0001752724-24-067661.txt : 20240326 0001752724-24-067661.hdr.sgml : 20240326 20240326123247 ACCESSION NUMBER: 0001752724-24-067661 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240131 FILED AS OF DATE: 20240326 DATE AS OF CHANGE: 20240326 PERIOD START: 20241031 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PGIM Rock ETF Trust CENTRAL INDEX KEY: 0001992104 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23901 FILM NUMBER: 24782305 BUSINESS ADDRESS: STREET 1: 655 BROAD ST STREET 2: 6TH FLOOR CITY: NEWARK STATE: NJ ZIP: 07102 BUSINESS PHONE: 862-302-9412 MAIL ADDRESS: STREET 1: 655 BROAD ST STREET 2: 6TH FLOOR CITY: NEWARK STATE: NJ ZIP: 07102 0001992104 S000083271 PGIM US Large-Cap Buffer 20 ETF - January C000246798 PGIM US Large-Cap Buffer 20 ETF - January PBJA NPORT-P 1 primary_doc.xml NPORT-P false 0001992104 XXXXXXXX S000083271 C000246798 PGIM Rock ETF Trust 811-23901 0001992104 52990099V6I8LAKJK031 655 BROAD ST 6TH FLOOR NEWARK 07102 862-302-9412 PGIM US Large-Cap Buffer 20 ETF - January S000083271 529900AXMYRAMNE9JK62 2024-10-31 2024-01-31 N 2609659.54 85465.41 2524194.13 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1.00000000 N S&P 500 INDEX SPX Index CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 SPDR S&P 500 ETF TRUST 000000000 -52.00000000 NC USD -58324.76000000 -2.31062893724 N/A DE CORP US N 2 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Call Written SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust 100.00000000 533.16000000 USD 2024-12-31 XXXX -10795.77000000 N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 SPDR S&P 500 ETF TRUST 000000000 -52.00000000 NC USD -26152.88000000 -1.03608829801 N/A DE CORP US N 2 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Written SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust 100.00000000 380.25000000 USD 2024-12-31 XXXX 2254.11000000 N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 SPDR S&P 500 ETF TRUST 000000000 52.00000000 NC USD 96021.64000000 3.804051315181 N/A DE CORP US N 2 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Put Purchased SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust 100.00000000 475.31000000 USD 2024-12-31 XXXX -15769.37000000 N N N (PIPA070) PGIM Core Government Money Market Fund N/A (PIPA070) PGIM Core Government Money Market Fund 000000000 52107.52000000 NS USD 52107.52000000 2.064323000386 Long STIV RF US N 1 N N N CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 SPDR S&P 500 ETF TRUST 000000000 52.00000000 NC USD 2461341.48000000 97.50999143635 N/A DE CORP US N 2 CBOE GLOBAL MARKETS, INC. 529900RLNSGA90UPEH54 Call Purchased SPDR S&P 500 ETF Trust SPDR S&P 500 ETF Trust 100.00000000 4.75000000 USD 2024-12-31 XXXX 48050.47000000 N N N 2024-03-25 PGIM Rock ETF Trust Christian J. Kelly Christian J. Kelly Chief Financial Officer XXXX NPORT-EX 2 888318PRU013124.htm
PGIM US Large-Cap Buffer 20 ETF - January
Schedule of Investments  (unaudited)
as of January 31, 2024
Description     Shares Value
Short-Term Investments 103.4%
Affiliated Mutual Fund 2.1%          
PGIM Core Government Money Market Fund (7-day effective yield 5.560%)
(cost $52,108)(wb) 		    52,108  $52,108
Options Purchased*~ 101.3%          
(cost $2,525,082) 2,557,363
     
 
TOTAL INVESTMENTS, BEFORE OPTIONS WRITTEN 103.4%
(cost $2,577,190) 		        2,609,471
Options Written*~ (3.4)%
(premiums received $75,936) (84,478)
 
TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN 100.0%
(cost $2,501,254) 		2,524,993
Liabilities in excess of other assets(z) (0.0)% (799)
 
Net Assets 100.0% $2,524,194
Below is a list of the abbreviation(s) used in the quarterly schedule of portfolio holdings:
    
  ETF—Exchange-Traded Fund
  S&P—Standard & Poor’s
  SPDR—Standard & Poor’s Depositary Receipts
    
* Non-income producing security.
# Principal or notional amount is shown in U.S. dollars unless otherwise stated.
~ See tables subsequent to the Schedule of Investments for options detail. Options with maturity dates greater than one year from date of acquisition would be considered long-term investments.
(wb) Represents an investment in a Fund affiliated with the Manager.
(z) Includes net unrealized appreciation/(depreciation) and/or market value of the below holdings which are excluded from the Schedule of Investments:
Options Purchased:
Exchange Traded  
Description Call/
Put 		  Expiration
Date 		  Strike Contracts   Notional
Amount
(000)# 		  Value
SPDR S&P 500 ETF Trust Call   12/31/24     $4.75   52       5  $2,461,341  
SPDR S&P 500 ETF Trust Put   12/31/24     $475.31   52       5 96,022  
Total Options Purchased (cost $2,525,082)     $2,557,363  
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PGIM US Large-Cap Buffer 20 ETF - January
Schedule of Investments  (unaudited) (continued)
as of January 31, 2024
Options Written:
Exchange Traded
Description   Call/
Put 		  Expiration
Date 		  Strike Contracts   Notional
Amount
(000)# 		  Value
SPDR S&P 500 ETF Trust   Call   12/31/24     $533.16   52       5  $(58,325)
SPDR S&P 500 ETF Trust   Put   12/31/24     $380.25   52       5 (26,153)
Total Options Written (premiums received $75,936)     $(84,478)
Other information regarding the Fund is available in the Fund’s most recent Report to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).
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