N-CSRS

UNITEDSTATES

SECURITIESANDEXCHANGECOMMISSION

Washington,D.C.20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number:	811-23324
Exact name of registrant as specified in charter:	PGIM ETF Trust

 

Address of principal executive offices:	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Name and address of agent for service:	Andrew R. French
	655 Broad Street, 17th Floor
	Newark, New Jersey 07102
Registrant's telephone number, including area code:	800-225-1852
Date of fiscal year end:	8/31/2020
Date of reporting period:	2/29/2020

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

Table of Contents

Letter from the President	3
Your Fund’s Performance	4
Fees and Expenses	6
Holdings and Financial Statements	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.

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Letter from the President

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

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)	1.31	2.84	2.73 (4/5/18)
Market Price**	1.36	2.93	2.76 (4/5/18)
ICE BofAML 3-Month T Bill Index
	0.92	2.18	2.13
ICE BofAML USD 3-Month Deposit Offered Rate CM Index
	1.13	2.51	2.48

*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

Fees and Expenses

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*
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%
Automobile ABS    0.5%
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%
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)
Collateralized Loan Obligations (cont’d.)
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),
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),
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),
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),
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)
Collateralized Loan Obligations (cont’d.)
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)
Collateralized Loan Obligations (cont’d.)
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),
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)
Collateralized Loan Obligations (cont’d.)
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 (cost $197,849,132)									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

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
COMMERCIAL MORTGAGE-BACKED SECURITIES (Continued)
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class A2		3.020	%		07/15/58		313	$	314,813
Series 2015-P2, Class A2B		4.740	(c)		12/15/48		193		197,334
Series 2016-BNK1, Class A1		1.321			08/15/49		83		83,143
Series 2016-C35, Class A1		1.392			07/15/48		333		332,055
Series 2016-C37, Class A1		1.944			12/15/49		728		730,404
Series 2016-NXS6, Class A1		1.417			11/15/49		3,041		3,037,239
Series 2017-C42, Class A1		2.338			12/15/50		1,297		1,312,855
Series 2017-RC1, Class A1		2.012			01/15/60		30		29,931
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (cost $88,216,195)									89,184,264
CORPORATE BONDS    54.3%
Advertising    0.8%
Interpublic Group of Cos., Inc. (The), Sr. Unsec’d. Notes		3.750			10/01/21		8,496		8,748,432
Aerospace & Defense    0.5%
General Dynamics Corp.,
Gtd. Notes		2.875			05/11/20		1,295		1,298,024
Gtd. Notes, 3 Month LIBOR + 0.290%		2.021	(c)		05/11/20		350		350,287
Lockheed Martin Corp., Sr. Unsec’d. Notes		3.350			09/15/21		2,800		2,891,372
Northrop Grumman Corp., Sr. Unsec’d. Notes		2.080			10/15/20		768		769,713
									5,309,396
Agriculture    0.5%
BAT International Finance PLC (United Kingdom), Gtd. Notes, 144A		3.500			06/15/22		5,000		5,207,565
Auto Manufacturers    1.5%
American Honda Finance Corp.,
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.290%		2.181	(c)		12/10/21		750		749,736
Sr. Unsec’d. Notes, MTN, 3 Month LIBOR + 0.470%		2.342	(c)		01/08/21		1,200		1,202,839
BMW US Capital LLC,
Gtd. Notes, 144A, 3 Month LIBOR + 0.370%		2.074	(c)		08/14/20		250		250,381
Gtd. Notes, 144A, 3 Month LIBOR + 0.380%		2.280	(c)		04/06/20		1,251		1,251,754
Gtd. Notes, 144A, 3 Month LIBOR + 0.410%		2.258	(c)		04/12/21		893		895,840
Gtd. Notes, 144A, 3 Month LIBOR + 0.500%		2.207	(c)		08/13/21		1,465		1,470,587
Daimler Finance North America LLC,
Gtd. Notes, 144A		2.200			05/05/20		2,665		2,666,866
Gtd. Notes, 144A, 3 Month LIBOR + 0.390%		2.141	(c)		05/04/20		150		150,136
Gtd. Notes, 144A, 3 Month LIBOR + 0.530%		2.271	(c)		05/05/20		360		360,377
Harley-Davidson Financial Services, Inc., Gtd. Notes, 144A, 3 Month LIBOR + 0.500%		2.196	(c)		05/21/20		350		350,303

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

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE BONDS (Continued)
Trucking & Leasing    0.1%
Aviation Capital Group LLC, Sr. Unsec’d. Notes, 144A, 3 Month LIBOR + 0.950%		2.530	%(c)		06/01/21		1,000	$	1,003,474
TOTAL CORPORATE BONDS (cost $598,283,693)									602,269,393
CERTIFICATES OF DEPOSIT    3.3%
Banks    2.9%
Bank of Nova Scotia (Canada),
3 Month LIBOR + 0.190%		2.078	(c)		03/11/20		500		500,046
3 Month LIBOR + 0.280%		2.208	(c)		09/21/20		500		499,997
BNP Paribas Fortis SA (Belgium), 3 Month LIBOR + 0.200%		2.001	(c)		10/26/20		3,000		2,999,693
BNP Paribas SA (France), 3 Month LIBOR + 0.250%		2.013	(c)		02/01/21		3,000		2,993,519
Credit Agricole Corporate & Investment Bank (France),
3 Month LIBOR + 0.200%		1.895	(c)		08/20/21		3,500		3,492,020
3 Month LIBOR + 0.385%		2.116	(c)		05/11/20		600		600,390
3 Month LIBOR + 0.470%		2.304	(c)		04/10/20		1,000		1,000,477
3 Month LIBOR + 0.480%		2.367	(c)		09/13/21		5,000		4,993,553
3 Month LIBOR + 0.480%		2.380	(c)		09/17/21		920		919,065
Nordea Bank Abp (Finland),
3 Month LIBOR + 0.200%		1.904	(c)		02/14/22		7,000		6,983,319
3 Month LIBOR + 0.300%		2.192	(c)		06/05/20		500		500,217
3 Month LIBOR + 0.400%		2.238	(c)		01/14/21		2,500		2,499,117
Sumitomo Mitsui Banking Corp. (Japan),
3 Month LIBOR + 0.350%		2.198	(c)		07/12/21		1,000		999,464
3 Month LIBOR + 0.355%		2.047	(c)		05/13/21		3,000		2,996,745
3 Month LIBOR + 0.410%		2.309	(c)		06/18/20		250		250,142
									32,227,764
Diversified Financial Services    0.4%
DNB Bank ASA (Norway), 3 Month LIBOR + 0.280%		2.180	(c)		10/08/20		4,000		4,001,198
TOTAL CERTIFICATES OF DEPOSIT (cost $36,264,234)									36,228,962
SOVEREIGN BONDS    0.6%
Indonesia Government International Bond (Indonesia), Sr. Unsec’d. Notes, 144A		4.875			05/05/21		1,750		1,809,276
Lithuania Government International Bond (Lithuania), Sr. Unsec’d. Notes		6.125			03/09/21		2,300		2,402,083

See Notes to Financial Statements.

26

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
SOVEREIGN BONDS (Continued)
Qatar Government International Bond (Qatar), Sr. Unsec’d. Notes, 144A		2.375	%		06/02/21		2,500	$	2,512,910
TOTAL SOVEREIGN BONDS (cost $6,668,609)									6,724,269
TOTAL LONG-TERM INVESTMENTS (cost $927,281,863)									932,372,445
						Shares
SHORT-TERM INVESTMENTS    19.8%
AFFILIATED MUTUAL FUNDS    1.0%
PGIM Core Ultra Short Bond Fund(w)							10,966,758		10,966,758
PGIM Institutional Money Market Fund (cost $441; includes $411 of cash collateral for securities on loan)(b)(w)							441		441
TOTAL AFFILIATED MUTUAL FUNDS (cost $10,967,199)									10,967,199
						Principal Amount (000)#
TIME DEPOSIT    0.5%
JPMorgan Chase (cost $5,060,301)		0.950			03/02/20		5,060		5,060,301
CERTIFICATES OF DEPOSIT    2.2%
Banks    2.2%
Bank of Nova Scotia (Canada), 1 Month LIBOR + 0.180%		1.827	(c)		06/19/20		1,500		1,499,457
Barclays Bank PLC (United Kingdom), 3 Month LIBOR + 0.450%		2.269	(c)		10/21/20		8,000		7,997,358
BNP Paribas SA (France), 1 Month LIBOR + 0.220%		1.847	(c)		06/25/20		2,000		1,998,938
Credit Suisse AG (Switzerland), SOFR + 0.480%		2.060	(c)		10/02/20		5,000		4,996,375
MUFG Bank Ltd. (Japan), 3 Month LIBOR + 0.160%		1.843	(c)		05/22/20		3,500		3,502,184
Natixis SA (France),
1 Month LIBOR + 0.290%		1.958	(c)		06/05/20		1,450		1,450,333
3 Month LIBOR + 0.170%		2.131	(c)		03/27/20		1,750		1,750,302
US Bank NA		1.818	(c)		06/19/20		1,000		1,000,465
TOTAL CERTIFICATES OF DEPOSIT (cost $24,200,158)									24,195,412

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 (cost $168,520,824)									168,557,509

See Notes to Financial Statements.

28

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
CORPORATE NOTES    0.9%
Telecommunications    0.4%
BellSouth LLC, 144A		4.266	(c) %		04/26/20		5,000	$	5,015,870
Pharmaceuticals    0.5%
Bristol-Myers Squibb Co., 144A		2.875	(c)		08/15/20		5,095		5,124,759
TOTAL CORPORATE NOTES (cost $10,121,576)									10,140,629
TOTAL SHORT-TERM INVESTMENTS (cost $218,870,058)									218,921,050
TOTAL INVESTMENTS    103.9% (cost $1,146,151,921)									1,151,293,495
Liabilities in excess of other assets    (3.9)%									(43,268,456	)
NET ASSETS    100.0%								$	1,108,025,039

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 Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	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 instruments, carried at fair value	Futures			Swaps			Total
Interest rate contracts	$	(108	)	$	(154,263	)	$	(154,371	)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures			Swaps			Total
Interest rate contracts	$	(75,039	)	$	(2,182,801	)	$	(2,257,840	)

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, ($1,108,025,039 / 22,125,000 shares of common stock issued and outstanding)	$	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 Ended 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:

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 Core Ultra Short Bond Fund*
$9,860,408	$	627,840,350	$	626,734,000	$	—	$	—	$	10,966,758		10,966,758	$	218,349
PGIM Institutional Money Market Fund*
—		4,756,992		4,756,962		—		411		441		441		1,877**
$9,860,408	$	632,597,342	$	631,490,962	$	—	$	411	$	10,967,199		10,967,199	$	220,226

* 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.

	Current SCA	Prior SCA
Term of Commitment	10/3/2019 - 10/1/2020	10/4/2018 - 10/2/2019
Total Commitment	$1,222,500,000*	$900,000,000
Annualized Commitment Fee on the Unused Portion of the SCA	0.15%	0.15%
Annualized Interest Rate on Borrowings	1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent	1.25% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000.

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 February 29, 2020 (unaudited)			Year Ended August 31, 2019			April 5, 2018(e) through August 31, 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.

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∎ MAIL	∎ 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

Table of Contents

Letter from the President	3
Your Fund’s Performance	4
Fees and Expenses	6
Holdings and Financial Statements	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

Letter from the President

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

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	Average Annual Total Returns as of 2/29/20
	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

Fees and Expenses

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

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
LONG-TERM INVESTMENTS    96.9%
ASSET-BACKED SECURITIES    5.0%
Collateralized Loan Obligations    5.0%
Adams Mill CLO Ltd. (Cayman Islands), Series 2014-1A, Class A1R, 144A, 3 Month LIBOR + 1.100%		2.931	%(c)		07/15/26		174	$	174,368
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		250		249,571
Man GLG US CLO Ltd. (Cayman Islands), Series 2018-2A, Class A1R, 144A, 3 Month LIBOR + 1.240%		3.071	(c)		10/15/28		250		249,674
Ocean Trails CLO VI (Cayman Islands), Series 2016-6A, Class AR, 144A, 3 Month LIBOR + 1.150%		2.981	(c)		07/15/28		250		250,068
Wellfleet CLO Ltd. (Cayman Islands), Series 2015- 1A, Class AR3, 144A, 3 Month LIBOR + 1.280%		3.099	(c)		07/20/29		275		274,539
Zais CLO 8 Ltd. (Cayman Islands), Series 2018-1A, Class A, 144A, 3 Month LIBOR + 0.950%		2.781	(c)		04/15/29		250		247,176
TOTAL ASSET-BACKED SECURITIES (cost $1,447,463)									1,445,396
BANK LOANS    4.8%
Casinos & Gaming    0.2%
Scientific Games International, Inc., Initial Term B-5 Loan, 1 Month LIBOR + 2.750%		4.366	(c)		08/14/24		75		72,493
Diversified/Conglomerate Services    0.1%
West Corp., Initial Term B Loan, 1 Month LIBOR + 4.000%		5.603	(c)		10/10/24		50		39,719
Electric & Gas Marketing    0.3%
Heritage Power LLC, Term Loan, 3 Month LIBOR + 6.000%		7.771	(c)		07/30/26		100		94,638
Healthcare & Pharmaceuticals    0.2%
Mallinckrodt International Finance SA, 2017 Term B Loan (Luxembourg), 3 Month LIBOR + 2.750%		4.695	(c)		09/24/24		50		44,518
Infrastructure Software    1.6%
McAfee LLC,
Initial Loan (Second Lien), 1 Month LIBOR + 8.500%		10.103	(C)		09/29/25		219		219,024
Term B USD Loan, 1 Month LIBOR + 3.750%		5.353	(C)		09/30/24		243		241,770
									460,794

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

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
BANK LOANS (continued)
Oil & Gas    1.0%
Chesapeake Energy Corp., Class A Term Loan, 3 Month LIBOR + 8.000%		9.928	%(c)		05/23/24		200	$	180,500
CITGO Petroleum Corp.,
2019 Incremental Term B Loan, 3 Month LIBOR + 5.000%		6.945	(c)		03/28/24		75		74,624
Term B Loan, 3 Month LIBOR + 4.500%		6.445	(c)		07/29/21		25		24,677
									279,801
Software    0.7%
Informatica LLC, Initial Loan (Second Lien)		—	(p)		02/25/25		25		25,000
Playtika Holding Corp., Term B Loan, 1 Month LIBOR + 6.000%		7.603	(c)		12/10/24		125		124,844
TIBCO Software, Inc., Term Loan (Second Lien)		—	(p)		02/14/28		50		50,937
									200,781
Specialty Chemicals    0.7%
Solenis Holdings LLC,
Initial Term Loan (Second Lien), 3 Month LIBOR + 8.500%		10.113	(c)		06/26/26		100		94,500
Initial Dollar Term Loan (First Lien), 3 Month LIBOR + 4.000%		5.613	(c)		06/26/25		99		96,759
									191,259
TOTAL BANK LOANS (cost $1,411,736)									1,384,003
CORPORATE BONDS    87.1%
Advertising    0.8%
National CineMedia LLC, Sr. Sec’d. Notes, 144A		5.875			04/15/28		50		51,212
Sr. Unsec’d. Notes		5.750			08/15/26		50		49,754
Terrier Media Buyer, Inc., Gtd. Notes, 144A		8.875			12/15/27		120		119,106
									220,072
Aerospace & Defense    2.7%
Bombardier, Inc. (Canada),
Sr. Unsec’d. Notes, 144A		7.500			12/01/24		350		354,659
Sr. Unsec’d. Notes, 144A		7.500			03/15/25		25		24,710
Sr. Unsec’d. Notes, 144A		7.875			04/15/27		175		172,701
Sr. Unsec’d. Notes, 144A		8.750			12/01/21		75		79,878

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), Gtd. Notes, 144A		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 (cost $25,788,300)									25,226,763
TOTAL LONG-TERM INVESTMENTS (cost $28,647,499)							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 (cost $1,050,128; includes $1,048,426 of cash collateral for securities on loan)(b)(w)							1,049,970		1,049,970
TOTAL AFFILIATED MUTUAL FUNDS (cost $1,374,876)									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

Description	Interest Rate			Maturity Date		Principal Amount (000)#		Value
TIME DEPOSIT    0.0%
Brown Brothers Harriman & Co. (cost $639)		0.950	%		03/02/20		1	$	639
TOTAL SHORT-TERM INVESTMENTS (cost $1,375,515)									1,375,357
TOTAL INVESTMENTS    101.6% (cost $30,023,014)									29,431,519
Liabilities in excess of other assets    (1.6)%									(476,764	)
NET ASSETS    100.0%								$	28,954,755

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:

Reference Entity/ Obligation	Termination Date		Fixed Rate		Notional Amount (000)#(3)		Value at Trade Date			Value at February 29, 2020			Unrealized Appreciation (Depreciation)
Centrally Cleared Credit Default Swap Agreement on credit indices—Buy Protection(1):
CDX. NA.HY.33-V2		12/20/24		5.000%(Q)		2,683	$	(206,658	)	$	(164,533	)	$	42,125

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 for as hedging instruments, carried at fair  value	Asset Derivatives			Liability Derivatives
	Statement of Assets and Liabilities Location	Fair Value		Statement of Assets and Liabilities Location	Fair Value
Interest rate contracts	Due from/to broker—variation margin futures*	$	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:

Amount of Realized Gain (Loss) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures			Swaps			Total
Credit contracts	$	—		$	(27,501	)	$	(27,501	)
Interest rate contracts		(22,514	)		—			(22,514	)
Total	$	(22,514	)	$	(27,501	)	$	(50,015	)

Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income
Derivatives not accounted for as hedging instruments, carried at fair value	Futures		Swaps		Total
Credit contracts	$	—	$	47,880	$	47,880
Interest rate contracts		71,350		—		71,350
Total	$	71,350	$	47,880	$	119,230

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, ($28,954,755 / 725,000 shares of common stock issued and outstanding)	$	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 Ended February 29, 2020 (unaudited)			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:

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 Core Ultra Short Bond Fund*
$247,839	$	6,242,909	$	6,166,000	$	—		$	0		$	324,748		324,748	$	4,912
PGIM Institutional Money Market Fund*
$149,077		2,521,184		1,620,055		(138	)		(98	)		1,049,970		1,049,970		1,742	**
$396,916	$	8,764,093	$	7,786,055	$	(138	)	$	(98	)	$	1,374,718		1,374,718	$	6,654

* 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.

	Current SCA	Prior SCA
Term of Commitment	10/3/2019 – 10/1/2020	10/4/2018 – 10/02/2019
Total Commitment	$1,222,500,000*	$900,000,000
Annualized Commitment Fee on the Unused Portion of the SCA	0.15%	0.15%
Annualized Interest Rate on Borrowings	1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent	1.25% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent
* Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000.

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) through August 31, 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

∎ MAIL	∎ 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	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 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

Letter from the President	3
PGIM QMA Strategic Alpha Large-Cap Core ETF	4
PGIM QMA Strategic Alpha Small-Cap Growth ETF	6
PGIM QMA Strategic Alpha Small-Cap Value ETF	8
PGIM QMA Strategic Alpha International Equity ETF	10
Fees and Expenses	12
Holdings and Financial Statements	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

Letter from the President

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

Fees and Expenses

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 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	$	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 ValueSeptember 1, 2019		Ending Account ValueFebruary 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

Description	Shares		Value
COMMON STOCKS (Continued)
Commercial Services & Supplies    0.7%
Cintas Corp.		135	$	36,010
Copart, Inc.*		412		34,806
				70,816
Communications Equipment    1.4%
Cisco Systems, Inc.		810		32,343
F5 Networks, Inc.*		273		32,746
Juniper Networks, Inc.		1,590		33,740
Motorola Solutions, Inc.		232		38,438
				137,267
Construction & Engineering    0.8%
Jacobs Engineering Group, Inc.		458		42,292
Quanta Services, Inc.		945		36,033
				78,325
Construction Materials    0.6%
Martin Marietta Materials, Inc.		140		31,854
Vulcan Materials Co.		255		30,666
				62,520
Consumer Finance    0.9%
Capital One Financial Corp.		381		33,627
Discover Financial Services		461		30,233
Synchrony Financial		1,041		30,293
				94,153
Containers & Packaging    1.3%
Avery Dennison Corp.		304		34,805
International Paper Co.		884		32,673
Sealed Air Corp.		1,025		31,068
Westrock Co.		925		30,756
				129,302
Distributors    0.6%
Genuine Parts Co.		359		31,319
LKQ Corp.*		1,109		32,804
				64,123
Diversified Financial Services    0.4%
Berkshire Hathaway, Inc. (Class B Stock)*		181		37,348

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 (cost $10,393,343)				10,013,775

	Interest Rate			Maturity Date		Principal Amount (000)#
SHORT-TERM INVESTMENTS    0.4%
TIME DEPOSIT    0.4%
JPMorgan Chase (cost $40,058)		0.950	%		03/02/20		40		40,058
TOTAL SHORT-TERM INVESTMENTS (cost $40,058)									40,058
TOTAL INVESTMENTS    99.8% (cost $10,433,401)									10,053,833
Other assets in excess of liabilities    0.2%									20,817
NET ASSETS    100.0%								$	10,074,650

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, ($10,074,650 / 200,000 shares of common stock issued and outstanding)	$	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 (unaudited)			Period Ended August 31, 2019*
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

Description	Shares		Value
COMMON STOCKS (Continued)
Trading Companies & Distributors    1.5%
Applied Industrial Technologies, Inc.		282	$	16,635
Foundation Building Materials, Inc.*		1,018		15,881
General Finance Corp.*		1,802		14,038
Herc Holdings, Inc.*		442		16,213
Kaman Corp.(a)		270		14,974
Lawson Products, Inc.*		367		14,680
MRC Global, Inc.*		1,517		13,198
Systemax, Inc.		740		15,436
Transcat, Inc.*		608		17,565
				138,620
Water Utilities    1.3%
American States Water Co.		221		16,926
AquaVenture Holdings Ltd.*		727		19,658
California Water Service Group		375		17,985
Middlesex Water Co.		295		17,544
Pure Cycle Corp.*		1,520		18,803
SJW Group		268		16,396
York Water Co. (The)		376		15,901
				123,213
TOTAL LONG-TERM INVESTMENTS (cost $10,372,828)				9,506,498
SHORT-TERM INVESTMENTS    2.5%
AFFILIATED MUTUAL FUND    2.2%
PGIM Institutional Money Market Fund (cost $205,612; includes $205,427 of cash collateral for securities on loan)(b)(w)		205,603		205,603

	Interest Rate			Maturity Date		Principal Amount (000)#
TIME DEPOSIT    0.3%
JPMorgan Chase (cost $28,449)		0.950	%		03/02/20		28	28,449
TOTAL SHORT-TERM INVESTMENTS (cost $234,061)								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% (cost $10,606,889)	$	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, ($9,540,323 / 200,000 shares of common stock issued and outstanding)	$	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 Ended February 29, 2020 (unaudited)			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

Description	Shares		Value
COMMON STOCKS (Continued)
Household Durables    2.3%
Bassett Furniture Industries, Inc.		864	$	8,528
Beazer Homes USA, Inc.*		816		10,004
Century Communities, Inc.*		476		15,865
Ethan Allen Interiors, Inc.		817		10,784
Flexsteel Industries, Inc.		715		9,824
Green Brick Partners, Inc.*		1,198		13,106
Hooker Furniture Corp.		572		10,759
KB Home		366		11,928
La-Z-Boy, Inc.		444		12,721
Lifetime Brands, Inc.		2,054		13,063
M/I Homes, Inc.*		337		12,547
MDC Holdings, Inc.(a)		334		13,140
Meritage Homes Corp.*		215		13,644
Taylor Morrison Home Corp. (Class A Stock)*		577		12,994
TRI Pointe Group, Inc.*		865		13,261
Universal Electronics, Inc.*		274		11,568
ZAGG, Inc.*		1,813		12,183
				205,919
Household Products    0.4%
Central Garden & Pet Co.*		442		11,837
Central Garden & Pet Co. (Class A Stock)*		470		11,895
Oil-Dri Corp. of America		379		11,533
				35,265
Independent Power & Renewable Electricity Producers    0.5%
Atlantic Power Corp.*		5,378		12,208
Clearway Energy, Inc.,
(Class A Stock)		695		14,101
(Class C Stock)		664		13,971
				40,280
Insurance    3.7%
American Equity Investment Life Holding Co.		511		12,918
Donegal Group, Inc. (Class A Stock)		1,019		14,541
Employers Holdings, Inc.		296		11,408
Enstar Group Ltd. (Bermuda)*		67		11,952
FBL Financial Group, Inc. (Class A Stock)		222		10,603
FedNat Holding Co.		955		12,453
Genworth Financial, Inc. (Class A Stock)*		3,341		13,030
Global Indemnity Ltd. (Cayman Islands)		503		15,975
Greenlight Capital Re Ltd. (Cayman Islands) (Class A Stock)*		1,414		11,934

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 (cost $10,255,859)				8,819,746
SHORT-TERM INVESTMENTS    2.7%
AFFILIATED MUTUAL FUND    2.1%
PGIM Institutional Money Market Fund (cost $192,036; includes $191,818 of cash collateral for securities on loan)(b)(w)		192,020		192,020

See Notes to Financial Statements.

78

	Interest Rate			Maturity Date		Principal Amount (000)#		Value
TIME DEPOSIT    0.6%
Sumitomo Mitsui Banking Corp. (cost $49,520)		0.950	%		03/02/20		50	$	49,520
TOTAL SHORT-TERM INVESTMENTS (cost $241,556)									241,540
TOTAL INVESTMENTS    102.1% (cost $10,497,415)									9,061,286
Liabilities in excess of other assets    (2.1)%									(185,439	)
NET ASSETS    100.0%								$	8,875,847

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, ($8,875,847 / 200,000 shares of common stock issued and outstanding)	$	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 Ended February 29, 2020 (unaudited)			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

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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

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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

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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 (cost $34,413,885)		33,086,495

See Notes to Financial Statements.

98

Description	Shares		Value
PREFERRED STOCKS    0.8%
Germany    0.6%
Henkel AG & Co. KGaA		735	$	67,898
Porsche Automobil Holding SE		1,054		65,485
Volkswagen AG		425		69,711
				203,094
Italy 0.2%
Telecom Italia SpA		133,082		74,016
TOTAL PREFERRED STOCKS (cost $283,819)				277,110
	Units
RIGHT    0.0%
Spain    0.0%
ACS Actividades de Construccion y Servicios SA (cost $991)*		1,981		871
TOTAL LONG-TERM INVESTMENTS (cost $34,698,695)				33,364,476
	Shares
SHORT-TERM INVESTMENTS    1.0%
AFFILIATED MUTUAL FUND    0.4%
PGIM Institutional Money Market Fund (cost $121,291; includes $121,192 of cash collateral for securities on loan)(b)(w)		121,284		121,284

	Interest Rate			Maturity Date		Principal Amount (000)#
TIME DEPOSIT    0.6%
JPMorgan Chase (cost $219,651)		0.950	%		03/02/20		220		219,651
TOTAL SHORT-TERM INVESTMENTS (cost $340,942)									340,935
TOTAL INVESTMENTS    100.1% (cost $35,039,637)									33,705,411
Liabilities in excess of other assets    (0.1)%									(21,432	)
NET ASSETS    100.0%								$	33,683,979

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

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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 instruments, carried at fair value	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 instruments, carried at fair value	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, ($33,683,979 / 700,000 shares of common stock issued and outstanding)	$	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

Net Investment Income (Loss)
Income
Interest income	$	1,165
Unaffiliated dividend income (net of $33,771 foreign withholding tax)		330,070
Income from securities lending, net (including affiliated income of $298)		1,975
Total income		333,210
Expenses
Management fee		53,332
Total expenses		53,332
Net investment income (loss)		279,878
Realized And Unrealized Gain (Loss) On Investments and Foreign Currency Transactions
Net realized gain (loss) on:
Investment transactions (including affiliated of $11)		499,297
Foreign currency transactions		(4,095	)
		495,202
Net change in unrealized appreciation (depreciation) on:
Investments (including affiliated of $(1))		(1,218,947	)
Foreign currencies		657
		(1,218,290	)
Net gain (loss) on investment and foreign currency transactions		(723,088	)
Net Increase (Decrease) In Net Assets Resulting From Operations	$	(443,210	)

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 (unaudited)			Period Ended August 31, 2019*
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.

	Current SCA	Prior SCA
Term of Commitment	10/3/2019 - 10/1/2020	10/4/2018 -  10/2/2019
Total Commitment	$1,222,500,000*	$900,000,000
Annualized Commitment Fee on the Unused Portion of the SCA	0.15%	0.15%
Annualized Interest Rate on Borrowings	1.20% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent	1.25% plus the higher of (1) the effective federal funds rate, (2) the one-month LIBOR rate or (3) zero percent
*   Effective March 31, 2020, the SCA’s total commitment was increased from $900,000,000 to $1,162,500,000 and subsequently, effective April 7, 2020 was increased to $1,222,500,000.

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 (unaudited)			October 17, 2018(e) through 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 (unaudited)			November 13, 2018(e) through 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 (unaudited)			November 13, 2018(e) through 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 (unaudited)			December 4, 2018(e) through 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

∎ MAIL	∎ 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
SUBADVISER	QMA LLC	Gateway Center Two 100 Mulberry 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 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

Item 2 – Code of Ethics — Not required, as this is not an annual filing.

Item 3 – Audit Committee Financial Expert – Not required, as this is not an annual filing.

Item 4 – Principal Accountant Fees and Services – Not required, as this is not an annual filing.

Item 5 – Audit Committee of Listed Registrants – Not required, as this is not an annual filing.

Item 6 – Schedule of Investments – The schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not applicable.

Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not applicable.

Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not applicable.

Item 10 – Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.

Item 11 – Controls and Procedures

(a)It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b)There has been no significant change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter of the period covered by this report that has materially affected, or is likely to materially affect, the registrant's internal control over financial reporting.

Item 12 – Controls and Procedures - Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not applicable.

Item 13 – Exhibits

(a)(1) Code of Ethics – Not required, as this is not an annual filing.

(2)Certifications pursuant to Section 302 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.CERT.

(3)Any written solicitation to purchase securities under Rule 23c-1. – Not applicable.

(4)Registrant's Independent Public Accountant, attached as Exhibit 99.ACCT.

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act – Attached hereto as Exhibit EX-99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Registrant:	PGIM ETF Trust
By:	/s/ Andrew R. French
	Andrew R. French
	Secretary
Date:	April 20, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
Date:	April 20, 2020
By:	/s/ Christian J. Kelly
	Christian J. Kelly
	Treasurer and Principal Financial and Accounting Officer
Date:	April 20, 2020

EX-99.CERT

Item 13

PGIM ETF Trust

Semi-Annual period ending 2/29/20

File No. 811-23324

CERTIFICATIONS

I, Stuart S. Parker, certify that:

1.I have reviewed this report on Form N-CSR of the above named Fund(s);

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report.

4.The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and;

d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

1

5.The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a)All significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

April 20, 2020

/s/ Stuart S. Parker Stuart S. Parker

President and Principal Executive Officer

2

Item 13

PGIM ETF Trust

Semi-Annual period ending 2/29/20

File No. 811-23324

CERTIFICATIONS

I, Christian J. Kelly, certify that:

1.I have reviewed this report on Form N-CSR of the above named Fund(s);

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report.

4.The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and;

d)Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

3

5.The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a)All significant deficiencies and material weaknesses in the design or operation of internal controls which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

April 20, 2020

/s/ Christian J. Kelly Christian J. Kelly

Treasurer and Principal Financial and

Accounting Officer

4

EX-99.ACCT

KPMG LLP (KPMG) served as the independent registered public accounting firm of the Funds, included in Appendix A, each a Fund of PGIM ETF Trust, for the fiscal years ended August 31, 2019 and August 31, 2018 and will serve as the Funds' independent registered public accounting firm for the fiscal year ending August 31, 2020. KPMG's reports on the financial statements for the fiscal years ended August 31, 2019 and August 31, 2018 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principle. During such fiscal year-ends and through December 12, 2019, the date of dismissal, (i) there were no disagreements with KPMG on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of KPMG, would have caused them to make reference to the subject matter of the disagreements in connection with their reports on the Funds' financial statements for such period, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

On December 12, 2019, the Audit Committee and the Trust's Board of Trustees approved the engagement of PricewaterhouseCoopers LLP (PwC), to serve as the independent registered public accounting firm for Funds' fiscal year ending August 31, 2021, thereby replacing KPMG effective upon completion of their August 31, 2020 audits and issuance of their reports thereon. During the Funds' fiscal years ended August 31, 2019 and August 31, 2018 and through December 12, 2019, neither PGIM ETF Trust, nor the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304).

Appendix A: 

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 

PGIM QMA Strategic Alpha International Equity ETF 

April 28, 2020

Securities and Exchange Commission

Washington, D.C. 20549

Ladies and Gentlemen:

We were previously principal accountants for the PGIM ETF Trust Funds included in Appendix A, and under the date of October 15, 2019, we reported on the financial statements of the PGIM ETF Trust Funds as of and for the years ended in Appendix A. On December 12, 2019, we were dismissed as independent registered public accountant effective upon completion of the August 31, 2020 audits and the issuance of our reports thereon.

We have read the statements made by the PGIM ETF Trust included under Item 13(a)(4) of Form N-CSR dated April 28, 2020, and we agree with such statements except that we are not in a position to agree or disagree with the statements that (1) the Audit Committee and PGIM ETF Trust's Board of Trustees approved the engagement of PricewaterhouseCoopers LLP (PwC) to serve as the independent registered public accounting firm, and (2) neither PGIM ETF Trust nor the Funds, nor anyone on their behalf, consulted with PwC on items which: (i) concerned the application of accounting principles to a specified transaction, or the type of audit opinion that might be rendered on the Funds' financial statements; or (ii) concerned the subject of a disagreement or reportable events.

Very truly yours,

KPMG LLP

Appendix A

Fund	Years Ended
PGIM Ultra Short Bond ETF	Year ended August 31, 2019 and the period from
	April 5, 2018 (commencement of operations) to
	August 31, 2018
PGIM Active High Yield Bond ETF	Period from September 24, 2018 (commencement
	of operations) to August 31, 2019
PGIM QMA Strategic Alpha Large-Cap Core	Period from October 17, 2018 (commencement of
	operations) through August 31, 2019
PGIM QMA Strategic Alpha Small-Cap Growth	Period from November 13, 2018 (commencement
	of operations) through August 31, 2019
PGIM QMA Strategic Alpha Small-Cap Value	Period from November 13, 2018 (commencement
	of operations) through August 31, 2019
PGIM QMA Strategic Alpha International Equity	Period from December 4, 2018 (commencement
	of operations) through August 31, 2019

EX-99.906CERT

Certification Pursuant to 18 U.S.C. Section 1350

As Adopted Pursuant to

Section 906 of the Sarbanes-Oxley Act of 2002

Name of Issuer: PGIM ETF Trust

In connection with the Report on Form N-CSR of the above-named issuer that is accompanied by this certification, the undersigned hereby certifies, to his or her knowledge, that:

1.The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

2.The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Issuer.

April 20, 2020	/s/ Stuart S. Parker
	Stuart S. Parker
	President and Principal Executive Officer
April 20, 2020	/s/ Christian J. Kelly
	Christian J. Kelly
	Treasurer and Principal Financial and Accounting
	Officer