# EDGAR Filing Document

**Accession Number:** 0001992104
**File Stem:** 0000940400-26-012515
**Filing Date:** 2026-3
**Character Count:** 9612
**Document Hash:** 5bb80e73f365a51f3a5ef0776c5bc787
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-012515.hdr.sgml**: 20260331

**ACCESSION NUMBER**: 0000940400-26-012515

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260130

**FILED AS OF DATE**: 20260331

**DATE AS OF CHANGE**: 20260331

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PGIM Rock ETF Trust
- **CENTRAL INDEX KEY:** 0001992104

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23901
- **FILM NUMBER:** 26819915

**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

## Series and Classes Contracts Data

### PGIM S&P 500 Max Buffer ETF - May (Series ID: S000089305)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000255822 | PGIM S&P 500 Max Buffer ETF - May | PMMY            |

## Nport-Ex

### PGIM S&P 500 Max Buffer ETF - May

### Schedule of Investments (unaudited)
as of January 31, 2026

---

| | | |
|:---|:---|:---|
| **Description** | &nbsp;&nbsp;**Shares** | &nbsp;&nbsp;**Value** |
| **Short-Term Investments 118.4%** | **Short-Term Investments 118.4%** | **Short-Term Investments 118.4%** |
| **Affiliated Mutual Fund 0.8%** |  |  |
| PGIM Core Government Money Market Fund (7-day effective yield 3.805%)<br> (cost $20,969)(wb) | &nbsp;&nbsp;20969 | $20969 |
| **Options Purchased\*~ 117.6%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;(cost $2,566,364) | &nbsp;&nbsp;&nbsp;&nbsp;(cost $2,566,364) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3092251 |
| **TOTAL INVESTMENTS, BEFORE OPTION WRITTEN 118.4%<br> (cost $2,587,333)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3113220 |
| **Option Written\*~ (18.4)%** | **Option Written\*~ (18.4)%** | **Option Written\*~ (18.4)%** |
| &nbsp;&nbsp;&nbsp;&nbsp;(premiums received $93,901) | &nbsp;&nbsp;&nbsp;&nbsp;(premiums received $93,901) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(482327) |
| **TOTAL INVESTMENTS, NET OF OPTION WRITTEN 100.0%<br> (cost $2,493,432)** | **TOTAL INVESTMENTS, NET OF OPTION WRITTEN 100.0%<br> (cost $2,493,432)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2630893 |
| Liabilities in excess of other assets (0.0)% | Liabilities in excess of other assets (0.0)% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1115) |
| **Net Assets 100.0%** | **Net Assets 100.0%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$2629778 |

---

------

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. |
| (wb) | Represents an investment in a Fund affiliated with the Manager. |

---

#### Options Purchased :

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** |
| **Description** | &nbsp;&nbsp;**Call/<br> Put** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Strike** | &nbsp;&nbsp;**Contracts** |  | &nbsp;&nbsp;**Notional<br> Amount<br> (000)#** | &nbsp;&nbsp;**Value** |  |
| State Street SPDR S&P 500 ETF Trust | &nbsp;&nbsp;Call | &nbsp;&nbsp;04/30/26 | &nbsp;&nbsp;&nbsp;$5.55 |  | &nbsp;&nbsp;45 |  | &nbsp;&nbsp;5 | &nbsp;&nbsp; $3081093 |
| State Street SPDR S&P 500 ETF Trust | &nbsp;&nbsp;&nbsp;Put | &nbsp;&nbsp;04/30/26 | &nbsp;&nbsp;$554.54 |  | &nbsp;&nbsp;45 |  | &nbsp;&nbsp;5 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11158 |
| **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** | **Total Options Purchased (cost $2,566,364)** |  | &nbsp;&nbsp;$3092251 |

---

#### Option Written :

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** | **Exchange Traded** |
| **Description** | &nbsp;&nbsp;**Expiration<br> Date** | &nbsp;&nbsp;**Strike** | &nbsp;&nbsp;**Contracts** |  | &nbsp;&nbsp;**Notional<br> Amount<br> (000)#** | &nbsp;&nbsp;**Value** |  |
| State Street SPDR S&P 500 ETF Trust &nbsp;&nbsp;Call | &nbsp;&nbsp;04/30/26 | &nbsp;&nbsp;$592.91 |  | &nbsp;&nbsp;45 |  | &nbsp;&nbsp;5 | &nbsp;&nbsp; $(482327) |
| &nbsp;&nbsp;&nbsp;(premiums received $93,901) |  |  |  |  |  |  |  |

---

*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).*

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** PGIM Rock ETF Trust

- **b. Investment Company Act file number:** 811-23901

- **c. CIK number of Registrant:** 0001992104

- **d. LEI of Registrant:** 52990099V6I8LAKJK031

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 655 BROAD ST

  - **City:** NEWARK

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07102-4077

  - **Telephone number:** 888-247-8090

**Item A.2. Information about the Series.**

- **a. Name of Series:** PGIM S&P 500 Max Buffer ETF - May

- **b. EDGAR series identifier (if any):** S000089305

- **c. LEI of Series:** 529900KZQYQE8ZB1PH57

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-01-30

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $3113219.64

**Total Liabilities:** $483477.83

**Net Assets:** $2629741.81

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000255822 | 0.42%                | 0.53%                | 0.37%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $0.00                                      |
| Month 2  | $0.00                    | $0.00                                      |
| Month 3  | $0.00                    | $0.00                                      |

**Designated Index Information**

- **Index Name:** S&P 500 INDEX

- **Index Identifier:** SPX Index

### Schedule of Portfolio Investments

| Name                                             | Title                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| X-CHANGE FINANCIAL ACCESS LLC                    | STATE STREET SPDR S&P 500 ETF TRUST              | CUSIP: 000000000<br>LEI: 549300OVQ8PL5DTHB273 | N/A              | DE               | CORP              | US        |        45 | NC      | $3081092.40   | 117.16%           |  |  |  | No            |                  2 | On Loan: No      |
| X-CHANGE FINANCIAL ACCESS LLC                    | STATE STREET SPDR S&P 500 ETF TRUST              | CUSIP: 000000000<br>LEI: 549300OVQ8PL5DTHB273 | N/A              | DE               | CORP              | US        |        45 | NC      | $11158.20     | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| X-CHANGE FINANCIAL ACCESS LLC                    | STATE STREET SPDR S&P 500 ETF TRUST              | CUSIP: 000000000<br>LEI: 549300OVQ8PL5DTHB273 | N/A              | DE               | CORP              | US        |       -45 | NC      | $-482327.10   | -18.34%           |  |  |  | No            |                  2 | On Loan: No      |
| (PIPA070) PGIM Core Government Money Market Fund | (PIPA070) PGIM Core Government Money Market Fund | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     20897 | NS      | $20897.41     | 0.79%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-03-31

**Name of Applicant:** PGIM Rock ETF Trust

**Signature:** Christian J. Kelly

**Name of Signer:** Christian J. Kelly

**Title:** Chief Financial Officer