||||||
|
Digi International, Inc.* |
852 | 11,281 | ||||||
|
Harmonic, Inc.* |
1,773 | 10,886 | ||||||
|
KVH Industries, Inc.* |
1,253 | 13,056 | ||||||
|
NETGEAR, Inc.* |
551 | 10,398 | ||||||
|
NetScout Systems, Inc.* |
563 | 14,469 | ||||||
|
Ribbon Communications, Inc.* |
4,601 | 14,861 | ||||||
|
TESSCO Technologies, Inc. |
1,289 | 7,721 | ||||||
|
|
|
|||||||
| 133,989 | ||||||||
|
Construction & Engineering 0.7% |
||||||||
|
Aegion Corp. (Class A Stock)* |
611 | 11,004 | ||||||
|
EMCOR Group, Inc. |
149 | 11,461 | ||||||
|
IES Holdings, Inc.* |
558 | 13,007 | ||||||
|
Northwest Pipe Co.* |
429 | 13,535 | ||||||
|
Primoris Services Corp. |
634 | 12,034 | ||||||
|
|
|
|||||||
| 61,041 | ||||||||
|
Consumer Finance 1.0% |
||||||||
|
Encore Capital Group, Inc.* |
385 | 14,307 | ||||||
|
Enova International, Inc.* |
593 | 11,397 | ||||||
|
Medallion Financial Corp.* |
2,130 | 12,588 | ||||||
|
Nelnet, Inc. (Class A Stock) |
221 | 11,735 | ||||||
|
Oportun Financial Corp.* |
673 | 14,153 | ||||||
|
PRA Group, Inc.* |
385 | 14,946 | ||||||
|
Regional Management Corp.* |
480 | 12,312 | ||||||
|
|
|
|||||||
| 91,438 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 63 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Containers & Packaging 0.5% |
||||||||
|
Greif, Inc., |
||||||||
|
(Class A Stock) |
341 | $ | 12,051 | |||||
|
(Class B Stock) |
302 | 12,083 | ||||||
|
UFP Technologies, Inc.* |
326 | 16,082 | ||||||
|
|
|
|||||||
| 40,216 | ||||||||
|
Diversified Consumer Services 0.6% |
||||||||
|
American Public Education, Inc.* |
517 | 11,508 | ||||||
|
K12, Inc.* |
707 | 14,055 | ||||||
|
Laureate Education, Inc. (Class A Stock)* |
846 | 15,820 | ||||||
|
Select Interior Concepts, Inc. (Class A Stock)* |
1,682 | 12,565 | ||||||
|
|
|
|||||||
| 53,948 | ||||||||
|
Diversified Financial Services 0.5% |
||||||||
|
Banco Latinoamericano de Comercio Exterior SA (Panama) |
||||||||
|
(Class E Stock) |
638 | 11,407 | ||||||
|
FGL Holdings (Bermuda) |
1,558 | 17,824 | ||||||
|
Marlin Business Services Corp. |
679 | 13,349 | ||||||
|
|
|
|||||||
| 42,580 | ||||||||
|
Diversified Telecommunication Services 0.6% |
||||||||
|
ATN International, Inc. |
256 | 13,798 | ||||||
|
Consolidated Communications Holdings, Inc. |
3,664 | 22,790 | ||||||
|
ORBCOMM, Inc.* |
3,547 | 11,741 | ||||||
|
|
|
|||||||
| 48,329 | ||||||||
|
Electric Utilities 0.7% |
||||||||
|
ALLETE, Inc. |
154 | 10,624 | ||||||
|
Genie Energy Ltd. (Class B Stock) |
1,902 | 13,162 | ||||||
|
MGE Energy, Inc. |
181 | 12,913 | ||||||
|
Otter Tail Corp. |
251 | 12,201 | ||||||
|
Portland General Electric Co. |
241 | 13,113 | ||||||
|
|
|
|||||||
| 62,013 | ||||||||
|
Electrical Equipment 0.5% |
||||||||
|
AZZ, Inc. |
327 | 12,063 | ||||||
|
Encore Wire Corp. |
240 | 11,753 | ||||||
|
Preformed Line Products Co. |
226 | 11,029 | ||||||
|
Thermon Group Holdings, Inc.* |
566 | 9,944 | ||||||
|
|
|
|||||||
| 44,789 | ||||||||
See Notes to Financial Statements.
| 64 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Electronic Equipment, Instruments & Components 1.8% |
||||||||
|
Bel Fuse, Inc. (Class B Stock) |
726 | $ | 8,305 | |||||
|
Belden, Inc. |
265 | 10,581 | ||||||
|
Benchmark Electronics, Inc. |
393 | 10,682 | ||||||
|
Daktronics, Inc. |
2,345 | 11,537 | ||||||
|
ePlus, Inc.* |
168 | 12,728 | ||||||
|
Kimball Electronics, Inc.* |
883 | 11,965 | ||||||
|
Methode Electronics, Inc. |
385 | 11,804 | ||||||
|
MTS Systems Corp. |
280 | 11,239 | ||||||
|
PC Connection, Inc. |
272 | 11,062 | ||||||
|
Plexus Corp.* |
184 | 12,208 | ||||||
|
Sanmina Corp.* |
416 | 10,937 | ||||||
|
ScanSource, Inc.* |
418 | 11,884 | ||||||
|
TTM Technologies, Inc.* |
934 | 12,133 | ||||||
|
Vishay Precision Group, Inc.* |
401 | 11,016 | ||||||
|
|
|
|||||||
| 158,081 | ||||||||
|
Energy Equipment & Services 1.8% |
||||||||
|
Era Group, Inc.* |
1,710 | 16,758 | ||||||
|
Exterran Corp.* |
2,188 | 11,159 | ||||||
|
Forum Energy Technologies, Inc.* |
10,668 | 8,321 | ||||||
|
Frank’s International NV (Netherlands)* |
3,618 | 14,183 | ||||||
|
KLX Energy Services Holdings, Inc.* |
2,981 | 7,214 | ||||||
|
Liberty Oilfield Services, Inc. (Class A Stock) |
1,474 | 9,861 | ||||||
|
Matrix Service Co.* |
674 | 8,142 | ||||||
|
Natural Gas Services Group, Inc.* |
1,273 | 12,577 | ||||||
|
Newpark Resources, Inc.* |
2,727 | 9,572 | ||||||
|
Nine Energy Service, Inc.* |
2,339 | 9,496 | ||||||
|
ProPetro Holding Corp.* |
1,291 | 11,309 | ||||||
|
SEACOR Holdings, Inc.* |
344 | 12,831 | ||||||
|
SEACOR Marine Holdings, Inc.* |
1,185 | 9,421 | ||||||
|
Select Energy Services, Inc. (Class A Stock)* |
1,596 | 10,374 | ||||||
|
Smart Sand, Inc.* |
6,576 | 10,719 | ||||||
|
|
|
|||||||
| 161,937 | ||||||||
|
Entertainment 0.2% |
||||||||
|
Eros International PLC (India)(a)* |
3,258 | 7,526 | ||||||
|
Marcus Corp. (The) |
471 | 12,585 | ||||||
|
|
|
|||||||
| 20,111 | ||||||||
|
Equity Real Estate Investment Trusts (REITs) 7.2% |
||||||||
|
Acadia Realty Trust |
558 | 12,745 | ||||||
|
Alexander & Baldwin, Inc. |
654 | 12,295 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 65 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
||||||||
|
American Finance Trust, Inc. |
1,082 | $ | 11,253 | |||||
|
Ashford Hospitality Trust, Inc. |
5,256 | 11,353 | ||||||
|
Braemar Hotels & Resorts, Inc. |
1,618 | 11,909 | ||||||
|
BRT Apartments Corp. |
837 | 13,057 | ||||||
|
CatchMark Timber Trust, Inc. (Class A Stock) |
1,237 | 11,368 | ||||||
|
CBL & Associates Properties, Inc. |
13,848 | 7,351 | ||||||
|
Cedar Realty Trust, Inc. |
5,162 | 13,370 | ||||||
|
Chatham Lodging Trust |
800 | 11,152 | ||||||
|
CoreCivic, Inc. |
796 | 11,789 | ||||||
|
CorePoint Lodging, Inc. |
1,275 | 10,149 | ||||||
|
DiamondRock Hospitality Co. |
1,295 | 11,810 | ||||||
|
Diversified Healthcare Trust |
1,723 | 10,838 | ||||||
|
Farmland Partners, Inc.(a) |
1,956 | 11,560 | ||||||
|
First Industrial Realty Trust, Inc. |
314 | 12,089 | ||||||
|
Franklin Street Properties Corp. |
1,816 | 12,948 | ||||||
|
Front Yard Residential Corp. (Virgin Islands) |
1,108 | 14,049 | ||||||
|
Getty Realty Corp. |
411 | 11,648 | ||||||
|
Gladstone Commercial Corp. |
638 | 12,039 | ||||||
|
Gladstone Land Corp. |
1,137 | 15,270 | ||||||
|
Hersha Hospitality Trust (Class A Stock) |
1,039 | 11,980 | ||||||
|
Independence Realty Trust, Inc. |
960 | 12,730 | ||||||
|
Investors Real Estate Trust |
196 | 13,808 | ||||||
|
iStar, Inc. |
1,028 | 15,554 | ||||||
|
Kite Realty Group Trust |
832 | 13,437 | ||||||
|
Lexington Realty Trust (Class B Stock) |
1,198 | 12,423 | ||||||
|
Mack-Cali Realty Corp. |
563 | 10,686 | ||||||
|
Monmouth Real Estate Investment Corp. |
975 | 13,845 | ||||||
|
National Health Investors, Inc. |
170 | 13,894 | ||||||
|
Office Properties Income Trust |
449 | 13,079 | ||||||
|
One Liberty Properties, Inc. |
454 | 10,941 | ||||||
|
Pebblebrook Hotel Trust |
564 | 11,398 | ||||||
|
Pennsylvania Real Estate Investment Trust(a) |
2,951 | 6,964 | ||||||
|
Physicians Realty Trust |
752 | 14,183 | ||||||
|
Piedmont Office Realty Trust, Inc. (Class A Stock) |
648 | 13,990 | ||||||
|
PotlatchDeltic Corp. |
326 | 11,977 | ||||||
|
Retail Opportunity Investments Corp. |
830 | 12,450 | ||||||
|
Retail Value, Inc. |
407 | 11,311 | ||||||
|
RLJ Lodging Trust |
859 | 11,347 | ||||||
|
RPT Realty |
939 | 12,169 | ||||||
|
Sabra Health Care REIT, Inc. |
648 | 12,668 | ||||||
|
Saul Centers, Inc. |
242 | 10,408 | ||||||
|
Seritage Growth Properties (Class A Stock) |
361 | 12,411 | ||||||
See Notes to Financial Statements.
| 66 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Equity Real Estate Investment Trusts (REITs) (cont’d.) |
||||||||
|
Summit Hotel Properties, Inc. |
1,170 | $ | 10,846 | |||||
|
Sunstone Hotel Investors, Inc. |
961 | 10,523 | ||||||
|
Terreno Realty Corp. |
249 | 13,663 | ||||||
|
Universal Health Realty Income Trust |
120 | 12,926 | ||||||
|
Urban Edge Properties |
730 | 11,826 | ||||||
|
Urstadt Biddle Properties, Inc. (Class A Stock) |
527 | 10,862 | ||||||
|
Washington Prime Group, Inc.(a) |
3,913 | 10,761 | ||||||
|
Whitestone REIT (Class B Stock) |
958 | 11,774 | ||||||
|
Xenia Hotels & Resorts, Inc. |
667 | 9,978 | ||||||
|
|
|
|||||||
| 636,854 | ||||||||
|
Food & Staples Retailing 1.1% |
||||||||
|
Andersons, Inc. (The) |
587 | 10,783 | ||||||
|
BJ’s Wholesale Club Holdings, Inc.* |
640 | 12,326 | ||||||
|
Ingles Markets, Inc. (Class A Stock) |
333 | 11,911 | ||||||
|
PriceSmart, Inc. |
226 | 12,586 | ||||||
|
SpartanNash Co. |
1,020 | 12,679 | ||||||
|
United Natural Foods, Inc.* |
1,681 | 10,876 | ||||||
|
Village Super Market, Inc. (Class A Stock) |
630 | 12,947 | ||||||
|
Weis Markets, Inc. |
359 | 13,373 | ||||||
|
|
|
|||||||
| 97,481 | ||||||||
|
Food Products 1.0% |
||||||||
|
Alico, Inc. |
366 | 11,921 | ||||||
|
B&G Foods, Inc.(a) |
897 | 13,276 | ||||||
|
Farmer Brothers Co.* |
1,124 | 13,881 | ||||||
|
Fresh Del Monte Produce, Inc. |
408 | 11,187 | ||||||
|
Hostess Brands, Inc. (Class A Stock)* |
1,036 | 13,168 | ||||||
|
Seneca Foods Corp. (Class A Stock)* |
375 | 13,020 | ||||||
|
Tootsie Roll Industries, Inc.(a) |
416 | 13,345 | ||||||
|
|
|
|||||||
| 89,798 | ||||||||
|
Gas Utilities 0.6% |
||||||||
|
New Jersey Resources Corp. |
331 | 11,687 | ||||||
|
RGC Resources, Inc. |
575 | 15,784 | ||||||
|
Southwest Gas Holdings, Inc. |
185 | 11,966 | ||||||
|
Spire, Inc. |
156 | 11,708 | ||||||
|
|
|
|||||||
| 51,145 | ||||||||
|
Health Care Equipment & Supplies 1.4% |
||||||||
|
AngioDynamics, Inc.* |
852 | 9,789 | ||||||
|
Integer Holdings Corp.* |
162 | 14,608 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 67 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Health Care Equipment & Supplies (cont’d.) |
||||||||
|
Invacare Corp. |
1,678 | $ | 12,719 | |||||
|
LeMaitre Vascular, Inc. |
397 | 11,315 | ||||||
|
LivaNova PLC (United Kingdom)* |
183 | 12,759 | ||||||
|
Meridian Bioscience, Inc.* |
1,374 | 10,978 | ||||||
|
OraSure Technologies, Inc.* |
1,647 | 9,931 | ||||||
|
Orthofix Medical, Inc.* |
312 | 11,026 | ||||||
|
SeaSpine Holdings Corp.* |
879 | 12,420 | ||||||
|
Utah Medical Products, Inc. |
134 | 11,712 | ||||||
|
Varex Imaging Corp.* |
437 | 10,147 | ||||||
|
|
|
|||||||
| 127,404 | ||||||||
|
Health Care Providers & Services 1.4% |
||||||||
|
Brookdale Senior Living, Inc.* |
1,989 | 13,068 | ||||||
|
Cross Country Healthcare, Inc.* |
1,243 | 11,784 | ||||||
|
Hanger, Inc.* |
539 | 12,435 | ||||||
|
Magellan Health, Inc.* |
188 | 11,282 | ||||||
|
National HealthCare Corp. |
167 | 12,393 | ||||||
|
Owens & Minor, Inc. |
2,215 | 15,128 | ||||||
|
Patterson Cos., Inc. |
608 | 14,464 | ||||||
|
Surgery Partners, Inc.* |
786 | 12,906 | ||||||
|
Tenet Healthcare Corp.* |
399 | 10,486 | ||||||
|
Triple-S Management Corp. (Puerto Rico) (Class B Stock)* |
798 | 11,962 | ||||||
|
|
|
|||||||
| 125,908 | ||||||||
|
Health Care Technology 0.6% |
||||||||
|
Allscripts Healthcare Solutions, Inc.* |
1,527 | 11,513 | ||||||
|
Computer Programs & Systems, Inc. |
528 | 14,140 | ||||||
|
Evolent Health, Inc. (Class A Stock)* |
1,316 | 12,160 | ||||||
|
HealthStream, Inc.* |
502 | 12,209 | ||||||
|
|
|
|||||||
| 50,022 | ||||||||
|
Hotels, Restaurants & Leisure 1.1% |
||||||||
|
BBX Capital Corp. (Class A Stock) |
3,437 | 11,961 | ||||||
|
Bluegreen Vacations Corp. |
1,528 | 11,857 | ||||||
|
Century Casinos, Inc.* |
1,645 | 11,482 | ||||||
|
Del Taco Restaurants, Inc.* |
1,800 | 11,520 | ||||||
|
Denny’s Corp.* |
688 | 11,978 | ||||||
|
Golden Entertainment, Inc.* |
781 | 12,715 | ||||||
|
J Alexander’s Holdings, Inc.* |
1,487 | 12,208 | ||||||
|
Marriott Vacations Worldwide Corp. |
121 | 11,711 | ||||||
|
|
|
|||||||
| 95,432 | ||||||||
See Notes to Financial Statements.
| 68 |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 69 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Insurance (cont’d.) |
||||||||
|
Heritage Insurance Holdings, Inc. |
1,131 | $ | 12,622 | |||||
|
Horace Mann Educators Corp. |
326 | 12,691 | ||||||
|
Independence Holding Co. |
350 | 12,989 | ||||||
|
Investors Title Co. |
88 | 14,429 | ||||||
|
MBIA, Inc.* |
1,560 | 12,168 | ||||||
|
National General Holdings Corp. |
636 | 12,383 | ||||||
|
National Western Life Group, Inc. (Class A Stock) |
47 | 11,230 | ||||||
|
NI Holdings, Inc.* |
905 | 12,779 | ||||||
|
ProSight Global, Inc.* |
891 | 11,939 | ||||||
|
Protective Insurance Corp. (Class B Stock) |
894 | 12,748 | ||||||
|
Selective Insurance Group, Inc. |
211 | 11,770 | ||||||
|
Stewart Information Services Corp. |
330 | 11,939 | ||||||
|
Third Point Reinsurance Ltd. (Bermuda)* |
1,313 | 11,712 | ||||||
|
Tiptree, Inc. |
1,912 | 12,581 | ||||||
|
United Insurance Holdings Corp. |
1,331 | 12,511 | ||||||
|
Universal Insurance Holdings, Inc. |
548 | 11,338 | ||||||
|
Watford Holdings Ltd. (Bermuda)* |
501 | 11,438 | ||||||
|
|
|
|||||||
| 324,081 | ||||||||
|
Interactive Media & Services 0.3% |
||||||||
|
Cars.com, Inc.* |
1,098 | 9,970 | ||||||
|
DHI Group, Inc.* |
4,833 | 11,019 | ||||||
|
TrueCar, Inc.* |
3,341 | 8,787 | ||||||
|
|
|
|||||||
| 29,776 | ||||||||
|
Internet & Direct Marketing Retail 0.5% |
||||||||
|
Liquidity Services, Inc.* |
2,420 | 9,486 | ||||||
|
PetMed Express, Inc. |
562 | 14,837 | ||||||
|
Stamps.com, Inc.* |
163 | 23,001 | ||||||
|
|
|
|||||||
| 47,324 | ||||||||
|
IT Services 0.7% |
||||||||
|
Conduent, Inc.* |
2,637 | 8,623 | ||||||
|
Information Services Group, Inc.* |
5,009 | 15,879 | ||||||
|
Perspecta, Inc. |
486 | 12,135 | ||||||
|
StarTek, Inc.* |
1,879 | 11,706 | ||||||
|
Sykes Enterprises, Inc.* |
401 | 12,704 | ||||||
|
|
|
|||||||
| 61,047 | ||||||||
|
Leisure Products 1.0% |
||||||||
|
Acushnet Holdings Corp. |
472 | 12,012 | ||||||
|
American Outdoor Brands Corp.* |
1,533 | 15,269 | ||||||
See Notes to Financial Statements.
| 70 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Leisure Products (cont’d.) |
||||||||
|
Callaway Golf Co. |
660 | $ | 11,207 | |||||
|
Escalade, Inc. |
1,600 | 13,584 | ||||||
|
Johnson Outdoors, Inc. (Class A Stock) |
187 | 11,671 | ||||||
|
Sturm Ruger & Co., Inc. |
287 | 13,787 | ||||||
|
Vista Outdoor, Inc.* |
1,935 | 14,222 | ||||||
|
|
|
|||||||
| 91,752 | ||||||||
|
Life Sciences Tools & Services 0.2% |
||||||||
|
Luminex Corp. |
634 | 15,698 | ||||||
|
Machinery 3.8% |
||||||||
|
Altra Industrial Motion Corp. |
402 | 12,108 | ||||||
|
Blue Bird Corp.* |
707 | 12,641 | ||||||
|
Briggs & Stratton Corp. |
2,283 | 7,237 | ||||||
|
CIRCOR International, Inc.* |
326 | 11,730 | ||||||
|
Columbus McKinnon Corp. |
368 | 11,441 | ||||||
|
Commercial Vehicle Group, Inc.* |
2,424 | 10,569 | ||||||
|
Eastern Co. (The) |
487 | 12,404 | ||||||
|
Federal Signal Corp. |
405 | 11,745 | ||||||
|
Gencor Industries, Inc.* |
1,164 | 11,698 | ||||||
|
Greenbrier Cos., Inc. (The) |
546 | 13,230 | ||||||
|
Hillenbrand, Inc. |
437 | 10,226 | ||||||
|
Hurco Cos., Inc. |
445 | 12,540 | ||||||
|
LB Foster Co. (Class A Stock)* |
644 | 10,149 | ||||||
|
Lydall, Inc.* |
653 | 7,777 | ||||||
|
Manitowoc Co., Inc. (The)* |
923 | 11,510 | ||||||
|
Miller Industries, Inc. |
414 | 12,300 | ||||||
|
Mueller Industries, Inc. |
467 | 13,067 | ||||||
|
Navistar International Corp.* |
540 | 19,607 | ||||||
|
Park-Ohio Holdings Corp. |
415 | 10,176 | ||||||
|
REV Group, Inc. |
1,338 | 10,477 | ||||||
|
Rexnord Corp. |
433 | 12,626 | ||||||
|
SPX Corp.* |
278 | 11,657 | ||||||
|
SPX FLOW, Inc.* |
315 | 11,586 | ||||||
|
Standex International Corp. |
172 | 10,910 | ||||||
|
Terex Corp. |
532 | 11,709 | ||||||
|
Titan International, Inc. |
4,079 | 9,055 | ||||||
|
TriMas Corp.* |
458 | 11,610 | ||||||
|
Wabash National Corp. |
1,146 | 12,583 | ||||||
|
Watts Water Technologies, Inc. (Class A Stock) |
145 | 13,617 | ||||||
|
|
|
|||||||
| 337,985 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 71 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Marine 0.3% |
||||||||
|
Costamare, Inc. (Monaco) |
1,392 | $ | 9,090 | |||||
|
Genco Shipping & Trading Ltd. |
1,533 | 11,773 | ||||||
|
Scorpio Bulkers, Inc. |
2,892 | 9,312 | ||||||
|
|
|
|||||||
| 30,175 | ||||||||
|
Media 1.4% |
||||||||
|
Cumulus Media, Inc. (Class A Stock)* |
923 | 11,122 | ||||||
|
Emerald Holding, Inc. |
1,362 | 9,343 | ||||||
|
Entercom Communications Corp. (Class A Stock) |
3,077 | 10,677 | ||||||
|
Entravision Communications Corp. (Class A Stock) |
6,606 | 13,278 | ||||||
|
Gannett Co., Inc. |
2,087 | 8,765 | ||||||
|
Liberty Latin America Ltd., |
||||||||
|
(Class A Stock)* |
727 | 11,014 | ||||||
|
(Class C Stock)* |
729 | 11,074 | ||||||
|
Marchex, Inc. (Class B Stock)* |
4,056 | 10,505 | ||||||
|
MSG Networks, Inc. (Class A Stock)* |
789 | 9,973 | ||||||
|
Saga Communications, Inc. (Class A Stock) |
443 | 12,750 | ||||||
|
Scholastic Corp. |
399 | 12,804 | ||||||
|
|
|
|||||||
| 121,305 | ||||||||
|
Metals & Mining 1.2% |
||||||||
|
Allegheny Technologies, Inc.* |
805 | 13,757 | ||||||
|
Commercial Metals Co.(a) |
668 | 12,198 | ||||||
|
Haynes International, Inc. |
510 | 12,908 | ||||||
|
Kaiser Aluminum Corp. |
141 | 13,332 | ||||||
|
Olympic Steel, Inc. |
886 | 10,676 | ||||||
|
Schnitzer Steel Industries, Inc. (Class A Stock) |
721 | 11,882 | ||||||
|
Synalloy Corp.* |
1,167 | 13,362 | ||||||
|
Warrior Met Coal, Inc. |
616 | 10,915 | ||||||
|
Worthington Industries, Inc. |
357 | 11,353 | ||||||
|
|
|
|||||||
| 110,383 | ||||||||
|
Mortgage Real Estate Investment Trusts (REITs) 2.8% |
||||||||
|
AG Mortgage Investment Trust, Inc. |
837 | 12,530 | ||||||
|
Anworth Mortgage Asset Corp. |
3,956 | 12,936 | ||||||
|
Arlington Asset Investment Corp. (Class A Stock) |
2,326 | 13,165 | ||||||
|
ARMOUR Residential REIT, Inc. |
683 | 12,349 | ||||||
|
Capstead Mortgage Corp. |
1,700 | 12,070 | ||||||
|
Cherry Hill Mortgage Investment Corp. |
968 | 13,804 | ||||||
|
Dynex Capital, Inc. |
795 | 13,594 | ||||||
|
Ellington Financial, Inc. |
733 | 12,116 | ||||||
See Notes to Financial Statements.
| 72 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Mortgage Real Estate Investment Trusts (REITs) (cont’d.) |
||||||||
|
Exantas Capital Corp. |
1,101 | $ | 12,617 | |||||
|
Great Ajax Corp. |
956 | 13,508 | ||||||
|
Invesco Mortgage Capital, Inc. |
884 | 14,215 | ||||||
|
Ladder Capital Corp. (Class A Stock) |
771 | 11,758 | ||||||
|
New York Mortgage Trust, Inc. |
2,207 | 12,580 | ||||||
|
Orchid Island Capital, Inc. (Class A Stock) |
2,086 | 11,953 | ||||||
|
PennyMac Mortgage Investment Trust |
554 | 11,468 | ||||||
|
Ready Capital Corp. |
907 | 13,152 | ||||||
|
Redwood Trust, Inc. |
804 | 13,732 | ||||||
|
TPG RE Finance Trust, Inc. |
706 | 13,569 | ||||||
|
Western Asset Mortgage Capital Corp. |
1,330 | 13,327 | ||||||
|
|
|
|||||||
| 244,443 | ||||||||
|
Multiline Retail 0.1% |
||||||||
|
Big Lots, Inc. |
524 | 8,285 | ||||||
|
Multi-Utilities 0.6% |
||||||||
|
Avista Corp. |
259 | 12,212 | ||||||
|
Black Hills Corp. |
177 | 12,779 | ||||||
|
NorthWestern Corp. |
181 | 12,732 | ||||||
|
Unitil Corp. |
228 | 12,845 | ||||||
|
|
|
|||||||
| 50,568 | ||||||||
|
Oil, Gas & Consumable Fuels 3.1% |
||||||||
|
Abraxas Petroleum Corp.* |
44,699 | 8,493 | ||||||
|
Arch Coal, Inc. (Class A Stock) |
231 | 11,631 | ||||||
|
Berry Corp. |
1,887 | 12,020 | ||||||
|
CNX Resources Corp.* |
2,060 | 10,939 | ||||||
|
CONSOL Energy, Inc.* |
1,383 | 7,869 | ||||||
|
Contura Energy, Inc.* |
2,034 | 11,573 | ||||||
|
Delek US Holdings, Inc. |
472 | 10,091 | ||||||
|
Denbury Resources, Inc.* |
12,975 | 9,762 | ||||||
|
Dorian LPG Ltd.* |
971 | 10,797 | ||||||
|
Extraction Oil & Gas, Inc.* |
8,373 | 5,765 | ||||||
|
Falcon Minerals Corp. |
2,267 | 9,057 | ||||||
|
GasLog Ltd. (Monaco) |
1,661 | 9,318 | ||||||
|
Gulfport Energy Corp.* |
8,572 | 7,026 | ||||||
|
HighPoint Resources Corp.* |
9,557 | 6,505 | ||||||
|
Matador Resources Co.* |
859 | 8,281 | ||||||
|
Montage Resources Corp.* |
2,975 | 10,383 | ||||||
|
NACCO Industries, Inc. (Class A Stock) |
303 | 12,490 | ||||||
|
Northern Oil & Gas, Inc.* |
7,827 | 11,349 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 73 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Oil, Gas & Consumable Fuels (cont’d.) |
||||||||
|
Oasis Petroleum, Inc.* |
5,199 | $ | 8,500 | |||||
|
Overseas Shipholding Group, Inc. (Class A Stock)* |
7,140 | 12,281 | ||||||
|
Par Pacific Holdings, Inc.* |
667 | 11,066 | ||||||
|
PDC Energy, Inc.* |
629 | 11,970 | ||||||
|
Peabody Energy Corp. |
1,778 | 10,383 | ||||||
|
Penn Virginia Corp.* |
527 | 8,379 | ||||||
|
SilverBow Resources, Inc.* |
1,636 | 4,597 | ||||||
|
Southwestern Energy Co.(a)* |
8,373 | 11,890 | ||||||
|
W&T Offshore, Inc.* |
2,921 | 7,595 | ||||||
|
Whiting Petroleum Corp.(a)* |
2,672 | 4,943 | ||||||
|
World Fuel Services Corp. |
320 | 9,050 | ||||||
|
|
|
|||||||
| 274,003 | ||||||||
|
Paper & Forest Products 1.1% |
||||||||
|
Boise Cascade Co. |
400 | 14,192 | ||||||
|
Clearwater Paper Corp.* |
625 | 17,044 | ||||||
|
Louisiana-Pacific Corp. |
465 | 13,229 | ||||||
|
Neenah, Inc. |
213 | 12,305 | ||||||
|
PH Glatfelter Co. |
901 | 12,848 | ||||||
|
Schweitzer-Mauduit International, Inc. |
402 | 13,556 | ||||||
|
Verso Corp. (Class A Stock)* |
859 | 14,010 | ||||||
|
|
|
|||||||
| 97,184 | ||||||||
|
Personal Products 0.5% |
||||||||
|
BellRing Brands, Inc. (Class A Stock)* |
627 | 12,321 | ||||||
|
Edgewell Personal Care Co.* |
509 | 15,453 | ||||||
|
Nature’s Sunshine Products, Inc.* |
1,532 | 12,562 | ||||||
|
|
|
|||||||
| 40,336 | ||||||||
|
Pharmaceuticals 0.7% |
||||||||
|
Akorn, Inc.* |
10,994 | 12,753 | ||||||
|
Assertio Therapeutics, Inc.* |
9,939 | 10,734 | ||||||
|
Lannett Co., Inc.* |
1,516 | 13,189 | ||||||
|
Prestige Consumer Healthcare, Inc.* |
350 | 13,076 | ||||||
|
Strongbridge Biopharma PLC* |
5,294 | 14,665 | ||||||
|
|
|
|||||||
| 64,417 | ||||||||
|
Professional Services 1.3% |
||||||||
|
Acacia Research Corp.* |
4,930 | 11,339 | ||||||
|
ASGN, Inc.* |
208 | 10,548 | ||||||
|
BG Staffing, Inc. |
693 | 10,686 | ||||||
See Notes to Financial Statements.
| 74 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Professional Services (cont’d.) |
||||||||
|
CRA International, Inc. |
260 | $ | 12,093 | |||||
|
GP Strategies Corp.* |
973 | 10,820 | ||||||
|
Heidrick & Struggles International, Inc. |
458 | 10,213 | ||||||
|
Huron Consulting Group, Inc.* |
207 | 12,283 | ||||||
|
InnerWorkings, Inc.* |
2,823 | 8,864 | ||||||
|
Kelly Services, Inc. (Class A Stock) |
673 | 11,179 | ||||||
|
Mistras Group, Inc.* |
1,072 | 8,415 | ||||||
|
TrueBlue, Inc.* |
548 | 8,154 | ||||||
|
|
|
|||||||
| 114,594 | ||||||||
|
Real Estate Management & Development 1.4% |
||||||||
|
Altisource Portfolio Solutions SA (Luxembourg)* |
742 | 11,790 | ||||||
|
Cushman & Wakefield PLC* |
735 | 13,370 | ||||||
|
Forestar Group, Inc.* |
664 | 11,879 | ||||||
|
FRP Holdings, Inc.* |
268 | 12,122 | ||||||
|
Kennedy-Wilson Holdings, Inc. |
578 | 11,681 | ||||||
|
Marcus & Millichap, Inc.* |
383 | 12,241 | ||||||
|
RE/MAX Holdings, Inc. (Class A Stock) |
375 | 10,931 | ||||||
|
Realogy Holdings Corp. |
1,423 | 13,191 | ||||||
|
Stratus Properties, Inc.* |
475 | 13,613 | ||||||
|
Tejon Ranch Co.* |
896 | 13,512 | ||||||
|
|
|
|||||||
| 124,330 | ||||||||
|
Road & Rail 0.4% |
||||||||
|
ArcBest Corp. |
493 | 9,766 | ||||||
|
Marten Transport Ltd. |
670 | 13,092 | ||||||
|
US Xpress Enterprises, Inc. (Class A Stock)* |
2,428 | 10,465 | ||||||
|
|
|
|||||||
| 33,323 | ||||||||
|
Semiconductors & Semiconductor Equipment 1.9% |
||||||||
|
Alpha & Omega Semiconductor Ltd.* |
975 | 10,569 | ||||||
|
Axcelis Technologies, Inc.* |
575 | 13,794 | ||||||
|
CEVA, Inc.* |
492 | 13,978 | ||||||
|
Cirrus Logic, Inc.* |
174 | 11,943 | ||||||
|
Diodes, Inc.* |
246 | 10,826 | ||||||
|
FormFactor, Inc.* |
527 | 11,789 | ||||||
|
GSI Technology, Inc.* |
1,533 | 10,210 | ||||||
|
PDF Solutions, Inc.* |
832 | 12,180 | ||||||
|
Photronics, Inc.* |
957 | 11,915 | ||||||
|
Rambus, Inc.* |
966 | 13,505 | ||||||
|
Semtech Corp.* |
265 | 10,465 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 75 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Semiconductors & Semiconductor Equipment (cont’d.) |
||||||||
|
Synaptics, Inc.* |
202 | $ | 13,342 | |||||
|
Veeco Instruments, Inc.* |
878 | 11,756 | ||||||
|
Xperi Corp. |
772 | 13,271 | ||||||
|
|
|
|||||||
| 169,543 | ||||||||
|
Software 1.2% |
||||||||
|
American Software, Inc. (Class A Stock) |
964 | 15,858 | ||||||
|
Avaya Holdings Corp.* |
969 | 12,558 | ||||||
|
Cloudera, Inc.* |
1,273 | 11,330 | ||||||
|
OneSpan, Inc.* |
759 | 12,531 | ||||||
|
QAD, Inc. (Class A Stock) |
268 | 13,146 | ||||||
|
SecureWorks Corp. (Class A Stock)* |
889 | 12,348 | ||||||
|
Telenav, Inc.* |
2,963 | 17,674 | ||||||
|
Verint Systems, Inc.* |
265 | 14,543 | ||||||
|
|
|
|||||||
| 109,988 | ||||||||
|
Specialty Retail 3.1% |
||||||||
|
Aaron’s, Inc. |
239 | 9,400 | ||||||
|
American Eagle Outfitters, Inc. |
1,000 | 12,880 | ||||||
|
Bed Bath & Beyond, Inc.(a) |
901 | 9,740 | ||||||
|
Buckle, Inc. (The) |
572 | 12,944 | ||||||
|
Caleres, Inc. |
666 | 7,679 | ||||||
|
Cato Corp. (The) (Class A Stock) |
895 | 14,472 | ||||||
|
Chico’s FAS, Inc. |
3,420 | 13,714 | ||||||
|
Citi Trends, Inc. |
687 | 13,582 | ||||||
|
Container Store Group, Inc. (The)* |
2,862 | 10,818 | ||||||
|
Designer Brands, Inc. (Class A Stock) |
913 | 12,335 | ||||||
|
Express, Inc.* |
3,470 | 12,839 | ||||||
|
Genesco, Inc.* |
339 | 11,665 | ||||||
|
Group 1 Automotive, Inc. |
149 | 12,699 | ||||||
|
Hibbett Sports, Inc.* |
550 | 10,736 | ||||||
|
Hudson Ltd. (Class A Stock)* |
1,103 | 10,269 | ||||||
|
MarineMax, Inc.* |
812 | 13,747 | ||||||
|
Office Depot, Inc. |
5,737 | 13,482 | ||||||
|
Party City Holdco, Inc.* |
4,768 | 9,488 | ||||||
|
Sally Beauty Holdings, Inc.* |
835 | 10,388 | ||||||
|
Shoe Carnival, Inc.(a) |
393 | 11,755 | ||||||
|
Sleep Number Corp.* |
286 | 12,598 | ||||||
|
Sportsman’s Warehouse Holdings, Inc.* |
2,164 | 12,984 | ||||||
|
Winmark Corp. |
70 | 14,000 | ||||||
|
|
|
|||||||
| 274,214 | ||||||||
See Notes to Financial Statements.
| 76 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Textiles, Apparel & Luxury Goods 1.1% |
||||||||
|
Culp, Inc. |
1,084 | $ | 9,886 | |||||
|
Delta Apparel, Inc.* |
531 | 10,493 | ||||||
|
Fossil Group, Inc.* |
1,726 | 7,922 | ||||||
|
G-III Apparel Group Ltd.(a)* |
518 | 11,583 | ||||||
|
Oxford Industries, Inc. |
197 | 11,897 | ||||||
|
Rocky Brands, Inc. |
498 | 12,126 | ||||||
|
Superior Group of Cos., Inc. |
1,022 | 12,284 | ||||||
|
Vera Bradley, Inc.* |
1,311 | 10,829 | ||||||
|
Wolverine World Wide, Inc. |
459 | 12,067 | ||||||
|
|
|
|||||||
| 99,087 | ||||||||
|
Thrifts & Mortgage Finance 4.1% |
||||||||
|
Axos Financial, Inc.* |
496 | 12,355 | ||||||
|
Bridgewater Bancshares, Inc.* |
1,137 | 14,212 | ||||||
|
ESSA Bancorp, Inc. |
835 | 13,811 | ||||||
|
Essent Group Ltd. |
273 | 11,914 | ||||||
|
First Defiance Financial Corp. |
489 | 11,694 | ||||||
|
Flagstar Bancorp, Inc. |
385 | 12,274 | ||||||
|
FS Bancorp, Inc. |
247 | 11,804 | ||||||
|
Home Bancorp, Inc. |
356 | 11,773 | ||||||
|
HomeStreet, Inc. |
441 | 11,947 | ||||||
|
Kearny Financial Corp. |
1,104 | 12,045 | ||||||
|
Luther Burbank Corp. |
1,188 | 12,391 | ||||||
|
Meta Financial Group, Inc. |
378 | 12,417 | ||||||
|
MMA Capital Holdings, Inc.* |
405 | 12,227 | ||||||
|
Mr Cooper Group, Inc.* |
1,047 | 13,433 | ||||||
|
Ocwen Financial Corp.* |
10,142 | 12,677 | ||||||
|
OP Bancorp |
1,346 | 11,912 | ||||||
|
PDL Community Bancorp* |
935 | 13,137 | ||||||
|
Provident Bancorp, Inc.* |
1,165 | 12,803 | ||||||
|
Provident Financial Holdings, Inc. |
609 | 12,028 | ||||||
|
Prudential Bancorp, Inc. |
720 | 11,830 | ||||||
|
Radian Group, Inc. |
554 | 11,767 | ||||||
|
Riverview Bancorp, Inc. |
1,720 | 11,094 | ||||||
|
Southern Missouri Bancorp, Inc. |
392 | 12,865 | ||||||
|
Sterling Bancorp, Inc. |
1,902 | 13,314 | ||||||
|
Territorial Bancorp, Inc. |
487 | 12,380 | ||||||
|
Timberland Bancorp, Inc. |
514 | 11,950 | ||||||
|
TrustCo Bank Corp. NY |
1,564 | 10,729 | ||||||
|
Walker & Dunlop, Inc. |
215 | 13,943 | ||||||
|
Western New England Bancorp, Inc. |
1,396 | 12,341 | ||||||
|
|
|
|||||||
| 359,067 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 77 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Tobacco 0.3% |
||||||||
|
Universal Corp. |
264 | $ | 13,028 | |||||
|
Vector Group Ltd. |
1,082 | 12,573 | ||||||
|
|
|
|||||||
| 25,601 | ||||||||
|
Trading Companies & Distributors 1.5% |
||||||||
|
BMC Stock Holdings, Inc.* |
491 | 12,044 | ||||||
|
DXP Enterprises, Inc.* |
383 | 10,873 | ||||||
|
Foundation Building Materials, Inc.* |
767 | 11,965 | ||||||
|
Herc Holdings, Inc.* |
325 | 11,921 | ||||||
|
Kaman Corp.(a) |
210 | 11,647 | ||||||
|
MRC Global, Inc.* |
1,150 | 10,005 | ||||||
|
Rush Enterprises, Inc., |
||||||||
|
(Class A Stock) |
322 | 13,498 | ||||||
|
(Class B Stock) |
312 | 13,076 | ||||||
|
Triton International Ltd. (Bermuda) |
375 | 12,889 | ||||||
|
Veritiv Corp.* |
912 | 10,980 | ||||||
|
Willis Lease Finance Corp.* |
245 | 13,892 | ||||||
|
|
|
|||||||
| 132,790 | ||||||||
|
Water Utilities 0.8% |
||||||||
|
Artesian Resources Corp. (Class A Stock) |
366 | 12,565 | ||||||
|
California Water Service Group |
275 | 13,189 | ||||||
|
Consolidated Water Co. Ltd. (Cayman Islands) |
758 | 12,249 | ||||||
|
Middlesex Water Co. |
217 | 12,905 | ||||||
|
SJW Group |
176 | 10,768 | ||||||
|
York Water Co. (The) |
285 | 12,052 | ||||||
|
|
|
|||||||
| 73,728 | ||||||||
|
Wireless Telecommunication Services 0.1% |
||||||||
|
Spok Holdings, Inc. |
1,252 | 12,470 | ||||||
|
|
|
|||||||
|
TOTAL LONG-TERM INVESTMENTS
|
8,819,746 | |||||||
|
|
|
|||||||
|
SHORT-TERM INVESTMENTS 2.7% |
||||||||
|
AFFILIATED MUTUAL FUND 2.1% |
||||||||
|
PGIM Institutional Money Market Fund (cost $192,036; includes
|
192,020 | 192,020 | ||||||
|
|
|
|||||||
See Notes to Financial Statements.
| 78 |
The following abbreviations are used in the semi-annual report:
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $180,735; cash collateral of $191,818 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Institutional Money Market Fund. |
| * |
Non-income producing security. |
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.
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 79 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
The following is a summary of the inputs used as of February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Aerospace & Defense |
$ | 50,217 | $ | — | $ | — | ||||||
|
Airlines |
29,413 | — | — | |||||||||
|
Auto Components |
47,667 | — | — | |||||||||
|
Banks |
1,893,332 | — | — | |||||||||
|
Biotechnology |
173,739 | — | — | |||||||||
|
Building Products |
161,788 | — | — | |||||||||
|
Capital Markets |
154,284 | — | — | |||||||||
|
Chemicals |
141,584 | — | — | |||||||||
|
Commercial Services & Supplies |
216,245 | — | — | |||||||||
|
Communications Equipment |
133,989 | — | — | |||||||||
|
Construction & Engineering |
61,041 | — | — | |||||||||
|
Consumer Finance |
91,438 | — | — | |||||||||
|
Containers & Packaging |
40,216 | — | — | |||||||||
|
Diversified Consumer Services |
53,948 | — | — | |||||||||
|
Diversified Financial Services |
42,580 | — | — | |||||||||
|
Diversified Telecommunication Services |
48,329 | — | — | |||||||||
|
Electric Utilities |
62,013 | — | — | |||||||||
|
Electrical Equipment |
44,789 | — | — | |||||||||
|
Electronic Equipment, Instruments & Components |
158,081 | — | — | |||||||||
|
Energy Equipment & Services |
161,937 | — | — | |||||||||
|
Entertainment |
20,111 | — | — | |||||||||
|
Equity Real Estate Investment Trusts (REITs) |
636,854 | — | — | |||||||||
|
Food & Staples Retailing |
97,481 | — | — | |||||||||
|
Food Products |
89,798 | — | — | |||||||||
|
Gas Utilities |
51,145 | — | — | |||||||||
|
Health Care Equipment & Supplies |
127,404 | — | — | |||||||||
|
Health Care Providers & Services |
125,908 | — | — | |||||||||
|
Health Care Technology |
50,022 | — | — | |||||||||
|
Hotels, Restaurants & Leisure |
95,432 | — | — | |||||||||
|
Household Durables |
205,919 | — | — | |||||||||
|
Household Products |
35,265 | — | — | |||||||||
|
Independent Power & Renewable Electricity Producers |
40,280 | — | — | |||||||||
|
Insurance |
324,081 | — | — | |||||||||
|
Interactive Media & Services |
29,776 | — | — | |||||||||
|
Internet & Direct Marketing Retail |
47,324 | — | — | |||||||||
|
IT Services |
61,047 | — | — | |||||||||
|
Leisure Products |
91,752 | — | — | |||||||||
|
Life Sciences Tools & Services |
15,698 | — | — | |||||||||
See Notes to Financial Statements.
| 80 |
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Machinery |
$ | 337,985 | $ | — | $ | — | ||||||
|
Marine |
30,175 | — | — | |||||||||
|
Media |
121,305 | — | — | |||||||||
|
Metals & Mining |
110,383 | — | — | |||||||||
|
Mortgage Real Estate Investment Trusts (REITs) |
244,443 | — | — | |||||||||
|
Multiline Retail |
8,285 | — | — | |||||||||
|
Multi-Utilities |
50,568 | — | — | |||||||||
|
Oil, Gas & Consumable Fuels |
274,003 | — | — | |||||||||
|
Paper & Forest Products |
97,184 | — | — | |||||||||
|
Personal Products |
40,336 | — | — | |||||||||
|
Pharmaceuticals |
64,417 | — | — | |||||||||
|
Professional Services |
114,594 | — | — | |||||||||
|
Real Estate Management & Development |
124,330 | — | — | |||||||||
|
Road & Rail |
33,323 | — | — | |||||||||
|
Semiconductors & Semiconductor Equipment |
169,543 | — | — | |||||||||
|
Software |
109,988 | — | — | |||||||||
|
Specialty Retail |
274,214 | — | — | |||||||||
|
Textiles, Apparel & Luxury Goods |
99,087 | — | — | |||||||||
|
Thrifts & Mortgage Finance |
359,067 | — | — | |||||||||
|
Tobacco |
25,601 | — | — | |||||||||
|
Trading Companies & Distributors |
132,790 | — | — | |||||||||
|
Water Utilities |
73,728 | — | — | |||||||||
|
Wireless Telecommunication Services |
12,470 | — | — | |||||||||
|
Affiliated Mutual Fund |
192,020 | — | — | |||||||||
|
Time Deposit |
— | 49,520 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 9,011,766 | $ | 49,520 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Banks |
21.3 | % | ||
|
Equity Real Estate Investment Trusts (REITs) |
7.2 | |||
|
Thrifts & Mortgage Finance |
4.1 | |||
|
Machinery |
3.8 | |||
|
Insurance |
3.7 | |||
|
Specialty Retail |
3.1 | |||
|
Oil, Gas & Consumable Fuels |
3.1 | |||
|
Mortgage Real Estate Investment Trusts (REITs) |
2.8 | |||
|
Commercial Services & Supplies |
2.4 | |||
|
Household Durables |
2.3 | % | ||
|
Affiliated Mutual Fund (2.1% represents investments purchased with collateral from securities on loan) |
2.1 | |||
|
Biotechnology |
2.0 | |||
|
Semiconductors & Semiconductor Equipment |
1.9 | |||
|
Energy Equipment & Services |
1.8 | |||
|
Building Products |
1.8 | |||
|
Electronic Equipment, Instruments & Components |
1.8 | |||
|
Capital Markets |
1.7 |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 81 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
|
Industry Classification (cont’d.) |
||||
|
Chemicals |
1.6 | % | ||
|
Communications Equipment |
1.5 | |||
|
Trading Companies & Distributors |
1.5 | |||
|
Health Care Equipment & Supplies |
1.4 | |||
|
Health Care Providers & Services |
1.4 | |||
|
Real Estate Management & Development |
1.4 | |||
|
Media |
1.4 | |||
|
Professional Services |
1.3 | |||
|
Metals & Mining |
1.2 | |||
|
Software |
1.2 | |||
|
Textiles, Apparel & Luxury Goods |
1.1 | |||
|
Food & Staples Retailing |
1.1 | |||
|
Paper & Forest Products |
1.1 | |||
|
Hotels, Restaurants & Leisure |
1.1 | |||
|
Leisure Products |
1.0 | |||
|
Consumer Finance |
1.0 | |||
|
Food Products |
1.0 | |||
|
Water Utilities |
0.8 | |||
|
Pharmaceuticals |
0.7 | |||
|
Electric Utilities |
0.7 | |||
|
IT Services |
0.7 | |||
|
Construction & Engineering |
0.7 | |||
|
Diversified Consumer Services |
0.6 | |||
|
Gas Utilities |
0.6 | |||
|
Multi-Utilities |
0.6 | |||
|
Aerospace & Defense |
0.6 | |||
|
Health Care Technology |
0.6 | % | ||
|
Time Deposit |
0.6 | |||
|
Diversified Telecommunication Services |
0.6 | |||
|
Auto Components |
0.5 | |||
|
Internet & Direct Marketing Retail |
0.5 | |||
|
Electrical Equipment |
0.5 | |||
|
Diversified Financial Services |
0.5 | |||
|
Personal Products |
0.5 | |||
|
Independent Power & Renewable Electricity Producers |
0.5 | |||
|
Containers & Packaging |
0.5 | |||
|
Household Products |
0.4 | |||
|
Road & Rail |
0.4 | |||
|
Marine |
0.3 | |||
|
Interactive Media & Services |
0.3 | |||
|
Airlines |
0.3 | |||
|
Tobacco |
0.3 | |||
|
Entertainment |
0.2 | |||
|
Life Sciences Tools & Services |
0.2 | |||
|
Wireless Telecommunication Services |
0.1 | |||
|
Multiline Retail |
0.1 | |||
|
|
|
|||
| 102.1 | ||||
|
Liabilities in excess of other assets |
(2.1 | ) | ||
|
|
|
|||
| 100.0 | % | |||
|
|
|
|||
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Fund entered into financial instruments/transactions during the period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below:
Financial Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 180,735 | $ | (180,735 | ) | $ | — | |||||
|
|
|
|||||||||||
| (1) |
Collateral amount disclosed by the Fund is limited to the market value of the financial instruments/transactions |
See Notes to Financial Statements.
| 82 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
||||
|
Investments at value, including securities on loan of $180,735: |
||||
|
Unaffiliated investments (cost $10,305,379) |
$ | 8,869,266 | ||
|
Affiliated investments (cost $192,036) |
192,020 | |||
|
Cash |
29 | |||
|
Interest and dividends receivable |
8,731 | |||
|
|
|
|||
|
Total Assets |
9,070,046 | |||
|
|
|
|||
|
Liabilities |
||||
|
Payable to broker for collateral for securities on loan |
191,818 | |||
|
Management fee payable |
2,283 | |||
|
Other liabilities |
98 | |||
|
|
|
|||
|
Total Liabilities |
194,199 | |||
|
|
|
|||
|
Net Assets |
$ | 8,875,847 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 200 | ||
|
Paid-in capital in excess of par |
10,041,884 | |||
|
Total distributable earnings (loss) |
(1,166,237 | ) | ||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 8,875,847 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 44.38 | ||
|
|
|
|||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 83 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
|
Net Investment Income (Loss) |
|
|||
|
Income |
|
|||
|
Interest income |
$ | 472 | ||
|
Unaffiliated dividend income (net of $110 foreign withholding tax) |
80,231 | |||
|
Income from securities lending, net (including affiliated income of $841) |
1,158 | |||
|
|
|
|||
|
Total income |
81,861 | |||
|
|
|
|||
|
Expenses |
||||
|
Management fee |
14,608 | |||
|
|
|
|||
|
Total expenses |
14,608 | |||
|
|
|
|||
|
Net investment income (loss) |
67,253 | |||
|
|
|
|||
|
Realized And Unrealized Gain (Loss) On Investments |
|
|||
|
Net realized gain (loss) on: |
|
|||
|
Investment transactions (including affiliated of $(16)) |
264,687 | |||
|
Net change in unrealized appreciation (depreciation) on: |
||||
|
Investments (including affiliated of $7) |
(583,072 | ) | ||
|
|
|
|||
|
Net gain (loss) on investment transactions |
(318,385 | ) | ||
|
|
|
|||
|
Net Increase (Decrease) In Net Assets Resulting From Operations |
$ | (251,132 | ) | |
|
|
|
|||
See Notes to Financial Statements.
| 84 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Statements of Changes in Net Assets
|
Six Months
February 29, 2020
|
Period
Ended August 31, 2019* |
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 67,253 | $ | 158,001 | ||||
|
Net realized gain (loss) on investments and in-kind redemptions |
264,687 | 161,008 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments |
(583,072 | ) | (853,057 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
(251,132 | ) | (534,048 | ) | ||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(226,466 | ) | (122,512 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
— | 12,488,700 | ||||||
|
Cost of shares reacquired |
— | (2,478,695 | ) | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
— | 10,010,005 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
(477,598 | ) | 9,353,445 | |||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
9,353,445 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 8,875,847 | $ | 9,353,445 | ||||
|
|
|
|
|
|||||
| * |
For the period from November 13, 2018 (commencement of operations) through August 31, 2019. |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 85 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
LONG-TERM INVESTMENTS 99.1% |
||||||||
|
COMMON STOCKS 98.3% |
||||||||
|
Australia 5.3% |
||||||||
|
AGL Energy Ltd. |
5,035 | $ | 62,780 | |||||
|
Aristocrat Leisure Ltd. |
3,458 | 74,587 | ||||||
|
Aurizon Holdings Ltd. |
17,667 | 55,589 | ||||||
|
AusNet Services |
61,301 | 67,689 | ||||||
|
BHP Group Ltd. |
2,759 | 60,391 | ||||||
|
BHP Group PLC |
3,475 | 63,196 | ||||||
|
BlueScope Steel Ltd. |
7,966 | 61,339 | ||||||
|
Boral Ltd. |
22,301 | 65,667 | ||||||
|
CIMIC Group Ltd. |
3,367 | 52,292 | ||||||
|
Cochlear Ltd. |
475 | 64,236 | ||||||
|
Coles Group Ltd. |
7,135 | 66,050 | ||||||
|
Computershare Ltd. |
6,673 | 66,598 | ||||||
|
CSL Ltd. |
409 | 82,448 | ||||||
|
Fortescue Metals Group Ltd. |
12,074 | 79,285 | ||||||
|
Goodman Group |
7,579 | 73,961 | ||||||
|
Mirvac Group |
31,624 | 62,629 | ||||||
|
Origin Energy Ltd. |
13,531 | 61,527 | ||||||
|
QBE Insurance Group Ltd. |
8,825 | 78,130 | ||||||
|
Scentre Group |
28,114 | 63,370 | ||||||
|
Sonic Healthcare Ltd. |
3,659 | 68,649 | ||||||
|
Stockland |
22,269 | 68,329 | ||||||
|
Tabcorp Holdings Ltd. |
23,033 | 56,868 | ||||||
|
Telstra Corp. Ltd. |
31,159 | 69,624 | ||||||
|
Vicinity Centres |
40,032 | 56,330 | ||||||
|
Wesfarmers Ltd. |
2,608 | 69,064 | ||||||
|
Woodside Petroleum Ltd. |
3,051 | 55,493 | ||||||
|
Woolworths Group Ltd. |
2,841 | 71,810 | ||||||
|
|
|
|||||||
| 1,777,931 | ||||||||
|
Austria 0.5% |
||||||||
|
ANDRITZ AG |
1,776 | 62,583 | ||||||
|
OMV AG |
1,370 | 57,245 | ||||||
|
voestalpine AG |
2,803 | 61,206 | ||||||
|
|
|
|||||||
| 181,034 | ||||||||
|
Belgium 0.8% |
||||||||
|
Ageas |
1,287 | 59,502 | ||||||
|
Proximus SADP |
2,307 | 56,947 | ||||||
|
Telenet Group Holding NV |
1,618 | 61,659 | ||||||
|
UCB SA |
951 | 87,726 | ||||||
|
|
|
|||||||
| 265,834 | ||||||||
See Notes to Financial Statements.
| 86 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Denmark 1.1% |
||||||||
|
Carlsberg A/S (Class B Stock) |
517 | $ | 67,789 | |||||
|
Coloplast A/S (Class B Stock) |
640 | 85,543 | ||||||
|
H Lundbeck A/S |
2,141 | 73,693 | ||||||
|
ISS A/S |
3,409 | 60,935 | ||||||
|
Novo Nordisk A/S (Class B Stock) |
1,343 | 78,525 | ||||||
|
|
|
|||||||
| 366,485 | ||||||||
|
Finland 1.5% |
|
|||||||
|
Elisa OYJ |
1,402 | 80,390 | ||||||
|
Fortum OYJ |
2,967 | 63,150 | ||||||
|
Kone OYJ (Class B Stock) |
1,191 | 67,055 | ||||||
|
Metso OYJ |
1,902 | 61,354 | ||||||
|
Neste OYJ |
2,206 | 86,843 | ||||||
|
Orion OYJ (Class B Stock) |
1,737 | 68,936 | ||||||
|
Sampo OYJ (Class A Stock) |
1,879 | 76,501 | ||||||
|
|
|
|||||||
| 504,229 | ||||||||
|
France 8.3% |
|
|||||||
|
Aeroports de Paris |
395 | 58,345 | ||||||
|
Air Liquide SA |
551 | 74,757 | ||||||
|
Alstom SA |
1,785 | 87,670 | ||||||
|
Amundi SA, 144A |
1,006 | 71,799 | ||||||
|
Arkema SA |
728 | 68,361 | ||||||
|
Atos SE |
953 | 70,804 | ||||||
|
AXA SA |
2,840 | 65,698 | ||||||
|
BNP Paribas SA |
1,362 | 65,834 | ||||||
|
Bollore SA |
17,506 | 59,987 | ||||||
|
Bouygues SA |
1,861 | 72,892 | ||||||
|
Bureau Veritas SA |
2,974 | 72,393 | ||||||
|
Capgemini SE |
640 | 70,102 | ||||||
|
Carrefour SA |
4,529 | 78,222 | ||||||
|
Casino Guichard Perrachon SA(a) |
1,567 | 60,875 | ||||||
|
Cie de Saint-Gobain |
1,859 | 64,851 | ||||||
|
Cie Generale des Etablissements Michelin SCA |
636 | 67,571 | ||||||
|
CNP Assurances |
3,587 | 56,032 | ||||||
|
Credit Agricole SA |
5,571 | 66,483 | ||||||
|
Danone SA |
926 | 65,138 | ||||||
|
Eiffage SA |
728 | 77,490 | ||||||
|
Engie SA |
4,919 | 81,618 | ||||||
|
EssilorLuxottica SA |
486 | 66,046 | ||||||
|
Eurazeo SE |
1,115 | 74,593 | ||||||
|
Eutelsat Communications SA |
4,254 | 57,481 | ||||||
|
Hermes International |
99 | 68,853 | ||||||
|
Ipsen SA |
649 | 41,985 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 87 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
France (cont’d.) |
||||||||
|
Klepierre SA |
2,113 | $ | 63,028 | |||||
|
Legrand SA |
982 | 74,823 | ||||||
|
L’Oreal SA |
260 | 69,173 | ||||||
|
Orange SA |
4,564 | 61,418 | ||||||
|
Pernod Ricard SA |
434 | 70,142 | ||||||
|
Peugeot SA |
3,150 | 60,873 | ||||||
|
Sanofi |
765 | 70,881 | ||||||
|
Schneider Electric SE |
833 | 83,223 | ||||||
|
SCOR SE |
1,697 | 60,886 | ||||||
|
Societe Generale SA |
2,435 | 68,789 | ||||||
|
Sodexo SA |
670 | 64,157 | ||||||
|
TOTAL SA |
1,407 | 59,614 | ||||||
|
Veolia Environnement SA |
2,789 | 79,836 | ||||||
|
Vivendi SA |
2,789 | 70,877 | ||||||
|
Wendel SA |
565 | 69,047 | ||||||
|
|
|
|||||||
| 2,792,647 | ||||||||
|
Germany 6.6% |
||||||||
|
adidas AG |
254 | 70,255 | ||||||
|
Allianz SE |
328 | 70,536 | ||||||
|
BASF SE |
1,070 | 62,700 | ||||||
|
Bayerische Motoren Werke AG |
940 | 61,152 | ||||||
|
Brenntag AG |
1,497 | 66,782 | ||||||
|
Continental AG |
560 | 62,823 | ||||||
|
Covestro AG, 144A |
1,566 | 59,626 | ||||||
|
Deutsche Lufthansa AG |
3,902 | 50,356 | ||||||
|
Deutsche Post AG |
2,172 | 65,028 | ||||||
|
Deutsche Telekom AG |
4,560 | 74,282 | ||||||
|
Deutsche Wohnen SE |
1,949 | 78,447 | ||||||
|
E.ON SE |
6,887 | 79,298 | ||||||
|
Evonik Industries AG |
2,574 | 63,680 | ||||||
|
Fraport AG Frankfurt Airport Services Worldwide |
830 | 52,173 | ||||||
|
Fresenius Medical Care AG & Co. KGaA |
1,022 | 78,209 | ||||||
|
Fresenius SE & Co. KGaA |
1,433 | 67,099 | ||||||
|
GEA Group AG |
2,395 | 63,296 | ||||||
|
HeidelbergCement AG |
1,042 | 61,933 | ||||||
|
Henkel AG & Co. KGaA |
785 | 66,598 | ||||||
|
HOCHTIEF AG |
625 | 61,373 | ||||||
|
KION Group AG |
1,140 | 60,660 | ||||||
|
LANXESS AG |
1,111 | 58,025 | ||||||
|
Merck KGaA |
660 | 79,455 | ||||||
|
METRO AG |
4,676 | 54,124 | ||||||
See Notes to Financial Statements.
| 88 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Germany (cont’d.) |
||||||||
|
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
287 | $ | 73,094 | |||||
|
Puma SE |
1,026 | 78,380 | ||||||
|
RWE AG |
2,617 | 90,022 | ||||||
|
SAP SE |
572 | 70,446 | ||||||
|
Siemens AG |
604 | 62,144 | ||||||
|
Symrise AG (Class A Stock) |
814 | 79,204 | ||||||
|
Telefonica Deutschland Holding AG |
27,133 | 70,720 | ||||||
|
Uniper SE |
2,215 | 65,386 | ||||||
|
Vonovia SE |
1,443 | 77,388 | ||||||
|
|
|
|||||||
| 2,234,694 | ||||||||
|
Hong Kong 4.3% |
||||||||
|
CK Asset Holdings Ltd. |
11,119 | 69,467 | ||||||
|
CK Hutchison Holdings Ltd. |
7,897 | 68,738 | ||||||
|
CK Infrastructure Holdings Ltd. |
10,838 | 73,829 | ||||||
|
Henderson Land Development Co. Ltd. |
15,669 | 71,862 | ||||||
|
HKT Trust & HKT Ltd. |
47,600 | 71,202 | ||||||
|
Hongkong Land Holdings Ltd. |
14,102 | 69,241 | ||||||
|
Kerry Properties Ltd. |
23,097 | 65,632 | ||||||
|
Link REIT |
7,345 | 68,032 | ||||||
|
MTR Corp. Ltd. |
13,668 | 76,888 | ||||||
|
Power Assets Holdings Ltd. |
9,800 | 69,776 | ||||||
|
Sino Land Co. Ltd. |
46,814 | 63,660 | ||||||
|
SJM Holdings Ltd. |
70,531 | 79,805 | ||||||
|
Sun Hung Kai Properties Ltd. |
5,409 | 76,885 | ||||||
|
Swire Pacific Ltd. (Class A Stock) |
8,544 | 76,945 | ||||||
|
Swire Properties Ltd. |
25,078 | 74,156 | ||||||
|
Techtronic Industries Co. Ltd. |
10,087 | 81,589 | ||||||
|
WH Group Ltd., 144A |
69,856 | 70,976 | ||||||
|
Wharf Real Estate Investment Co. Ltd.(a) |
13,453 | 61,009 | ||||||
|
Wheelock & Co. Ltd. |
11,788 | 89,752 | ||||||
|
Yue Yuen Industrial Holdings Ltd. |
25,668 | 61,840 | ||||||
|
|
|
|||||||
| 1,441,284 | ||||||||
|
Ireland 1.5% |
||||||||
|
AerCap Holdings NV* |
1,305 | 67,964 | ||||||
|
CRH PLC |
2,180 | 73,330 | ||||||
|
DCC PLC |
918 | 65,112 | ||||||
|
Flutter Entertainment PLC |
697 | 73,852 | ||||||
|
James Hardie Industries PLC |
3,934 | 72,348 | ||||||
|
Kingspan Group PLC |
1,373 | 86,472 | ||||||
|
Smurfit Kappa Group PLC |
2,188 | 72,995 | ||||||
|
|
|
|||||||
| 512,073 | ||||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 89 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Isle of Man 0.2% |
||||||||
|
GVC Holdings PLC |
6,907 | $ | 69,925 | |||||
|
Israel 1.5% |
||||||||
|
Bank Hapoalim BM |
9,317 | 73,252 | ||||||
|
Bank Leumi Le-Israel BM |
10,590 | 69,185 | ||||||
|
Check Point Software Technologies Ltd.(a)* |
618 | 64,148 | ||||||
|
Elbit Systems Ltd. |
480 | 71,962 | ||||||
|
Israel Chemicals Ltd. |
17,036 | 63,508 | ||||||
|
Israel Discount Bank Ltd. (Class A Stock) |
15,532 | 65,424 | ||||||
|
Nice Ltd.* |
515 | 82,851 | ||||||
|
|
|
|||||||
| 490,330 | ||||||||
|
Italy 1.7% |
||||||||
|
Assicurazioni Generali SpA |
3,696 | 66,344 | ||||||
|
Enel SpA |
9,908 | 82,866 | ||||||
|
Intesa Sanpaolo SpA |
30,435 | 73,867 | ||||||
|
Mediobanca Banca di Credito Finanziario SpA |
7,212 | 65,206 | ||||||
|
Recordati SpA |
1,867 | 79,722 | ||||||
|
Snam SpA |
15,200 | 75,024 | ||||||
|
Telecom Italia SpA* |
126,202 | 69,674 | ||||||
|
Terna Rete Elettrica Nazionale SpA |
11,062 | 73,149 | ||||||
|
|
|
|||||||
| 585,852 | ||||||||
|
Japan 39.7% |
||||||||
|
ABC-Mart, Inc. |
1,063 | 60,709 | ||||||
|
Advantest Corp. |
1,494 | 68,079 | ||||||
|
Air Water, Inc. |
4,377 | 57,989 | ||||||
|
Aisin Seiki Co. Ltd. |
2,031 | 65,905 | ||||||
|
Ajinomoto Co., Inc. |
4,544 | 76,337 | ||||||
|
Alfresa Holdings Corp. |
3,410 | 59,942 | ||||||
|
Amada Holdings Co. Ltd. |
6,572 | 61,418 | ||||||
|
ANA Holdings, Inc. |
2,235 | 60,247 | ||||||
|
Asahi Group Holdings Ltd. |
1,580 | 60,792 | ||||||
|
Asahi Kasei Corp. |
7,583 | 63,323 | ||||||
|
Astellas Pharma, Inc. |
4,946 | 77,909 | ||||||
|
Bandai Namco Holdings, Inc. |
1,209 | 60,192 | ||||||
|
Bank of Kyoto Ltd. (The) |
1,870 | 63,715 | ||||||
|
Benesse Holdings, Inc. |
2,778 | 71,652 | ||||||
|
Brother Industries Ltd. |
3,728 | 66,465 | ||||||
|
Calbee, Inc. |
2,329 | 59,661 | ||||||
|
Casio Computer Co. Ltd. |
4,183 | 72,018 | ||||||
|
Central Japan Railway Co. |
339 | 55,882 | ||||||
See Notes to Financial Statements.
| 90 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Japan (cont’d.) |
||||||||
|
Chiba Bank Ltd. (The) |
13,206 | $ | 65,259 | |||||
|
Chubu Electric Power Co., Inc. |
5,516 | 71,980 | ||||||
|
Chugai Pharmaceutical Co. Ltd. |
922 | 100,141 | ||||||
|
Chugoku Electric Power Co., Inc. (The) |
5,721 | 76,167 | ||||||
|
Coca-Cola Bottlers Japan Holdings, Inc. |
3,061 | 70,523 | ||||||
|
Concordia Financial Group Ltd. |
18,462 | 63,674 | ||||||
|
Credit Saison Co. Ltd. |
4,602 | 66,901 | ||||||
|
Dai Nippon Printing Co. Ltd. |
2,772 | 66,691 | ||||||
|
Daicel Corp. |
7,566 | 65,306 | ||||||
|
Daikin Industries Ltd. |
547 | 74,676 | ||||||
|
Daito Trust Construction Co. Ltd. |
607 | 61,764 | ||||||
|
Daiwa House Industry Co. Ltd. |
2,252 | 62,209 | ||||||
|
Daiwa House REIT Investment Corp. (Class A Stock) |
28 | 69,883 | ||||||
|
Daiwa Securities Group, Inc. |
14,772 | 62,890 | ||||||
|
Dentsu Group, Inc. |
2,009 | 52,376 | ||||||
|
East Japan Railway Co. |
744 | 57,383 | ||||||
|
Eisai Co. Ltd. |
1,081 | 79,988 | ||||||
|
Electric Power Development Co. Ltd. |
2,976 | 63,902 | ||||||
|
FamilyMart Co. Ltd. |
3,029 | 67,005 | ||||||
|
Fast Retailing Co. Ltd. |
125 | 61,932 | ||||||
|
Fuji Electric Co. Ltd. |
2,281 | 62,661 | ||||||
|
FUJIFILM Holdings Corp. |
1,604 | 78,475 | ||||||
|
Fujitsu Ltd. |
891 | 92,603 | ||||||
|
Fukuoka Financial Group, Inc. |
4,035 | 61,501 | ||||||
|
Hakuhodo DY Holdings, Inc. |
4,428 | 51,686 | ||||||
|
Hankyu Hanshin Holdings, Inc. |
1,860 | 61,218 | ||||||
|
Hikari Tsushin, Inc. |
333 | 63,259 | ||||||
|
Hirose Electric Co. Ltd. |
610 | 64,812 | ||||||
|
Hisamitsu Pharmaceutical Co., Inc. |
1,591 | 71,319 | ||||||
|
Hitachi High-Tech Corp. |
1,310 | 96,799 | ||||||
|
Hitachi Ltd. |
1,954 | 65,888 | ||||||
|
Honda Motor Co. Ltd. |
2,650 | 68,781 | ||||||
|
Hoshizaki Corp. |
869 | 73,639 | ||||||
|
Hoya Corp. |
885 | 78,843 | ||||||
|
Hulic Co. Ltd. |
7,605 | 85,174 | ||||||
|
Inpex Corp. |
8,141 | 70,413 | ||||||
|
Isetan Mitsukoshi Holdings Ltd. |
8,242 | 54,025 | ||||||
|
Isuzu Motors Ltd. |
6,452 | 60,775 | ||||||
|
ITOCHU Corp. |
3,516 | 80,240 | ||||||
|
Itochu Techno-Solutions Corp. |
2,616 | 72,615 | ||||||
|
Japan Airlines Co. Ltd. |
2,502 | 62,121 | ||||||
|
Japan Post Bank Co. Ltd. |
7,830 | 69,981 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 91 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Japan (cont’d.) |
||||||||
|
Japan Post Holdings Co. Ltd. |
8,070 | $ | 70,382 | |||||
|
Japan Real Estate Investment Corp. |
11 | 75,060 | ||||||
|
Japan Retail Fund Investment Corp. |
36 | 68,455 | ||||||
|
Japan Tobacco, Inc. |
3,113 | 61,879 | ||||||
|
JSR Corp. |
4,179 | 73,615 | ||||||
|
JXTG Holdings, Inc. |
15,503 | 62,380 | ||||||
|
Kajima Corp. |
5,745 | 61,945 | ||||||
|
Kamigumi Co. Ltd. |
3,001 | 57,677 | ||||||
|
Kansai Electric Power Co., Inc. (The) |
6,773 | 73,124 | ||||||
|
Kansai Paint Co. Ltd. |
3,055 | 66,759 | ||||||
|
Kawasaki Heavy Industries Ltd. |
3,335 | 60,603 | ||||||
|
KDDI Corp. |
2,723 | 77,201 | ||||||
|
Keikyu Corp. |
3,659 | 55,567 | ||||||
|
Keio Corp. |
1,173 | 56,442 | ||||||
|
Keisei Electric Railway Co. Ltd. |
1,733 | 55,512 | ||||||
|
Kirin Holdings Co. Ltd. |
3,348 | 64,408 | ||||||
|
Kobayashi Pharmaceutical Co. Ltd. |
918 | 66,812 | ||||||
|
Komatsu Ltd. |
3,279 | 66,349 | ||||||
|
Konami Holdings Corp. |
1,723 | 62,220 | ||||||
|
Kubota Corp. |
4,923 | 69,514 | ||||||
|
Kurita Water Industries Ltd. |
2,643 | 68,489 | ||||||
|
Kyocera Corp. |
1,122 | 70,695 | ||||||
|
Kyowa Kirin Co. Ltd. |
4,052 | 96,548 | ||||||
|
Kyushu Electric Power Co., Inc. |
8,876 | 64,352 | ||||||
|
Kyushu Railway Co. |
2,322 | 69,858 | ||||||
|
Lawson, Inc. |
1,339 | 71,134 | ||||||
|
LIXIL Group Corp. |
4,043 | 60,724 | ||||||
|
Marubeni Corp. |
10,452 | 69,460 | ||||||
|
McDonald’s Holdings Co. Japan Ltd. |
1,503 | 63,124 | ||||||
|
Medipal Holdings Corp. |
3,316 | 60,626 | ||||||
|
MEIJI Holdings Co. Ltd. |
1,117 | 66,693 | ||||||
|
Mitsubishi Chemical Holdings Corp. |
10,003 | 67,357 | ||||||
|
Mitsubishi Corp. |
2,632 | 65,641 | ||||||
|
Mitsubishi Estate Co. Ltd. |
4,101 | 70,112 | ||||||
|
Mitsubishi Gas Chemical Co., Inc. |
5,069 | 76,886 | ||||||
|
Mitsubishi Heavy Industries Ltd. |
1,900 | 60,227 | ||||||
|
Mitsubishi UFJ Financial Group, Inc. |
14,734 | 72,659 | ||||||
|
Mitsubishi UFJ Lease & Finance Co. Ltd. |
12,282 | 70,258 | ||||||
|
Mitsui & Co. Ltd. |
4,362 | 72,127 | ||||||
|
Mitsui Chemicals, Inc. |
3,142 | 68,136 | ||||||
|
Mitsui Fudosan Co. Ltd. |
2,867 | 65,854 | ||||||
|
Mitsui OSK Lines Ltd. |
2,926 | 60,793 | ||||||
See Notes to Financial Statements.
| 92 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Japan (cont’d.) |
||||||||
|
Mizuho Financial Group, Inc. |
48,842 | $ | 66,837 | |||||
|
MS&AD Insurance Group Holdings, Inc. |
2,325 | 75,079 | ||||||
|
Murata Manufacturing Co. Ltd. |
1,346 | 71,393 | ||||||
|
Nagoya Railroad Co. Ltd. |
2,330 | 60,896 | ||||||
|
NH Foods Ltd. |
1,865 | 70,374 | ||||||
|
Nintendo Co. Ltd. |
184 | 61,874 | ||||||
|
Nippon Building Fund, Inc. |
10 | 75,005 | ||||||
|
Nippon Express Co. Ltd. |
1,216 | 58,286 | ||||||
|
Nippon Prologis REIT, Inc. |
27 | 73,270 | ||||||
|
Nippon Telegraph & Telephone Corp. |
3,198 | 74,999 | ||||||
|
Nippon Yusen KK |
4,179 | 59,822 | ||||||
|
Nisshin Seifun Group, Inc. |
3,795 | 64,247 | ||||||
|
Nissin Foods Holdings Co. Ltd. |
1,016 | 80,067 | ||||||
|
Nitori Holdings Co. Ltd. |
480 | 66,597 | ||||||
|
Nitto Denko Corp. |
1,344 | 67,536 | ||||||
|
Nomura Holdings, Inc. |
15,379 | 68,369 | ||||||
|
Nomura Real Estate Holdings, Inc. |
3,503 | 75,607 | ||||||
|
NTT Data Corp. |
5,433 | 65,029 | ||||||
|
NTT DOCOMO, Inc. |
2,935 | 79,661 | ||||||
|
Obayashi Corp. |
6,956 | 70,231 | ||||||
|
Oji Holdings Corp. |
14,477 | 69,123 | ||||||
|
Olympus Corp. |
4,930 | 89,678 | ||||||
|
Ono Pharmaceutical Co. Ltd. |
3,621 | 74,193 | ||||||
|
Oracle Corp. Japan |
808 | 63,226 | ||||||
|
ORIX Corp. |
5,041 | 81,415 | ||||||
|
Otsuka Corp. |
1,804 | 77,188 | ||||||
|
Otsuka Holdings Co. Ltd. |
1,885 | 71,304 | ||||||
|
Pan Pacific International Holdings Corp. |
4,799 | 79,553 | ||||||
|
Park24 Co. Ltd. |
3,320 | 64,732 | ||||||
|
Persol Holdings Co. Ltd. |
4,135 | 54,783 | ||||||
|
Recruit Holdings Co. Ltd. |
1,993 | 69,439 | ||||||
|
Resona Holdings, Inc. |
16,752 | 63,554 | ||||||
|
Ricoh Co. Ltd. |
7,811 | 72,780 | ||||||
|
Rinnai Corp. |
972 | 66,416 | ||||||
|
Ryohin Keikaku Co. Ltd. |
3,407 | 46,686 | ||||||
|
Santen Pharmaceutical Co. Ltd. |
4,064 | 65,259 | ||||||
|
SBI Holdings, Inc. |
3,681 | 74,227 | ||||||
|
Secom Co. Ltd. |
868 | 69,007 | ||||||
|
Sega Sammy Holdings, Inc. |
5,340 | 70,451 | ||||||
|
Seibu Holdings, Inc. |
4,229 | 59,832 | ||||||
|
Sekisui Chemical Co. Ltd. |
4,690 | 69,963 | ||||||
|
Sekisui House Ltd. |
3,523 | 69,147 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 93 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Japan (cont’d.) |
||||||||
|
Seven & i Holdings Co. Ltd. |
1,961 | $ | 67,197 | |||||
|
SG Holdings Co. Ltd. |
3,017 | 59,523 | ||||||
|
Shimamura Co. Ltd. |
875 | 58,490 | ||||||
|
Shimizu Corp. |
8,183 | 74,501 | ||||||
|
Shin-Etsu Chemical Co. Ltd. |
680 | 76,568 | ||||||
|
Shinsei Bank Ltd. |
4,426 | 58,967 | ||||||
|
Shionogi & Co. Ltd. |
1,244 | 67,413 | ||||||
|
Showa Denko KK |
2,690 | 58,159 | ||||||
|
Softbank Corp. |
5,561 | 72,825 | ||||||
|
Sohgo Security Services Co. Ltd. |
1,378 | 64,518 | ||||||
|
Sony Corp. |
1,230 | 75,390 | ||||||
|
Stanley Electric Co. Ltd. |
2,740 | 66,963 | ||||||
|
Subaru Corp. |
2,850 | 69,215 | ||||||
|
Sumitomo Chemical Co. Ltd. |
15,487 | 56,429 | ||||||
|
Sumitomo Corp. |
5,146 | 73,688 | ||||||
|
Sumitomo Dainippon Pharma Co. Ltd. |
3,788 | 54,822 | ||||||
|
Sumitomo Heavy Industries Ltd. |
2,395 | 52,225 | ||||||
|
Sumitomo Metal Mining Co. Ltd. |
2,516 | 62,643 | ||||||
|
Sumitomo Mitsui Financial Group, Inc. |
1,942 | 62,729 | ||||||
|
Sumitomo Mitsui Trust Holdings, Inc. |
2,043 | 70,083 | ||||||
|
Sumitomo Realty & Development Co. Ltd. |
2,165 | 67,684 | ||||||
|
Sumitomo Rubber Industries Ltd. |
5,998 | 62,449 | ||||||
|
Sundrug Co. Ltd. |
2,169 | 67,869 | ||||||
|
Suntory Beverage & Food Ltd. |
1,738 | 66,226 | ||||||
|
Suzuken Co. Ltd. |
1,619 | 53,661 | ||||||
|
Taiheiyo Cement Corp. |
2,520 | 62,217 | ||||||
|
Taisei Corp. |
1,975 | 67,658 | ||||||
|
TDK Corp. |
739 | 71,598 | ||||||
|
Teijin Ltd. |
4,062 | 66,846 | ||||||
|
Tobu Railway Co. Ltd. |
2,288 | 68,305 | ||||||
|
Toho Co. Ltd. |
1,860 | 57,338 | ||||||
|
Tohoku Electric Power Co., Inc. |
7,707 | 67,738 | ||||||
|
Tokyo Electric Power Co. Holdings, Inc.* |
17,024 | 64,712 | ||||||
|
Tokyo Electron Ltd. |
396 | 81,965 | ||||||
|
Tokyo Gas Co. Ltd. |
3,218 | 65,130 | ||||||
|
Tokyu Corp. |
3,737 | 57,375 | ||||||
|
Tokyu Fudosan Holdings Corp. |
11,851 | 74,824 | ||||||
|
Toppan Printing Co. Ltd. |
3,816 | 66,548 | ||||||
|
Toshiba Corp. |
2,178 | 59,064 | ||||||
|
Tosoh Corp. |
4,906 | 67,363 | ||||||
|
Toyo Suisan Kaisha Ltd. |
1,629 | 64,565 | ||||||
|
Toyota Motor Corp. |
1,061 | 70,107 | ||||||
See Notes to Financial Statements.
| 94 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Japan (cont’d.) |
||||||||
|
Toyota Tsusho Corp. |
2,197 | $ | 66,505 | |||||
|
Trend Micro, Inc. |
1,432 | 71,295 | ||||||
|
Tsuruha Holdings, Inc. |
652 | 75,742 | ||||||
|
USS Co. Ltd. |
3,943 | 62,366 | ||||||
|
Welcia Holdings Co. Ltd. |
1,209 | 72,858 | ||||||
|
West Japan Railway Co. |
887 | 62,648 | ||||||
|
Yakult Honsha Co. Ltd. |
1,316 | 60,212 | ||||||
|
Yamada Denki Co. Ltd. |
15,673 | 75,415 | ||||||
|
Yamaha Motor Co. Ltd. |
3,616 | 57,931 | ||||||
|
Yamazaki Baking Co. Ltd. |
4,289 | 72,968 | ||||||
|
Yokogawa Electric Corp. |
4,476 | 72,082 | ||||||
|
Yokohama Rubber Co. Ltd. (The) |
3,613 | 58,854 | ||||||
|
|
|
|||||||
| 13,356,971 | ||||||||
|
Macau 0.2% |
||||||||
|
Wynn Macau Ltd. |
34,525 | 69,537 | ||||||
|
Netherlands 2.6% |
||||||||
|
Aegon NV |
15,269 | 51,766 | ||||||
|
EXOR NV |
1,027 | 72,651 | ||||||
|
Heineken Holding NV |
789 | 69,507 | ||||||
|
Heineken NV |
737 | 73,404 | ||||||
|
ING Groep NV |
6,950 | 66,052 | ||||||
|
Koninklijke Ahold Delhaize NV |
3,030 | 70,847 | ||||||
|
Koninklijke KPN NV |
23,378 | 56,804 | ||||||
|
Koninklijke Philips NV |
1,681 | 71,854 | ||||||
|
NN Group NV |
1,939 | 66,015 | ||||||
|
Randstad NV |
1,422 | 73,326 | ||||||
|
Royal Dutch Shell PLC, |
||||||||
|
(Class A Stock) |
2,590 | 55,171 | ||||||
|
(Class B Stock) |
2,611 | 55,692 | ||||||
|
Wolters Kluwer NV |
1,067 | 78,119 | ||||||
|
|
|
|||||||
| 861,208 | ||||||||
|
New Zealand 0.9% |
||||||||
|
Fisher & Paykel Healthcare Corp. Ltd. |
5,817 | 93,734 | ||||||
|
Fletcher Building Ltd. |
22,888 | 74,249 | ||||||
|
Ryman Healthcare Ltd. |
7,936 | 75,646 | ||||||
|
Spark New Zealand Ltd. |
26,797 | 75,959 | ||||||
|
|
|
|||||||
| 319,588 | ||||||||
|
Norway 1.2% |
||||||||
|
Equinor ASA |
4,093 | 61,448 | ||||||
|
Norsk Hydro ASA |
21,059 | 59,673 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 95 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Norway (cont’d.) |
||||||||
|
Orkla ASA |
7,998 | $ | 67,344 | |||||
|
Schibsted ASA (Class B Stock) |
2,810 | 67,439 | ||||||
|
Telenor ASA |
4,172 | 66,669 | ||||||
|
Yara International ASA |
2,047 | 74,191 | ||||||
|
|
|
|||||||
| 396,764 | ||||||||
|
Portugal 0.7% |
||||||||
|
EDP - Energias de Portugal SA |
18,235 | 84,951 | ||||||
|
Galp Energia SGPS SA |
4,532 | 61,888 | ||||||
|
Jeronimo Martins SGPS SA |
4,234 | 74,342 | ||||||
|
|
|
|||||||
| 221,181 | ||||||||
|
Singapore 2.2% |
||||||||
|
CapitaLand Commercial Trust |
51,843 | 69,228 | ||||||
|
CapitaLand Mall Trust |
41,026 | 66,860 | ||||||
|
City Developments Ltd. |
9,604 | 67,364 | ||||||
|
DBS Group Holdings Ltd. |
3,700 | 64,044 | ||||||
|
Genting Singapore Ltd. |
110,270 | 64,520 | ||||||
|
Oversea-Chinese Banking Corp. Ltd. |
9,370 | 71,306 | ||||||
|
SATS Ltd. |
20,634 | 59,699 | ||||||
|
Suntec Real Estate Investment Trust |
56,942 | 69,496 | ||||||
|
United Overseas Bank Ltd. |
3,600 | 63,269 | ||||||
|
UOL Group Ltd. |
13,041 | 69,002 | ||||||
|
Wilmar International Ltd. |
23,697 | 67,541 | ||||||
|
|
|
|||||||
| 732,329 | ||||||||
|
Spain 2.2% |
||||||||
|
ACS Actividades de Construccion y Servicios SA |
1,981 | 58,719 | ||||||
|
Aena SME SA, 144A |
374 | 59,867 | ||||||
|
Amadeus IT Group SA |
891 | 62,460 | ||||||
|
Enagas SA |
3,038 | 78,479 | ||||||
|
Endesa SA |
2,662 | 68,266 | ||||||
|
Iberdrola SA |
7,753 | 88,328 | ||||||
|
Industria de Diseno Textil SA |
2,539 | 78,847 | ||||||
|
Naturgy Energy Group SA |
2,912 | 67,605 | ||||||
|
Red Electrica Corp. SA |
4,014 | 76,860 | ||||||
|
Repsol SA |
4,618 | 51,643 | ||||||
|
Telefonica SA |
10,272 | 60,781 | ||||||
|
|
|
|||||||
| 751,855 | ||||||||
|
Sweden 4.5% |
||||||||
|
Alfa Laval AB |
3,189 | 71,716 | ||||||
|
Assa Abloy AB (Class B Stock) |
3,071 | 68,679 | ||||||
See Notes to Financial Statements.
| 96 |
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Sweden (cont’d.) |
||||||||
|
Atlas Copco AB, |
||||||||
|
(Class A Stock) |
2,049 | $ | 72,306 | |||||
|
(Class B Stock) |
2,342 | 72,093 | ||||||
|
Boliden AB |
2,820 | 58,223 | ||||||
|
Epiroc AB, |
||||||||
|
(Class A Stock) |
6,701 | 77,091 | ||||||
|
(Class B Stock) |
7,075 | 78,964 | ||||||
|
Hennes & Mauritz AB (Class B Stock) |
4,028 | 72,668 | ||||||
|
Husqvarna AB (Class B Stock) |
8,783 | 58,697 | ||||||
|
ICA Gruppen AB |
1,779 | 66,611 | ||||||
|
Industrivarden AB (Class C Stock) |
3,373 | 75,924 | ||||||
|
Investor AB (Class B Stock) |
1,463 | 72,668 | ||||||
|
Kinnevik AB (Class B Stock) |
3,371 | 68,231 | ||||||
|
Sandvik AB |
4,663 | 76,865 | ||||||
|
Securitas AB (Class B Stock) |
4,703 | 63,820 | ||||||
|
Skanska AB (Class B Stock) |
3,472 | 75,479 | ||||||
|
SKF AB (Class B Stock) |
4,381 | 76,593 | ||||||
|
Swedish Match AB |
1,742 | 101,445 | ||||||
|
Tele2 AB (Class B Stock) |
5,251 | 76,202 | ||||||
|
Telia Co. AB |
17,467 | 68,946 | ||||||
|
Volvo AB (Class B Stock) |
4,972 | 76,991 | ||||||
|
|
|
|||||||
| 1,530,212 | ||||||||
|
Switzerland 4.4% |
||||||||
|
ABB Ltd. |
3,490 | 75,277 | ||||||
|
Adecco Group AG |
1,236 | 65,823 | ||||||
|
Coca-Cola HBC AG |
2,439 | 77,366 | ||||||
|
Dufry AG* |
780 | 56,770 | ||||||
|
Geberit AG |
150 | 74,471 | ||||||
|
Givaudan SA |
26 | 81,008 | ||||||
|
Kuehne + Nagel International AG |
467 | 68,032 | ||||||
|
LafargeHolcim Ltd.* |
1,506 | 69,790 | ||||||
|
Nestle SA |
728 | 74,588 | ||||||
|
Novartis AG |
850 | 71,582 | ||||||
|
Roche Holding AG |
267 | 85,707 | ||||||
|
Sika AG |
441 | 78,345 | ||||||
|
Sonova Holding AG |
349 | 83,126 | ||||||
|
STMicroelectronics NV |
3,161 | 85,181 | ||||||
|
Swatch Group AG (The) |
1,349 | 57,746 | ||||||
|
Swiss Life Holding AG |
144 | 65,463 | ||||||
|
Swiss Prime Site AG* |
713 | 85,726 | ||||||
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 97 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| Description | Shares | Value | ||||||
|
COMMON STOCKS (Continued) |
||||||||
|
Switzerland (cont’d.) |
||||||||
|
Swiss Re AG |
757 | $ | 71,902 | |||||
|
Swisscom AG |
146 | 77,721 | ||||||
|
UBS Group AG* |
6,155 | 67,623 | ||||||
|
|
|
|||||||
| 1,473,247 | ||||||||
|
United Kingdom 6.4% |
||||||||
|
BP PLC |
11,799 | 59,930 | ||||||
|
British American Tobacco PLC |
2,049 | 80,456 | ||||||
|
British Land Co. PLC (The) |
10,485 | 67,351 | ||||||
|
Burberry Group PLC |
2,850 | 60,257 | ||||||
|
Coca-Cola European Partners PLC |
1,502 | 76,542 | ||||||
|
Diageo PLC |
1,899 | 67,334 | ||||||
|
Ferguson PLC |
936 | 80,886 | ||||||
|
GlaxoSmithKline PLC |
3,344 | 66,979 | ||||||
|
HSBC Holdings PLC |
10,198 | 68,502 | ||||||
|
J Sainsbury PLC |
29,482 | 73,994 | ||||||
|
Kingfisher PLC |
26,482 | 64,292 | ||||||
|
Land Securities Group PLC |
6,666 | 71,332 | ||||||
|
Meggitt PLC |
9,292 | 64,572 | ||||||
|
Mondi PLC |
3,546 | 71,016 | ||||||
|
National Grid PLC |
6,509 | 82,020 | ||||||
|
Pearson PLC |
8,876 | 63,457 | ||||||
|
Reckitt Benckiser Group PLC |
940 | 68,951 | ||||||
|
RELX PLC |
2,915 | 69,797 | ||||||
|
Rio Tinto Ltd. |
1,178 | 66,972 | ||||||
|
Rio Tinto PLC |
1,405 | 64,995 | ||||||
|
Sage Group PLC (The) |
8,219 | 71,848 | ||||||
|
Segro PLC |
6,823 | 71,839 | ||||||
|
Smith & Nephew PLC |
3,561 | 79,398 | ||||||
|
Smiths Group PLC |
3,901 | 76,675 | ||||||
|
Standard Chartered PLC |
8,501 | 61,321 | ||||||
|
Tesco PLC |
24,572 | 71,989 | ||||||
|
Unilever NV |
1,247 | 65,548 | ||||||
|
Unilever PLC |
1,279 | 68,383 | ||||||
|
Vodafone Group PLC |
39,828 | 68,612 | ||||||
|
Wm Morrison Supermarkets PLC |
30,376 | 66,696 | ||||||
|
WPP PLC |
6,148 | 59,341 | ||||||
|
|
|
|||||||
| 2,151,285 | ||||||||
|
|
|
|||||||
|
TOTAL COMMON STOCKS
|
33,086,495 | |||||||
|
|
|
|||||||
See Notes to Financial Statements.
| 98 |
The following abbreviations are used in the semi-annual report:
144A—Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers.
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 99 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
| # |
Principal or notional amount is shown in U.S. dollars unless otherwise stated. |
| (a) |
All or a portion of security is on loan. The aggregate market value of such securities, including those sold and pending settlement, is $110,721; cash collateral of $121,192 (included in liabilities) was received with which the Fund purchased highly liquid short-term investments. |
| (b) |
Represents security purchased with cash collateral received for securities on loan and includes dividend reinvestment. |
| (w) |
PGIM Investments LLC, the manager of the Fund, also serves as manager of the PGIM Institutional Money Market Fund. |
| * |
Non-income producing security. |
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 February 29, 2020 in valuing such portfolio securities:
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities |
||||||||||||
|
Assets |
||||||||||||
|
Common Stocks |
||||||||||||
|
Australia |
$ | 1,777,931 | $ | — | $ | — | ||||||
|
Austria |
181,034 | — | — | |||||||||
|
Belgium |
265,834 | — | — | |||||||||
|
Denmark |
366,485 | — | — | |||||||||
|
Finland |
504,229 | — | — | |||||||||
|
France |
2,792,647 | — | — | |||||||||
|
Germany |
2,234,694 | — | — | |||||||||
|
Hong Kong |
1,441,284 | — | — | |||||||||
|
Ireland |
512,073 | — | — | |||||||||
|
Isle of Man |
69,925 | — | — | |||||||||
|
Israel |
490,330 | — | — | |||||||||
|
Italy |
585,852 | — | — | |||||||||
|
Japan |
13,356,971 | — | — | |||||||||
|
Macau |
69,537 | — | — | |||||||||
|
Netherlands |
861,208 | — | — | |||||||||
|
New Zealand |
319,588 | — | — | |||||||||
|
Norway |
396,764 | — | — | |||||||||
|
Portugal |
221,181 | — | — | |||||||||
See Notes to Financial Statements.
| 100 |
| Level 1 | Level 2 | Level 3 | ||||||||||
|
Investments in Securities (continued) |
||||||||||||
|
Assets (continued) |
||||||||||||
|
Common Stocks (continued) |
||||||||||||
|
Singapore |
$ | 732,329 | $ | — | $ | — | ||||||
|
Spain |
751,855 | — | — | |||||||||
|
Sweden |
1,530,212 | — | — | |||||||||
|
Switzerland |
1,473,247 | — | — | |||||||||
|
United Kingdom |
2,151,285 | — | — | |||||||||
|
Preferred Stocks |
||||||||||||
|
Germany |
203,094 | — | — | |||||||||
|
Italy |
74,016 | — | — | |||||||||
|
Right |
871 | — | — | |||||||||
|
Affiliated Mutual Fund |
121,284 | — | — | |||||||||
|
Time Deposit |
— | 219,651 | — | |||||||||
|
|
|
|
|
|
|
|||||||
|
Total |
$ | 33,485,760 | $ | 219,651 | $ | — | ||||||
|
|
|
|
|
|
|
|||||||
Industry Classification:
The industry classification of investments and liabilities in excess of other assets shown as a percentage of net assets as of February 29, 2020 were as follows:
|
Chemicals |
5.0 | % | ||
|
Banks |
4.9 | |||
|
Real Estate Management & Development |
4.9 | |||
|
Machinery |
4.7 | |||
|
Pharmaceuticals |
4.6 | |||
|
Equity Real Estate Investment Trusts (REITs) |
3.7 | |||
|
Food & Staples Retailing |
3.5 | |||
|
Electric Utilities |
3.5 | |||
|
Diversified Telecommunication Services |
3.3 | |||
|
Insurance |
3.0 | |||
|
Food Products |
2.9 | |||
|
Road & Rail |
2.7 | |||
|
Oil, Gas & Consumable Fuels |
2.4 | |||
|
Beverages |
2.3 | |||
|
Specialty Retail |
2.1 | |||
|
Construction & Engineering |
2.0 | |||
|
Health Care Equipment & Supplies |
1.9 | |||
|
Trading Companies & Distributors |
1.9 | |||
|
Metals & Mining |
1.9 | |||
|
Hotels, Restaurants & Leisure |
1.8 | |||
|
Diversified Financial Services |
1.7 | |||
|
Automobiles |
1.7 | |||
|
IT Services |
1.7 | |||
|
Electronic Equipment, Instruments & Components |
1.5 | |||
|
Professional Services |
1.4 | % | ||
|
Construction Materials |
1.4 | |||
|
Multi-Utilities |
1.4 | |||
|
Health Care Providers & Services |
1.4 | |||
|
Textiles, Apparel & Luxury Goods |
1.4 | |||
|
Commercial Services & Supplies |
1.4 | |||
|
Building Products |
1.3 | |||
|
Software |
1.3 | |||
|
Media |
1.2 | |||
|
Household Durables |
1.2 | |||
|
Auto Components |
1.1 | |||
|
Wireless Telecommunication Services |
1.1 | |||
|
Capital Markets |
1.0 | |||
|
Industrial Conglomerates |
1.0 | |||
|
Entertainment |
0.9 | |||
|
Electrical Equipment |
0.9 | |||
|
Transportation Infrastructure |
0.9 | |||
|
Gas Utilities |
0.9 | |||
|
Personal Products |
0.8 | |||
|
Multiline Retail |
0.7 | |||
|
Tobacco |
0.7 | |||
|
Semiconductors & Semiconductor Equipment |
0.7 | |||
|
Time Deposit |
0.6 | |||
|
Technology Hardware, Storage & Peripherals |
0.7 |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 101 |
PGIM QMA Strategic Alpha International Equity ETF
Schedule of Investments (unaudited) (continued)
as of February 29, 2020
|
Industry Classification (cont’d.) |
||||
|
Household Products |
0.6 | % | ||
|
Marine |
0.6 | |||
|
Airlines |
0.5 | |||
|
Paper & Forest Products |
0.4 | |||
|
Aerospace & Defense |
0.4 | |||
|
Leisure Products |
0.4 | |||
|
Independent Power & Renewable Electricity Producers |
0.4 | |||
|
Air Freight & Logistics |
0.4 | |||
|
Affiliated Mutual Fund (0.4% represents investments purchased with collateral from securities on loan) |
0.4 | |||
|
Biotechnology |
0.2 | % | ||
|
Containers & Packaging |
0.2 | |||
|
Diversified Consumer Services |
0.2 | |||
|
Consumer Finance |
0.2 | |||
|
|
|
|||
| 100.1 | ||||
|
Liabilities in excess of other assets |
(0.1 | ) | ||
|
|
|
|||
| 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 equity 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.
Fair values of derivative instruments as of February 29, 2020 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 |
||||||||
| Equity contracts | Unaffiliated investments | $ | 871 | — | $ | — | ||||||
|
|
|
|
|
|||||||||
The effects of derivative instruments on the Statement of Operations for the period ended February 29, 2020 are as follows:
|
Amount of Realized Gain (Loss) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging
|
Rights(1) | |||
|
Equity contracts |
$ | (25 | ) | |
|
|
|
|||
| (1) |
Included in net realized gain (loss) on investment transactions in the Statement of Operations. |
See Notes to Financial Statements.
| 102 |
|
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income |
||||
|
Derivatives not accounted for as hedging
|
Rights(2) | |||
|
Equity contracts |
$ | (120 | ) | |
|
|
|
|||
| (2) |
Included in net change in unrealized appreciation (depreciation) on investments in the Statement of Operations. |
Financial Instruments/Transactions—Summary of Offsetting and Netting Arrangements:
The Fund entered into financial instruments/transactions during the period that are either offset in accordance with current requirements or are subject to enforceable master netting arrangements or similar agreements that permit offsetting. The information about offsetting and related netting arrangements for financial instruments/transactions, where the legal right to set-off exists, is presented in the summary below:
Offsetting of financial instrument/transaction assets and liabilities:
|
Description |
Gross Market
Value of Recognized Assets/(Liabilities) |
Collateral
Pledged/(Received)(1) |
Net Amount | |||||||||
|
Securities on Loan |
$ | 110,721 | $ | (110,721 | ) | $ | — | |||||
|
|
|
|||||||||||
| (1) |
Collateral amount disclosed by the Fund is limited to the market value of the financial instruments/transactions |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 103 |
PGIM QMA Strategic Alpha International Equity ETF
Statement of Assets & Liabilities (unaudited)
as of February 29, 2020
|
Assets |
||||
|
Investments at value, including securities on loan of $110,721: |
||||
|
Unaffiliated investments (cost $34,918,346) |
$ | 33,584,127 | ||
|
Affiliated investments (cost $121,291) |
121,284 | |||
|
Cash |
107 | |||
|
Foreign currency, at value (cost $19,882) |
19,901 | |||
|
Interest and dividends receivable |
88,274 | |||
|
|
|
|||
|
Total Assets |
33,813,693 | |||
|
|
|
|||
|
Liabilities |
||||
|
Payable to broker for collateral for securities on loan |
121,192 | |||
|
Management fee payable |
8,471 | |||
|
Other liabilities |
51 | |||
|
|
|
|||
|
Total Liabilities |
129,714 | |||
|
|
|
|||
|
Net Assets |
$ | 33,683,979 | ||
|
|
|
|||
|
Net assets were comprised of: |
||||
|
Common stock, at par |
$ | 700 | ||
|
Paid-in capital in excess of par |
34,905,030 | |||
|
Total distributable earnings (loss) |
(1,221,751 | ) | ||
|
|
|
|||
|
Net assets, February 29, 2020 |
$ | 33,683,979 | ||
|
|
|
|||
|
Net asset value, offering price and redemption price per share,
|
$ | 48.12 | ||
|
|
|
|||
See Notes to Financial Statements.
| 104 |
PGIM QMA Strategic Alpha International Equity ETF
Statement of Operations (unaudited)
Six Months Ended February 29, 2020
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 105 |
PGIM QMA Strategic Alpha International Equity ETF
Statements of Changes in Net Assets
|
Six Months Ended
February 29, 2020
|
Period
Ended
|
|||||||
|
Increase (Decrease) in Net Assets |
|
|||||||
|
Operations |
|
|||||||
|
Net investment income (loss) |
$ | 279,878 | $ | 641,335 | ||||
|
Net realized gain (loss) on investments, foreign currency transactions and in-kind redemptions |
495,202 | 58,426 | ||||||
|
Net change in unrealized appreciation (depreciation) on investments and foreign currencies |
(1,218,290 | ) | (115,389 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets resulting from operations |
(443,210 | ) | 584,372 | |||||
|
|
|
|
|
|||||
|
Dividends and Distributions |
||||||||
|
Distributions from distributable earnings |
(559,783 | ) | (506,210 | ) | ||||
|
|
|
|
|
|||||
|
Fund share transactions (Net of share conversions) |
||||||||
|
Net proceeds from shares sold |
— | 39,788,190 | ||||||
|
Cost of shares reacquired |
— | (5,179,380 | ) | |||||
|
|
|
|
|
|||||
|
Net increase (decrease) in net assets from Fund share transactions |
— | 34,608,810 | ||||||
|
|
|
|
|
|||||
|
Total increase (decrease) |
(1,002,993 | ) | 34,686,972 | |||||
|
Net Assets: |
|
|||||||
|
Beginning of period |
34,686,972 | — | ||||||
|
|
|
|
|
|||||
|
End of period |
$ | 33,683,979 | $ | 34,686,972 | ||||
|
|
|
|
|
|||||
| * |
For the period from December 4, 2018 (commencement of operations) through August 31, 2019. |
See Notes to Financial Statements.
| 106 |
Notes to Financial Statements (unaudited)
PGIM ETF Trust (the “Trust”) is a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended (“1940 Act”), and operated as an exchange-traded fund. The Trust was organized as a Delaware statutory trust on October 23, 2017 and consists of six separate series (each, a “Fund” and collectively, the “Funds”): PGIM Ultra Short Bond ETF, PGIM Active High Yield Bond ETF, PGIM QMA Strategic Alpha Large-Cap Core ETF, PGIM QMA Strategic Alpha Small-Cap Growth ETF, PGIM QMA Strategic Alpha Small-Cap Value ETF and PGIM QMA Strategic Alpha International Equity ETF.
These financial statements relate only to the following Funds: PGIM QMA Strategic Alpha Large-Cap Core ETF, PGIM QMA Strategic Alpha Small-Cap Growth ETF, PGIM QMA Strategic Alpha Small-Cap Value ETF and PGIM QMA Strategic Alpha International Equity ETF, which commenced investment operations on October 17, 2018, November 13, 2018, November 13, 2018 and December 4, 2018, respectively.
The investment objective of each Fund is to seek long-term growth of capital.
1. Accounting Policies
The Funds follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services—Investment Companies. The following accounting policies conform to U.S. generally accepted accounting principles. The Funds consistently follow such policies in the preparation of its financial statements.
Securities Valuation: The Funds hold securities and other assets and liabilities that are fair valued at the close of each day (generally, 4:00 PM Eastern time) the New York Stock Exchange (“NYSE”) is open for trading. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Trust’s Board of Trustees (the “Board”) has adopted valuation procedures for security valuation under which fair valuation responsibilities have been delegated to PGIM Investments LLC (“PGIM Investments” or the “Manager”). Pursuant to the Board’s delegation, the Manager has established a Valuation Committee responsible for supervising the fair valuation of portfolio securities and other assets and liabilities. The valuation procedures permit the Fund to utilize independent pricing vendor services, quotations from market makers, and alternative valuation methods when market quotations are either not readily available or not deemed representative of fair value. A record of the Valuation Committee’s actions is subject to the Board’s review, approval, and ratification at its next regularly scheduled quarterly meeting.
| PGIM QMA Strategic Alpha ETFs | 107 |
Notes to Financial Statements (unaudited) (continued)
For the fiscal reporting period-end, securities and other assets and liabilities were fair valued at the close of the last U.S. business day. Trading in certain foreign securities may occur when the NYSE is closed (including weekends and holidays). Because such foreign securities trade in markets that are open on weekends and U.S. holidays, the values of some of the Funds’ foreign investments may change on days when investors cannot purchase or redeem Funds shares.
Various inputs determine how the Funds’ investments are valued, all of which are categorized according to the three broad levels (Level 1, 2, or 3) detailed in the Schedule of Investments and referred to herein as the “fair value hierarchy” in accordance with FASB ASC Topic 820-Fair Value Measurements and Disclosures.
Common and preferred stocks, exchange-traded funds, and derivative instruments, such as futures or options, that are traded on a national securities exchange are valued at the last sale price as of the close of trading on the applicable exchange where the security principally trades. Securities traded via NASDAQ are valued at the NASDAQ official closing price. To the extent these securities are valued at the last sale price or NASDAQ official closing price, they are classified as Level 1 in the fair value hierarchy. In the event that no sale or official closing price on valuation date exists, these securities are generally valued at the mean between the last reported bid and ask prices, or at the last bid price in the absence of an ask price. These securities are classified as Level 2 in the fair value hierarchy.
Investments in open-end, non-exchange-traded mutual funds are valued at their net asset values as of the close of the NYSE on the date of valuation. These securities are classified as Level 1 in the fair value hierarchy since they may be purchased or sold at their net asset values on the date of valuation.
Securities and other assets that cannot be priced according to the methods described above are valued based on pricing methodologies approved by the Board. In the event that unobservable inputs are used when determining such valuations, the securities will be classified as Level 3 in the fair value hierarchy.
When determining the fair value of securities, some of the factors influencing the valuation include: the nature of any restrictions on disposition of the securities; assessment of the general liquidity of the securities; the issuer’s financial condition and the markets in which it does business; the cost of the investment; the size of the holding and the capitalization of the issuer; the prices of any recent transactions or bids/offers for such securities or any comparable securities; any available analyst media or other reports or information deemed reliable by the Manager regarding the issuer or the markets or industry in which it operates.
| 108 |
Using fair value to price securities may result in a value that is different from a security’s most recent closing price and from the price used by other unaffiliated mutual funds to calculate their net asset values.
Illiquid Securities: Pursuant to Rule 22e-4 under the 1940 Act, the Fund has adopted a Board approved Liquidity Risk Management Program (“LRMP”) that requires, among other things, that the Fund limit its illiquid investments that are assets to no more than 15% of net assets. Illiquid securities are those that, because of the absence of a readily available market or due to legal or contractual restrictions on resale, may not reasonably be expected to be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. The Fund may find it difficult to sell illiquid securities at the time considered most advantageous by its subadviser and may incur transaction costs that would not be incurred in the sale of securities that were freely marketable.
Restricted Securities: Securities acquired in unregistered, private sales from the issuing company or from an affiliate of the issuer are considered restricted as to disposition under federal securities law (“restricted securities”). Such restricted securities are valued pursuant to the valuation procedures noted above. Restricted securities that would otherwise be considered illiquid investments pursuant to the Fund’s LRMP because of legal restrictions on resale to the general public may be traded among qualified institutional buyers under Rule 144A of the Securities Act of 1933. Therefore, these Rule 144A securities, as well as commercial paper that is sold in private placements under Section 4(2) of the Securities Act of 1933, may be classified higher than “illiquid” under the LRMP (i.e. “moderately liquid” or “less liquid” investments). However, the liquidity of the Fund’s investments in restricted securities could be impaired if trading does not develop or declines.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis:
(i) market value of investment securities, other assets and liabilities—at the current rates of exchange;
(ii) purchases and sales of investment securities, income and expenses—at the rates of exchange prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not generally isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities held at the end of the period. Similarly, the Funds do not isolate the effect of changes in foreign exchange rates from the fluctuations arising from changes in the market prices of long-term portfolio securities sold during the period. Accordingly, holding period realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions.
| PGIM QMA Strategic Alpha ETFs | 109 |
Notes to Financial Statements (unaudited) (continued)
Net realized gains (losses) on foreign currency transactions (where applicable) represent net foreign exchange gains (losses) from the disposition of holdings of foreign currencies, currency gains (losses) realized between the trade and settlement dates on forward currency transactions, and the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent amounts actually received or paid. Net unrealized currency gains (losses) from valuing foreign currency denominated assets and liabilities (other than investments) at period end exchange rates are reflected as a component of net unrealized appreciation (depreciation) on foreign currencies (where applicable).
Rights: The Funds hold rights acquired either through a direct purchase or pursuant to corporate actions. Rights entitle the holder to buy a proportionate amount of common stock, or such other security that the issuer may specify, at a specific price and time through the expiration dates. Such rights are held as long positions by the Funds until exercised, sold or expired. Rights are valued at fair value in accordance with the Board approved fair valuation procedures.
Master Netting Arrangements: The Trust, on behalf of the Fund, is subject to various Master Agreements, or netting arrangements, with select counterparties. These are agreements which a subadviser may have negotiated and entered into on behalf of all or a portion of the Fund. A master netting arrangement between the Fund and the counterparty permits the Fund to offset amounts payable by the Fund to the same counterparty against amounts to be received; and by the receipt of collateral from the counterparty by the Fund to cover the Fund’s exposure to the counterparty. However, there is no assurance that such mitigating factors are easily enforceable. In addition to master netting arrangements, the right to set-off exists when all the conditions are met such that each of the parties owes the other determinable amounts, the reporting party has the right to set-off the amount owed with the amount owed by the other party, the reporting party intends to set-off and the right of set-off is enforceable by law. During the reporting period, there was no intention to settle on a net basis and all amounts are presented on a gross basis on the Statement of Assets and Liabilities.
Securities Lending: The Funds lend their portfolio securities to banks and broker-dealers. The loans are secured by collateral at least equal to the market value of the securities loaned. Collateral pledged by each borrower is invested in an affiliated money market fund and is marked to market daily, based on the previous day’s market value, such that the value of the collateral exceeds the value of the loaned securities. In the event of significant appreciation in value of securities on loan on the last business day of the reporting period, the financial statements may reflect a collateral value that is less than the market value of the loaned securities. Such shortfall is remedied as described above. Loans are subject to termination at the option of the borrower or the Fund. Upon termination of the loan, the
| 110 |
borrower will return to the Fund securities identical to the loaned securities. Should the borrower of the securities fail financially, the Fund has the right to repurchase the securities in the open market using the collateral.
The Funds recognize income, net of any rebate and securities lending agent fees, for lending its securities in the form of fees or interest on the investment of any cash received as collateral. The borrower receives all interest and dividends from the securities loaned and such payments are passed back to the lender in amounts equivalent thereto. The Funds also continue to recognize any unrealized gain (loss) in the market price of the securities loaned and on the change in the value of the collateral invested that may occur during the term of the loan. In addition, realized gain (loss) is recognized on changes in the value of the collateral invested upon liquidation of the collateral. Net earnings from securities lending are disclosed in the Statement of Operations.
Securities Transactions and Net Investment Income: Securities transactions are recorded on the trade date. Realized gains (losses) from investment and currency transactions are calculated on the specific identification method. Dividend income is recorded on the ex-date, or for certain foreign securities, when a Fund becomes aware of such dividends. Interest income, including amortization of premium and accretion of discount on debt securities, as required, is recorded on the accrual basis. Expenses are recorded on an accrual basis, which may require the use of certain estimates by management that may differ from actual.
Taxes: It is the Funds’ policy to continue to meet the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable net investment income and capital gains, if any, to its shareholders. Therefore, no federal income tax provision is required. Withholding taxes on foreign dividends, interest and capital gains, if any, are recorded, net of reclaimable amounts, at the time the related income is earned.
Tax reform legislation commonly referred to as the Tax Cuts and Jobs Act permits a direct REIT shareholder to claim a 20% “qualified business income” deduction for ordinary REIT dividends. On January 18, 2019, the Internal Revenue Service issued final regulations that expressly permit RICs to pass through this “qualified business income” to their shareholders.
Dividends and Distributions: The Funds expect to pay dividends from net investment income quarterly. Distributions of net realized capital and currency gains, if any, are declared and paid at least annually. Dividends and distributions to shareholders, which are determined in accordance with federal income tax regulations and which may differ from generally accepted accounting principles, are recorded on the ex-date. Permanent book/tax differences relating to income and gain (loss) are reclassified amongst total distributable earnings (loss) and paid-in capital in excess of par, as appropriate.
Estimates: The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.
| PGIM QMA Strategic Alpha ETFs | 111 |
Notes to Financial Statements (unaudited) (continued)
2. Agreements
Pursuant to a management agreement with the Trust on behalf of the Funds (the Management Agreement), PGIM Investments, subject to the supervision of the Board and in conformity with the stated policies of the Funds, manages both the investment operations of each Fund and the composition of each Fund’s portfolio, including the purchase, retention and disposition of assets. In connection therewith, the Manager is obligated to keep certain books and records of the Funds. The Manager is authorized to enter into subadvisory agreements for investment advisory services in connection with the management of the Funds. The Manager will continue to have responsibility for all investment advisory services performed pursuant to any such subadvisory agreements. PGIM Investments will review the performance of the investment subadviser(s) and make recommendations to the Board with respect to the retention of investment subadvisers and the renewal of contracts. The Manager also administers the Funds’ business affairs and, in connection therewith, furnishes the Funds’ with office facilities, together with those ordinary clerical and bookkeeping services which are not being furnished by the Funds’ custodian (the Custodian). The management services of PGIM Investments to the Funds are not exclusive under the terms of the Management Agreement and PGIM Investments is free to, and does, render management services to others.
The Board of Trustees of the Trust has approved a unitary management fee structure for the Funds. Under the unitary fee structure, the Manager is responsible for paying substantially all the expenses of the Funds, costs of borrowing money (including interest expenses and any loan commitment or other associated fees), taxes, acquired fund fees and expenses, brokerage fees, costs of holding shareholder meetings, litigation, indemnification and extraordinary expenses.
The unitary fee paid to the Manager is accrued daily and payable monthly, at an annual rate of the Fund’s average daily net assets specified below. The Manager has contractually agreed, beginning from the inception of the Funds, to waive any management fees it receives from the Funds in an amount equal to the subadvisory fees paid by the Funds to the PGIM Institutional Money Market Fund due to the Funds’ investment of its excess overnight cash in the PGIM Institutional Money Market Fund. This waiver will remain in effect for as long as the Funds remains invested or intends to invest in the PGIM Institutional Money Market Fund.
|
Fund |
Unitary fee rate | |||
|
PGIM QMA Strategic Alpha Large-Cap Core ETF |
0.17 | % | ||
|
PGIM QMA Strategic Alpha Small-Cap Growth ETF |
0.29 | % | ||
|
PGIM QMA Strategic Alpha Small-Cap Value ETF |
0.29 | % | ||
|
PGIM QMA Strategic Alpha International Equity ETF |
0.29 | % | ||
| 112 |
The Manager has entered into a subadvisory agreement (Subadvisory Agreement) with QMA LLC, (“QMA”) (formerly known as Quantitative Management Associates LLC) (the “subadviser”). The Subadvisory Agreement provides that the subadviser will furnish investment advisory services in connection with the management of the Funds. In connection therewith, the subadviser is obligated to keep certain books and records of each Fund. Under the Subadvisory Agreement, the subadviser, subject to the supervision of PGIM Investments, is responsible for managing the assets of the Funds in accordance with the Funds’ investment objectives, policies and restrictions. The subadviser determines what securities and other instruments are purchased and sold for the Funds and is responsible for obtaining and evaluating financial data relevant to the Funds. PGIM Investments continues to have responsibility for all investment advisory services pursuant to the Management Agreement and supervises the subadviser’s performance of such services. The Manager pays for the services of the subadviser.
Brown Brothers Harriman & Co. (“BBH”) serves as the Custodian, Transfer Agent, Administrative Agent and Securities Lending Agent for the Trust. Pursuant to a Custodian Agreement, BBH maintains certain financial accounting books and records pursuant to an agreement with the Trust. Subcustodians provide custodial services for any non-US assets held outside the United States. Pursuant to an Administrative and Transfer Agency Agreement, BBH maintains certain books and records and provides transfer agency, administrative, legal, tax support and accounting and financial reporting services for the maintenance and operations of the Trust. As the transfer and dividend disbursing agent of the Trust, BBH provides customary transfer agency services to the Trust, including the handling of shareholder communications, the processing of shareholder transactions, the maintenance of shareholder account records, the payment of dividends and distributions, and related functions. For these services, BBH receives compensation from the Manager and is reimbursed for expenses, including custodian and administration fees and certain out-of-pocket expenses including, but not limited to, postage, stationery, printing, allocable communication expenses and other costs. The Manager is responsible for compensating BBH under the Custodian and Administrative and Transfer Agency Agreements. As securities lending agent, BBH is responsible for marketing to approved borrowers available securities from the Funds’ portfolio. As administered by BBH, available securities from the Funds’ portfolio are furnished to borrowers through security-by-security loans effected by BBH as lending agent on behalf of the Funds. BBH is responsible for the administration and management of the Funds’ securities lending program, including the preparation and execution of a participant agreement with each borrower governing the terms and conditions of any securities loan, ensuring that securities loans are properly coordinated and documented with the Funds’ custodian, ensuring that loaned securities are daily valued and that the corresponding required cash collateral is delivered by the borrower(s), and arranging for the investment of cash collateral received from borrowers in accordance with the Funds’ investment guidelines. BBH receives as compensation for its services a portion of the amount earned by the Funds for lending securities.
| PGIM QMA Strategic Alpha ETFs | 113 |
Notes to Financial Statements (unaudited) (continued)
3. Other Transactions with Affiliates
Each Fund may invest its overnight sweep cash in the PGIM Core Ultra Short Bond Fund (the “Core Fund”), and its securities lending cash collateral in the PGIM Institutional Money Market Fund (the “Money Market Fund”), each a series of Prudential Investment Portfolios 2, registered under the 1940 Act and managed by PGIM Investments. Through each Fund’s investments in the mentioned underlying fund, PGIM Investments and/or its affiliates are paid fees or compensated for providing their services. Earnings from the Core Fund and Money Market Fund are disclosed on the Statement of Operations as “Affiliated dividend income” and “Income from securities lending, net”, respectively.
The Funds may enter into certain securities purchase or sale transactions under Board approved Rule 17a-7 procedures. Rule 17a-7 is an exemptive rule under the 1940 Act, that subject to certain conditions, permits purchase and sale transactions among affiliated investment companies, or between an investment company and a person that is affiliated solely by reason of having a common (or affiliated) investment adviser, common directors, and/or common officers. Pursuant to the Rule 17a-7 procedures and consistent with guidance issued by the Securities and Exchange Commission (“SEC”), the Funds’ Chief Compliance Officer (“CCO”) prepares a quarterly summary of all such transactions for submission to the Board, together with the CCO’s written representation that all such 17a-7 transactions were effected in accordance with the Funds’ Rule 17a-7 procedures. For the period ended February 29, 2020, no 17a-7 transactions were entered into by the Funds.
Prudential Investment Management Services LLC (“PIMS” or the “Distributor”), acts as the distributor of each Fund. The Distributor is a subsidiary of Prudential Financial, Inc. (“Prudential”), pursuant to the terms of a distribution agreement (“Distribution Agreement”) between the Trust and the Distributor. Shares are continuously offered for sale by the Distributor only. Although the Distributor does not receive any fees under the Distribution Agreement, the Manager or its affiliates may pay the Distributor for certain distribution related services.
4. Portfolio Securities
The aggregate cost of purchases and proceeds from sales of portfolio securities (excluding short-term investments, U.S. Government securities and in-kind transactions) for the reporting period ended February 29, 2020, were as follows:
|
Fund |
Cost of
Purchases |
Proceeds
from Sales |
||||||
|
PGIM QMA Strategic Alpha Large-Cap Core ETF |
$ | 2,874,638 | $ | 2,897,391 | ||||
|
PGIM QMA Strategic Alpha Small-Cap Growth ETF |
$ | 5,362,334 | $ | 5,291,926 | ||||
|
PGIM QMA Strategic Alpha Small-Cap Value ETF |
$ | 4,998,908 | $ | 5,029,370 | ||||
|
PGIM QMA Strategic Alpha International Equity ETF |
$ | 9,325,273 | $ | 9,446,071 | ||||
| 114 |
A summary of the cost of purchases and proceeds from sales of shares of affiliated investments for the reporting period ended February 29, 2020, is presented as follows:
PGIM QMA Strategic Alpha Large-Cap Core ETF
|
Value Beginning of Period |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Period |
Shares,
End of Period |
Income | |||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
|
|||||||||||||||||||||||||||
|
$5 |
$ | 721,192 | $ | 721,196 | $ | — | $ | (1 | ) | $ | — | — | $ | 22 | ** | |||||||||||||
PGIM QMA Strategic Alpha Small-Cap Growth ETF
|
Value Beginning of Period |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Period |
Shares,
End of Period |
Income | |||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
|
|||||||||||||||||||||||||||
|
$65,913 |
$ | 837,565 | $ | 697,865 | $ | (3 | ) | $ | (7 | ) | $ | 205,603 | 205,603 | $ | 680 | ** | ||||||||||||
PGIM QMA Strategic Alpha Small-Cap Value ETF
|
Value Beginning of Period |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Period |
Shares,
End of Period |
Income | |||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
|
|||||||||||||||||||||||||||
|
$229,888 |
$ | 827,644 | $ | 865,503 | $ | 7 | $ | (16 | ) | $ | 192,020 | 192,020 | $ | 841 | ** | |||||||||||||
PGIM QMA Strategic Alpha International Equity ETF
|
Value Beginning of Period |
Cost of
Purchases |
Proceeds
from Sales |
Change in
Unrealized Gain (Loss) |
Realized
Gain (Loss) |
Value,
End of Period |
Shares,
End of Period |
Income | |||||||||||||||||||||
|
PGIM Institutional Money Market Fund* |
|
|||||||||||||||||||||||||||
|
$61,052 |
$ | 1,228,005 | $ | 1,167,783 | $ | (1 | ) | $ | 11 | $ | 121,284 | 121,284 | $ | 298 | ** | |||||||||||||
| * |
The Fund did not have any capital gain distributions during the reporting period. |
| ** |
Represents the affiliated amount of securities lending income shown on the Statement of Operations. |
5. Tax Information
The United States federal income tax basis of the Funds’ investments and the net unrealized depreciation as of February 29, 2020 were as follows:
PGIM QMA Strategic Alpha Large-Cap Core ETF
|
Tax Basis |
$ | 10,434,140 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
553,147 | |||
|
Gross Unrealized Depreciation |
(933,454 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (380,307 | ) | |
|
|
|
| PGIM QMA Strategic Alpha ETFs | 115 |
Notes to Financial Statements (unaudited) (continued)
PGIM QMA Strategic Alpha Small-Cap Growth ETF
|
Tax Basis |
$ | 10,606,896 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
558,442 | |||
|
Gross Unrealized Depreciation |
(1,424,788 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (866,346 | ) | |
|
|
|
PGIM QMA Strategic Alpha Small-Cap Value ETF
|
Tax Basis |
$ | 10,497,418 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
298,947 | |||
|
Gross Unrealized Depreciation |
(1,735,079 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (1,436,132 | ) | |
|
|
|
PGIM QMA Strategic Alpha International Equity ETF
|
Tax Basis |
$ | 35,148,408 | ||
|
|
|
|||
|
Gross Unrealized Appreciation |
2,153,784 | |||
|
Gross Unrealized Depreciation |
(3,596,781 | ) | ||
|
|
|
|||
|
Net Unrealized Depreciation |
$ | (1,442,997 | ) | |
|
|
|
The book basis may differ from tax basis due to certain tax-related adjustments.
For federal income tax purposes, the following Funds had a capital loss carryforward as of August 31, 2019 which can be carried forward for an unlimited period. No capital gains distributions are expected to be paid to shareholders until net gains have been realized in excess of such losses.
|
Capital Loss
Carryforward |
||||
|
PGIM QMA Strategic Alpha Large-Cap Core ETF |
$ | 92,415 | ||
|
PGIM QMA Strategic Alpha Small-Cap Growth ETF |
91,477 | |||
|
PGIM QMA Strategic Alpha International Equity ETF |
250,062 | |||
The Manager has analyzed the Funds’ tax positions taken and has concluded that no provision for income tax is required in the Fund’s financial statements for the current reporting period. Since tax authorities can examine previously filed tax returns, the Fund’s U.S. federal and state tax returns for the most recent fiscal year ended August 31, 2019 are subject to such review.
| 116 |
6. Capital and Ownership
Each Fund is an exchange-traded fund, commonly known as an “ETF”. Individual shares of the Funds may only be purchased and sold in secondary market transactions through brokers or other financial intermediaries. Shares of the Funds are listed for trading on the NYSE Arca, Inc. (the “Exchange”), and because the shares of the Funds trade at market prices rather than NAV, shares of the Funds may trade at a price greater than NAV (a premium) or less than NAV (a discount). Each Fund will issue and redeem its shares at NAV only in a large specified number of shares called a “Creation Unit” or multiples thereof to investors who have entered into an agreement with the Distributor and are authorized to transact with the Trust in Creation Units (“Authorized Participants”). A Creation Unit of PGIM QMA Strategic Alpha Large-Cap Core ETF, PGIM QMA Strategic Alpha Small-Cap Growth ETF, PGIM QMA Strategic Alpha Small-Cap Value ETF and PGIM QMA Strategic Alpha International Equity ETF consists of 50,000 shares, 50,000 shares, 50,000 shares and 100,000 shares of the Fund, respectively. The Funds generally issue and redeem Creation Units in return for a specified amount of cash and/or designated portfolio of securities. Except when aggregated in Creation Units, shares are not individually redeemable. Fixed transaction fees are imposed for the transfer and other costs associated with the creation or redemption of Creation Units. Authorized Participants are responsible for paying these fixed transaction fees to BBH.
The Trust is authorized to issue an unlimited number of shares of beneficial interest, $0.001 par value per share.
As of February 29, 2020, Prudential, through its affiliated entities, including affiliated funds (if applicable), owned shares of the Funds as follows:
|
Fund |
Number of
Shares |
Percentage of
Outstanding Shares |
||
| PGIM QMA Strategic Alpha Large-Cap Core ETF | 192,325 | 96% | ||
| PGIM QMA Strategic Alpha Small-Cap Growth ETF | 195,000 | 98% | ||
| PGIM QMA Strategic Alpha Small-Cap Value ETF | 195,025 | 98% | ||
| PGIM QMA Strategic Alpha International Equity ETF | 695,000 | 99% |
At reporting period end, the number of shareholders holding greater than 5% of the Funds are as follows:
| Affiliated | Unaffiliated | |||||||||||||||
|
Fund |
Number of
Shareholders |
Percentage of
Outstanding Shares |
Number of
Shareholders |
Percentage of
Outstanding Shares |
||||||||||||
|
PGIM QMA Strategic Alpha Large-Cap Core ETF |
3 | 96 | % | — | — | % | ||||||||||
|
PGIM QMA Strategic Alpha Small-Cap Growth ETF |
1 | 98 | % | — | — | % | ||||||||||
|
PGIM QMA Strategic Alpha Small-Cap Value ETF |
2 | 98 | % | — | — | % | ||||||||||
|
PGIM QMA Strategic Alpha International Equity ETF |
3 | 99 | % | — | — | % | ||||||||||
| PGIM QMA Strategic Alpha ETFs | 117 |
Notes to Financial Statements (unaudited) (continued)
Transactions in shares of beneficial interest were as follows:
PGIM QMA Strategic Alpha Large-Cap Core ETF
Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
— | $ | — | |||||
|
Shares contributed in-kind (Subscription in-kind) |
— | — | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
— | $ | — | |||||
|
|
|
|
|
|||||
Reporting period ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
200,000 | $ | 10,010,000 | |||||
|
Shares contributed in-kind (Subscription in-kind) |
100,000 | 4,994,125 | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
(100,000 | ) | (5,067,390 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
200,000 | 9,936,735 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
200,000 | $ | 9,936,735 | |||||
|
|
|
|
|
|||||
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
— | $ | — | |||||
|
Shares contributed in-kind (Subscription in-kind) |
— | — | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
— | $ | — | |||||
|
|
|
|
|
|||||
Reporting period ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
200,000 | $ | 10,025,000 | |||||
|
Shares contributed in-kind (Subscription in-kind) |
50,000 | 2,462,720 | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
(50,000 | ) | (2,537,750 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
200,000 | 9,949,970 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
200,000 | $ | 9,949,970 | |||||
|
|
|
|
|
|||||
| 118 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
— | $ | — | |||||
|
Shares contributed in-kind (Subscription in-kind) |
— | — | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
— | $ | — | |||||
|
|
|
|
|
|||||
Reporting period ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
200,000 | $ | 10,025,000 | |||||
|
Shares contributed in-kind (Subscription in-kind) |
50,000 | 2,463,700 | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
(50,000 | ) | (2,478,695 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
200,000 | 10,010,005 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
200,000 | $ | 10,010,005 | |||||
|
|
|
|
|
|||||
PGIM QMA Strategic Alpha International Equity ETF
Reporting period ended February 29, 2020:
| Shares | Amount | |||||||
|
Shares sold |
— | $ | — | |||||
|
Shares contributed in-kind (Subscription in-kind) |
— | — | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
— | — | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
— | $ | — | |||||
|
|
|
|
|
|||||
Reporting period ended August 31, 2019:
| Shares | Amount | |||||||
|
Shares sold |
500,000 | $ | 25,062,500 | |||||
|
Shares contributed in-kind (Subscription in-kind) |
300,000 | 14,725,690 | ||||||
|
Shares redeemed in-kind (Redemption in-kind) |
(100,000 | ) | (5,179,380 | ) | ||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding before conversion |
700,000 | 34,608,810 | ||||||
|
|
|
|
|
|||||
|
Net increase (decrease) in shares outstanding |
700,000 | $ | 34,608,810 | |||||
|
|
|
|
|
|||||
The Fund may make payment for Fund shares redeemed and contributed wholly or in part by distributing portfolio securities to shareholders. For the period ended February 29, 2020, the Funds had no subscriptions in-kind and redemptions in-kind.
| PGIM QMA Strategic Alpha ETFs | 119 |
Notes to Financial Statements (unaudited) (continued)
7. Borrowings
The Trust, on behalf of the Funds, along with other affiliated registered investment companies (the “Funds”), is a party to a Syndicated Credit Agreement (“SCA”) with a group of banks. The purpose of the SCA is to provide an alternative source of temporary funding for capital share redemptions. The table below provides details of the current SCA in effect at the reporting period-end as well as the prior SCA.
Certain affiliated registered investment companies that are parties to the SCA include portfolios that are subject to a predetermined mathematical formula used to manage certain benefit guarantees offered under variable annuity contracts. The formula may result in large scale asset flows into and out of these portfolios. Consequently, these portfolios may be more likely to utilize the SCA for purposes of funding redemptions. It may be possible for those portfolios to fully exhaust the committed amount of the SCA, thereby requiring the Manager to allocate available funding per a Board-approved methodology designed to treat the Funds in the SCA equitably.
The Funds did not utilize the SCA during the reporting period ended February 29, 2020.
8. Risks of Investing in the Fund
The Funds’ risks include, but are not limited to, some or all of the risks discussed below:
Authorized Participant Concentration Risk: Only an Authorized Participant may engage in creation or redemption transactions directly with the Funds. The Funds have a limited number of intermediaries that act as Authorized Participants and none of these Authorized Participants is or will be obligated to engage in creation or redemption transactions. To the extent that these intermediaries exit the business or are unable to or choose not to proceed with creation and/ or redemption orders with respect to the Funds and no other Authorized
| 120 |
Participant creates or redeems, shares of the Funds may trade at a substantial discount or premium to NAV, may trade at larger spreads and possibly face trading halts and/or delisting.
Equity and Equity-Related Securities Risks: The value of a particular security could go down and you could lose money. In addition to an individual security losing value, the value of the equity markets or a sector in which the Series invests could go down. The Series’ holdings can vary significantly from broad market indexes and the performance of the Series can deviate from the performance of these indexes. Different parts of a market can react differently to adverse issuer, market, regulatory, political and economic developments.
ETF Shares Trading Risk: Funds shares are listed for trading on the Exchange and the shares are bought and sold in the secondary market at market prices. The market prices of the shares of the Funds are expected to fluctuate in response to changes in the Funds’ NAVs, the intraday value of the Funds’ holdings and supply and demand for shares of the Funds. We cannot predict whether shares of the Funds will trade above, below or at their NAV. Trading on the Exchange, including trading of Funds shares, may be halted in certain circumstances and shareholders may not be able to sell Funds shares at the time or price desired. During periods of stressed market conditions, the market for the shares of the Funds may become less liquid in response to deteriorating liquidity in the markets for the Funds’ portfolio investments. This adverse effect on the liquidity of the Funds’ shares could lead to differences between the market price of the Funds’ shares and the NAV of those shares. There can be no assurance that the requirements of the Exchange to maintain the listing of shares of the Funds will continue to be met. At times, trading in the securities of ETFs has become volatile and unpredictable and the price of ETFs shares has diverged from market driven fundamentals.
Risks of Investing in Equity and Mortgage Real Estate Investment Trusts (REITs): Real estate securities are subject to similar risks as direct investments in real estate and mortgages, and their value will depend on the value of the underlying properties or the underlying loans or interests. The underlying loans may be subject to the risks of default or of payments that occur earlier or later than expected, and such loans may also include so-called “subprime” mortgages. The value of these securities will rise and fall in response to many factors, Including economic conditions, the demand for rental property and interest rates. In particular, the value of these securities may decline when interest rates rise and will also be affected by the real estate market and by the management of the underlying properties.
In addition, investing in REITs involves certain unique risks in addition to those risks associated with investing in the real estate industry in general. REITs may be affected by changes in the value of the underlying property owned by the REITs, while REITs may be affected by the quality of any credit extended. REITs are dependent upon management skills, may not be diversified geographically or by property/mortgage asset type, and are subject to heavy cash flow dependency, default by borrowers and self-liquidation. Since REITs are relatively smaller in size when compared to the broader market, and smaller
| PGIM QMA Strategic Alpha ETFs | 121 |
Notes to Financial Statements (unaudited) (continued)
companies tend to be more volatile than larger companies, they may be more volatile and/or more illiquid than other types of equity securities. REITs are subject to interest rate risks. REITs may incur significant amounts of leverage. The Fund will indirectly bear a portion of the expenses, including management fees, paid by each REIT in which it invests, in addition to the expenses of the Fund.
Foreign Securities Risk: The Fund’s investments in securities of foreign issuers or issuers with significant exposure to foreign markets involve additional risk. Foreign countries in which the Fund may invest may have markets that are less liquid, less regulated and more volatile than US markets. The value of the Fund’s investments may decline because of factors affecting the particular issuer as well as foreign markets and issuers generally, such as unfavorable government actions, and political or financial instability.
Market and Credit Risk: Securities markets may be volatile and the market prices of the Funds’ securities may decline. Securities fluctuate in price based on changes in an issuer’s financial condition and overall market and economic conditions. If the market prices of the securities owned by the Funds fall, the value of an investment in the Funds will decline. Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Concentration Risk: To the extent that the Funds are concentrated in the securities of companies, a particular market, industry, group of industries, sector or asset class, country, region or group of countries, the Funds may be adversely affected by the performance of those securities, may be subject to increased price volatility and may be more susceptible to adverse economic, market, political or regulatory occurrences affecting that market, industry, group of industries, sector or asset class, country, region or group of countries.
9. Recent Accounting Pronouncements and Reporting Updates
In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the Funds’ policy for the timing of transfers between levels. The amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Manager has evaluated the implications of certain provisions of the ASU and has adopted the aspects related to the removal and modification of certain fair value measurement disclosures under the ASU. The Manager continues to evaluate certain other provisions of the ASU and does not expect a material impact to financial statement disclosures.
| 122 |
In September 2019, the Securities and Exchange Commission adopted a new rule and related form amendments regulating ETFs. The Manager is currently evaluating the rule and form amendments, but does not anticipate any material impact on future financial statement disclosures.
10. Subsequent Events
Subsequent to February 29, 2020 the COVID-19 outbreak was declared a pandemic by the World Health Organization. The situation is dynamic with various cities and countries around the world responding in different ways to address the outbreak.
There are meaningful direct and indirect effects developing particularly with companies in which we invest, which have adversely impacted the valuation of these companies. The Manager will continue to monitor the impact of COVID-19.
| PGIM QMA Strategic Alpha ETFs | 123 |
PGIM QMA Strategic Alpha Large-Cap Core ETF
Financial Highlights
|
Six Months Ended
February 29, 2020
|
October 17,
2018(e)
August 31, 2019 |
|||||||||||
| Per Share Operating Performance(a): | ||||||||||||
| Net Asset Value, Beginning of Period | $51.90 | $50.00 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss) | 0.54 | 0.89 | ||||||||||
| Net realized and unrealized gain (loss) on investments | (1.45 | ) | 1.67 | |||||||||
| Total from investment operations | (0.91 | ) | 2.56 | |||||||||
| Less Dividends and Distributions: | ||||||||||||
|
Dividends from net investment income |
(0.62 | ) | (0.66 | ) | ||||||||
| Net asset value, end of period | $50.37 | $51.90 | ||||||||||
| Total Return(b): | (1.82)% | 5.20% | ||||||||||
| Ratios/Supplemental Data: | ||||||||||||
| Net assets, end of period (000) | $10,075 | $10,380 | ||||||||||
| Average net assets (000) | $10,992 | $11,164 | ||||||||||
| Ratios to average net assets(c): | ||||||||||||
| Expenses after waivers and/or expense reimbursement(d) | 0.17% | 0.17% | ||||||||||
|
Expenses before waivers and/or expense reimbursement(d) |
0.17% | 0.17% | ||||||||||
| Net investment income (loss)(d) | 1.98% | 2.04% | ||||||||||
| Portfolio turnover rate(f)(g) | 30% | 92% | ||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) |
Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. [if any] |
See Notes to Financial Statements.
| 124 |
PGIM QMA Strategic Alpha Small-Cap Growth ETF
Financial Highlights
|
Six Months Ended
February 29, 2020
|
November 13,
2018(e)
August 31, 2019 |
|||||||||||
| Per Share Operating Performance(a): | ||||||||||||
| Net Asset Value, Beginning of Period | $47.97 | $50.00 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss) | 0.17 | 0.39 | ||||||||||
| Net realized and unrealized gain (loss) on investments | (0.20 | ) | (2.13 | ) | ||||||||
| Total from investment operations | (0.03 | ) | (1.74 | ) | ||||||||
| Less Dividends and Distributions: | ||||||||||||
| Dividends from net investment income | (0.24 | ) | (0.29 | ) | ||||||||
| Net asset value, end of period | $47.70 | $47.97 | ||||||||||
| Total Return(b): | (0.07)% | (3.50)% | ||||||||||
| Ratios/Supplemental Data: | ||||||||||||
| Net assets, end of period (000) | $9,540 | $9,593 | ||||||||||
| Average net assets (000) | $10,351 | $10,819 | ||||||||||
| Ratios to average net assets(c): | ||||||||||||
| Expenses after waivers and/or expense reimbursement(d) | 0.29% | 0.29% | ||||||||||
|
Expenses before waivers and/or expense reimbursement(d) |
0.29% | 0.29% | ||||||||||
| Net investment income (loss)(d) | 0.67% | 0.98% | ||||||||||
| Portfolio turnover rate(f)(g) | 54% | 78% | ||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) |
Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. [if any] |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 125 |
PGIM QMA Strategic Alpha Small-Cap Value ETF
Financial Highlights
|
Six Months Ended
February 29, 2020
|
November 13,
2018(e)
August 31, 2019 |
|||||||||||
| Per Share Operating Performance(a): | ||||||||||||
| Net Asset Value, Beginning of Period | $46.77 | $50.00 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss) | 0.34 | 0.72 | ||||||||||
| Net realized and unrealized gain (loss) on investments | (1.60 | ) | (3.41 | ) | ||||||||
| Total from investment operations | (1.26 | ) | (2.69 | ) | ||||||||
| Less Dividends and Distributions: | ||||||||||||
|
Dividends from net investment income |
(0.49 | ) | (0.54 | ) | ||||||||
| Distributions from net realized gains | (0.64 | ) | - | |||||||||
| Total Dividends and Distributions | (1.13 | ) | (0.54 | ) | ||||||||
| Net asset value, end of period | $44.38 | $46.77 | ||||||||||
| Total Return(b): | (2.99)% | (5.39)% | ||||||||||
| Ratios/Supplemental Data: | ||||||||||||
| Net assets, end of period (000) | $8,876 | $9,353 | ||||||||||
| Average net assets (000) | $10,130 | $10,627 | ||||||||||
| Ratios to average net assets(c): | ||||||||||||
| Expenses after waivers and/or expense reimbursement(d) | 0.29% | 0.29% | ||||||||||
|
Expenses before waivers and/or expense reimbursement(d) |
0.29% | 0.29% | ||||||||||
| Net investment income (loss)(d) | 1.34% | 1.86% | ||||||||||
| Portfolio turnover rate(f)(g) | 52% | 66% | ||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) |
Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. [if any] |
See Notes to Financial Statements.
| 126 |
PGIM QMA Strategic Alpha International Equity ETF
Financial Highlights
|
Six Months Ended
February 29, 2020
|
December 4,
2018(e)
August 31, 2019 |
|||||||||||
| Per Share Operating Performance(a): | ||||||||||||
| Net Asset Value, Beginning of Period | $49.55 | $50.00 | ||||||||||
| Income (loss) from investment operations: | ||||||||||||
| Net investment income (loss) | 0.40 | 1.16 | ||||||||||
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions |
(1.03 | ) | (0.63 | ) | ||||||||
| Total from investment operations | (0.63 | ) | 0.53 | |||||||||
| Less Dividends and Distributions: | ||||||||||||
|
Dividends from net investment income |
(0.80 | ) | (0.98 | ) | ||||||||
| Net asset value, end of period | $48.12 | $49.55 | ||||||||||
| Total Return(b): | (1.40)% | 1.09% | ||||||||||
| Ratios/Supplemental Data: | ||||||||||||
| Net assets, end of period (000) | $33,684 | $34,687 | ||||||||||
| Average net assets (000) | $36,983 | $27,908 | ||||||||||
| Ratios to average net assets(c): | ||||||||||||
| Expenses after waivers and/or expense reimbursement(d) | 0.29% | 0.29% | ||||||||||
|
Expenses before waivers and/or expense reimbursement(d) |
0.29% | 0.29% | ||||||||||
| Net investment income (loss)(d) | 1.52% | 3.12% | ||||||||||
| Portfolio turnover rate(f)(g) | 31% | 63% | ||||||||||
| (a) |
Calculated based on average shares outstanding during the period. |
| (b) |
Total return is calculated assuming a purchase of a share on the first day and a sale on the last day of the period reported and includes reinvestment of dividends and distributions, if any. Total returns may reflect adjustments to conform to generally accepted accounting principles. Total returns for periods less than one full year are not annualized. |
| (c) |
Does not include expenses of the underlying funds in which the Fund invests. |
| (d) |
Annualized. |
| (e) |
Commencement of operations. |
| (f) |
The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short-term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| (g) |
Portfolio turnover excludes the value of portfolio securities received or delivered as a result of in-kind fund share transactions. [if any] |
See Notes to Financial Statements.
| PGIM QMA Strategic Alpha ETFs | 127 |
| ∎ TELEPHONE | ∎ WEBSITE | |||
|
655 Broad Street Newark, NJ 07102 |
(800) 225-1852 |
pgiminvestments.com |
||
| PROXY VOTING |
| The Board of Trustees of the Funds has delegated to the Funds’ subadviser the responsibility for voting any proxies and maintaining proxy recordkeeping with respect to each Fund. A description of these proxy voting policies and procedures is available without charge, upon request, by calling (800) 225-1852. Information regarding how each Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on the Funds’ website and on the Securities and Exchange Commission’s website. |
| TRUSTEES |
| Ellen S. Alberding • Kevin J. Bannon • Scott E. Benjamin • Linda W. Bynoe • Barry H. Evans • Keith F. Hartstein • Laurie Simon Hodrick • Michael S. Hyland • Stuart S. Parker • Brian K. Reid • Grace C. Torres |
| OFFICERS |
| Stuart S. Parker, President • Scott E. Benjamin, Vice President • Christian J. Kelly, Treasurer and Principal Financial and Accounting Officer • Raymond A. O’Hara, Chief Legal Officer • Dino Capasso, Chief Compliance Officer • Charles H. Smith, Anti-Money Laundering Compliance Officer • Andrew R. French, Secretary • Jonathan D. Shain, Assistant Secretary • Claudia DiGiacomo, Assistant Secretary • Melissa Gonzalez, Assistant Secretary • Diana N. Huffman, Assistant Secretary • Kelly A. Coyne, Assistant Secretary • Lana Lomuti, Assistant Treasurer • Russ Shupak, Assistant Treasurer • Elyse McLaughlin, Assistant Treasurer • Deborah Conway, Assistant Treasurer |
| MANAGER | PGIM Investments LLC |
655 Broad Street Newark, NJ 07102 |
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| SUBADVISER | QMA LLC |
Gateway Center Two 100 Mulberry Street Newark, NJ 07102 |
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| DISTRIBUTOR |
Prudential Investment
Management Services LLC |
655 Broad Street Newark, NJ 07102 |
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| CUSTODIAN/TRANSFER AGENT | Brown Brothers Harriman & Co. |
50 Post Office Square Boston, MA 02110 |
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| INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | KPMG LLP |
345 Park Avenue
New York, NY 10154 |
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| FUND COUNSEL | Willkie Farr & Gallagher LLP |
787 Seventh Avenue
New York, NY 10019 |
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| An investor should consider the investment objectives, risks, charges, and expenses of the Funds carefully before investing. The prospectus and summary prospectus contain this and other information about the Funds. An investor may obtain the prospectus and summary prospectus for each Fund by visiting our website at pgiminvestments.com or by calling (800) 225-1852. The prospectus and summary prospectus for each Fund should be read carefully before investing. |
| E-DELIVERY |
| To receive your fund documents online, go to pgiminvestments.com/edelivery and enroll. Instead of receiving printed documents by mail, you will receive notification via email when new materials are available. You can cancel your enrollment or change your email address at any time by visiting the website address above. |
| SHAREHOLDER COMMUNICATIONS WITH TRUSTEES |
| Shareholders can communicate directly with the Board of Trustees by writing to the Chair of the Board, PGIM QMA Strategic Alpha ETFs, PGIM Investments, Attn: Board of Trustees, 655 Broad Street, Newark, NJ 07102. Shareholders can communicate directly with an individual Trustee by writing to the same address. Communications are not screened before being delivered to the addressee. |
| AVAILABILITY OF PORTFOLIO SCHEDULE |
| Each Fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. Each Fund’s Form N-PORT filings are available on the Commission’s website at sec.gov. |
Funds:
| ARE NOT INSURED BY THE FDIC OR ANY FEDERAL GOVERNMENT AGENCY | MAY LOSE VALUE | ARE NOT A DEPOSIT OF OR GUARANTEED BY ANY BANK OR ANY BANK AFFILIATE |
| Fund | Ticker Symbol | |
| PGIM QMA Strategic Alpha Large-Cap Core ETF | PQLC | |
| PGIM QMA Strategic Alpha Small-Cap Growth ETF | PQSG | |
| PGIM QMA Strategic Alpha Small-Cap Value ETF | PQSV | |
| PGIM QMA Strategic Alpha International Equity ETF | PQIN |
ETF1002E2