UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22903
J.P. Morgan Exchange-Traded Fund Trust
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta, Esq.
J.P. Morgan Investment Management Inc.
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
With copies to:
Elizabeth A. Davin, Esq. | Jon S. Rand Esq. | |
JPMorgan Chase & Co. | Dechert LLP | |
1111 Polaris Parkway | 1095 Avenue of the Americas | |
Columbus, OH 43240 | New York, NY 10036 |
Registrant’s telephone number, including area code: (844) 457-6383
Date of fiscal year end: February 28
Date of reporting period: March 1, 2017 through August 31, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
Semi-Annual Report
JPMorgan Exchange-Traded Funds
August 31, 2017 (Unaudited)
JPMorgan Disciplined High Yield ETF
JPMorgan Global Bond Opportunities ETF
JPMorgan Ultra-Short Income ETF
![]() |
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of the Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not NAV) through a brokerage account, and are not individually redeemed from a Fund. Shares may only be redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
AUGUST 31, 2017 (Unaudited)
Dear Shareholders,
It is my great privilege to serve you as President of JPMorgan’s Exchange-Traded Funds, a business dedicated to providing advisors and investors with additional choices for constructing stronger portfolios. We are proud to announce that J.P. Morgan Asset Management’s ETF business has reached an important milestone, surpassing $2 billion in assets under management (AUM) in August 2017, just seven months after we reached $1 billion in AUM. Additionally, we’ve expanded our ETF offering with the launch of two active fixed income ETFs, complementing our existing innovative strategic beta and institutional-quality alternative strategies.
![]() |
“We believe our fixed income strategies can help you build a properly diversified portfolio that moderates interest rate risk and delivers risk-adjusted returns.” |
During the six months ending August 31, 2017, global financial markets generally provided positive returns. Despite intermittent geo-political tensions, financial market volatility remained near historic lows and investor demand for both equity and fixed-income assets continued to reflect steady global economic growth. Our market strategists foresee further global economic growth and slowly rising interest rates heading into 2018.
Within this environment, we believe our innovative, active fixed income solutions can help you navigate changing markets in the following ways:
Seek to increase your income potential with high yield. Through a rules-based approach to credit selection, JPMorgan
Disciplined High Yield ETF (JPHY) aims to deliver higher risk-adjusted returns than passive indexing options. JPHY provides diversification within a multi-asset portfolio through low correlation to other asset classes.
Broaden the borders of your bond portfolio with JPMorgan Global Bond Opportunities ETF (JPGB). Launched on April 5, 2017, the Global Bond Opportunities ETF seeks to deliver total returns by providing exposure across more than 15 fixed income sectors and 50 countries.
Leveraging J.P. Morgan’s Global Liquidity platform, JPMorgan Ultra-Short Income ETF (JPST) aims to deliver current income while managing risk. Launched May 17, 2017, JPST seeks an attractive yield while focusing on active credit risk management in an effort to deliver stable returns, even in challenging environments.
We are proud to bring J.P. Morgan’s experience and strong fixed income capabilities to the ETF market place. We are committed to building solutions that address your needs and help you build stronger portfolios. Thank you for your belief in our Firm and our process.
Sincerely,
Joanna M. Gallegos
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 1 |
JPMorgan Disciplined High Yield ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED AUGUST 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Net Asset Value* | 3.19% | |||
Market Price** | 3.49% | |||
BofA Merrill Lynch U.S. High Yield Index | 3.08% | |||
Bloomberg Barclays US Aggregate Bond Index | 2.74% | |||
Net Assets as of 8/31/2017 | $ | 35,897,042 | ||
Duration as of 8/31/2017 | 4.04 years |
INVESTMENT OBJECTIVE***
The JPMorgan Disciplined High Yield ETF (the “Fund”) seeks to provide a high level of income. Capital appreciation is a secondary objective.
INVESTMENT APPROACH
The Fund invests in a diversified portfolio of high-yield securities (also called “junk bonds”). Issuers may be domestic or foreign, but the Fund only invests in U.S. dollar-denominated investments.
HOW DID THE MARKET PERFORM?
High yield bonds generally outperformed investment grade corporate bonds and U.S. Treasury bonds during the reporting period. Investor demand for high yield bonds was supported by low interest rates and growth in corporate earnings. U.S. companies sold new bonds at a record pace in 2017 — more than $1 trillion combined — in anticipation of U.S. Federal Reserve moves to raise interest rates over the course of the year.
While U.S. financial market volatility remained historically low throughout the reporting period, there was a spike in volatility in early August 2017 amid tension between the U.S. and North Korea.
HOW DID THE FUND PERFORM?
For the six months ended August 31, 2017, the Fund posted positive absolute performance and outperformed both the BofA Merrill Lynch U.S. High Yield Index (the “Benchmark”) and the Bloomberg Barclays US Aggregate Bond Index.
During the reporting period, bonds rated BB generally outperformed other rated debt and bonds rated CCC underperformed. The Fund’s overweight position in bonds rated BB and its lack of holdings in CCC rated bonds contributed to absolute performance and performance relative to the Benchmark. To maintain sufficient liquidity, the Fund did not invest in bond issues of less than $500 million, which made a positive contribution to absolute and relative performance.
The Fund does not invest in bonds issued by privately held companies, which detracted from absolute performance and performance relative to the Benchmark, as bonds issued by publicly traded companies underperformed bonds issued by privately held companies during the reporting period. To maintain sufficient liquidity, the Fund did not invest in bonds of issuers
that had less than $1 billion in bonds outstanding, which detracted from relative performance.
HOW WAS THE FUND POSITIONED?
The Fund’s managers believe that bonds rated CCC generally have materially higher volatility and default risk than bonds rates BB and B, while providing inadequate incremental return over a market cycle to justify the higher volatility. In addition, the managers believe bonds issued by private companies have had a materially higher probability of default than similarly-rated bonds issued by public companies. Relative to the Benchmark, the Fund’s largest average overweight allocation was in bonds rated BB and its largest average underweight allocation was in bonds rated CCC.
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Consumer Discretionary | 26.3 | % | ||
Energy | 13.9 | |||
Industrials | 10.2 | |||
Telecommunication Services | 9.7 | |||
Materials | 9.0 | |||
Information Technology | 7.5 | |||
Financials | 7.1 | |||
Health Care | 6.8 | |||
Consumer Staples | 3.4 | |||
Utilities | 3.2 | |||
Real Estate | 2.3 | |||
Short-Term Investment | 0.6 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $51.28 as of August 31, 2017. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the Bats BZX Exchange, Inc. The midpoint price was $51.66 as of August 31, 2017. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change. |
2 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2017 (Unaudited)
INCEPTION DATE | SIX MONTHS | CUMULATIVE SINCE INCEPTION | ||||||||||
JPMorgan Disciplined High Yield ETF | ||||||||||||
Net Asset Value | September 14, 2016 | 3.19 | % | 7.57 | % | |||||||
Market Price | 3.49 | % | 8.29 | % |
LIFE OF FUND PERFORMANCE (9/14/16 TO 8/31/17)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns 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 higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.
Fund commenced operations on September 14, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Disciplined High Yield ETF, the BofA Merrill Lynch U.S. High Yield Index and the Bloomberg Barclays US Aggregate Bond Index from September 14, 2016 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the BofA Merrill Lynch U.S. High Yield Index and the Bloomberg Barclays US Aggregate Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The BofA Merrill
Lynch U.S. High Yield Index is an unmanaged index, which measures the performance of U.S. dollar denominated below investment grade corporate debt publicly issued in the U.S. domestic market. The Bloomberg Barclays US Aggregate Bond Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. Investors cannot invest directly in an index.
Fund performance reflects the partial waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 3 |
JPMorgan Global Bond Opportunities ETF
FUND COMMENTARY
FOR THE PERIOD APRIL 5, 2017 (FUND INCEPTION DATE) THROUGH AUGUST 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Net Asset Value* | 2.46% | |||
Market Price** | 2.90% | |||
Bloomberg Barclays Multiverse Index | 5.25% | |||
Net Assets as of 8/31/2017 | $ | 107,379,224 | ||
Duration as of 8/31/2017 | 2.88 years |
INVESTMENT OBJECTIVE***
The JPMorgan Global Bond Opportunities ETF (the “Fund”) seeks to provide total return.
INVESTMENT APPROACH
The Fund invests in bond and currency sectors across developed and emerging markets without benchmark constraints. The Fund is flexible and opportunistic and the Fund’s adviser has broad discretion to shift the Fund’s exposures to strategies, sectors, countries or currencies based on changing market conditions and its view of the best mix of investment opportunities.
HOW DID THE MARKET PERFORM?
During the reporting period, emerging market bonds generally outperformed bonds issued by the U.S. and other developed market nations amid investor expectations for global economic growth and rising interest rates. In the U.S., high-yield bonds (also known as “junk bonds”) continued to outperform investment grade corporate debt and U.S. Treasury bonds. While U.S. financial market volatility remained historically low throughout the reporting period, there was a brief spike in early August 2017 amid tension between the U.S. and North Korea.
HOW DID THE FUND PERFORM?
For the period April 5, 2017 to August 31, 2017, the Fund posted a return of 2.46%. The Fund has an absolute return orientation and is not managed relative to a benchmark index. While the Fund is not managed to a benchmark, its return is compared to the Bloomberg Barclays Multiverse Index, which returned 5.25% for the reporting period.
The Fund’s allocations to high yield bonds, investment grade corporate bonds and emerging markets debt were leading contributors to absolute performance. High yield bonds generally benefitted from investor demand for yield growth during the reporting period. The Fund’s allocation to securitized debt also contributed to absolute performance. The Fund’s allocation to government debt securities detracted from absolute performance during the reporting period.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund invested opportunistically across different markets and sectors. The Fund’s managers applied a flexible investment approach and did not manage to a benchmark. This allowed the Fund to shift its allocations based on changing market conditions. The Fund had exposure to a broad range of asset classes during the reporting period,
including high yield and investment grade corporate bonds, agency and non-agency mortgage-backed securities, asset-backed securities, commercial mortgage-backed securities, emerging markets debt, convertible bonds and foreign government securities. At the end of the reporting period, the Fund’s largest allocations were to U.S. high yield bonds and investment grade corporate bonds and its smallest allocations were to agency mortgage-backed securities and non-agency mortgage-backed/asset-backed securities.
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||
United States | 52.2 | % | ||
France | 3.6 | |||
United Kingdom | 3.5 | |||
Indonesia | 3.4 | |||
Australia | 3.1 | |||
Mexico | 2.8 | |||
Italy | 2.8 | |||
Turkey | 2.4 | |||
Luxembourg | 2.4 | |||
New Zealand | 2.1 | |||
Spain | 2.0 | |||
Brazil | 2.0 | |||
Portugal | 1.8 | |||
Netherlands | 1.7 | |||
Germany | 1.6 | |||
Canada | 1.5 | |||
Ireland | 1.1 | |||
South Africa | 1.0 | |||
Other (each less than 1%) | 9.0 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $51.13 as of August 31, 2017. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the Bats BZX Exchange, Inc. The midpoint price was $51.35 as of August 31, 2017. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change. |
4 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2017 (Unaudited)
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan Global Bond Opportunities ETF | ||||||||
Net Asset Value | April 5, 2017 | 2.46 | % | |||||
Market Price | 2.90 | % |
LIFE OF FUND PERFORMANCE (4/5/17 TO 8/31/17)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns 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 higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.
Fund commenced operations on April 5, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Global Bond Opportunities ETF and the Bloomberg Barclays Multiverse Index from April 5, 2017 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Bloomberg Barclays Multiverse Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Bloomberg Barclays Multiverse Index is an unmanaged index, which measure of the global fixed-income bond market that combines the Bloomberg Barclays Global Aggregate Index and the Bloomberg Barclays Global High Yield Index. The Bloomberg Barclays Global Aggregate Index measures grade debt from twenty-four different local currency markets. The Bloomberg Barclays Global High-Yield Index measures the global high-yield fixed income markets. Investors cannot invest directly in an index.
Fund performance reflects the partial waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 5 |
JPMorgan Ultra-Short Income ETF
FUND COMMENTARY
FOR THE PERIOD MAY 17, 2017 (FUND INCEPTION DATE) THROUGH AUGUST 31, 2017 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Net Asset Value* | 0.50% | |||
Market Price** | 0.60% | |||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.28% | |||
Net Assets as of 8/31/2017 | $ | 45,040,387 | ||
Duration as of 8/31/2017 | 0.48 years |
INVESTMENT OBJECTIVE***
The JPMorgan Ultra-Short Income ETF (the “Fund”) seeks to provide current income while seeking to maintain a low volatility of principal.
INVESTMENT APPROACH
The Fund primarily invests mainly in investment-grade, U.S. dollar-denominated fixed, variable and floating-rate debt. The Fund seeks to maintain a duration of one year or less, although under certain market conditions, the Fund’s duration may be longer than one year. The Fund’s adviser has broad discretion to shift the Fund’s exposure to strategies and sectors based on changing market conditions and its view of the best mix of investment opportunities.
HOW DID THE FUND PERFORM?
For the period May 17, 2017 to August 31, 2017, the Fund posted a positive absolute performance. While the Fund is not managed to a benchmark, its return is compared to the BofA Merrill Lynch 3-Month Treasury U.S. Bill Index (the “Index”). While the Fund held no U.S. Treasury securities during the reporting period, the Index holds only U.S. Treasuries. The Fund outperformed the Index during the reporting period.
The Fund’s allocations to investment grade corporate bonds and money market securities were leading contributors to both absolute performance and performance relative to the Index during the reporting period. The Fund’s allocations to collateralized loan obligations, asset backed securities and commercial mortgage-backed securities also contributed to absolute and relative performance.
While the Fund’s overall longer duration relative to the Index was a modest detractor from relative performance, the enhanced yield from longer-dated securities helped absolute performance. Duration measures the price sensitivity of a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates fall or rise, respectively, versus bonds with shorter duration.
HOW WAS THE FUND POSITIONED?
During reporting period, the portfolio management team believed that interest rates would continue to move higher at a
slow pace, allowing the favorable fundamental and technical picture for corporate credit to persist. As such, the portfolio was positioned with an overall average duration of 0.50 years. In descending order, the Fund’s largest allocations were in corporate bonds, money market securities, collateralized loan obligations, asset-backed securities and commercial mortgage-backed securities.
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Financials | 31.7 | % | ||
Asset-Backed Securities | 16.1 | |||
Health Care | 6.1 | |||
Consumer Staples | 4.6 | |||
Energy | 4.1 | |||
Consumer Discretionary | 3.2 | |||
Information Technology | 2.9 | |||
Utilities | 2.8 | |||
Real Estate | 2.7 | |||
Telecommunication Services | 2.7 | |||
Commercial Mortgage-Backed Securities | 2.7 | |||
Certificates of Deposit | 1.4 | |||
Industrials | 0.7 | |||
Short-Term Investments | 18.3 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $50.04 as of August 31, 2017. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the Bats BZX Exchange, Inc. The midpoint price was $50.09 as of August 31, 2017. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of August 31, 2017. The Fund’s composition is subject to change. |
6 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
AVERAGE ANNUAL TOTAL RETURNS AS OF AUGUST 31, 2017 (Unaudited)
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan Ultra-Short Income ETF | ||||||||
Net Asset Value | May 17, 2017 | 0.50 | % | |||||
Market Price | 0.60 | % |
LIFE OF FUND PERFORMANCE (5/17/17 TO 8/31/17)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns 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 higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.
Fund commenced operations on May 17, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Income ETF and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index from May 17, 2017 to August 31, 2017. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of
the securities included in the Index, if applicable. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. The index is rebalanced monthly and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. Investors cannot invest directly in an index.
Fund performance reflects the partial waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 7 |
JPMorgan Disciplined High Yield ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — 97.8% | ||||||||
Consumer Discretionary — 25.9% | ||||||||
Auto Components — 0.9% | ||||||||
150,000 | American Axle & Manufacturing, Inc., | 147,750 | ||||||
Goodyear Tire & Rubber Co. (The), | ||||||||
40,000 | 4.875%, 03/15/27 | 40,700 | ||||||
40,000 | 5.000%, 05/31/26 | 41,750 | ||||||
90,000 | 5.125%, 11/15/23 | 94,162 | ||||||
|
| |||||||
324,362 | ||||||||
|
| |||||||
Automobile — 1.4% | ||||||||
400,000 | Fiat Chrysler Automobiles NV (Netherlands), | 424,000 | ||||||
70,000 | Tesla, Inc., 5.300%, 08/15/25 (a) | 68,906 | ||||||
|
| |||||||
492,906 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% | ||||||||
75,000 | Service Corp. International, | 79,781 | ||||||
|
| |||||||
Diversified Telecommunication | ||||||||
Altice Financing S.A. (Luxembourg), | ||||||||
200,000 | 6.625%, 02/15/23 (a) | 211,500 | ||||||
250,000 | 7.500%, 05/15/26 (a) | 273,800 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
10,000 | 5.125%, 05/01/27 (a) | 10,300 | ||||||
63,000 | 5.500%, 05/01/26 (a) | 65,677 | ||||||
230,000 | 5.750%, 02/15/26 (a) | 243,154 | ||||||
100,000 | 5.875%, 04/01/24 (a) | 106,250 | ||||||
200,000 | UPCB Finance IV Ltd. (Cayman Islands), | 207,500 | ||||||
200,000 | Virgin Media Secured Finance plc (United Kingdom), 5.250%,01/15/26 (a) | 208,500 | ||||||
|
| |||||||
1,326,681 | ||||||||
|
| |||||||
Equity Real Estate Investment | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc., | ||||||||
70,000 | 4.500%, 09/01/26 | 71,225 | ||||||
95,000 | 5.625%, 05/01/24 | 103,312 | ||||||
|
| |||||||
174,537 | ||||||||
|
| |||||||
HomeBuilders — 0.1% | ||||||||
25,000 | Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. (Canada), | 26,062 | ||||||
26,000 | Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.250%, 04/15/21 (a) | 26,606 | ||||||
|
| |||||||
52,668 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Hotels, Restaurants & Leisure — 5.5% | ||||||||
1011778 B.C. ULC/New Red Finance, Inc. (Canada), | ||||||||
55,000 | 4.625%, 01/15/22 (a) | 56,221 | ||||||
205,000 | 6.000%, 04/01/22 (a) | 211,765 | ||||||
Aramark Services, Inc., | ||||||||
50,000 | 4.750%, 06/01/26 | 52,390 | ||||||
50,000 | 5.000%, 04/01/25 (a) | 52,765 | ||||||
50,000 | 5.125%, 01/15/24 | 53,125 | ||||||
Boyd Gaming Corp., | ||||||||
26,000 | 6.375%, 04/01/26 | 28,242 | ||||||
65,000 | 6.875%, 05/15/23 | 69,875 | ||||||
50,000 | Caesars Entertainment Resort Properties LLC, 8.000%, 10/01/20 | 51,250 | ||||||
115,000 | ESH Hospitality, Inc., 5.250%, 05/01/25 (a) | 118,450 | ||||||
125,000 | Hilton Domestic Operating Co., Inc., | 128,162 | ||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., | ||||||||
35,000 | 4.625%, 04/01/25 | 36,571 | ||||||
35,000 | 4.875%, 04/01/27 | 37,013 | ||||||
200,000 | International Game Technology plc (United Kingdom), 6.250%, 02/15/22 (a) | 220,500 | ||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, | ||||||||
30,000 | 4.750%, 06/01/27 (a) | 30,788 | ||||||
38,000 | 5.000%, 06/01/24 (a) | 39,721 | ||||||
95,000 | 5.250%, 06/01/26 (a) | 100,106 | ||||||
MGM Resorts International, | ||||||||
46,000 | 6.000%, 03/15/23 | 50,830 | ||||||
115,000 | 6.625%, 12/15/21 | 129,088 | ||||||
40,000 | 7.750%, 03/15/22 | 46,800 | ||||||
26,000 | NCL Corp. Ltd. (Bermuda), | 26,943 | ||||||
50,000 | Scientific Games International, Inc., | 53,375 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., | ||||||||
50,000 | 4.250%, 05/30/23 (a) | 51,125 | ||||||
70,000 | 5.250%, 05/15/27 (a) | 70,700 | ||||||
235,000 | 5.500%, 03/01/25 (a) | 244,988 | ||||||
|
| |||||||
1,960,793 | ||||||||
|
| |||||||
Household Durables — 1.1% | ||||||||
55,000 | Brookfield Residential Properties, Inc. (Canada), 6.500%, 12/15/20 (a) | 56,513 | ||||||
50,000 | CalAtlantic Group, Inc., 8.375%, 05/15/18 | 52,063 |
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Household Durables — continued |
| |||||||
Lennar Corp., | ||||||||
20,000 | 4.125%, 01/15/22 | 20,600 | ||||||
100,000 | 4.500%, 04/30/24 | 103,500 | ||||||
27,000 | 4.750%, 11/15/22 | 28,215 | ||||||
PulteGroup, Inc., | ||||||||
26,000 | 4.250%, 03/01/21 | 27,011 | ||||||
60,000 | 5.500%, 03/01/26 | 64,500 | ||||||
55,000 | Tempur Sealy International, Inc., | 56,768 | ||||||
|
| |||||||
409,170 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.4% | ||||||||
Netflix, Inc., | ||||||||
25,000 | 4.375%, 11/15/26 (a) | 24,375 | ||||||
26,000 | 5.500%, 02/15/22 | 27,950 | ||||||
70,000 | 5.875%, 02/15/25 | 75,775 | ||||||
|
| |||||||
128,100 | ||||||||
|
| |||||||
Media — 9.9% | ||||||||
Altice Luxembourg S.A. (Luxembourg), | ||||||||
200,000 | 7.625%, 02/15/25 (a) | 216,440 | ||||||
200,000 | 7.750%, 05/15/22 (a) | 212,250 | ||||||
200,000 | Altice US Finance I Corp., | 211,625 | ||||||
AMC Entertainment Holdings, Inc., | ||||||||
25,000 | 5.750%, 06/15/25 | 23,750 | ||||||
70,000 | 5.875%, 11/15/26 | 65,712 | ||||||
AMC Networks, Inc., | ||||||||
20,000 | 4.750%, 12/15/22 | 20,625 | ||||||
20,000 | 4.750%, 08/01/25 | 20,050 | ||||||
90,000 | 5.000%, 04/01/24 | 92,812 | ||||||
200,000 | Cequel Communications Holdings I LLC/Cequel Capital Corp., | 220,750 | ||||||
65,000 | Cinemark USA, Inc., | 64,838 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
180,000 | Series B, 6.500%, 11/15/22 | 184,950 | ||||||
220,000 | Series B, 7.625%, 03/15/20 | 219,175 | ||||||
CSC Holdings LLC, | ||||||||
200,000 | 10.125%, 01/15/23 (a) | 231,690 | ||||||
167,000 | 10.875%, 10/15/25 (a) | 205,410 | ||||||
DISH DBS Corp., | ||||||||
100,000 | 5.875%, 07/15/22 | 107,813 | ||||||
104,000 | 5.875%, 11/15/24 | 112,190 | ||||||
180,000 | 6.750%, 06/01/21 | 198,675 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued |
| |||||||
80,000 | Nexstar Broadcasting, Inc., | 82,800 | ||||||
75,000 | Quebecor Media, Inc. (Canada), | 80,250 | ||||||
70,000 | Regal Entertainment Group, | 72,618 | ||||||
55,000 | Sinclair Television Group, Inc., | 56,375 | ||||||
Sirius XM Radio, Inc., | ||||||||
36,000 | 5.375%, 04/15/25 (a) | 38,055 | ||||||
135,000 | 6.000%, 07/15/24 (a) | 145,838 | ||||||
TEGNA, Inc., | ||||||||
40,000 | 5.125%, 10/15/19 | 40,600 | ||||||
40,000 | 5.125%, 07/15/20 | 41,012 | ||||||
25,000 | 6.375%, 10/15/23 | 26,531 | ||||||
180,000 | Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH (Germany), | 186,300 | ||||||
Viacom, Inc., | ||||||||
50,000 | (USD 3 Month LIBOR+3.895%), | 50,000 | ||||||
50,000 | (USD 3 Month LIBOR+3.899%), | 50,125 | ||||||
Videotron Ltd. (Canada), | ||||||||
28,000 | 5.000%, 07/15/22 | 29,960 | ||||||
80,000 | 5.125%, 04/15/27 (a) | 82,400 | ||||||
150,000 | Ziggo Secured Finance BV (Netherlands), | 154,688 | ||||||
|
| |||||||
3,546,307 | ||||||||
|
| |||||||
Multiline Retail — 0.7% | ||||||||
230,000 | Dollar Tree, Inc., | 242,650 | ||||||
|
| |||||||
Retail Consumer Discretionary — 0.3% | ||||||||
QVC, Inc., | ||||||||
65,000 | 4.375%, 03/15/23 | 67,293 | ||||||
25,000 | 4.850%, 04/01/24 | 26,081 | ||||||
|
| |||||||
93,374 | ||||||||
|
| |||||||
Specialty Retail — 0.6% | ||||||||
L Brands, Inc., | ||||||||
38,000 | 5.625%, 02/15/22 | 40,137 | ||||||
90,000 | 6.625%, 04/01/21 | 98,100 | ||||||
70,000 | Penske Automotive Group, Inc., | 70,700 | ||||||
26,000 | Sally Holdings LLC/Sally Capital, Inc., | 26,553 | ||||||
|
| |||||||
235,490 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 9 |
JPMorgan Disciplined High Yield ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||
Hanesbrands, Inc., | ||||||||
32,000 | 4.625%, 05/15/24 (a) | 33,280 | ||||||
80,000 | 4.875%, 05/15/26 (a) | 83,200 | ||||||
|
| |||||||
116,480 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
100,000 | Inmarsat Finance plc (United Kingdom), | 101,750 | ||||||
|
| |||||||
Total Consumer Discretionary | 9,285,049 | |||||||
|
| |||||||
Consumer Staples — 3.3% | ||||||||
Beverages — 0.2% | ||||||||
70,000 | Cott Beverages, Inc., | 72,712 | ||||||
|
| |||||||
Food & Staples Retailing — 0.9% | ||||||||
20,000 | Cott Holdings, Inc., | 20,975 | ||||||
Rite Aid Corp., | ||||||||
165,000 | 6.125%, 04/01/23 (a) | 162,113 | ||||||
32,000 | 9.250%, 03/15/20 | 33,120 | ||||||
105,000 | Tesco plc (United Kingdom), | 110,131 | ||||||
|
| |||||||
326,339 | ||||||||
|
| |||||||
Food Products — 1.2% | ||||||||
100,000 | B&G Foods, Inc., | 102,750 | ||||||
Lamb Weston Holdings, Inc., | ||||||||
16,000 | 4.625%, 11/01/24 (a) | 16,500 | ||||||
16,000 | 4.875%, 11/01/26 (a) | 16,602 | ||||||
Post Holdings, Inc., | ||||||||
180,000 | 5.000%, 08/15/26 (a) | 180,000 | ||||||
20,000 | 5.500%, 03/01/25 (a) | 20,800 | ||||||
20,000 | 5.750%, 03/01/27 (a) | 20,700 | ||||||
85,000 | TreeHouse Foods, Inc., | 89,888 | ||||||
|
| |||||||
447,240 | ||||||||
|
| |||||||
Household Products — 0.7% | ||||||||
HRG Group, Inc., | ||||||||
52,000 | 7.750%, 01/15/22 | 54,470 | ||||||
75,000 | 7.875%, 07/15/19 | 76,406 | ||||||
105,000 | Spectrum Brands, Inc., | 111,694 | ||||||
|
| |||||||
242,570 | ||||||||
|
| |||||||
Personal Products — 0.3% | ||||||||
60,000 | Avon International Operations, Inc., | 62,633 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — continued |
| |||||||
Edgewell Personal Care Co., | ||||||||
20,000 | 4.700%, 05/19/21 | 21,300 | ||||||
20,000 | 4.700%, 05/24/22 | 21,499 | ||||||
|
| |||||||
105,432 | ||||||||
|
| |||||||
Total Consumer Staples | 1,194,293 | |||||||
|
| |||||||
Energy — 13.7% | ||||||||
Energy Equipment & Services — 1.7% | ||||||||
Diamond Offshore Drilling, Inc., | ||||||||
35,000 | 4.875%, 11/01/43 | 23,975 | ||||||
32,000 | 5.700%, 10/15/39 | 24,480 | ||||||
Ensco plc (United Kingdom), | ||||||||
35,000 | 4.500%, 10/01/24 | 25,725 | ||||||
61,000 | 5.200%, 03/15/25 | 45,445 | ||||||
38,000 | 5.750%, 10/01/44 | 24,415 | ||||||
36,000 | 8.000%, 01/31/24 (a) | 32,400 | ||||||
Nabors Industries, Inc., | ||||||||
116,000 | 4.625%, 09/15/21 | 110,128 | ||||||
76,000 | 5.000%, 09/15/20 | 76,000 | ||||||
62,000 | SESI LLC, 7.125%, 12/15/21 | 62,310 | ||||||
36,100 | Transocean Proteus Ltd. (Cayman Islands), | 37,815 | ||||||
Transocean, Inc. (Cayman Islands), | ||||||||
5,000 | 6.000%, 03/15/18 | 5,094 | ||||||
40,000 | 6.800%, 03/15/38 | 30,600 | ||||||
115,000 | 9.000%, 07/15/23 (a) | 122,475 | ||||||
|
| |||||||
620,862 | ||||||||
|
| |||||||
Oil & Gas Services & Equipment — 0.2% | ||||||||
88,000 | Rowan Co., Inc., 4.875%, 06/01/22 | 79,860 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 11.5% | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp., | ||||||||
40,000 | 5.250%, 01/15/25 | 42,400 | ||||||
70,000 | 6.250%, 10/15/22 | 74,200 | ||||||
Antero Resources Corp., | ||||||||
100,000 | 5.125%, 12/01/22 | 100,250 | ||||||
100,000 | 5.375%, 11/01/21 | 101,750 | ||||||
60,000 | 5.625%, 06/01/23 | 61,050 | ||||||
Carrizo Oil & Gas, Inc., | ||||||||
55,000 | 6.250%, 04/15/23 | 53,350 | ||||||
55,000 | 7.500%, 09/15/20 | 55,756 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
60,000 | 5.125%, 06/30/27 (a) | 62,100 | ||||||
114,000 | 5.875%, 03/31/25 | 122,550 | ||||||
115,000 | 7.000%, 06/30/24 | 130,812 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
134,000 | Chesapeake Energy Corp., | 138,522 | ||||||
Concho Resources, Inc., | ||||||||
25,000 | 5.500%, 10/01/22 | 25,750 | ||||||
140,000 | 5.500%, 04/01/23 | 144,200 | ||||||
CONSOL Energy, Inc., | ||||||||
170,000 | 5.875%, 04/15/22 | 170,000 | ||||||
20,000 | 8.000%, 04/01/23 | 21,100 | ||||||
Continental Resources, Inc., | ||||||||
46,000 | 3.800%, 06/01/24 | 42,780 | ||||||
100,000 | 4.500%, 04/15/23 | 98,500 | ||||||
169,000 | 5.000%, 09/15/22 | 169,845 | ||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., | ||||||||
40,000 | 5.750%, 04/01/25 | 40,500 | ||||||
59,000 | 6.250%, 04/01/23 | 60,917 | ||||||
DCP Midstream Operating LP, | ||||||||
10,000 | 3.875%, 03/15/23 | 9,738 | ||||||
35,000 | 5.350%, 03/15/20 (a) | 36,837 | ||||||
20,000 | (USD 3 Month LIBOR+3.850%), | 18,550 | ||||||
Energy Transfer Equity LP, | ||||||||
35,000 | 5.500%, 06/01/27 | 37,275 | ||||||
100,000 | 5.875%, 01/15/24 | 107,750 | ||||||
105,000 | 7.500%, 10/15/20 | 118,519 | ||||||
65,000 | Genesis Energy LP/Genesis Energy Finance Corp., | 65,813 | ||||||
Gulfport Energy Corp., | ||||||||
35,000 | 6.000%, 10/15/24 (a) | 34,300 | ||||||
20,000 | 6.375%, 05/15/25 (a) | 19,675 | ||||||
MEG Energy Corp. (Canada), | ||||||||
20,000 | 6.500%, 01/15/25 (a) | 18,575 | ||||||
20,000 | 7.000%, 03/31/24 (a) | 15,900 | ||||||
Murphy Oil Corp., | ||||||||
10,000 | 4.000%, 06/01/22 | 9,800 | ||||||
40,000 | 4.700%, 12/01/22 | 39,348 | ||||||
40,000 | 6.875%, 08/15/24 | 42,250 | ||||||
Newfield Exploration Co., | ||||||||
70,000 | 5.375%, 01/01/26 | 73,150 | ||||||
90,000 | 5.625%, 07/01/24 | 95,733 | ||||||
26,000 | 5.750%, 01/30/22 | 27,430 | ||||||
100,000 | Oasis Petroleum, Inc., | 97,500 | ||||||
35,000 | Parsley Energy LLC/Parsley Finance Corp., | 35,175 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
80,000 | Peabody Energy Corp., | 81,600 | ||||||
QEP Resources, Inc., | ||||||||
45,000 | 5.250%, 05/01/23 | 42,750 | ||||||
55,000 | 6.875%, 03/01/21 | 57,063 | ||||||
Range Resources Corp., | ||||||||
65,000 | 4.875%, 05/15/25 | 62,237 | ||||||
30,000 | 5.000%, 08/15/22 (a) | 29,550 | ||||||
40,000 | 5.000%, 03/15/23 (a) | 39,304 | ||||||
80,000 | Rice Energy, Inc., | 83,200 | ||||||
26,000 | RSP Permian, Inc., | 26,975 | ||||||
60,000 | Seven Generations Energy Ltd. (Canada), | 62,400 | ||||||
SM Energy Co., | ||||||||
70,000 | 5.625%, 06/01/25 | 63,350 | ||||||
30,000 | 6.125%, 11/15/22 | 28,350 | ||||||
70,000 | 6.750%, 09/15/26 | 65,975 | ||||||
Southwestern Energy Co., | ||||||||
66,000 | 4.100%, 03/15/22 | 60,885 | ||||||
24,000 | 5.800%, 01/23/20 | 24,720 | ||||||
90,000 | 6.700%, 01/23/25 | 87,750 | ||||||
Sunoco LP/Sunoco Finance Corp., | ||||||||
70,000 | 6.250%, 04/15/21 | 72,800 | ||||||
28,000 | 6.375%, 04/01/23 | 29,505 | ||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., | ||||||||
65,000 | 4.125%, 11/15/19 | 65,731 | ||||||
20,000 | 4.250%, 11/15/23 | 19,850 | ||||||
35,000 | 6.750%, 03/15/24 | 37,888 | ||||||
Ultra Resources, Inc., | ||||||||
20,000 | 6.875%, 04/15/22 (a) | 19,675 | ||||||
44,000 | 7.125%, 04/15/25 (a) | 42,900 | ||||||
Whiting Petroleum Corp., | ||||||||
85,000 | 5.000%, 03/15/19 | 84,150 | ||||||
32,000 | 5.750%, 03/15/21 | 30,080 | ||||||
Williams Co., Inc. (The), | ||||||||
30,000 | 3.700%, 01/15/23 | 29,775 | ||||||
115,000 | 4.550%, 06/24/24 | 117,588 | ||||||
WPX Energy, Inc., | ||||||||
100,000 | 6.000%, 01/15/22 | 103,125 | ||||||
30,000 | 8.250%, 08/01/23 | 32,925 | ||||||
|
| |||||||
4,121,751 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 11 |
JPMorgan Disciplined High Yield ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Refining & Marketing — 0.2% | ||||||||
60,000 | PBF Holding Co. LLC/PBF Finance Corp., | 59,400 | ||||||
|
| |||||||
Utilities — 0.1% | ||||||||
40,000 | NGL Energy Partners LP/NGL Energy Finance Corp., | 38,500 | ||||||
|
| |||||||
Total Energy | 4,920,373 | |||||||
|
| |||||||
Financials — 7.0% | ||||||||
Banks — 3.4% | ||||||||
66,000 | CIT Group, Inc., 5.000%, 08/15/22 | 71,438 | ||||||
240,000 | Dresdner Funding Trust I, | 306,177 | ||||||
200,000 | Intesa Sanpaolo SpA MTN (Italy), | 204,698 | ||||||
180,000 | Lloyds Bank plc, (USD 3 Month LIBOR+11.756%) (United Kingdom), | 243,900 | ||||||
Royal Bank of Scotland Group plc (United Kingdom), | ||||||||
100,000 | 5.125%, 05/28/24 | 105,483 | ||||||
55,000 | 6.000%, 12/19/23 | 60,948 | ||||||
205,000 | 6.125%, 12/15/22 | 225,757 | ||||||
|
| |||||||
1,218,401 | ||||||||
|
| |||||||
Capital Markets — 0.4% | ||||||||
MSCI, Inc., | ||||||||
20,000 | 4.750%, 08/01/26 (a) | 20,750 | ||||||
70,000 | 5.250%, 11/15/24 (a) | 74,550 | ||||||
46,000 | 5.750%, 08/15/25 (a) | 50,020 | ||||||
|
| |||||||
145,320 | ||||||||
|
| |||||||
Consumer Finance — 2.5% | ||||||||
200,000 | Ally Financial, Inc., | 205,750 | ||||||
Navient Corp. MTN, | ||||||||
100,000 | 5.500%, 01/25/23 | 101,000 | ||||||
54,000 | 8.000%, 03/25/20 | 59,603 | ||||||
195,000 | 8.450%, 06/15/18 | 204,506 | ||||||
OneMain Financial Holdings LLC, | ||||||||
26,000 | 6.750%, 12/15/19 (a) | 27,137 | ||||||
70,000 | 7.250%, 12/15/21 (a) | 73,413 | ||||||
Springleaf Finance Corp., | ||||||||
26,000 | 5.250%, 12/15/19 | 26,975 | ||||||
40,000 | 6.125%, 05/15/22 | 41,900 | ||||||
31,000 | 7.750%, 10/01/21 | 34,875 | ||||||
90,000 | 8.250%, 12/15/20 | 101,250 | ||||||
|
| |||||||
876,409 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 0.2% | ||||||||
65,000 | Leucadia National Corp., | 69,941 | ||||||
|
| |||||||
Financial Services — 0.4% | ||||||||
125,000 | Goldman Sachs Capital I, | 157,663 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
40,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., | 40,814 | ||||||
|
| |||||||
Total Financials | 2,508,548 | |||||||
|
| |||||||
Health Care — 6.7% | ||||||||
Health Care Equipment & Supplies — 0.5% | ||||||||
90,000 | Hologic, Inc., | 94,752 | ||||||
Mallinckrodt International Finance S.A./Mallinckrodt CB LLC (Luxembourg), | ||||||||
26,000 | 5.625%, 10/15/23 (a) | 24,895 | ||||||
80,000 | 5.750%, 08/01/22 (a) | 78,800 | ||||||
|
| |||||||
198,447 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.0% | ||||||||
55,000 | Acadia Healthcare Co., Inc., | 57,337 | ||||||
Centene Corp., | ||||||||
44,000 | 4.750%, 01/15/25 | 45,430 | ||||||
125,000 | 5.625%, 02/15/21 | 130,000 | ||||||
DaVita, Inc., | ||||||||
54,000 | 5.000%, 05/01/25 | 54,745 | ||||||
160,000 | 5.125%, 07/15/24 | 163,300 | ||||||
Envision Healthcare Corp., | ||||||||
46,000 | 5.125%, 07/01/22 (a) | 47,783 | ||||||
100,000 | 5.625%, 07/15/22 | 104,000 | ||||||
HCA, Inc., | ||||||||
50,000 | 5.000%, 03/15/24 | 53,125 | ||||||
136,000 | 5.375%, 02/01/25 | 143,480 | ||||||
45,000 | 5.500%, 06/15/47 | 46,519 | ||||||
275,000 | 6.500%, 02/15/20 | 299,469 | ||||||
110,000 | HealthSouth Corp., | 113,300 | ||||||
100,000 | LifePoint Health, Inc., | 103,800 | ||||||
40,000 | Molina Healthcare, Inc., | 41,700 | ||||||
Tenet Healthcare Corp., | ||||||||
40,000 | 4.625%, 07/15/24 (a) | 39,992 | ||||||
80,000 | 5.125%, 05/01/25 (a) | 80,496 | ||||||
165,000 | 6.000%, 10/01/20 | 175,674 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Health Care Providers & Services — continued |
| |||||||
75,000 | WellCare Health Plans, Inc., | 78,563 | ||||||
|
| |||||||
1,778,713 | ||||||||
|
| |||||||
Pharmaceuticals — 1.2% | ||||||||
200,000 | Endo DAC/Endo Finance LLC/Endo Finco, Inc., | 167,034 | ||||||
20,000 | Endo Finance LLC/Endo Finco, Inc., | 16,750 | ||||||
Valeant Pharmaceuticals International, Inc. (Canada), | ||||||||
60,000 | 6.500%, 03/15/22 (a) | 62,925 | ||||||
182,000 | 7.000%, 03/15/24 (a) | 193,147 | ||||||
|
| |||||||
439,856 | ||||||||
|
| |||||||
Total Health Care | 2,417,016 | |||||||
|
| |||||||
Industrials — 10.0% | ||||||||
Aerospace & Defense — 2.8% | ||||||||
Arconic, Inc., | ||||||||
76,000 | 5.125%, 10/01/24 | 80,560 | ||||||
115,000 | 5.400%, 04/15/21 | 123,337 | ||||||
40,000 | 6.150%, 08/15/20 | 43,770 | ||||||
Bombardier, Inc. (Canada), | ||||||||
20,000 | 6.125%, 01/15/23 (a) | 20,519 | ||||||
155,000 | 7.500%, 03/15/25 (a) | 164,978 | ||||||
72,000 | 8.750%, 12/01/21 (a) | 81,787 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
25,000 | 5.000%, 12/15/21 (a) | 25,750 | ||||||
55,000 | 5.000%, 11/15/25 (a) | 59,537 | ||||||
110,000 | KLX, Inc., | 115,363 | ||||||
100,000 | Meccanica Holdings USA, Inc., | 112,500 | ||||||
TransDigm, Inc., | ||||||||
62,000 | 6.000%, 07/15/22 | 64,170 | ||||||
20,000 | 6.375%, 06/15/26 | 20,575 | ||||||
110,000 | 6.500%, 07/15/24 | 114,263 | ||||||
|
| |||||||
1,027,109 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.4% | ||||||||
145,000 | XPO Logistics, Inc., | 152,250 | ||||||
|
| |||||||
Airlines — 0.2% | ||||||||
65,000 | American Airlines Group, Inc., | 67,762 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Auto Components — 0.8% | ||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp., | ||||||||
125,000 | 5.875%, 02/01/22 | 128,556 | ||||||
155,000 | 6.000%, 08/01/20 | 159,650 | ||||||
|
| |||||||
288,206 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% | ||||||||
50,000 | Clean Harbors, Inc., | 50,875 | ||||||
Herc Rentals, Inc., | ||||||||
50,000 | 7.500%, 06/01/22 (a) | 54,750 | ||||||
50,000 | 7.750%, 06/01/24 (a) | 54,750 | ||||||
|
| |||||||
160,375 | ||||||||
|
| |||||||
Construction & Engineering — 0.5% | ||||||||
AECOM, | ||||||||
64,000 | 5.125%, 03/15/27 (a) | 65,120 | ||||||
28,000 | 5.750%, 10/15/22 | 29,263 | ||||||
70,000 | 5.875%, 10/15/24 | 76,563 | ||||||
|
| |||||||
170,946 | ||||||||
|
| |||||||
Electrical Equipment — 0.8% | ||||||||
56,000 | Sensata Technologies BV (Netherlands), | 58,660 | ||||||
200,000 | Sensata Technologies UK Financing Co. plc (United Kingdom), | 218,500 | ||||||
|
| |||||||
277,160 | ||||||||
|
| |||||||
Machinery — 0.8% | ||||||||
60,000 | Allison Transmission, Inc., | 61,800 | ||||||
CNH Industrial Capital LLC, | ||||||||
55,000 | 4.375%, 11/06/20 | 57,337 | ||||||
20,000 | 4.375%, 04/05/22 | 20,900 | ||||||
120,000 | Vertiv Group Corp., | 133,500 | ||||||
|
| |||||||
273,537 | ||||||||
|
| |||||||
Media — 0.6% | ||||||||
210,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (a) | 217,350 | ||||||
|
| |||||||
Road & Rail — 0.2% | ||||||||
60,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.500%, 04/01/23 | 60,507 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.7% | ||||||||
91,000 | Aircastle Ltd. (Bermuda), 5.500%, 02/15/22 | 99,190 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 13 |
JPMorgan Disciplined High Yield ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Trading Companies & Distributors — continued |
| |||||||
HD Supply, Inc., | ||||||||
115,000 | 5.250%, 12/15/21 (a) | 120,750 | ||||||
36,000 | 5.750%, 04/15/24 (a) | 38,610 | ||||||
United Rentals North America, Inc., | ||||||||
136,000 | 4.625%, 07/15/23 | 141,994 | ||||||
120,000 | 5.500%, 05/15/27 | 127,200 | ||||||
70,000 | 5.875%, 09/15/26 | 76,195 | ||||||
|
| |||||||
603,939 | ||||||||
|
| |||||||
Trucking & Leasing — 0.8% | ||||||||
Park Aerospace Holdings Ltd. (Cayman Islands), | ||||||||
183,000 | 5.250%, 08/15/22 (a) | 190,320 | ||||||
100,000 | 5.500%, 02/15/24 (a) | 104,000 | ||||||
|
| |||||||
294,320 | ||||||||
|
| |||||||
Total Industrials | 3,593,461 | |||||||
|
| |||||||
Information Technology — 7.4% | ||||||||
Communications Equipment — 0.7% | ||||||||
CommScope Technologies LLC, | ||||||||
30,000 | 5.000%, 03/15/27 (a) | 29,897 | ||||||
135,000 | 6.000%, 06/15/25 (a) | 143,437 | ||||||
25,000 | CommScope, Inc., | 26,062 | ||||||
Nokia OYJ (Finland), | ||||||||
30,000 | 3.375%, 06/12/22 | 30,300 | ||||||
30,000 | 4.375%, 06/12/27 | 30,816 | ||||||
|
| |||||||
260,512 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% | ||||||||
CDW LLC/CDW Finance Corp., | ||||||||
30,000 | 5.000%, 09/01/23 | 31,237 | ||||||
30,000 | 5.000%, 09/01/25 | 31,275 | ||||||
27,000 | Zebra Technologies Corp., | 28,620 | ||||||
|
| |||||||
91,132 | ||||||||
|
| |||||||
Health Care Technology — 0.6% | ||||||||
200,000 | Quintiles IMS, Inc., | 209,500 | ||||||
|
| |||||||
Internet Software & Services — 0.3% | ||||||||
VeriSign, Inc., | ||||||||
65,000 | 4.625%, 05/01/23 | 66,869 | ||||||
30,000 | 4.750%, 07/15/27 (a) | 30,522 | ||||||
|
| |||||||
97,391 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — 1.6% | ||||||||
First Data Corp., | ||||||||
55,000 | 5.000%, 01/15/24 (a) | 57,200 | ||||||
160,000 | 5.750%, 01/15/24 (a) | 168,248 | ||||||
310,000 | 7.000%, 12/01/23 (a) | 334,025 | ||||||
|
| |||||||
559,473 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.8% | ||||||||
Micron Technology, Inc., | ||||||||
36,000 | 5.250%, 08/01/23 (a) | 37,485 | ||||||
28,000 | 5.500%, 02/01/25 | 29,574 | ||||||
200,000 | NXP BV/NXP Funding LLC (Netherlands), | 209,200 | ||||||
|
| |||||||
276,259 | ||||||||
|
| |||||||
Software — 0.7% | ||||||||
CDK Global, Inc., | ||||||||
30,000 | 4.500%, 10/15/24 | 32,049 | ||||||
30,000 | 4.875%, 06/01/27 (a) | 30,450 | ||||||
30,000 | Nuance Communications, Inc., | 31,312 | ||||||
Open Text Corp. (Canada), | ||||||||
70,000 | 5.625%, 01/15/23 (a) | 73,762 | ||||||
30,000 | 5.875%, 06/01/26 (a) | 32,513 | ||||||
50,000 | Sabre GLBL, Inc., | 51,250 | ||||||
|
| |||||||
251,336 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.9% | ||||||||
EMC Corp., | ||||||||
92,000 | 1.875%, 06/01/18 | 91,668 | ||||||
25,000 | 2.650%, 06/01/20 | 24,660 | ||||||
80,000 | 3.375%, 06/01/23 | 77,239 | ||||||
NCR Corp., | ||||||||
25,000 | 5.000%, 07/15/22 | 25,500 | ||||||
60,000 | 6.375%, 12/15/23 | 64,170 | ||||||
330,000 | Western Digital Corp., | 391,462 | ||||||
|
| |||||||
674,699 | ||||||||
|
| |||||||
Wireless Telecommunication — 0.6% | ||||||||
Hughes Satellite Systems Corp., | ||||||||
90,000 | 6.500%, 06/15/19 | 96,413 | ||||||
80,000 | 6.625%, 08/01/26 | 87,300 | ||||||
32,000 | 7.625%, 06/15/21 | 36,440 | ||||||
|
| |||||||
220,153 | ||||||||
|
| |||||||
Total Information Technology | 2,640,455 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Materials — 8.9% | ||||||||
Chemicals — 2.3% | ||||||||
100,000 | Ashland LLC, | 104,375 | ||||||
Blue Cube Spinco, Inc., | ||||||||
65,000 | 9.750%, 10/15/23 | 78,812 | ||||||
25,000 | 10.000%, 10/15/25 | 30,813 | ||||||
CF Industries, Inc., | ||||||||
36,000 | 5.375%, 03/15/44 | 32,760 | ||||||
38,000 | 7.125%, 05/01/20 | 41,895 | ||||||
Chemours Co. (The), | ||||||||
150,000 | 5.375%, 05/15/27 | 156,375 | ||||||
120,000 | 6.625%, 05/15/23 | 127,350 | ||||||
26,000 | 7.000%, 05/15/25 | 28,665 | ||||||
60,000 | Huntsman International LLC, | 62,925 | ||||||
100,000 | Platform Specialty Products Corp., | 103,750 | ||||||
60,000 | WR Grace & Co.-Conn, | 65,250 | ||||||
|
| |||||||
832,970 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% | ||||||||
Ball Corp., | ||||||||
20,000 | 4.000%, 11/15/23 | 20,300 | ||||||
90,000 | 5.250%, 07/01/25 | 98,100 | ||||||
60,000 | Berry Plastics Corp., | 62,700 | ||||||
90,000 | Crown Americas LLC/Crown Americas Capital Corp IV, | 94,275 | ||||||
60,000 | Owens-Brockway Glass Container, Inc., | 65,850 | ||||||
|
| |||||||
341,225 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% | ||||||||
Novelis Corp., | ||||||||
213,000 | 5.875%, 09/30/26 (a) | 222,053 | ||||||
105,000 | 6.250%, 08/15/24 (a) | 110,906 | ||||||
|
| |||||||
332,959 | ||||||||
|
| |||||||
Metals & Mining — 4.7% | ||||||||
200,000 | Alcoa Nederland Holding BV (Netherlands), | 219,500 | ||||||
Allegheny Technologies, Inc., | ||||||||
25,000 | 5.950%, 01/15/21 | 25,437 | ||||||
25,000 | 7.875%, 08/15/23 | 26,875 | ||||||
200,000 | Anglo American Capital plc (United Kingdom), | 210,000 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued |
| |||||||
ArcelorMittal (Luxembourg), | ||||||||
56,000 | 6.750%, 03/01/41 | 64,837 | ||||||
25,000 | 7.250%, 02/25/22 | 28,125 | ||||||
135,000 | 7.500%, 10/15/39 | 159,637 | ||||||
200,000 | Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc. (Ireland), | 212,250 | ||||||
FMG Resources August 2006 Pty Ltd. (Australia), | ||||||||
30,000 | 4.750%, 05/15/22 (a) | 30,975 | ||||||
100,000 | 5.125%, 05/15/24 (a) | 103,750 | ||||||
Freeport-McMoRan, Inc., | ||||||||
30,000 | 3.550%, 03/01/22 | 29,494 | ||||||
175,000 | 3.875%, 03/15/23 | 173,250 | ||||||
68,000 | 5.450%, 03/15/43 | 63,410 | ||||||
25,000 | Hudbay Minerals, Inc. (Canada), | 27,563 | ||||||
20,000 | Kinross Corp. (Canada), | 21,252 | ||||||
60,000 | Steel Dynamics, Inc., | 61,572 | ||||||
Teck Resources Ltd. (Canada), | ||||||||
26,000 | 4.750%, 01/15/22 | 27,269 | ||||||
90,000 | 6.250%, 07/15/41 | 99,000 | ||||||
90,000 | United States Steel Corp., | 99,450 | ||||||
|
| |||||||
1,683,646 | ||||||||
|
| |||||||
Total Materials | 3,190,800 | |||||||
|
| |||||||
Real Estate — 2.3% | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.9% | ||||||||
100,000 | Equinix, Inc., | 109,750 | ||||||
Iron Mountain, Inc., | ||||||||
75,000 | 5.750%, 08/15/24 | 76,504 | ||||||
90,000 | 6.000%, 10/01/20 (a) | 93,150 | ||||||
25,000 | 6.000%, 08/15/23 | 26,531 | ||||||
30,000 | Lamar Media Corp., | 30,825 | ||||||
25,000 | MPT Operating Partnership LP/MPT Finance Corp., | 25,938 | ||||||
SBA Communications Corp., | ||||||||
26,000 | 4.875%, 07/15/22 | 26,910 | ||||||
100,000 | 4.875%, 09/01/24 | 103,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 15 |
JPMorgan Disciplined High Yield ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued | ||||||||
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC, | ||||||||
80,000 | 6.000%, 04/15/23 (a) | 80,200 | ||||||
100,000 | 8.250%, 10/15/23 | 97,710 | ||||||
|
| |||||||
670,768 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% | ||||||||
136,000 | GLP Capital LP/GLP Financing II, Inc., | 147,560 | ||||||
|
| |||||||
Total Real Estate | 818,328 | |||||||
|
| |||||||
Telecommunication Services — 9.5% | ||||||||
Diversified Telecommunication | ||||||||
CenturyLink, Inc., | ||||||||
125,000 | 5.800%, 03/15/22 | 124,219 | ||||||
46,000 | 6.450%, 06/15/21 | 48,127 | ||||||
135,000 | Embarq Corp., | 137,025 | ||||||
Frontier Communications Corp., | ||||||||
64,000 | 10.500%, 09/15/22 | 57,600 | ||||||
268,000 | 11.000%, 09/15/25 | 233,830 | ||||||
Level 3 Financing, Inc., | ||||||||
90,000 | 5.375%, 08/15/22 | 92,592 | ||||||
32,000 | 5.375%, 01/15/24 | 32,710 | ||||||
SFR Group S.A. (France), | ||||||||
200,000 | 6.000%, 05/15/22 (a) | 210,000 | ||||||
475,000 | 7.375%, 05/01/26 (a) | 513,009 | ||||||
36,000 | Telecom Italia Capital S.A. (Luxembourg), | 46,253 | ||||||
200,000 | Telecom Italia SpA (Italy), | 216,500 | ||||||
30,000 | Telefonaktiebolaget LM Ericsson (Sweden), | 30,477 | ||||||
255,000 | Wind Acquisition Finance S.A. (Luxembourg), | 265,129 | ||||||
Zayo Group LLC/Zayo Capital, Inc., | ||||||||
130,000 | 6.000%, 04/01/23 | 137,599 | ||||||
32,000 | 6.375%, 05/15/25 | 34,390 | ||||||
|
| |||||||
2,179,460 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 3.4% | ||||||||
200,000 | Millicom International Cellular S.A. (Luxembourg), | 206,750 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — continued | ||||||||
225,000 | SoftBank Group Corp. (Japan), | 232,594 | ||||||
10,000 | Sprint Capital Corp., | 11,000 | ||||||
41,000 | Sprint Communications, Inc., | 44,280 | ||||||
Sprint Corp., | ||||||||
10,000 | 7.125%, 06/15/24 | 10,987 | ||||||
390,000 | 7.875%, 09/15/23 | 445,626 | ||||||
T-Mobile USA, Inc., | ||||||||
10,000 | 6.375%, 03/01/25 | 10,769 | ||||||
180,000 | 6.500%, 01/15/26 | 199,350 | ||||||
64,000 | 6.625%, 04/01/23 | 67,440 | ||||||
|
| |||||||
1,228,796 | ||||||||
|
| |||||||
Total Telecommunication Services | 3,408,256 | |||||||
|
| |||||||
Utilities — 3.1% | ||||||||
Electric Utilities — 1.0% | ||||||||
110,000 | Emera, Inc., (USD 3 Month LIBOR+5.440%) (Canada), 6.750%, 06/15/76 (d) | 125,509 | ||||||
200,000 | Enel SpA, (GBP 5 year swap rate+5.880%) (Italy), 8.750%, 09/24/73 (a)(d) | 241,750 | ||||||
|
| |||||||
367,259 | ||||||||
|
| |||||||
Gas Utilities — 0.4% | ||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., | ||||||||
46,000 | 5.500%, 05/20/25 | 46,575 | ||||||
40,000 | 5.625%, 05/20/24 | 41,500 | ||||||
40,000 | 5.875%, 08/20/26 | 40,800 | ||||||
15,000 | Suburban Propane Partners LP/Suburban Energy Finance Corp., 5.500%, 06/01/24 | 14,775 | ||||||
|
| |||||||
143,650 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.7% | ||||||||
85,000 | AES Corp., | 96,262 | ||||||
Calpine Corp., | ||||||||
46,000 | 5.375%, 01/15/23 | 43,758 | ||||||
140,000 | 5.750%, 01/15/25 | 128,800 | ||||||
28,000 | DPL, Inc., | 30,450 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Independent Power and Renewable Electricity Producers — continued | ||||||||
NRG Energy, Inc., | ||||||||
185,000 | 6.625%, 01/15/27 | 194,250 | ||||||
106,000 | 7.250%, 05/15/26 | 113,950 | ||||||
|
| |||||||
607,470 | ||||||||
|
| |||||||
Total Utilities | 1,118,379 | |||||||
|
| |||||||
Total Corporate Bonds | 35,094,958 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Short-Term Investment — 0.6% | ||||||||
Investment Company — 0.6% | ||||||||
227,857 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 227,857 | ||||||
|
| |||||||
Total Investments — 98.4% | 35,322,815 | |||||||
Other Assets in Excess of | 574,227 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 35,897,042 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 17 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — 2.0% | ||||||||
United States — 2.0% | ||||||||
47,000 | American Credit Acceptance Receivables Trust, Series 2016-4, Class D, 4.110%, 04/12/23 (a) | 48,055 | ||||||
58,000 | AmeriCredit Automobile Receivables Trust, Series 2017-3, Class D, 3.180%, 07/18/23 | 58,249 | ||||||
203,048 | Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 5.093%, 11/25/34 | 207,248 | ||||||
149,754 | Credit-Based Asset Servicing & Securitization LLC, Series 2004-CB5, Class M1, (USD 1 month LIBOR+0.915%), 2.147%, 01/25/34 (d) | 145,757 | ||||||
144,623 | CWABS, Inc. Asset-Backed Certificates, Series 2003-5, Class AF5, SUB, 5.256%, 02/25/34 (h) | 147,446 | ||||||
350,000 | Exeter Automobile Receivables Trust, Series 2016-3A, Class D, 6.400%, 07/17/23 (a) | 362,874 | ||||||
100,000 | Exeter Automobile Receivables Trust, Series 2015-2A, Class D, 5.790%, 05/16/22 (a) | 101,453 | ||||||
293,000 | Opportunity Funding LLC, Series 2017-1A, 3.970%, 06/08/23 | 291,616 | ||||||
100,000 | Renew, Series 2017-1A, Class B, 5.750%, 09/20/52 (a) | 101,832 | ||||||
150,000 | Structured Asset Investment Loan Trust, Series 2005-HE3, Class M1, | 148,238 | ||||||
101,359 | Structured Asset Investment Loan Trust, Series 2004-8, Class M3, | 96,943 | ||||||
428,312 | VOLT LX LLC, Series 2017-NPL7, Class A1, SUB, 3.250%, 04/25/59 (a) | 430,740 | ||||||
|
| |||||||
Total Asset-Backed Securities | 2,140,451 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 7.6% | ||||||||
United States — 7.6% | ||||||||
100,000 | Banc of America Commercial Mortgage, Series 2007-3, Class C, 5.883%, 06/10/49 (e) (f) | 100,957 | ||||||
100,000 | Banc of America Commercial Mortgage, Series 2006-1, Class E, 5.967%, 09/10/45 (a) (e) (f) | 102,046 | ||||||
150,000 | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class AJ, 5.933%, 06/11/50 (e) | 150,188 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
90,000 | CD Commercial Mortgage Trust, Series 2014-CD4, Class D, 3.300%, 04/10/27 | 74,290 | ||||||
77,668 | Chase Mortgage Finance, Series 2007-A1, Class 1A5, 3.476%, 02/25/37 (e) | 78,217 | ||||||
430,000 | Citigroup Commercial Mortgage Trust, Series 2015-P1, Class D, 3.225%, 09/15/48 | 352,957 | ||||||
150,000 | Citigroup Commercial Mortgage Trust, Series 2014-GC21, Class C, 4.780%, 05/10/24 | 156,127 | ||||||
350,000 | Citigroup Commercial Mortgage Trust, Series 2016-P5, 4.324%, 10/10/26 (h) | 356,474 | ||||||
364,662 | COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class AJ, 5.891%, 05/15/46 (e) | 371,045 | ||||||
150,000 | Commercial Mortgage Trust, Series 2015-CR24, Class D, 3.463%, 08/10/48 (e) | 119,062 | ||||||
141,909 | Countrywide Alternative Loan Trust, Series 05-6CB, Class 1A6, 5.500%, 04/25/35 | 143,935 | ||||||
100,000 | CSAIL Commercial Mortgage Trust, Series 2017-C8, Class C, 4.320%, 06/15/50 (h) | 105,290 | ||||||
514,815 | Fannie Mae REMICS, Series 2016-77, IO, 4.766%, 10/25/46 | 112,906 | ||||||
1,522,632 | Fannie Mae REMICS, Series 2016-57, Class SA, IO, (USD 1 month LIBOR+6.000%), 4.768%, 08/25/46 (d) | 335,019 | ||||||
866,866 | Fannie Mae REMICS STRIPS, Series 2010-57, Class ID, IO, 4.000%, 06/25/25 | 61,782 | ||||||
594,354 | Fannie Mae REMICS STRIPS, Series 409, Class 35, IO, 4.000%, 04/25/27 | 60,913 | ||||||
Fannie Mae REMICS STRIPS, IO, | ||||||||
661,160 | 4.766%, 11/25/46 | 145,256 | ||||||
217,200 | 4.866%, 09/25/42 | 47,132 | ||||||
418,366 | 4.916%, 12/25/42 | 93,893 | ||||||
693,022 | Fannie Mae REMICS STRIPS, Series 2013-100, Class ZM, IO, 4.000%, 06/25/40 | 67,810 | ||||||
3,425,960 | Fannie Mae REMICS STRIPS, Series 2012-146, IO, 3.000%, 01/25/28 | 318,701 | ||||||
299,864 | Fannie Mae REMICS STRIPS, Series 2012-124, Class UI, IO, 4.000%, 11/25/42 | 54,539 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates, IO | ||||||||
1,915,000 | 1.496%, 04/25/43 | 180,947 | ||||||
1,010,000 | 1.553%, 10/25/43 | 104,078 | ||||||
3,025,000 | 1.750%, 01/25/43 | 297,640 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
United States — continued | ||||||||
2,640,000 | Freddie Mac Multifamily Structured Pass Through Certificates, Series K036, Class X3, 2.110%, 12/25/41 (e) | 298,408 | ||||||
750,000 | Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K052, Class X3, IO, 1.612%, 01/25/44 (e) | 83,057 | ||||||
1,395,000 | Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K051, Class X3, IO, 1.614%, 10/25/43 (e) | 151,652 | ||||||
3,470,000 | Freddie Mac Multifamily Structured Pass Through Certificates STRIPS, Series K041, Class X3, IO, 1.642%, 11/25/42 (e) | 347,409 | ||||||
10,025,000 | Freddie Mac STRIPS, IO, 1.438%, 02/25/43 | 578,338 | ||||||
884,853 | Freddie Mac STRIPS, Series 2016-77, IO, 4.923%, 06/15/47 | 198,131 | ||||||
429,413 | Government National Mortgage Association, Series 2016-122, Class BI, IO, 4.000%, 09/20/46 | 89,943 | ||||||
57,348 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class AM, 5.948%, 06/15/49 (e) | 58,716 | ||||||
85,000 | JPMorgan Commercial Mortgage, Series 2004-CBX, Class C, 5.066%, 01/12/37 | 88,236 | ||||||
95,263 | LB Commercial Conduit Mortgage Trust, Series 2007-C3, Class AJ, 5.908%, 07/15/44 (e) | 95,726 | ||||||
142,880 | MLCC Mortgage Investors, Series 04-C, Class A1, 1.794%, 07/25/29 | 136,357 | ||||||
150,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C15, Class D, 4.893%, 04/15/24 (a) (e) | 140,483 | ||||||
450,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, 3.250%, 12/15/47 (h) | 363,436 | ||||||
98,781 | Morgan Stanley Capital I Trust, Series HQ7, Class E, 5.142%, 11/14/42 (e) | 99,960 | ||||||
415,000 | Morgan Stanley Capital I Trust, Series 2006-HQ6, 5.461%, 03/12/44 (h) | 411,552 | ||||||
394,024 | Morgan Stanley Capital, Inc., Series 2004-NC8, 3.859%, 09/25/34 | 388,988 | ||||||
250,000 | Murray Hill Market Trust, Series 16-LCI, Class B, 6.150%, 11/25/22 | 255,408 | ||||||
37,543 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-8, Class 3A, 3.409%, 07/25/34 (e) | 37,464 | ||||||
168,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class C, 5.935%, 04/15/47 (e) | 170,453 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
200,000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Class D, 4.103%, 05/15/48 (e) (h) | 177,834 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 8,162,755 | |||||||
|
| |||||||
Corporate Bonds — 62.2% | ||||||||
Argentina — 0.6% | ||||||||
130,000 | Pampa Energia S.A., 7.375%, 07/21/23 (a) | 140,530 | ||||||
YPF S.A., | ||||||||
120,000 | 6.950%, 07/21/27 (a) | 127,770 | ||||||
340,000 | 8.500%, 03/23/21 (j) | 385,560 | ||||||
|
| |||||||
653,860 | ||||||||
|
| |||||||
Australia — 0.4% | ||||||||
200,000 | Australia & New Zealand Banking Group Ltd., (USD 5 year swap mid price+5.168%), 6.750%, 12/29/49 (a) (d) (f) | 223,586 | ||||||
GBP 100,000 | BHP Billiton Finance Ltd., (GBP 5 year swap rate+4.817%), | 150,180 | ||||||
|
| |||||||
373,766 | ||||||||
|
| |||||||
Belgium — 0.3% | ||||||||
155,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46 | 176,613 | ||||||
EUR 100,000 | Solvay Finance S.A., (EUR 5 year swap rate+3.700%), 5.425%, 11/29/49 (d) (f) (j) | 136,585 | ||||||
|
| |||||||
313,198 | ||||||||
|
| |||||||
Bermuda — 0.2% | ||||||||
200,000 | Tengizchevroil Finance Co., International Ltd., 4.000%, 08/15/26 (j) | 199,364 | ||||||
|
| |||||||
Brazil — 0.9% | ||||||||
187,000 | JBS USA LUX S.A., 7.250%, 06/01/21 (a) | 191,133 | ||||||
Petrobras Global Finance BV, | ||||||||
143,000 | 7.250%, 03/17/44 | 147,647 | ||||||
20,000 | 7.375%, 01/17/27 | 22,065 | ||||||
200,000 | Suzano Austria GmbH, 5.750%, 07/14/26 (j) | 217,000 | ||||||
200,000 | VM Holding S.A., 5.375%, 05/04/27 (j) | 210,200 | ||||||
200,000 | Votorantim Cimentos S.A., 7.250%, 04/05/41 (j) | 210,250 | ||||||
|
| |||||||
998,295 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 19 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Canada — 1.4% | ||||||||
100,000 | 1011778 BC ULC/New Red Finance, Inc., 6.000%, 04/01/22 (a) | 103,300 | ||||||
300,000 | Canadian Pacific Railway Co., | 315,464 | ||||||
135,000 | Cenovus Energy, Inc., 6.750%, 11/15/39 | 145,887 | ||||||
14,000 | Cott Holdings, Inc., 5.500%, 04/01/25 (a) | 14,682 | ||||||
170,000 | Emera US Finance LP, 3.550%, 06/15/26 | 173,208 | ||||||
100,000 | Encana Corp., 6.500%, 08/15/34 | 114,214 | ||||||
14,000 | Kronos Acquisition Holdings, Inc., | 13,864 | ||||||
MEG Energy Corp., | ||||||||
110,000 | 6.375%, 01/30/23 (a) | 87,862 | ||||||
74,000 | 6.500%, 01/15/25 (a) | 68,728 | ||||||
376,000 | Quebecor Media, Inc., 5.750%, 01/15/23 | 402,320 | ||||||
104,000 | Teck Resources Ltd., 6.125%, 10/01/35 | 114,660 | ||||||
|
| |||||||
1,554,189 | ||||||||
|
| |||||||
Cayman Islands — 0.0% | ||||||||
52,000 | Shelf Drilling Holdings Ltd., 9.500%, 11/02/20 (a) | 50,440 | ||||||
|
| |||||||
France — 3.6% | ||||||||
EUR 200,000 | BPCE S.A. MTN, (EUR 5 year swap rate+2.370%), 2.750%, 11/30/27 (d) (j) | 256,120 | ||||||
EUR 100,000 | Casino Guichard Perrachon S.A. MTN, (EUR 5 year swap rate+3.819%), 4.870%, 01/31/49 (d) (f) (j) | 120,197 | ||||||
EUR 200,000 | Credit Agricole S.A., (EUR 5 year swap rate+5.120%), 6.500%, 12/31/49 (d) (f) (j) | 263,922 | ||||||
EUR 200,000 | Europcar Groupe S.A., 5.750%, 06/15/22 (j) | 251,463 | ||||||
EUR 100,000 | Faurecia, 3.625%, 06/15/23 (j) | 125,531 | ||||||
EUR 200,000 | Fnac Darty S.A., 3.250%, 09/30/23 (j) | 250,251 | ||||||
EUR 100,000 | Horizon Holdings I SAS, 7.250%, 08/01/23 (j) | 127,378 | ||||||
EUR 250,000 | Loxam SAS, 3.500%, 05/03/23 (j) | 311,146 | ||||||
NEW Areva Holding S.A. MTN, | ||||||||
EUR 200,000 | 3.125%, 03/20/23 (j) | 244,949 | ||||||
EUR 50,000 | 4.375%, 11/06/19 | 63,807 | ||||||
EUR 100,000 | NewCo Sab MidCo SASU, 5.375%, 04/15/25 (j) | 124,225 | ||||||
EUR 150,000 | Novafives SAS, 4.500%, 06/30/21 (j) | 181,280 | ||||||
EUR 250,000 | Peugeot S.A. MTN, 2.375%, 04/14/23 (j) | 315,469 | ||||||
EUR 200,000 | Rexel S.A. MTN, 2.625%, 06/15/24 (j) | 241,679 | ||||||
EUR 150,000 | SFR Group S.A., 5.625%, 05/15/24 (j) | 192,853 | ||||||
200,000 | Societe Generale S.A., (USD 5 year swap mid price+5.873%), 8.000%, 12/30/49 (a) (d) (f) | 230,000 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
France — continued | ||||||||
EUR 200,000 | SPIE S.A., 3.125%, 03/22/24 (j) | 247,732 | ||||||
TOTAL S.A. MTN, | ||||||||
EUR 125,000 | (EUR 5 year swap rate+1.861%), 2.250%, 12/29/49 (d) (f) (j) | 152,154 | ||||||
EUR 100,000 | (EUR 5 year swap rate+3.783%), 3.875%, 12/29/49 (d) (f) (j) | 128,828 | ||||||
|
| |||||||
3,828,984 | ||||||||
|
| |||||||
Gabon — 0.2% | ||||||||
200,000 | Gabonese Republic, 6.375%, 12/12/24 (j) | 197,000 | ||||||
|
| |||||||
Germany — 1.5% | ||||||||
EUR 100,000 | Commerzbank AG MTN, 7.750%, 03/16/21 | 145,998 | ||||||
300,000 | Deutsche Bank AG, 4.250%, 10/14/21 | 316,635 | ||||||
EUR 100,000 | HP Pelzer Holding GmbH, 4.125%, 04/01/24 (j) | 122,170 | ||||||
EUR 300,000 | IHO Verwaltungs GmbH, 3.250% Cash/4.000% PIK, 09/15/2023 (i) (j) | 369,115 | ||||||
EUR 100,000 | Kirk Beauty One GmbH, 8.750%, 07/15/23 (j) | 129,574 | ||||||
EUR 150,000 | Unitymedia GmbH, 3.750%, 01/15/27 (j) | 180,324 | ||||||
EUR 100,000 | Unitymedia Hessen GmbH & Co., KG/Unitymedia NRW GmbH, 4.000%, 01/15/25 (j) | 125,890 | ||||||
EUR 200,000 | WEPA Hygieneprodukte GmbH, 3.750%, 05/15/24 (j) | 247,317 | ||||||
|
| |||||||
1,637,023 | ||||||||
|
| |||||||
Guatemala — 0.2% | ||||||||
200,000 | Comcel Trust via Comunicaciones Celulares S.A., 6.875%, 02/06/24 (j) | 212,900 | ||||||
|
| |||||||
Ireland — 1.1% | ||||||||
EUR 100,000 | Allied Irish Banks plc MTN, (EUR 5 year swap rate+3.950%), 4.125%, 11/26/25 (d) (j) | 127,527 | ||||||
Ardagh Packaging Finance plc/Ardagh Holdings USA, Inc., | ||||||||
EUR 100,000 | 4.125%, 05/15/23 (j) | 126,721 | ||||||
EUR 175,000 | 6.750%, 05/15/24 (j) | 233,328 | ||||||
EUR 100,000 | Bank of Ireland MTN, (EUR 5 year swap rate+3.550%), 4.250%, 06/11/24 (d) (j) | 125,720 | ||||||
EUR 200,000 | eircom Finance DAC, 4.500%, 05/31/22 (j) | 248,505 | ||||||
EUR 250,000 | Smurfit Kappa Acquisitions Co., | 308,171 | ||||||
|
| |||||||
1,169,972 | ||||||||
|
| |||||||
Israel — 0.1% | ||||||||
EUR 100,000 | Teva Pharmaceutical Finance Netherlands II BV, 1.125%, 10/15/24 (j) | 109,978 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Italy — 2.3% | ||||||||
GBP 25,000 | Autostrade per l’Italia SpA MTN, | 39,306 | ||||||
GBP 50,000 | Enel Finance International NV MTN, | 80,065 | ||||||
200,000 | Enel Finance International NV, | 201,774 | ||||||
Enel SpA, | ||||||||
EUR 200,000 | (EUR 5 year swap rate+3.648%), | 257,590 | ||||||
GBP 100,000 | (GBP 5 year swap rate+5.662%), | 147,737 | ||||||
275,000 | Intesa Sanpaolo SpA, 3.875%, 07/14/27 (a) | 275,655 | ||||||
EUR 200,000 | Leonardo SpA MTN, 4.875%, 03/24/25 | 289,283 | ||||||
EUR 100,000 | N&W Global Vending SpA, 7.000%, 10/15/23 (j) | 125,176 | ||||||
EUR 100,000 | Snaitech SpA, 6.375%, 11/07/21 (j) | 127,747 | ||||||
Telecom Italia SpA MTN, | ||||||||
EUR 125,000 | 3.625%, 01/19/24 (j) | 166,553 | ||||||
EUR 225,000 | 3.625%, 05/25/26 (j) | 298,062 | ||||||
Wind Acquisition Finance S.A., | ||||||||
EUR 200,000 | 7.000%, 04/23/21 (j) | 247,728 | ||||||
200,000 | 7.375%, 04/23/21 (a) | 207,944 | ||||||
|
| |||||||
2,464,620 | ||||||||
|
| |||||||
Japan — 0.3% | ||||||||
EUR 275,000 | SoftBank Group Corp., 4.000%, 07/30/22 (j) | 356,837 | ||||||
|
| |||||||
Kuwait — 0.2% | ||||||||
200,000 | Kuwait Projects Co. SPC Ltd., 5.000%, 03/15/23 (j) | 213,000 | ||||||
|
| |||||||
Luxembourg — 2.3% | ||||||||
Altice Luxembourg S.A., | ||||||||
EUR 100,000 | 6.250%, 02/15/25 (j) | 129,277 | ||||||
200,000 | 7.750%, 05/15/22 (a) | 212,250 | ||||||
EUR 225,000 | ArcelorMittal MTN, 3.125%, 01/14/22 (j) | 291,173 | ||||||
97,000 | ArcelorMittal, 7.250%, 02/25/22 | 109,125 | ||||||
EUR 100,000 | Auris Luxembourg II S.A., 8.000%, 01/15/23 (j) | 126,771 | ||||||
EUR 150,000 | Galapagos S.A., 5.375%, 06/15/21 (j) | 181,053 | ||||||
EUR 100,000 | INEOS Group Holdings S.A., 5.375%, 08/01/24 (j) | 127,182 | ||||||
Intelsat Jackson Holdings S.A., | ||||||||
14,000 | 7.250%, 10/15/20 | 13,326 | ||||||
60,000 | 7.500%, 04/01/21 | 56,268 | ||||||
75,000 | 8.000%, 02/15/24 (a) | 80,741 | ||||||
EUR 100,000 | Matterhorn Telecom S.A., 3.875%, 05/01/22 (j) | 122,711 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Luxembourg — continued | ||||||||
200,000 | Minerva Luxembourg S.A., | 200,490 | ||||||
EUR 250,000 | SES S.A., (EUR 5 year swap rate+4.664%), 4.625%, 12/31/49 (d) (f) (j) | 319,342 | ||||||
EUR 200,000 | SIG Combibloc Holdings SCA, | 251,775 | ||||||
EUR 200,000 | Telenet Finance VI Luxembourg SCA, | 261,870 | ||||||
|
| |||||||
2,483,354 | ||||||||
|
| |||||||
Mexico — 0.8% | ||||||||
200,000 | Banco Mercantil del Norte S.A., (U.S. Treasury yield curve rate T-Note+Constant maturity 5 year+5.035%), | 210,840 | ||||||
Petroleos Mexicanos MTN, | ||||||||
60,000 | 6.500%, 03/13/27 (a) | 67,110 | ||||||
280,000 | 6.750%, 09/21/47 (a) | 301,028 | ||||||
230,000 | 6.875%, 08/04/26 | 264,454 | ||||||
|
| |||||||
843,432 | ||||||||
|
| |||||||
Netherlands — 1.7% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, | ||||||||
155,000 | 3.650%, 07/21/27 | 155,793 | ||||||
150,000 | 4.625%, 07/01/22 | 161,678 | ||||||
EUR 100,000 | Gas Natural Fenosa Finance BV, (EUR 8 year swap rate+3.353%), | 127,830 | ||||||
EUR 100,000 | ING Groep NV MTN, (EUR 5 year swap rate+2.850%), 3.000%, 04/11/28 (d) | 129,750 | ||||||
200,000 | ING Groep NV, (USD 5 year swap rate+5.124%), 6.875%, 12/29/49 (d) (f) (j) | 215,600 | ||||||
EUR 200,000 | Koninklijke KPN NV, (EUR 5 year swap rate+5.202%), 6.125%, 03/29/49 (d) (f) (j) | 250,975 | ||||||
53,000 | Petrobras Global Finance BV, 8.375%, 05/23/21 | 60,181 | ||||||
35,000 | Shell International Finance BV, 4.125%, 05/11/35 | 37,325 | ||||||
160,000 | Teva Pharmaceutical Finance Netherlands III BV, 3.150%, 10/01/26 | 146,554 | ||||||
EUR 120,000 | UPC Holding BV, 6.750%, 03/15/23 (j) | 151,996 | ||||||
EUR 100,000 | UPCB Finance IV Ltd., 4.000%, 01/15/27 (j) | 124,753 | ||||||
EUR 200,000 | Ziggo Bond Finance BV, 4.625%, 01/15/25 (j) | 251,530 | ||||||
|
| |||||||
1,813,965 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 21 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
New Zealand — 0.1% | ||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC / Reynolds Group Issuer, | ||||||||
62,000 | 5.125%, 07/15/23 (a) | 64,615 | ||||||
70,000 | 5.750%, 10/15/20 | 71,305 | ||||||
|
| |||||||
135,920 | ||||||||
|
| |||||||
Peru — 0.0% | ||||||||
40,000 | Southern Copper Corp., 5.875%, 04/23/45 | 45,250 | ||||||
|
| |||||||
Portugal — 0.4% | ||||||||
EUR 100,000 | EDP — Energias de Portugal S.A., (EUR 5 year swap rate+5.043%), 5.375%, 09/16/75 (d) (j) | 131,282 | ||||||
EUR 200,000 | EDP Finance BV MTN, 2.375%, 03/23/23 (j) | 256,801 | ||||||
|
| |||||||
388,083 | ||||||||
|
| |||||||
Qatar — 0.2% | ||||||||
200,000 | ABQ Finance Ltd. MTN, 3.500%, 02/22/22 (j) | 196,750 | ||||||
|
| |||||||
Spain — 1.5% | ||||||||
EUR 100,000 | Bankia S.A., (EUR 5 year swap rate+3.350%), 3.375%, 03/15/27 (d) (j) | 124,015 | ||||||
EUR 100,000 | CaixaBank S.A. MTN, (EUR 5 year swap rate+3.350%), 3.500%, 02/15/27 (d) (j) | 126,307 | ||||||
EUR 250,000 | Cirsa Funding Luxembourg S.A., 5.750%, 05/15/21 (j) | 313,981 | ||||||
EUR 100,000 | eDreams ODIGEO S.A., 8.500%, 08/01/21 (j) | 129,537 | ||||||
EUR 100,000 | Gestamp Funding Luxembourg S.A., 3.500%, 05/15/23 (j) | 124,527 | ||||||
EUR 100,000 | Grupo-Antolin Irausa S.A., 3.250%, 04/30/24 (j) | 122,021 | ||||||
EUR 100,000 | Repsol International Finance BV, (EUR Swap Annual 10 Year+4.200%), 4.500%, 03/25/75 (d) (j) | 126,371 | ||||||
EUR 400,000 | Telefonica Europe BV, (EUR 6 year swap rate+3.804%), 5.000%, 03/31/49 (d) (f) (j) | 510,940 | ||||||
|
| |||||||
1,577,699 | ||||||||
|
| |||||||
Sweden — 0.9% | ||||||||
Skandinaviska Enskilda Banken AB MTN | ||||||||
EUR 100,000 | (EUR 5 year swap rate+1.450%), 2.500%, 05/28/26 (d) (j) | 126,296 | ||||||
200,000 | (USD 5 year swap rate+3.850%), 5.750%, 11/29/49 (d) (f) (j) | 207,390 | ||||||
EUR 180,000 | Verisure Holding AB, 6.000%, 11/01/22 (j) | 232,083 | ||||||
EUR 100,000 | Volvo Car AB, 3.250%, 05/18/21 (j) | 129,163 | ||||||
EUR 200,000 | Volvo Treasury AB, (EUR 5 year swap rate+4.101%), 4.850%, 03/10/78 (d) (j) | 266,674 | ||||||
|
| |||||||
961,606 | ||||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Switzerland — 0.6% | ||||||||
GBP 100,000 | Glencore Finance Europe S.A., 6.000%, 04/03/22 (j) | 151,830 | ||||||
EUR 400,000 | UBS Group AG, (EUR 5 year swap rate+5.287%), 5.750%, 12/29/49 (d) (f) (j) | 531,535 | ||||||
|
| |||||||
683,365 | ||||||||
|
| |||||||
United Kingdom — 3.4% | ||||||||
EUR 150,000 | Anglo American Capital plc MTN, 3.250%, 04/03/23 (j) | 198,216 | ||||||
BAT Capital Corp., | ||||||||
270,000 | 3.557%, 08/15/27 (a) | 273,850 | ||||||
125,000 | 4.390%, 08/15/37 (a) | 128,584 | ||||||
BP Capital Markets plc, | ||||||||
30,000 | 3.588%, 04/14/27 | 31,080 | ||||||
240,000 | 3.814%, 02/10/24 | 255,346 | ||||||
EUR 125,000 | CNH Industrial Finance Europe S.A. MTN, 2.875%, 05/17/23 (j) | 161,110 | ||||||
EUR 200,000 | Fiat Chrysler Automobiles NV MTN, 3.750%, 03/29/24 (j) | 258,370 | ||||||
200,000 | HSBC Holdings plc, (USD 5 year swap mid price+4.368%), 6.375%, 12/29/49 (d) (f) | 214,250 | ||||||
EUR 100,000 | INEOS Finance plc, 4.000%, 05/01/23 (j) | 123,207 | ||||||
GBP 100,000 | Jaguar Land Rover Automotive plc, 3.875%, 03/01/23 (j) | 135,425 | ||||||
200,000 | Lloyds Banking Group plc, 4.582%, 12/10/25 | 210,674 | ||||||
EUR 100,000 | NGG Finance plc, (EUR 7 year swap rate+2.880%), 4.250%, 06/18/76 (d) (j) | 128,628 | ||||||
131,000 | Royal Bank of Scotland Group plc, 6.100%, 06/10/23 | 144,767 | ||||||
400,000 | Santander UK Group Holdings plc, 3.571%, 01/10/23 | 410,160 | ||||||
EUR 200,000 | Sky plc MTN, 1.500%, 09/15/21 (j) | 248,606 | ||||||
GBP 100,000 | Standard Life Aberdeen plc MTN, (U.K. Government bonds 5 year note generic bid yield+4.850%), 5.500%, 12/04/42 (d) (j) | 145,381 | ||||||
EUR 100,000 | Synlab Unsecured Bondco plc, 8.250%, 07/01/23 (j) | 132,047 | ||||||
EUR 250,000 | Tesco Corporate Treasury Services plc MTN, 2.125%, 11/12/20 (j) | 312,285 | ||||||
EUR 100,000 | Worldpay Finance plc, 3.750%, 11/15/22 (j) | 133,710 | ||||||
|
| |||||||
3,645,696 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — 37.0% | ||||||||
120,000 | 21st Century Fox America, Inc., 4.950%, 10/15/45 | 132,842 | ||||||
97,000 | Acadia Healthcare Co., Inc., 6.500%, 03/01/24 | 104,275 | ||||||
50,000 | ACCO Brands Corp., 5.250%, 12/15/24 (a) | 51,500 | ||||||
EUR 100,000 | Adient Global Holdings Ltd., 3.500%, 08/15/24 (j) | 122,158 | ||||||
125,000 | ADT Corp., 4.125%, 06/15/23 | 126,562 | ||||||
89,000 | AECOM, 5.875%, 10/15/24 | 97,344 | ||||||
69,000 | AES Corp., 5.500%, 04/15/25 | 71,932 | ||||||
45,000 | Air Lease Corp., 3.000%, 09/15/23 | 45,012 | ||||||
35,000 | AK Steel Corp., 7.000%, 03/15/27 | 35,612 | ||||||
215,000 | Albertsons Co. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC, 6.625%, 06/15/24 | 205,217 | ||||||
Allergan Funding SCS, | ||||||||
40,000 | 3.800%, 03/15/25 | 41,827 | ||||||
100,000 | 4.550%, 03/15/35 | 107,206 | ||||||
Ally Financial, Inc., | ||||||||
155,000 | 4.250%, 04/15/21 | 160,037 | ||||||
164,000 | 4.625%, 05/19/22 | 170,560 | ||||||
Altria Group, Inc., | ||||||||
115,000 | 3.875%, 09/16/46 | 111,270 | ||||||
40,000 | 4.000%, 01/31/24 | 42,969 | ||||||
15,000 | 4.250%, 08/09/42 | 15,310 | ||||||
Amazon.com, Inc., | ||||||||
45,000 | 2.800%, 08/22/24 (a) | 45,561 | ||||||
65,000 | 4.050%, 08/22/47 (a) | 67,005 | ||||||
105,000 | AMC Entertainment Holdings, Inc., 5.750%, 06/15/25 | 99,750 | ||||||
132,000 | AMC Networks, Inc., 5.000%, 04/01/24 | 136,125 | ||||||
American Axle & Manufacturing, Inc., | ||||||||
20,000 | 6.500%, 04/01/27 (a) | 19,700 | ||||||
294,000 | 6.625%, 10/15/22 | 303,922 | ||||||
145,000 | American International Group, Inc., 4.800%, 07/10/45 | 158,564 | ||||||
80,000 | American Tower Corp. REIT, 5.000%, 02/15/24 | 88,885 | ||||||
45,000 | Amkor Technology, Inc., 6.375%, 10/01/22 | 46,462 | ||||||
50,000 | AMN Healthcare, Inc., 5.125%, 10/01/24 (a) | 51,250 | ||||||
210,000 | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 208,439 | ||||||
Analog Devices, Inc., | ||||||||
15,000 | 3.500%, 12/05/26 | 15,404 | ||||||
10,000 | 4.500%, 12/05/36 | 10,416 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp., | ||||||||
97,000 | 5.250%, 01/15/25 | 102,820 | ||||||
85,000 | 6.375%, 05/01/24 | 92,438 | ||||||
Anheuser-Busch InBev Finance, Inc., | ||||||||
35,000 | 3.650%, 02/01/26 | 36,464 | ||||||
20,000 | 4.700%, 02/01/36 | 22,172 | ||||||
105,000 | Anixter, Inc., 5.500%, 03/01/23 | 112,875 | ||||||
204,000 | Antero Resources Corp., 5.125%, 12/01/22 | 204,510 | ||||||
Apple, Inc., | ||||||||
30,000 | 3.350%, 02/09/27 | 31,075 | ||||||
45,000 | 3.850%, 08/04/46 | 45,578 | ||||||
98,000 | Arch Merger Sub, Inc., 8.500%, 09/15/25 (a) | 95,550 | ||||||
314,000 | Arconic, Inc., 5.900%, 02/01/27 | 342,260 | ||||||
AT&T, Inc., | ||||||||
40,000 | 3.400%, 05/15/25 | 39,734 | ||||||
95,000 | 3.900%, 08/14/27 | 95,997 | ||||||
75,000 | 4.300%, 12/15/42 | 69,640 | ||||||
35,000 | 4.800%, 06/15/44 | 34,000 | ||||||
45,000 | 5.150%, 02/14/50 | 45,376 | ||||||
20,000 | 5.250%, 03/01/37 | 21,075 | ||||||
175,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.500%, 04/01/23 | 176,479 | ||||||
EUR 100,000 | Axalta Coating Systems LLC, 4.250%, 08/15/24 (j) | 126,866 | ||||||
EUR 250,000 | Ball Corp., 4.375%, 12/15/23 | 340,022 | ||||||
Bank of America Corp. MTN, | ||||||||
270,000 | 2.625%, 04/19/21 | 272,868 | ||||||
150,000 | (USD 3 month LIBOR+1.575%), 3.824%, 01/20/28 (d) | 154,690 | ||||||
30,000 | 4.250%, 10/22/26 | 31,470 | ||||||
400,000 | Bank of America Corp., PO, 0.000%, 04/27/23 | 270,428 | ||||||
230,000 | Bank of America Corp., (USD 3 month LIBOR+4.553%), 6.300%, 12/29/49 (d) (f) | 259,037 | ||||||
62,000 | Berry Plastics Corp., 5.125%, 07/15/23 | 64,790 | ||||||
96,000 | Blue Cube Spinco, Inc., 10.000%, 10/15/25 | 118,320 | ||||||
50,000 | Blue Racer Midstream LLC/Blue Racer Finance Corp., 6.125%, 11/15/22 (a) | 51,375 | ||||||
50,000 | Boardwalk Pipelines LP, 3.375%, 02/01/23 | 49,790 | ||||||
Boyd Gaming Corp., | ||||||||
52,000 | 6.375%, 04/01/26 | 56,485 | ||||||
30,000 | 6.875%, 05/15/23 | 32,250 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 23 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
210,000 | Broadcom Corp./Broadcom Cayman Finance Ltd., 3.625%, 01/15/24 (a) | 216,349 | ||||||
Buckeye Partners LP, | ||||||||
30,000 | 3.950%, 12/01/26 | 29,832 | ||||||
171,000 | 4.150%, 07/01/23 | 177,581 | ||||||
125,000 | Burlington Northern Santa Fe LLC, 4.550%, 09/01/44 | 138,715 | ||||||
111,000 | Cablevision Systems Corp., 8.000%, 04/15/20 | 122,794 | ||||||
85,000 | CalAtlantic Group, Inc., 5.875%, 11/15/24 | 92,225 | ||||||
20,000 | California Resources Corp., 8.000%, 12/15/22 (a) | 11,050 | ||||||
42,000 | Callon Petroleum Co., 6.125%, 10/01/24 | 42,630 | ||||||
76,000 | Calpine Corp., 5.250%, 06/01/26 (a) | 74,480 | ||||||
Capital One Financial Corp., | ||||||||
50,000 | 3.750%, 03/09/27 | 50,705 | ||||||
175,000 | 4.200%, 10/29/25 | 180,528 | ||||||
55,000 | Cardinal Health Inc., 4.368%, 06/15/47 | 56,391 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
140,000 | 5.125%, 05/01/27 (a) | 144,200 | ||||||
650,000 | 5.750%, 02/15/26 (a) | 687,173 | ||||||
125,000 | Centene Corp., 6.125%, 02/15/24 | 134,531 | ||||||
20,000 | Central Garden & Pet Co., 6.125%, 11/15/23 | 21,300 | ||||||
140,000 | CenturyLink, Inc., 7.500%, 04/01/24 | 146,650 | ||||||
234,000 | CF Industries, Inc., 4.500%, 12/01/26 (a) | 243,520 | ||||||
45,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, 4.908%, 07/23/25 | 48,209 | ||||||
37,000 | Chemours Co. (The), 7.000%, 05/15/25 | 40,792 | ||||||
62,000 | Cheniere Corpus Christi Holdings LLC, 5.875%, 03/31/25 | 66,650 | ||||||
Chesapeake Energy Corp., | ||||||||
16,000 | 8.000%, 12/15/22 (a) | 16,540 | ||||||
42,000 | 8.000%, 01/15/25 (a) | 40,477 | ||||||
65,000 | 8.000%, 06/15/27 (a) | 61,750 | ||||||
125,000 | Cincinnati Bell, Inc., 7.000%, 07/15/24 (a) | 123,750 | ||||||
250,000 | Cisco Systems, Inc., 2.600%, 02/28/23 | 254,154 | ||||||
164,000 | CIT Group, Inc., 5.000%, 08/15/22 | 177,514 | ||||||
25,000 | CITGO Petroleum Corp., 6.250%, 08/15/22 (a) | 25,250 | ||||||
Citigroup, Inc., (d) | ||||||||
135,000 | 3.875%, 03/26/25 | 138,313 | ||||||
55,000 | 4.125%, 07/25/28 | 56,764 | ||||||
130,000 | 4.400%, 06/10/25 | 137,474 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
200,000 | (USD 3 month LIBOR+4.059%), 5.875%, 12/29/49 (d) (f) | 209,000 | ||||||
90,000 | Clean Harbors, Inc., 5.125%, 06/01/21 | 91,575 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
402,000 | 6.500%, 11/15/22 | 413,055 | ||||||
125,000 | 7.625%, 03/15/20 | 124,531 | ||||||
Comcast Corp., | ||||||||
110,000 | 3.200%, 07/15/36 | 102,365 | ||||||
105,000 | 4.600%, 08/15/45 | 114,065 | ||||||
70,000 | Commercial Metals Co., 4.875%, 05/15/23 | 72,100 | ||||||
227,000 | CommScope Technologies LLC, 6.000%, 06/15/25 (a) | 241,187 | ||||||
55,000 | Community Health System, Inc., 7.125%, 07/15/20 | 51,734 | ||||||
35,000 | Concho Resources, Inc., 5.500%, 04/01/23 | 36,050 | ||||||
Continental Resources, Inc., | ||||||||
105,000 | 4.500%, 04/15/23 | 103,425 | ||||||
85,000 | 5.000%, 09/15/22 | 85,425 | ||||||
105,000 | Cooper-Standard Automotive, Inc., 5.625%, 11/15/26 (a) | 105,656 | ||||||
70,000 | CoreCivic, Inc. REIT, 4.625%, 05/01/23 | 71,050 | ||||||
35,000 | Covanta Holding Corp., 5.875%, 07/01/25 | 34,737 | ||||||
35,000 | Crestwood Midstream Partners LP/Crestwood Modstream Finance Corp., 6.250%, 04/01/23 | 36,137 | ||||||
62,000 | Crown Americas LLC/Crown Americas Capital Corp. V, 4.250%, 09/30/26 | 62,310 | ||||||
EUR 150,000 | Crown European Holdings S.A., 4.000%, 07/15/22 (j) | 199,888 | ||||||
10,000 | CURO Financial Technologies Corp., 12.000%, 03/01/22 (a) | 10,700 | ||||||
160,000 | Dana Financing Luxembourg Sarl, 6.500%, 06/01/26 (a) | 171,600 | ||||||
145,000 | Darden Restaurants, Inc., 3.850%, 05/01/27 | 150,495 | ||||||
76,000 | DaVita, Inc., 5.125%, 07/15/24 | 77,567 | ||||||
76,000 | DCP Midstream Operating LP, 3.875%, 03/15/23 | 74,005 | ||||||
Dell International LLC/EMC Corp., | ||||||||
230,000 | 6.020%, 06/15/26 (a) | 256,756 | ||||||
157,000 | 7.125%, 06/15/24 (a) | 173,919 | ||||||
7,000 | Diamond Offshore Drilling, Inc., 7.875%, 08/15/25 | 7,017 | ||||||
35,000 | Diamondback Energy, Inc., 4.750%, 11/01/24 | 35,087 | ||||||
DISH DBS Corp., | ||||||||
146,000 | 5.875%, 07/15/22 | 157,406 | ||||||
415,000 | 5.875%, 11/15/24 | 447,681 |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
20,000 | DJO Finco, Inc./DFO Finance LLC/DJO Finance Corp., 8.125%, 06/15/21 (a) | 19,006 | ||||||
21,000 | Dole Food Co., Inc., 7.250%, 06/15/25 (a) | 22,522 | ||||||
97,000 | Dollar Tree, Inc., 5.750%, 03/01/23 | 102,335 | ||||||
Dynegy, Inc., | ||||||||
83,000 | 5.875%, 06/01/23 | 82,377 | ||||||
50,000 | 7.625%, 11/01/24 | 51,563 | ||||||
62,000 | Endo Finance LLC, 5.750%, 01/15/22 (a) | 55,490 | ||||||
42,000 | Energy Transfer Equity LP, 5.875%, 01/15/24 | 45,255 | ||||||
160,000 | Entergy Corp., 2.950%, 09/01/26 | 156,578 | ||||||
95,000 | Enterprise Products Operating LLC, (USD 3 month LIBOR+3.033%), 5.250%, 08/16/77 (d) | 94,881 | ||||||
125,000 | Envision Healthcare Corp., 5.625%, 07/15/22 | 130,000 | ||||||
EP Energy LLC/Everest Acquistion Finance, Inc., | ||||||||
50,000 | 8.000%, 11/29/24 (a) | 48,875 | ||||||
63,000 | 8.000%, 02/15/25 (a) | 41,580 | ||||||
76,000 | 9.375%, 05/01/20 | 55,955 | ||||||
52,000 | Equinix Inc. REIT, 5.375%, 04/01/23 | 54,210 | ||||||
14,000 | ESH Hospitality, Inc. REIT, 5.250%, 05/01/25 (a) | 14,420 | ||||||
Express Scripts Holding Co., | ||||||||
300,000 | 3.000%, 07/15/23 | 302,071 | ||||||
30,000 | 3.400%, 03/01/27 | 29,821 | ||||||
First Data Corp., | ||||||||
170,000 | 5.375%, 08/15/23 (a) | 178,925 | ||||||
60,000 | 5.750%, 01/15/24 (a) | 63,093 | ||||||
112,000 | 7.000%, 12/01/23 (a) | 120,680 | ||||||
115,000 | FirstEnergy Corp., 3.900%, 07/15/27 | 117,490 | ||||||
115,000 | Ford Motor Co., 5.291%, 12/08/46 | 117,909 | ||||||
Freeport-McMoRan, Inc., | ||||||||
111,000 | 3.550%, 03/01/22 | 109,127 | ||||||
35,000 | 3.875%, 03/15/23 | 34,650 | ||||||
20,000 | 4.550%, 11/14/24 | 19,950 | ||||||
195,000 | Frontier Communications Corp., 6.875%, 01/15/25 | 148,200 | ||||||
200,000 | GE Capital International Funding Co., 4.418%, 11/15/35 | 218,736 | ||||||
EUR 100,000 | General Electric Co., 1.500%, 05/17/29 | 120,168 | ||||||
General Motors Co., | ||||||||
145,000 | 5.150%, 04/01/38 | 146,225 | ||||||
10,000 | 5.200%, 04/01/45 | 9,894 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
General Motors Financial Co., Inc., | ||||||||
235,000 | 3.700%, 05/09/23 | 239,608 | ||||||
20,000 | 3.950%, 04/13/24 | 20,478 | ||||||
49,000 | Genesis Energy LP/Genesis Energy Finance Corp., 5.625%, 06/15/24 | 46,060 | ||||||
90,000 | GEO Group, Inc. (The) REIT, 5.875%, 01/15/22 | 93,487 | ||||||
Gilead Sciences, Inc., | ||||||||
20,000 | 4.000%, 09/01/36 | 20,574 | ||||||
105,000 | 4.150%, 03/01/47 | 107,816 | ||||||
52,000 | GLP Capital LP/GLP Financing II, Inc., 5.375%, 11/01/23 | 56,290 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
40,000 | 3.500%, 01/23/25 | 40,758 | ||||||
15,000 | 5.150%, 05/22/45 | 17,107 | ||||||
190,000 | (USD 3 month LIBOR+3.834%), 5.300%, 12/29/49 (d) (f) | 203,418 | ||||||
100,000 | (USD 3 month LIBOR+3.922%), 5.375%, 12/29/49 (d) (f) | 104,000 | ||||||
Goodyear Tire & Rubber Co. (The), | ||||||||
20,000 | 4.875%, 03/15/27 | 20,350 | ||||||
139,000 | 5.000%, 05/31/26 | 145,081 | ||||||
42,000 | Hanesbrands, Inc., 4.875%, 05/15/26 (a) | 43,680 | ||||||
120,000 | Harris Corp., 4.854%, 04/27/35 | 133,500 | ||||||
HCA, Inc., | ||||||||
110,000 | 5.375%, 02/01/25 | 116,050 | ||||||
158,000 | 5.875%, 03/15/22 | 175,048 | ||||||
168,000 | 5.875%, 05/01/23 | 183,792 | ||||||
375,000 | 5.875%, 02/15/26 | 404,531 | ||||||
105,000 | HealthSouth Corp., 5.750%, 09/15/25 | 109,200 | ||||||
90,000 | Herc Rentals, Inc., 7.750%, 06/01/24 (a) | 98,550 | ||||||
285,000 | Hertz Corp., 7.375%, 01/15/21 | 281,081 | ||||||
115,000 | Hess Corp., 5.800%, 04/01/47 | 114,915 | ||||||
176,000 | Hexion, Inc., 6.625%, 04/15/20 | 160,160 | ||||||
42,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 5.000%, 12/01/24 (a) | 39,690 | ||||||
50,000 | Hill-Rom Holdings, Inc., 5.750%, 09/01/23 (a) | 52,625 | ||||||
14,000 | Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc., 6.125%, 12/01/24 (a) | 15,365 | ||||||
14,000 | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.875%, 04/01/27 | 14,805 | ||||||
62,000 | Holly Energy Partners LP/Holly Energy Finance Corp., 6.000%, 08/01/24 (a) | 64,480 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 25 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
62,000 | Hologic, Inc., 5.250%, 07/15/22 (a) | 65,274 | ||||||
30,000 | HRG Group, Inc., 7.750%, 01/15/22 | 31,425 | ||||||
480,000 | HSBC Holdings plc, 3.400%, 03/08/21 | 497,413 | ||||||
97,000 | Hughes Satellite Systems Corp., 5.250%, 08/01/26 | 101,729 | ||||||
Huntsman International LLC, | ||||||||
EUR 200,000 | 5.125%, 04/15/21 | 270,827 | ||||||
175,000 | 5.125%, 11/15/22 | 185,062 | ||||||
10,000 | IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19 | 10,000 | ||||||
110,000 | Infor Software Parent LLC/Infor Software Parent, Inc., 7.125% Cash/7.875% PIK, 05/01/2021 (a) (i) | 112,200 | ||||||
120,000 | Infor US, Inc., 6.500%, 05/15/22 | 122,400 | ||||||
EUR 100,000 | International Game Technology plc, 4.750%, 02/15/23 (j) | 131,532 | ||||||
55,000 | International Paper Co., 4.350%, 08/15/48 | 55,700 | ||||||
51,000 | inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc., 7.500%, 10/01/24 (a) | 56,355 | ||||||
110,000 | Iron Mountain, Inc. REIT, 5.750%, 08/15/24 | 112,205 | ||||||
85,000 | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., 6.750%, 11/15/21 (a) | 88,400 | ||||||
65,000 | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.750%, 06/01/27 (a) | 66,706 | ||||||
70,000 | Kindred Healthcare, Inc., 8.750%, 01/15/23 | 67,725 | ||||||
90,000 | Kinetic Concepts, Inc./KCI USA, Inc., 7.875%, 02/15/21 (a) | 94,500 | ||||||
135,000 | Kraft Heinz Foods Co., 4.375%, 06/01/46 | 131,728 | ||||||
Kroger Co. (The), | ||||||||
35,000 | 2.650%, 10/15/26 | 32,573 | ||||||
130,000 | 4.450%, 02/01/47 | 125,237 | ||||||
L Brands, Inc., | ||||||||
69,000 | 5.625%, 10/15/23 | 72,450 | ||||||
70,000 | 6.750%, 07/01/36 | 66,301 | ||||||
62,000 | Lamar Media Corp., 5.750%, 02/01/26 | 66,883 | ||||||
350,000 | Level 3 Communications, Inc., 5.750%, 12/01/22 | 359,625 | ||||||
265,000 | Level 3 Financing, Inc., 5.250%, 03/15/26 | 270,963 | ||||||
64,000 | Live Nation Entertainment, Inc., 4.875%, 11/01/24 (a) | 65,280 | ||||||
64,000 | LKQ Corp., 4.750%, 05/15/23 | 65,600 | ||||||
EUR 100,000 | LKQ Italia Bondco SpA, 3.875%, 04/01/24 (j) | 130,056 | ||||||
110,000 | Lowe’s Co., Inc., 4.050%, 05/03/47 | 113,036 | ||||||
6,000 | LPL Holdings, Inc., 5.750%, 09/15/25 (a) | 6,285 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
Masco Corp., | ||||||||
30,000 | 3.500%, 11/15/27 | 30,099 | ||||||
195,000 | 4.375%, 04/01/26 | 209,216 | ||||||
30,000 | MasTec, Inc., 4.875%, 03/15/23 | 30,450 | ||||||
20,000 | MetLife, Inc., 6.400%, 12/15/36 | 23,050 | ||||||
453,000 | MGM Resorts International, 6.000%, 03/15/23 | 500,565 | ||||||
Micron Technology, Inc., | ||||||||
82,000 | 5.250%, 08/01/23 (a) | 85,382 | ||||||
70,000 | 7.500%, 09/15/23 | 77,613 | ||||||
20,000 | Microsoft Corp., 4.100%, 02/06/37 | 21,845 | ||||||
Morgan Stanley, (d) | ||||||||
150,000 | (USD 3 month LIBOR+1.455%), 3.971%, 07/22/38 (d) | 151,740 | ||||||
15,000 | 4.375%, 01/22/47 | 15,892 | ||||||
100,000 | (USD 3 month LIBOR+3.610%), 5.450%, 12/29/49 (d) (f) | 102,875 | ||||||
100,000 | (USD 3 month LIBOR+3.810%), 5.550%, 12/29/49 (d) (f) | 104,124 | ||||||
Morgan Stanley MTN, | ||||||||
220,000 | 2.750%, 05/19/22 | 221,888 | ||||||
40,000 | 3.875%, 01/27/26 | 41,813 | ||||||
30,000 | 4.350%, 09/08/26 | 31,525 | ||||||
115,000 | MPLX LP, 5.200%, 03/01/47 | 118,587 | ||||||
270,000 | Mylan, Inc., 4.200%, 11/29/23 | 282,197 | ||||||
15,000 | Mylan NV, 3.950%, 06/15/26 | 15,281 | ||||||
49,000 | Nabors Industries, Inc., 5.500%, 01/15/23 | 45,846 | ||||||
89,000 | Nationstar Mortgage LLC/Nationstar Capital Corp., 6.500%, 07/01/21 | 90,812 | ||||||
57,000 | Netflix, Inc., 4.375%, 11/15/26 (a) | 55,575 | ||||||
90,000 | Newfield Exploration Co., 5.750%, 01/30/22 | 94,950 | ||||||
25,000 | Nexstar Broadcasting, Inc., 6.125%, 02/15/22 (a) | 26,063 | ||||||
35,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.125%, 03/01/25 (a) | 31,150 | ||||||
64,000 | Nielsen Finance LLC/Nielsen Finance Co., 5.000%, 04/15/22 (a) | 66,240 | ||||||
150,000 | NiSource Finance Corp., 4.375%, 05/15/47 | 159,767 | ||||||
15,000 | Noble Energy, Inc., 5.250%, 11/15/43 | 15,378 | ||||||
64,000 | Novelis Corp., 5.875%, 09/30/26 (a) | 66,720 | ||||||
76,000 | NRG Energy, Inc., 6.625%, 01/15/27 | 79,800 | ||||||
35,000 | NRG Yield Operating LLC, 5.000%, 09/15/26 | 35,788 | ||||||
Oasis Petroleum, Inc., | ||||||||
42,000 | 6.500%, 11/01/21 | 40,898 | ||||||
160,000 | 6.875%, 01/15/23 | 153,120 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
EUR 150,000 | OI European Group BV, 3.125%, 11/15/24 (j) | 184,108 | ||||||
210,000 | ONEOK Partners LP, 3.375%, 10/01/22 | 212,253 | ||||||
Oracle Corp., | ||||||||
30,000 | 2.650%, 07/15/26 | 29,487 | ||||||
135,000 | 4.500%, 07/08/44 | 148,665 | ||||||
62,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 03/15/25 | 64,666 | ||||||
85,000 | Owens Corning, 4.300%, 07/15/47 | 82,483 | ||||||
55,000 | Parker Drilling Co., 6.750%, 07/15/22 | 41,800 | ||||||
14,000 | Pattern Energy Group, Inc., 5.875%, 02/01/24 (a) | 14,665 | ||||||
PetSmart, Inc., | ||||||||
70,000 | 5.875%, 06/01/25 (a) | 62,475 | ||||||
125,000 | 7.125%, 03/15/23 (a) | 101,875 | ||||||
115,000 | Philip Morris International, Inc., 4.125%, 03/04/43 | 117,334 | ||||||
75,000 | PolyOne Corp., 5.250%, 03/15/23 | 78,750 | ||||||
10,000 | Post Holdings, Inc., 5.500%, 03/01/25 (a) | 10,400 | ||||||
105,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 9.250%, 05/15/23 (a) | 116,025 | ||||||
115,000 | Prudential Financial, Inc. MTN, 4.600%, 05/15/44 | 127,268 | ||||||
35,000 | QEP Resources, Inc., 5.375%, 10/01/22 | 33,688 | ||||||
240,000 | QUALCOMM, Inc., 2.900%, 05/20/24 | 242,971 | ||||||
60,000 | Quicken Loans, Inc., 5.750%, 05/01/25 (a) | 62,850 | ||||||
EUR 250,000 | Quintiles IMS, Inc., 3.500%, 10/15/24 (j) | 309,852 | ||||||
195,000 | Rackspace Hosting, Inc., 8.625%, 11/15/24 (a) | 206,944 | ||||||
50,000 | Rain CII Carbon LLC/CII Carbon Corp., 7.250%, 04/01/25 (a) | 52,000 | ||||||
100,000 | Range Resources Corp., 4.875%, 05/15/25 | 95,750 | ||||||
70,000 | Regal Entertainment Group, 5.750%, 02/01/25 | 69,650 | ||||||
43,000 | Revlon Consumer Products Corp., 5.750%, 02/15/21 | 38,469 | ||||||
35,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 37,826 | ||||||
50,000 | RHP Hotel Properties LP/RHP Finance Corp. REIT, 5.000%, 04/15/23 | 51,500 | ||||||
35,000 | Rite Aid Corp., 6.125%, 04/01/23 (a) | 34,388 | ||||||
325,000 | Rockwell Collins, Inc., 3.700%, 12/15/23 | 342,813 | ||||||
280,000 | Roper Technologies, Inc., 3.800%, 12/15/26 | 291,718 | ||||||
15,000 | RSI Home Products, Inc., 6.500%, 03/15/23 (a) | 15,825 | ||||||
35,000 | RSP Permian, Inc., 6.625%, 10/01/22 | 36,313 | ||||||
50,000 | Sabre GLBL Inc., 5.375%, 04/15/23 (a) | 51,438 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
85,000 | Scientific Games International, Inc., 7.000%, 01/01/22 (a) | 90,738 | ||||||
70,000 | Scotts Miracle-Gro Co. (The), 6.000%, 10/15/23 | 74,988 | ||||||
97,000 | Sealed Air Corp., 5.125%, 12/01/24 (a) | 103,063 | ||||||
85,000 | Sensata Technologies BV, 4.875%, 10/15/23 (a) | 88,613 | ||||||
70,000 | Service Corp. International, 7.500%, 04/01/27 | 83,300 | ||||||
225,000 | Shire Acquisitions Investments Ireland DAC, 2.875%, 09/23/23 | 223,831 | ||||||
EUR 200,000 | Silgan Holdings, Inc., 3.250%, 03/15/25 (j) | 244,935 | ||||||
Sinclair Television Group, Inc., | ||||||||
120,000 | 5.625%, 08/01/24 (a) | 122,736 | ||||||
25,000 | 6.125%, 10/01/22 | 25,813 | ||||||
Sirius XM Radio, Inc., | ||||||||
10,000 | 5.000%, 08/01/27 (a) | 10,275 | ||||||
146,000 | 5.375%, 04/15/25 (a) | 154,337 | ||||||
265,000 | 6.000%, 07/15/24 (a) | 286,274 | ||||||
85,000 | SM Energy Co., 6.500%, 11/15/21 | 82,131 | ||||||
EUR 90,000 | SMCP Group SAS, 5.875%, 05/01/23 (j) | 116,139 | ||||||
55,000 | Southwestern Energy Co., 6.700%, 01/23/25 | 53,625 | ||||||
158,000 | Spectrum Brands, Inc., 6.625%, 11/15/22 | 164,123 | ||||||
25,000 | Springleaf Finance Corp., 6.125%, 05/15/22 | 26,188 | ||||||
Sprint Corp., | ||||||||
431,000 | 7.625%, 02/15/25 | 487,030 | ||||||
490,000 | 7.875%, 09/15/23 | 559,889 | ||||||
25,000 | SPX FLOW, Inc., 5.625%, 08/15/24 (a) | 25,875 | ||||||
104,000 | Steel Dynamics, Inc., 5.000%, 12/15/26 | 109,980 | ||||||
125,000 | Summit Materials LLC/Summit Materials Finance Corp., 6.125%, 07/15/23 | 130,938 | ||||||
130,000 | Sunoco Logistics Partners Operations LP, 5.350%, 05/15/45 | 128,698 | ||||||
125,000 | SUPERVALU, Inc., 6.750%, 06/01/21 | 120,625 | ||||||
50,000 | Synchrony Financial, 4.250%, 08/15/24 | 52,353 | ||||||
99,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/23 | 98,258 | ||||||
TEGNA, Inc., | ||||||||
50,000 | 5.500%, 09/15/24 (a) | 52,625 | ||||||
62,000 | 6.375%, 10/15/23 | 65,797 | ||||||
50,000 | Tempur Sealy International, Inc., 5.625%, 10/15/23 | 52,063 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 27 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
United States — continued | ||||||||
Tenet Healthcare Corp., | ||||||||
119,000 | 4.500%, 04/01/21 | 121,380 | ||||||
125,000 | 7.500%, 01/01/22 (a) | 135,000 | ||||||
245,000 | 8.125%, 04/01/22 | 257,250 | ||||||
42,000 | Terex Corp., 5.625%, 02/01/25 (a) | 43,890 | ||||||
28,000 | Terraform Global Operating LLC, 9.750%, 08/15/22 (a) | 31,185 | ||||||
28,000 | TerraForm Power Operating LLC, Class SUB, 6.625%, 06/15/25 (a) | 29,680 | ||||||
30,000 | Tesla Inc., 5.300%, 08/15/25 (a) | 29,531 | ||||||
35,000 | TI Group Automotive Systems LLC, | 36,891 | ||||||
T-Mobile USA, Inc., | ||||||||
281,000 | 6.000%, 04/15/24 | 298,914 | ||||||
250,000 | 6.500%, 01/15/24 | 266,875 | ||||||
100,000 | 6.500%, 01/15/26 | 110,750 | ||||||
35,000 | TransDigm, Inc., 6.500%, 07/15/24 | 36,356 | ||||||
53,200 | Transocean Proteus Ltd., | 55,727 | ||||||
Transocean, Inc., | ||||||||
49,000 | 6.800%, 03/15/38 | 37,485 | ||||||
55,000 | 9.000%, 07/15/23 (a) | 58,575 | ||||||
10,000 | Triumph Group Inc., 4.875%, 04/01/21 | 9,575 | ||||||
United Rentals North America, Inc., | ||||||||
125,000 | 5.500%, 05/15/27 | 132,500 | ||||||
120,000 | 5.750%, 11/15/24 | 128,436 | ||||||
69,000 | United States Steel Corp., 8.375%, 07/01/21 (a) | 76,245 | ||||||
15,000 | UnitedHealth Group, Inc., 4.750%, 07/15/45 | 17,477 | ||||||
Uniti Group, Inc./Uniti Group Finance, Inc. / CSL Capital LLC REIT, | ||||||||
85,000 | 6.000%, 04/15/23 (a) | 85,212 | ||||||
85,000 | 8.250%, 10/15/23 | 83,054 | ||||||
97,000 | Univision Communications, Inc., | 97,485 | ||||||
125,000 | US Concrete Inc., 6.375%, 06/01/24 | 135,000 | ||||||
Valeant Pharmaceuticals International, Inc., | ||||||||
295,000 | 6.125%, 04/15/25 (a) | 248,906 | ||||||
69,000 | 6.500%, 03/15/22 (a) | 72,364 | ||||||
146,000 | 7.000%, 10/01/20 (a) | 145,635 | ||||||
160,000 | 7.000%, 03/15/24 (a) | 169,800 | ||||||
250,000 | VEREIT Operating Partnership LP REIT, | 264,280 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued | ||||||||
Verizon Communications, Inc., | ||||||||
65,000 | 3.500%, 11/01/24 | 66,196 | ||||||
5,000 | 4.125%, 08/15/46 | 4,433 | ||||||
20,000 | 4.272%, 01/15/36 | 19,446 | ||||||
130,000 | 5.012%, 04/15/49 | 130,554 | ||||||
49,000 | Vertiv Group Corp., 9.250%, 10/15/24 (a) | 54,512 | ||||||
235,000 | Viacom, Inc., 3.450%, 10/04/26 | 226,630 | ||||||
85,000 | Vista Outdoor, Inc., 5.875%, 10/01/23 | 87,125 | ||||||
Weatherford International Ltd., | ||||||||
35,000 | 6.500%, 08/01/36 | 29,050 | ||||||
21,000 | 7.000%, 03/15/38 | 17,745 | ||||||
21,000 | 9.875%, 02/15/24 (a) | 21,473 | ||||||
140,000 | Welbilt, Inc., 9.500%, 02/15/24 | 161,350 | ||||||
Wells Fargo & Co. | ||||||||
112,000 | (USD 3 month LIBOR+3.990%), | 124,320 | ||||||
118,000 | (USD 3 month LIBOR+3.110%), | 128,030 | ||||||
Wells Fargo & Co. MTN | ||||||||
15,000 | (USD 3 month LIBOR+1.310%), | 15,355 | ||||||
150,000 | 4.900%, 11/17/45 | 165,461 | ||||||
184,000 | Western Digital Corp., 10.500%, 04/01/24 | 218,270 | ||||||
Whiting Petroleum Corp., | ||||||||
104,000 | 5.000%, 03/15/19 | 102,960 | ||||||
85,000 | 5.750%, 03/15/21 | 79,900 | ||||||
125,000 | Williams Cos., Inc. (The), 4.550%, 06/24/24 | 127,813 | ||||||
150,000 | Williams Partners LP, 3.750%, 06/15/27 | 150,081 | ||||||
Windstream Services LLC, | ||||||||
125,000 | 6.375%, 08/01/23 | 96,563 | ||||||
195,000 | 7.500%, 06/01/22 | 152,100 | ||||||
WMG Acquisition Corp., | ||||||||
EUR 150,000 | 4.125%, 11/01/24 (j) | 188,924 | ||||||
92,000 | 4.875%, 11/01/24 (a) | 94,300 | ||||||
70,000 | WPX Energy, Inc., 8.250%, 08/01/23 | 76,825 | ||||||
129,000 | Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.500%, 03/01/25 (a) | 134,483 | ||||||
XPO Logistics, Inc., | ||||||||
35,000 | 6.125%, 09/01/23 (a) | 36,531 | ||||||
55,000 | 6.500%, 06/15/22 (a) | 57,750 | ||||||
Zayo Group LLC/Zayo Capital, Inc., | ||||||||
19,000 | 5.750%, 01/15/27 (a) | 20,163 | ||||||
85,000 | 6.000%, 04/01/23 | 89,968 | ||||||
189,000 | 6.375%, 05/15/25 | 203,117 | ||||||
|
| |||||||
39,698,943 | ||||||||
|
| |||||||
Total Corporate Bonds | 66,807,489 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Foreign Government Securities — 21.6% | ||||||||
Angola — 0.2% | ||||||||
200,000 | Angolan Government International Bond, 9.500%, 11/12/25 (j) | 214,750 | ||||||
|
| |||||||
Argentina — 0.2% | ||||||||
200,000 | Provincia de Buenos Aires, 9.125%, 03/16/24 (a) | 231,000 | ||||||
|
| |||||||
Australia — 2.7% | ||||||||
AUD 3,660,000 | Australia Government Bond, 2.750%, 11/21/27 (j) | 2,916,315 | ||||||
|
| |||||||
Belarus — 0.4% | ||||||||
Republic of Belarus International Bond, | ||||||||
200,000 | 6.875%, 02/28/23 (a) | 214,250 | ||||||
250,000 | 8.950%, 01/26/18 (j) | 256,250 | ||||||
|
| |||||||
470,500 | ||||||||
|
| |||||||
Brazil — 1.0% | ||||||||
BRL 3,255,000 | Brazil Notas do Tesouro Nacional, 10.000%, 01/01/25 | 1,061,498 | ||||||
|
| |||||||
Colombia — 0.2% | ||||||||
200,000 | Colombia Government International Bond, 5.000%, 06/15/45 | 206,800 | ||||||
|
| |||||||
Dominican Republic — 0.4% | ||||||||
350,000 | Dominican Republic International Bond, 6.875%, 01/29/26 (j) | 402,500 | ||||||
|
| |||||||
Ecuador — 0.2% | ||||||||
200,000 | Ecuador Government International Bond, 10.750%, 03/28/22 (a) | 219,250 | ||||||
|
| |||||||
Egypt — 0.5% | ||||||||
300,000 | Egypt Government International Bond, 5.750%, 04/29/20 (j) | 313,275 | ||||||
200,000 | Egypt Government International Bond MTN, 8.500%, 01/31/47 (j) | 225,000 | ||||||
|
| |||||||
538,275 | ||||||||
|
| |||||||
Indonesia — 3.3% | ||||||||
340,000 | Indonesia Government International Bond, 6.625%, 02/17/37 (j) | 434,775 | ||||||
IDR 6,300,000,000 | Indonesia Treasury Bond, 8.250%, 05/15/36 | 518,402 | ||||||
IDR 30,392,000,000 | 8.750%, 05/15/31 | 2,606,417 | ||||||
|
| |||||||
3,559,594 | ||||||||
|
| |||||||
Italy — 0.4% | ||||||||
EUR 420,000 | Italy Buoni Poliennali Del Tesoro, 2.800%, 03/01/67 (a) (j) | 425,572 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Jordan — 0.2% | ||||||||
200,000 | Jordan Government International Bond, 6.125%, 01/29/26 (j) | 206,500 | ||||||
|
| |||||||
Lebanon — 0.5% | ||||||||
Lebanon Government International Bond MTN, | ||||||||
150,000 | 5.150%, 11/12/18 (j) | 150,938 | ||||||
267,000 | 5.450%, 11/28/19 (j) | 268,335 | ||||||
100,000 | 6.100%, 10/04/22 (j) | 99,125 | ||||||
|
| |||||||
518,398 | ||||||||
|
| |||||||
Mexico — 2.0% | ||||||||
MXN 38,100,000 | Mexican Bonos, 6.500%, 06/09/22 | 2,105,444 | ||||||
|
| |||||||
Morocco — 0.2% | ||||||||
200,000 | Morocco Government International Bond, 5.500%, 12/11/42 (j) | 227,000 | ||||||
|
| |||||||
New Zealand — 1.9% | ||||||||
NZD 2,820,000 | New Zealand Government Bond, 3.500%, 04/14/33 (j) | 2,071,310 | ||||||
|
| |||||||
Oman — 0.2% | ||||||||
200,000 | Oman Government International Bond, 6.500%, 03/08/47 (a) | 209,400 | ||||||
|
| |||||||
Pakistan — 0.2% | ||||||||
200,000 | Pakistan Government International Bond, 7.250%, 04/15/19 (j) | 209,072 | ||||||
|
| |||||||
Portugal — 1.4% | ||||||||
EUR 1,270,000 | Portugal Obrigacoes do Tesouro OT, 2.875%, 07/21/26 (a) (j) | 1,543,239 | ||||||
|
| |||||||
Qatar — 0.4% | ||||||||
410,000 | Qatar Government International Bond, 2.375%, 06/02/21 (j) | 405,900 | ||||||
|
| |||||||
South Africa — 1.0% | ||||||||
ZAR 12,400,000 | Republic of South Africa, 10.500%, 12/21/26 | 1,068,936 | ||||||
|
| |||||||
Spain — 0.5% | ||||||||
EUR 430,000 | Spain Government Bond, 2.900%, 10/31/46 (a) (j) | 523,146 | ||||||
|
| |||||||
Sri Lanka — 0.4% | ||||||||
Sri Lanka Government International Bond, | ||||||||
200,000 | 6.200%, 05/11/27 (a) | 210,000 | ||||||
200,000 | 6.825%, 07/18/26 (a) | 219,000 | ||||||
|
| |||||||
429,000 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 29 |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Foreign Government Securities — continued | ||||||||
Turkey — 2.4% | ||||||||
TRY 7,380,000 | Turkey Government Bond, 10.600%, 02/11/26 | 2,160,941 | ||||||
350,000 | Turkey Government International Bond, 5.750%, 05/11/47 | 359,187 | ||||||
|
| |||||||
2,520,128 | ||||||||
|
| |||||||
Ukraine — 0.5% | ||||||||
340,000 | Republic of Ukraine, 7.750%, 09/01/19 (j) | 354,110 | ||||||
200,000 | Ukraine Government International Bond, 7.750%, 09/01/24 (j) | 206,500 | ||||||
|
| |||||||
560,610 | ||||||||
|
| |||||||
Uruguay — 0.1% | ||||||||
100,000 | Uruguay Government International Bond, 4.375%, 10/27/27 | 108,000 | ||||||
|
| |||||||
Zambia — 0.2% | ||||||||
200,000 | Zambia Government International Bond, 8.500%, 04/14/24 (j) | 217,000 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $22,430,812) | 23,169,137 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Short-Term Investment — 4.6% | ||||||||
Investment Company — 4.6% | ||||||||
4,919,798 | JPMorgan U.S. Government Money Market Fund, Class Institutional Class Shares, | 4,919,798 | ||||||
|
| |||||||
Total Investments — 98.0% | 105,199,630 | |||||||
Other Assets in Excess of | 2,179,594 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 107,379,224 | ||||||
|
|
Futures Contracts | ||||||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT AT AUGUST 31, 2017 | MARKET VALUE AND NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Long Futures Outstanding | ||||||||||||||||||||
10 | Euro Buxl 30-Year Bond | 12/11/17 | EUR | 1,981,573 | (80,025 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Long Futures Outstanding | (80,025 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Short Futures Outstanding | ||||||||||||||||||||
(53 | ) | Euro Bund | 12/07/17 | EUR | (10,214,017 | ) | (2,688 | ) | ||||||||||||
(4 | ) | Euro Bobl | 12/11/17 | EUR | (625,382 | ) | (1,079 | ) | ||||||||||||
(19 | ) | Euro-OAT 10-Year Bond | 12/11/17 | EUR | (3,522,463 | ) | (51,797 | ) | ||||||||||||
(9 | ) | U.S. Ultra Long Treasury Bond | 12/19/17 | USD | (1,510,242 | ) | (20,418 | ) | ||||||||||||
(3 | ) | U.S. Ultra Long Treasury Bond | 12/22/17 | USD | (465,594 | ) | (78 | ) | ||||||||||||
(1 | ) | Long Gilt 10-Year Bond | 12/27/17 | EUR | (164,533 | ) | (10,570 | ) | ||||||||||||
(78 | ) | U.S. 10-Year Treasury Note | 12/29/17 | USD | (9,854,203 | ) | (3,109 | ) | ||||||||||||
(3 | ) | U.S. Ultra Long Treasury Bond | 12/29/17 | USD | (406,531 | ) | (11,226 | ) | ||||||||||||
(33 | ) | U.S. 5-Year Treasury Note | 12/31/17 | USD | (3,899,930 | ) | 4,332 | |||||||||||||
(203 | ) | 90-Day Euro | 12/17/18 | EUR | (49,847,825 | ) | (11,040 | ) | ||||||||||||
|
| |||||||||||||||||||
Total Short Futures Outstanding | (107,673 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
(187,698 | ) | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||
CURRENCY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | CURRENCY | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
46,576,211 | CZK | HSBC | 09/14/2017 | 2,124,642 | 1,817 | |||||||||||||
60,514 | EUR | Royal Bank of Canada | 09/14/2017 | 71,337 | 757 | |||||||||||||
180,898 | EUR | National Australia Capital Markets | 09/14/2017 | 213,745 | 1,768 | |||||||||||||
1,996,311 | MXN | Goldman Sachs | 09/14/2017 | 111,641 | (238 | ) | ||||||||||||
570,988 | NZD | TD Securities | 09/14/2017 | 417,963 | (8,100 | ) | ||||||||||||
3,113,127 | TRY | Citigroup | 09/14/2017 | 871,419 | 26,390 | |||||||||||||
3,604,845 | TRY | Deutsche Bank | 09/14/2017 | 1,010,393 | 29,225 | |||||||||||||
4,821,140 | 51,619 | |||||||||||||||||
|
|
CURRENCY | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | CURRENCY | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
4,976,870 | AUD | TD Securities | 09/14/2017 | 3,943,264 | (12,426 | ) | ||||||||||||
1,415,515 | CAD | ANZ | 09/14/2017 | 1,123,981 | (9,734 | ) | ||||||||||||
21,519 | EUR | Royal Bank of Canada | 09/14/2017 | 25,471 | (165 | ) | ||||||||||||
3,135,088 | EUR | Deutsche Bank | 09/14/2017 | 3,732,025 | (2,979 | ) | ||||||||||||
22,666 | EUR | Goldman Sachs | 09/14/2017 | 26,793 | (211 | ) | ||||||||||||
146,259 | EUR | Merrill Lynch | 09/14/2017 | 171,414 | (2,832 | ) | ||||||||||||
47,859 | EUR | National Australia Capital Markets | 09/14/2017 | 56,299 | (718 | ) | ||||||||||||
15,910,261 | EUR | TD Securities | 09/14/2017 | 18,700,045 | (254,730 | ) | ||||||||||||
667,356 | GBP | Citigroup | 09/14/2017 | 869,079 | 5,699 | |||||||||||||
843,994 | GBP | Goldman Sachs | 09/14/2017 | 1,096,112 | 4,209 | |||||||||||||
1,996,311 | MXN | Goldman Sachs | 09/14/2017 | 110,956 | (447 | ) | ||||||||||||
4,983,265 | NZD | ANZ | 09/14/2017 | 3,707,928 | 130,872 | |||||||||||||
7,224,215 | TRY | TD Securities | 09/14/2017 | 2,022,803 | (60,622 | ) | ||||||||||||
14,052,515 | ZAR | Goldman Sachs | 09/14/2017 | 1,051,375 | (26,399 | ) | ||||||||||||
36,637,545 | (230,483 | ) | ||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 31 |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Asset-Backed Securities — 16.3% | ||||||||
99,595 | AmeriCredit Automobile Receivables Trust, Series 2015-2, Class A3, 1.270%, 01/08/20 | 99,557 | ||||||
300,000 | AmeriCredit Automobile Receivables Trust, Series 2017-2, Class A2A, 1.650%, 09/18/20 | 300,008 | ||||||
275,000 | Benefit Street Partners CLO Ltd., Series 2013-IIA, Class X (USD 3 month LIBOR+1.700%), 3.004%, 07/15/29 (d) | 274,907 | ||||||
350,000 | Bowman Park CLO Ltd., Series 2017-1A, Class AR, (USD 3 month LIBOR+1.180%), 2.366%, 11/23/25 (a) (d) | 350,151 | ||||||
95,510 | Capital Auto Receivables Asset Trust, Series 2015-4, Class A2, 1.620%, 03/20/19 | 95,544 | ||||||
250,000 | CARDS II Trust, Series 2017-1A, Class A, (USD 1 month LIBOR+0.370%), 1.596%, 04/18/22 (a) (d) | 250,162 | ||||||
220,000 | CarMax Auto Owner Trust, Series 2017-3, Class A2A, 1.640%, 09/15/20 | 220,112 | ||||||
200,000 | CIFC Funding Ltd., Series 2013-II, Class A1L, (USD 3 month LIBOR+1.150%), 2.454%, 04/21/25 (d) | 200,114 | ||||||
53,000 | Drive Auto Receivables Trust, Series 2017-2, Class A3, 1.820%, 06/15/20 | 53,050 | ||||||
235,000 | Drive Auto Receivables Trust, Series 2017-1, Class A3, 1.860%, 03/16/20 | 235,097 | ||||||
250,000 | Drive Auto Receivables Trust, Series 2016-CA, Class A3, 1.670%, 11/15/19 (a) | 250,052 | ||||||
390,000 | Dryden 31 Senior Loan Fund, Series 2017-31A, Class AR, (USD 3 month LIBOR+1.080%) (Cayman Islands), 2.238%, 04/18/26 (a) (d) | 390,241 | ||||||
250,000 | Dryden 37 Senior Loan Fund, Series 2015-37A, Class A, (USD 3 month LIBOR+1.500%) (Cayman Islands), 2.658%, 04/15/27 (a) (d) | 250,534 | ||||||
250,000 | First National Master Note Trust, Series 2015-1, Class A, (USD 1 Month LIBOR+0.770%), 2.004%, 09/15/20 (d) | 250,051 | ||||||
181,566 | Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/19 | 181,361 | ||||||
650,000 | GoldenTree Loan Opportunities IX Ltd., Series 2016-9A, Class AR, (USD 3 month LIBOR+1.370%), 2.681%, 10/29/26 (a) (d) | 650,227 | ||||||
247,032 | GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, (USD 3 month LIBOR+1.150%), 2.306%, 04/25/25 (a) (d) | 247,138 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
250,000 | Magnetite XI Ltd., Series 2017-11A, Class A1R, (USD 3 month LIBOR+1.120%), 2.424%, 01/18/27 (a) (d) | 250,168 | ||||||
500,000 | Oaktree EIF Ltd., Series 2015-B1A, Class A, (USD 3 month LIBOR+1.550%), 2.732%, 02/15/26 (a) (d) | 500,335 | ||||||
250,000 | OCP CLO Ltd., Series 2015-8A, Class A1, (USD 3 month LIBOR+1.530%), 2.834%, 04/17/27 (a) (d) | 250,059 | ||||||
400,000 | OCP CLO Ltd., Series 2016-2A, Class A1R, (USD 3 month LIBOR+1.400%), 2.572%, 11/22/25 (a) (d) | 403,033 | ||||||
250,000 | Race Point IX CLO Ltd., Series 2017-9A, Class X, (USD 3 month LIBOR+0.650%), 2.009%, 10/15/30 (a) (d) (h) | 250,000 | ||||||
125,000 | Santander Drive Auto Receivables Trust, Series 2017-2, Class A2, 1.600%, 03/16/20 | 124,979 | ||||||
340,000 | Symphony CLO Ltd., Series 2014-14A, Class A2R, (USD 3 month LIBOR+1.280%), 2.584%, 07/14/26 (d) | 340,072 | ||||||
400,000 | Synchrony Credit Card Master Note Trust, Series 2015-3, Class A, 1.740%, 09/15/21 | 400,410 | ||||||
250,000 | Synchrony Credit Card Master Note Trust, Series 2015-2, Class A, 1.600%, 04/15/21 | 250,131 | ||||||
250,000 | Synchrony Credit Card Master Note Trust, Series 2013-1, Class A, 1.350%, 03/15/21 | 249,779 | ||||||
|
| |||||||
Total Asset-Backed Securities (Cost $7,320,577) | 7,317,272 | |||||||
|
| |||||||
Certificates of Deposit — 1.4% | ||||||||
400,000 | Canadian Imperial Bank of Commerce, (USD 3 month LIBOR+0.330%), 1.531%, 01/03/19 (d) | 399,913 | ||||||
255,000 | Canadian Imperial Bank of Commerce (USD 3 month LIBOR+0.235%), 1.647%, 05/29/19 (d) | 249,914 | ||||||
|
| |||||||
Total Certificates of Deposit | 649,827 | |||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 2.7% | ||||||||
152,000 | CGDB Commercial Mortgage Trust, Series 2017-BIO, Class A, (USD 1 Month LIBOR+0.750%), 1.977%, 05/15/19 (d) | 151,836 | ||||||
400,000 | CGDBB Commercial Mortgage Trust, Series 2017-BIOC, Class A, (USD 1 month LIBOR+0.790%), 2.040%, 07/15/19 (a) (d) | 400,759 | ||||||
234,790 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class A1, 1.539%, 09/15/19 | 234,423 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Mortgage-Backed Securities — continued | ||||||||
206,900 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C16, Class A1, 1.294%, 03/15/19 | 206,437 | ||||||
227,351 | WFRBS Commercial Mortgage Trust, Series 2014-C24, Class A1, 1.390%, 11/15/47 | 226,572 | ||||||
|
| |||||||
Total Commercial Mortgage-Backed Securities | 1,220,027 | |||||||
|
| |||||||
Corporate Bonds — 60.9% | ||||||||
Consumer Discretionary — 3.2% |
| |||||||
Automobiles — 3.2% |
| |||||||
400,000 | Daimler Finance North America LLC, (USD 3 month LIBOR+0.530%), 1.842%, 05/05/20 (a) (d) | 401,585 | ||||||
400,000 | Ford Motor Credit Co. LLC, (USD 3 month LIBOR+0.790%), 2.018%, 06/12/20 (d) | 399,800 | ||||||
400,000 | General Motors Co., (USD 3 month LIBOR+0.800%), 2.112%, 08/07/20 (d) | 400,001 | ||||||
250,000 | Nissan Motor Acceptance Corp. MTN, (USD 3 month LIBOR+0.580%), 1.884%, 01/13/20 (a) (d) | 251,340 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,452,726 | |||||||
|
| |||||||
Consumer Staples — 4.7% |
| |||||||
Agriculture — 1.9% |
| |||||||
400,000 | BAT Capital Corp., (USD 3 month LIBOR+0.590%) (United Kingdom), 1.905%, 08/14/20 (a) (d) | 400,239 | ||||||
450,000 | Japan Tobacco, Inc. (Japan), 2.100%, 07/23/18 (a) | 451,953 | ||||||
|
| |||||||
852,192 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
400,000 | Tyson Foods, Inc., (USD 3 month LIBOR+0.550%), 1.760%, 06/02/20 (d) | 401,958 | ||||||
400,000 | Wesfarmers Ltd. (Australia), 1.874%, 03/20/18 (a) | 400,547 | ||||||
|
| |||||||
802,505 | ||||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
450,000 | Reckitt Benckiser Treasury Services plc (United Kingdom), 2.125%, 09/21/18 (a) | 452,093 | ||||||
|
| |||||||
Total Consumer Staples | 2,106,790 | |||||||
|
| |||||||
Energy — 4.1% |
| |||||||
Energy Equipment & Services — 0.9% |
| |||||||
400,000 | Schlumberger Holdings Corp., 2.350%, 12/21/18 (a) | 402,722 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.2% |
| |||||||
400,000 | Canadian Natural Resources Ltd. (Canada), 5.900%, 02/01/18 | 406,542 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
400,000 | Enterprise Products Operating LLC, 1.650%, 05/07/18 | 399,828 | ||||||
400,000 | Petro-Canada (Canada), 6.050%, 05/15/18 | 412,228 | ||||||
250,000 | Phillips 66, (USD 3 month LIBOR+0.750%), 2.054%, 04/15/20 (a) (d) | 250,121 | ||||||
|
| |||||||
1,468,719 | ||||||||
|
| |||||||
Total Energy | 1,871,441 | |||||||
|
| |||||||
Financials — 30.7% |
| |||||||
Banks — 21.8% |
| |||||||
250,000 | ABN AMRO Bank NV, (USD 3 month LIBOR+0.640%) (Netherlands), 1.944%, 01/18/19 (a) (d) | 251,182 | ||||||
200,000 | Bank of America Corp. MTN, 5.650%, 05/01/18 | 205,020 | ||||||
475,000 | Bank of Nova Scotia (The), (USD 3 month LIBOR+0.660%) (Canada), 1.902%, 06/14/19 (d) | 478,580 | ||||||
400,000 | Bank of Tokyo-Mitsubishi UFJ Ltd. (The) (Japan), 1.650%, 02/26/18 (a) | 400,129 | ||||||
250,000 | Banque Federative du Credit Mutuel S.A., (USD 3 month LIBOR+0.490%), 1.794%, 07/20/20 (a) (d) | 250,435 | ||||||
171,000 | BNP Paribas SA MTN (France), 2.700%, 08/20/18 | 172,766 | ||||||
400,000 | Citigroup, Inc., (USD 3 month LIBOR+0.790%), 2.094%, 01/10/20 (d) | 403,124 | ||||||
Citizens Bank NA/Providence RI MTN, | ||||||||
250,000 | (USD 3 month LIBOR+0.540%), 1.750%, 03/02/20 (d) | 250,166 | ||||||
250,000 | 2.300%, 12/03/18 | 251,260 | ||||||
425,000 | Commonwealth Bank of Australia, (USD 3 month LIBOR+0.450%) (Australia), 1.686%, 03/10/20 (a) (d) | 425,962 | ||||||
550,000 | Credit Agricole SA/London MTN (France), 2.625%, 10/03/18 (a) | 555,328 | ||||||
250,000 | DBS Group Holdings (Singapore), 1.709%, 06/08/20 | 250,322 | ||||||
HSBC USA, Inc., | ||||||||
400,000 | 2.000%, 08/07/18 | 401,487 | ||||||
100,000 | (USD 3 month LIBOR+0.880%), 2.176%, 09/24/18 (d) | 100,786 | ||||||
250,000 | Huntington National Bank (The), 1.700%, 02/26/18 | 250,187 | ||||||
250,000 | ING Bank NV, (USD 3 month LIBOR+0.610%) (Netherlands), 1.925%, 08/15/19 (a) (d) | 251,166 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 33 |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Banks — continued |
| |||||||
250,000 | Lloyds Bank plc (United Kingdom), 1.750%, 05/14/18 | 250,387 | ||||||
250,000 | Macquarie Bank Ltd. MTN (Australia), 1.870%, 02/28/19 (a) | 249,715 | ||||||
450,000 | Macquarie Group Ltd. (Australia), 3.000%, 12/03/18 (a) | 455,681 | ||||||
400,000 | Mizuho Bank Ltd. (Japan), 1.850%, 03/21/18 (a) | 400,534 | ||||||
400,000 | National Australia Bank Ltd. MTN, (USD 3 month LIBOR+0.510%) (Australia), 1.825%, 05/22/20 (a) (d) | 401,324 | ||||||
200,000 | Nordea Bank AB, (USD 3 month LIBOR+0.470%) (Sweden), 1.787%, 05/29/20 (a) (d) | 200,757 | ||||||
250,000 | PNC Bank NA MTN, 1.600%, 06/01/18 | 250,245 | ||||||
165,000 | Royal Bank of Canada MTN, (USD 3 month LIBOR+0.710%) (Canada), 2.014%, 04/15/19 (d) | 166,204 | ||||||
200,000 | Skandinaviska Enskilda Banken AB MTN (Sweden), | 201,595 | ||||||
400,000 | 1.750%, 03/19/18 (a) | 400,333 | ||||||
400,000 | Sumitomo Mitsui Trust Bank Ltd. (Japan), 1.800%, 03/28/18 (a) | 400,495 | ||||||
265,000 | SunTrust Banks, Inc., 2.350%, 11/01/18 | 266,649 | ||||||
175,000 | Toronto-Dominion Bank (The) MTN, (USD 3 month LIBOR+0.840%) (Canada), 2.153%, 01/22/19 (d) | 176,590 | ||||||
250,000 | US Bank NA/Cincinnati OH, (USD 3 month LIBOR+0.150%), 1.467%, 05/24/19 (d) | 250,087 | ||||||
395,000 | Wachovia Corp. MTN, 5.750%, 02/01/18 | 401,674 | ||||||
450,000 | Westpac Banking Corp. MTN, (USD 3 month LIBOR+0.360%) (Australia), 1.676%, 09/01/20 (a) (d) | 449,738 | ||||||
|
| |||||||
9,819,908 | ||||||||
|
| |||||||
Capital Markets — 3.5% |
| |||||||
400,000 | Credit Suisse AG/New York NY (Switzerland), 1.700%, 04/27/18 | 400,220 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), (USD 3 month LIBOR+0.800%), 2.036%, 12/13/19 (d) | 402,796 | ||||||
400,000 | Morgan Stanley, (USD 3 month LIBOR+0.800%), 2.109%, 02/14/20 (d) | 401,916 | ||||||
400,000 | UBS AG, (USD 3 month LIBOR+0.580%) (Switzerland), 1.790%, 06/08/20 (a) (d) | 401,426 | ||||||
|
| |||||||
1,606,358 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
400,000 | Capital One Financial Corp., (USD 3 month LIBOR+0.760%), 2.069%, 05/12/20 (d) | 401,547 | ||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Financial Services — 1.0% |
| |||||||
400,000 | National Rural Utilities Cooperative Finance Corp., 10.375%, 11/01/18 | 439,389 | ||||||
|
| |||||||
Insurance — 3.5% |
| |||||||
400,000 | AIG Global Funding, (USD 3 month LIBOR+0.480%), 1.777%, 07/02/20 (a) (d) | 400,636 | ||||||
420,000 | Athene Global Funding, (USD 3 month LIBOR+1.140%), 2.447%, 04/20/20 (a) (d) | 425,013 | ||||||
250,000 | Jackson National Life Global Funding, 4.700%, 06/01/18 (a) | 255,461 | ||||||
250,000 | Metropolitan Life Global Funding I, (USD 3 month LIBOR+0.400%), 1.636%, 06/12/20 (a) (d) | 251,343 | ||||||
250,000 | Protective Life Global Funding, 1.722%, 04/15/19 (a) | 249,280 | ||||||
|
| |||||||
1,581,733 | ||||||||
|
| |||||||
Total Financials | 13,848,935 | |||||||
|
| |||||||
Health Care — 6.2% |
| |||||||
Biotechnology — 2.6% |
| |||||||
400,000 | AbbVie, Inc., 1.800%, 05/14/18 | 400,409 | ||||||
383,000 | Baxalta, Inc., 2.000%, 06/22/18 | 383,712 | ||||||
400,000 | Celgene Corp., 2.125%, 08/15/18 | 401,771 | ||||||
|
| |||||||
1,185,892 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.9% |
| |||||||
400,000 | Cardinal Health, Inc., 1.950%, 06/15/18 | 401,068 | ||||||
|
| |||||||
Pharmaceuticals — 2.7% |
| |||||||
400,000 | Allergan Funding SCS (Luxembourg), 2.350%, 03/12/18 | 401,300 | ||||||
400,000 | Mylan, Inc., 2.600%, 06/24/18 | 402,301 | ||||||
400,000 | Teva Pharmaceuticals (Netherlands), 1.400%, 07/20/18 | 397,760 | ||||||
|
| |||||||
1,201,361 | ||||||||
|
| |||||||
Total Health Care | 2,788,321 | |||||||
|
| |||||||
Industrials — 0.7% |
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
302,000 | Air Lease Corp., 2.625%, 09/04/18 | 304,489 | ||||||
|
| |||||||
Total Industrials | 304,489 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Corporate Bonds — continued | ||||||||
Information Technology — 2.9% |
| |||||||
IT Services — 2.0% |
| |||||||
450,000 | DXC Technology Co., (USD 3 month LIBOR+0.950%), 2.158%, 03/01/21 (d) | 450,228 | ||||||
450,000 | Western Union Co. (The), (USD 3 month LIBOR+0.800%), 2.115%, 05/22/19 (d) | 450,335 | ||||||
|
| |||||||
900,563 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.9% | ||||||||
400,000 | Apple, Inc., (USD 3 month LIBOR+0.200%), 1.512%, 02/07/20 (d) | 401,084 | ||||||
|
| |||||||
Total Information Technology | 1,301,647 | |||||||
|
| |||||||
Real Estate — 2.8% |
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.8% | ||||||||
250,000 | Realty Income Corp., 2.000%, 01/31/18 | 250,323 | ||||||
186,000 | Ventas Realty LP, 4.000%, 04/30/19 | 191,389 | ||||||
400,000 | VEREIT Operating Partnership LP, 3.000%, 02/06/19 | 404,888 | ||||||
400,000 | Welltower, Inc., 2.250%, 03/15/18 | 400,682 | ||||||
|
| |||||||
Total Real Estate | 1,247,282 | |||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
Diversified Telecommunication Services — 2.7% | ||||||||
400,000 | British Telecommunications plc (United Kingdom), 5.950%, 01/15/18 | 406,283 | ||||||
400,000 | Deutsche Telekom International Finance BV, (USD 3 month LIBOR+0.580%) (Netherlands), 1.884%, 01/17/20 (a) (d) | 401,293 | ||||||
400,000 | Telefonica Emisiones SAU (Spain), 3.192%, 04/27/18 | 403,583 | ||||||
|
| |||||||
Total Telecommunication Services | 1,211,159 | |||||||
|
| |||||||
Utilities — 2.9% |
| |||||||
Electric Utilities — 0.9% |
| |||||||
400,000 | Southern Power Co., 1.500%, 06/01/18 | 399,478 | ||||||
|
| |||||||
Multi-Utilities — 2.0% |
| |||||||
250,000 | CenterPoint Energy Resources Corp., 6.125%, 11/01/17 | 251,613 | ||||||
400,000 | Dominion Energy, Inc., (USD 3 month LIBOR+0.550%), 1.754%, 06/01/19 (a) (d) | 401,578 | ||||||
221,000 | Sempra Energy, 9.800%, 02/15/19 | 245,810 | ||||||
|
| |||||||
899,001 | ||||||||
|
| |||||||
�� | Total Utilities | 1,298,479 | ||||||
|
| |||||||
Total Corporate Bonds | 27,431,269 | |||||||
|
|
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Foreign Government Securities — 1.3% | ||||||||
200,000 | Japan Bank for International Cooperation/Japan, 1.682%, 06/01/20 | 199,893 | ||||||
400,000 | Japan Finance Organization for Municipalities, 2.125%, 03/06/19 (a) | 399,879 | ||||||
|
| |||||||
Total Foreign Government Securities (Cost $599,899) | 599,772 | |||||||
|
| |||||||
Short-Term Investments — 18.5% | ||||||||
Certificates of Deposit — 11.0% | ||||||||
Agricultural Bank of China Limit, | ||||||||
400,000 | 1.750%, 10/20/17 | 400,000 | ||||||
275,000 | 1.750%, 09/11/17 | 275,000 | ||||||
250,000 | Barclays Bank plc, 1.920%, 05/22/18 | 250,000 | ||||||
400,000 | BNP Paribas S.A., 1.600%, 07/06/18 | 400,000 | ||||||
China Construction Bank Corp., | ||||||||
400,000 | 1.750%, 10/02/17 | 400,000 | ||||||
250,000 | 1.750%, 10/20/17 | 250,000 | ||||||
275,000 | 1.750%, 09/05/17 | 275,000 | ||||||
250,000 | Credit Industrial Commercial, 1.560%, 06/29/18 | 250,000 | ||||||
Deutsche Bank AG, | ||||||||
250,000 | 2.000%, 07/10/18 | 250,000 | ||||||
250,000 | 2.000%, 08/03/18 | 250,000 | ||||||
250,000 | DZ Bank AG Deutsche Zentral-Genossenschaftsbank, (USD 3 month LIBOR+0.235%), 1.686%, 08/16/18 (d) | 250,224 | ||||||
275,000 | Industrial & Commercial Bank of China, 1.750%, 09/08/17 | 275,000 | ||||||
Norinchukin Bank, | ||||||||
250,000 | 1.660%, 07/26/18 | 250,000 | ||||||
250,000 | 1.630%, 01/31/18 | 250,127 | ||||||
250,000 | Standard Chartered Bank plc, 1.620%, 06/01/18 | 250,000 | ||||||
400,000 | Sumitomo Mitsui Banking Corp., (USD 3 month LIBOR+0.370%), | 399,854 | ||||||
250,000 | The Chiba Bank Ltd., 1.450%, 12/01/17 | 250,000 | ||||||
|
| |||||||
Total Certificates of Deposit | 4,925,205 | |||||||
|
| |||||||
Commercial Paper (k) — 4.9% | ||||||||
250,000 | Assa Abloy Financial Services, 1.486%, 09/28/17 | 249,718 | ||||||
250,000 | BP Capital Markets plc, 1.349%, 11/13/17 | 249,329 | ||||||
250,000 | Electricite de France SA, 1.668%, 01/05/18 | 248,543 | ||||||
250,000 | Engie SA, 1.458%, 10/04/17 (a) | 249,716 | ||||||
250,000 | Federation des Caisses, 1.626%, 08/17/18 | 246,090 | ||||||
400,000 | First Abu Dhabi Bank, 1.782%, 07/20/18 | 394,753 | ||||||
325,000 | Societe Generale SA, 1.357%, 09/26/17 | 324,711 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 35 |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
Short-Term Investments — continued | ||||||||
Commercial Paper — continued | ||||||||
250,000 | XCEL Energy, Inc., 1.612%, 10/30/17 | 249,371 | ||||||
|
| |||||||
Total Commercial Paper | 2,212,231 | |||||||
|
| |||||||
SHARES | ||||||||
Investment Company — 1.3% | ||||||||
596,776 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.870% (b) (c) | 596,776 | ||||||
|
| |||||||
PRINCIPAL AMOUNT($) | ||||||||
Repurchase Agreements — 1.3% | ||||||||
300,000 | Merrill Lynch 1.860% dated 05/18/17, due 11/14/17, repurchase price $300,001, collateralized by Collateralized Mortgage Obligation, 6.234%, due 12/25/25, with a value of $324,001. | 300,000 | ||||||
300,000 | Wells Fargo, 1.940%, dated 05/18/17, due 11/14/17, repurchase price $302,910, collateralized by Asset-Backed Security, 5.647%, due 05/06/39, with a value of $333,201. | 300,000 | ||||||
|
| |||||||
Total Repurchase Agreements | 600,000 | |||||||
|
| |||||||
Total Investments — 101.1% | 45,552,379 | |||||||
Liabilities in Excess of | (511,992 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 45,040,387 | ||||||
|
|
Percentages indicated are based on net assets.
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CAD | — Canadian Dollar | |
CLO | — Collateralized Loan Obligation | |
CZK | — Czech Koruna | |
EUR | — Euro | |
GBP | — British Pound Sterling | |
IDR | — Indonesia Rupiah | |
IO | — Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
LIBOR | — London interbank offered rate | |
MTN | — Medium Term Note | |
MXN | — Mexican Peso | |
NZD | — New Zealand Dollar | |
PIK | — Pay in Kind | |
PO | — Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. | |
REIT | — Real Estate Investment Trust | |
REMIC | — Real Estate Mortgage Investment Conduit | |
STRIPS | — Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. | |
SUB | — Step-Up Bond. The interest rate shown is the rate in effect as of August 31, 2017. | |
TRY | — Turkish Lira | |
UK | — United Kingdom | |
USD | — U.S. Dollar | |
ZAR | — South African Rand | |
(a) | Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualify institutional buyers. | |
(b) | Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of August 31, 2017. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of August 31, 2017. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2017. | |
(f) | Securities are perpetual and, thus, do not have a predetermined maturity date. The coupon rate for these securities is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of August 31, 2017. | |
(g) | Amount rounds to less than 0.05%. | |
(h) | Value determined using significant unobservable inputs. | |
(i) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(j) | Security was purchased pursuant to Regulation S under the Securities Act of 1933, which exempts from registration securities offered and sold outside of the United States. Such a security cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. | |
(k) | The rate shown is the effective yield as of August 31, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF AUGUST 31, 2017 (Unaudited)
JPMorgan Disciplined High Yield ETF | JPMorgan Global Bond Opportunities ETF | JPMorgan Ultra-Short Income ETF | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 35,094,958 | $ | 100,279,832 | $ | 44,955,603 | ||||||
Investment in affiliates, at value | 227,857 | 4,919,798 | 596,776 | |||||||||
Cash | 11,732 | — | 9,908 | |||||||||
Restricted Cash | — | 2,200 | 100 | |||||||||
Deposit at Broker for Futures Contracts | — | 480,000 | — | |||||||||
Foreign currency, at value | — | 186,638 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 593,402 | — | |||||||||
Fund shares sold | 5,144,087 | — | — | |||||||||
Interest from non-affiliates | 477,077 | 1,326,778 | 180,738 | |||||||||
Due from Adviser | 19,044 | — | 12,152 | |||||||||
Tax reclaims | 85 | 7,239 | — | |||||||||
Variation margin on futures contracts | — | 2,216 | — | |||||||||
Prepaid Expenses | 3,748 | 2,989 | — | |||||||||
Deferred offering costs | 2,500 | 53,106 | 16,789 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 200,737 | — | |||||||||
Other assets | — | — | 11,784 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 40,981,088 | 108,054,935 | 45,783,850 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investments securities purchased | 5,014,360 | 150,935 | 700,000 | |||||||||
Variation margin on futures contracts | — | 42,362 | — | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 379,601 | — | |||||||||
Due to custodian | — | 7,278 | — | |||||||||
Accrued Liabilities: | ||||||||||||
Professional fees | 54,198 | 39,324 | 17,616 | |||||||||
Accounting fees | 6,804 | 1,350 | 12,529 | |||||||||
Administration fees | 2,217 | 7,732 | 3,194 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1,291 | 2,808 | 1,597 | |||||||||
Custodian and Transfer Agent fees | 911 | 22,600 | 2,651 | |||||||||
Advisory fees | — | 10,281 | — | |||||||||
Other | 4,265 | 11,440 | 5,876 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 5,084,046 | 675,711 | 743,463 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 35,897,042 | $ | 107,379,224 | $ | 45,040,387 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 35,367,625 | $ | 106,301,896 | $ | 45,021,907 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 182 | 1,129,961 | 2,005 | |||||||||
Accumulated net realized gains (losses) | (13,430 | ) | (2,055,683 | ) | 4,349 | |||||||
Net unrealized appreciation (depreciation) | 542,665 | 2,003,050 | 12,126 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 35,897,042 | $ | 107,379,224 | $ | 45,040,387 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | 700,000 | 2,100,000 | 900,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 51.28 | $ | 51.13 | $ | 50.04 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 34,552,293 | $ | 97,951,668 | $ | 44,943,477 | ||||||
Cost of investments in affiliates | 227,857 | 4,919,798 | 596,776 | |||||||||
Cost of foreign currency | — | 174,165 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 37 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED AUGUST 31, 2017 (Unaudited)
JPMorgan Yield ETF | JPMorgan Global Bond Opportunities ETF (a) | JPMorgan Ultra-Short Income ETF (b) | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 812,895 | $ | 1,357,606 | $ | 170,854 | ||||||
Dividend income from affiliates | 1,466 | 33,746 | 8,380 | |||||||||
Foreign taxes withheld | (383 | ) | (14,445 | ) | (413 | ) | ||||||
|
|
|
|
|
| |||||||
Total Investment Income | 813,978 | 1,376,907 | 178,821 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 46,285 | 164,459 | 16,020 | |||||||||
Administration fees (Note 3.B) | 13,114 | 25,416 | 9,078 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 3,402 | 4,275 | 1,597 | |||||||||
Professional fees | 55,348 | 48,959 | 17,950 | |||||||||
Printing and mailing costs | 4,432 | 2,241 | 918 | |||||||||
Custodian and Transfer Agent fees | 1,105 | 29,424 | 2,997 | |||||||||
Registration and filing fees | 11,554 | 9,315 | 6,085 | |||||||||
Insurance expense | 1,438 | 1,082 | 247 | |||||||||
Offering costs | 25,547 | 21,990 | 6,149 | |||||||||
Accounting fees | 27,888 | 14,358 | 14,909 | |||||||||
Other | 1,292 | 2,241 | 918 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 191,405 | 323,760 | 76,868 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.D) | (59,399 | ) | (158,629 | ) | (25,098 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.D) | (70,555 | ) | — | (34,438 | ) | |||||||
Less expense reimbursements from non-affiliates (Note 3.C) | (200 | ) | (4,400 | ) | (200 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 61,251 | 160,731 | 17,132 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 752,727 | 1,216,176 | 161,689 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 29,437 | 26,794 | 4,349 | |||||||||
Futures | — | (330,817 | ) | — | ||||||||
Foreign currency translations | — | 9,158 | — | |||||||||
Forward foreign currency exchange contracts | — | (1,760,818 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 29,437 | (2,055,683 | ) | 4,349 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 153,665 | 2,328,164 | 12,126 | |||||||||
Futures | — | (187,698 | ) | — | ||||||||
Foreign currency translations | — | 41,448 | — | |||||||||
Forward foreign currency exchange contracts | — | (178,864 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 153,665 | 2,003,050 | 12,126 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 183,102 | (52,633 | ) | 16,475 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 935,829 | $ | 1,163,543 | $ | 178,164 | ||||||
|
|
|
|
|
|
(a) | Commencement of operations was April 5, 2017. |
(b) | Commencement of operations was May 17, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Disciplined High Yield ETF | JPMorgan Global Bond Opportunities ETF | JPMorgan Ultra- Short Income ETF | ||||||||||||||
Period Ended August 31, 2017 (Unaudited) | Period Ended February 28, 2017 (a) | Period Ended August 31, 2017 (b) (Unaudited) | Period Ended August 31, 2017 (c) (Unaudited) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 752,727 | $ | 572,834 | $ | 1,216,176 | $ | 161,689 | ||||||||
Net realized gain (loss) | 29,437 | (41,809 | ) | (2,055,683 | ) | 4,349 | ||||||||||
Change in net unrealized appreciation/depreciation | 153,665 | 389,000 | 2,003,050 | 12,126 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 935,829 | 920,025 | 1,163,543 | 178,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (756,942 | ) | (567,995 | ) | (86,215 | ) | (159,684 | ) | ||||||||
From net realized gains | — | (1,500 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (756,942 | ) | (569,495 | ) | (86,215 | ) | (159,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 5,144,087 | 30,223,538 | 106,301,896 | 45,021,907 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 5,322,974 | 30,574,068 | 107,379,224 | 45,040,387 | ||||||||||||
Beginning of period | 30,574,068 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 35,897,042 | $ | 30,574,068 | $ | 107,379,224 | $ | 45,040,387 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 182 | $ | 4,397 | $ | 1,129,961 | $ | 2,005 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | 5,144,087 | $ | 30,223,538 | $ | 106,301,896 | $ | 45,021,907 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 5,144,087 | $ | 30,223,538 | $ | 106,301,896 | $ | 45,021,907 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued | 100,000 | 600,000 | 2,100,000 | 900,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | 100,000 | 600,000 | 2,100,000 | 900,000 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was September 14, 2016. |
(b) | Commencement of operations was April 5, 2017. |
(c) | Commencement of operations was May 17, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 39 |
FOR THE PERIODS INDICATED
Per share operating performance |
| |||||||||||||||||||||||||||||||
Investment Operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain (loss) | Total distributions | Net asset value, end of period | |||||||||||||||||||||||||
JPMorgan Disciplined High Yield ETF |
| |||||||||||||||||||||||||||||||
Six Months Ended August 31, 2017 (Unaudited) | $ | 50.96 | $ | 1.25 | $ | 0.33 | $ | 1.58 | $ | (1.26 | ) | $ | — | $ | (1.26 | ) | $ | 51.28 | ||||||||||||||
September 14, 2016 (a) through February 28, 2017 | 50.00 | 1.14 | 0.96 | 2.10 | (1.14 | ) | — | (h) | (1.14 | ) | 50.96 | |||||||||||||||||||||
JPMorgan Global Bond Opportunities ETF |
| |||||||||||||||||||||||||||||||
April 5, 2017 (a) through August 31, 2017 (Unaudited) | 50.00 | 0.84 | 0.39 | 1.23 | (0.10 | ) | — | (0.10 | ) | 51.13 | ||||||||||||||||||||||
JPMorgan Ultra-Short Income ETF |
| |||||||||||||||||||||||||||||||
May 17, 2017 (a) through August 31, 2017 (Unaudited) | 50.00 | 0.22 | 0.03 | 0.25 | (0.21 | ) | — | (0.21 | ) | 50.04 |
(a) | Commencement of operations. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Market price total return is calculated assuming an initial investment made at the beginning of the period market price, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The market price presented to calculate the market price total return is the mid-point of the bid/ask spread at the close of business on the Bats BZX Exchange, Inc. |
(f) | Annualized for periods less than one year, unless otherwise indicated. |
(g) | Certain non-recurring expenses incurred by the Fund were not annualized for the periods indicated. |
(h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Ratios/Supplemental data | ||||||||||||||||||||||||||||||
Ratios to average net assets (f) | ||||||||||||||||||||||||||||||
Market price, end of period | Total return (c)(d) | Market price total return (c)(e) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | |||||||||||||||||||||||
$ | 51.66 | 3.19 | % | 3.49 | % | $ | 35,897,042 | 0.40 | % | 4.88 | % | 1.33 | % | 15 | % | |||||||||||||||
51.16 | 4.24 | 4.64 | 30,574,068 | 0.39 | (g) | 4.99 | 1.74 | (g) | 8 | |||||||||||||||||||||
51.35 | 2.46 | 2.90 | 107,379,224 | 0.54 | (g) | 4.07 | 2.12 | (g) | 22 | |||||||||||||||||||||
50.09 | 0.50 | 0.60 | 45,040,387 | 0.16 | (g) | 1.51 | 0.75 | (g) | 2 |
SEE NOTES TO FINANCIAL STATEMENTS.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 41 |
AS OF AUGUST 31, 2017 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-ended management investment company.
The following are 3 separate funds of the Trust (collectively, the “Funds”) covered in this report:
Diversified/Non-Diversified | ||
JPMorgan Disciplined High Yield ETF | Diversified | |
JPMorgan Global Bond Opportunities ETF | Diversified | |
JPMorgan Ultra-Short Income ETF | Diversified |
JPMorgan Disciplined High Yield ETF (the “Disciplined High Yield ETF”) commenced operations on September 14, 2016. The investment objective of the Fund is to seek to provide a high level of income with capital appreciation as a secondary objective.
JPMorgan Global Bond Opportunities ETF (the “Global Bond Opportunities ETF) commenced operations on April 5, 2017. The investment objective of the Fund is to provide total returns.
JPMorgan Ultra-Short Income ETF (the “Ultra-Short Income” ETF) commenced operations on May 17, 2017. The investment objective of the Fund is to seek to provide current income while seeking to maintain a low volatility of principal.
J.P. Morgan Investment Management Inc. (“JPMIM” or the “Adviser”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as the Adviser and Administrator (the “Administrator”) to the Funds.
Shares of each Fund are listed and traded on the Bats BZX Exchange, Inc. Market prices for the Funds’ shares may be different from their net asset value (“NAV”). The Funds issue and redeem their shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor”), at NAV in large blocks of shares, typically 100,000 shares for all funds, except for the Ultra-Short Income ETF which trades in blocks of 50,000 shares, referred to as “Creation Units.” The Funds may elect creations and redemptions in cash or partially in cash. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of the U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices, and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Investment Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Fixed income instruments are valued based on prices received from approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Investments in mutual funds (the “Underlying Funds”) are valued at each Underlying Funds’ NAV per share as of the report date.
Forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
42 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Futures are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedule of Portfolio Investments:
Disciplined High Yield ETF
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | $ | — | $ | 9,285,049 | $ | — | $ | 9,285,049 | ||||||||
Consumer Staples | — | 1,194,293 | — | 1,194,293 | ||||||||||||
Energy | — | 4,920,373 | — | 4,920,373 | ||||||||||||
Financials | — | 2,508,548 | — | 2,508,548 | ||||||||||||
Health Care | — | 2,417,016 | — | 2,417,016 | ||||||||||||
Industrials | — | 3,593,461 | — | 3,593,461 | ||||||||||||
Information Technology | — | 2,640,455 | — | 2,640,455 | ||||||||||||
Materials | — | 3,190,800 | — | 3,190,800 | ||||||||||||
Real Estate | — | 818,328 | — | 818,328 | ||||||||||||
Telecommunication Services | — | 3,408,256 | — | 3,408,256 | ||||||||||||
Utilities | — | 1,118,379 | — | 1,118,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 35,094,958 | — | 35,094,958 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 227,857 | — | — | 227,857 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 227,857 | $ | 35,094,958 | $ | — | $ | 35,322,815 | ||||||||
|
|
|
|
|
|
|
|
Global Bond Opportunities ETF
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | ||||||||||||||||
United States | $ | — | $ | 1,993,005 | $ | 147,446 | $ | 2,140,451 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Mortgage-Backed Securities | ||||||||||||||||
United States | — | 6,748,169 | 1,414,586 | 8,162,755 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Corporate Bonds | ||||||||||||||||
Argentina | — | 653,860 | — | 653,860 | ||||||||||||
Australia | — | 373,766 | — | 373,766 | ||||||||||||
Belgium | — | 313,198 | — | 313,198 | ||||||||||||
Bermuda | — | 199,364 | — | 199,364 | ||||||||||||
Brazil | — | 998,295 | — | 998,295 | ||||||||||||
Canada | — | 1,554,189 | — | 1,554,189 | ||||||||||||
Cayman Islands | — | 50,440 | — | 50,440 | ||||||||||||
France | — | 3,828,984 | — | 3,828,984 |
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 43 |
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
Global Bond Opportunities ETF (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Gabon | $ | — | $ | 197,000 | $ | — | $ | 197,000 | ||||||||
Germany | — | 1,637,023 | — | 1,637,023 | ||||||||||||
Guatemala | — | 212,900 | — | 212,900 | ||||||||||||
Ireland | — | 1,169,972 | — | 1,169,972 | ||||||||||||
Israel | — | 109,978 | — | 109,978 | ||||||||||||
Italy | — | 2,464,620 | — | 2,464,620 | ||||||||||||
Japan | — | 356,837 | — | 356,837 | ||||||||||||
Kuwait | — | 213,000 | — | 213,000 | ||||||||||||
Luxembourg | — | 2,483,354 | — | 2,483,354 | ||||||||||||
Mexico | — | 843,432 | — | 843,432 | ||||||||||||
Netherlands | — | 1,813,965 | — | 1,813,965 | ||||||||||||
New Zealand | — | 135,920 | — | 135,920 | ||||||||||||
Peru | — | 45,250 | — | 45,250 | ||||||||||||
Portugal | — | 388,083 | — | 388,083 | ||||||||||||
Qatar | — | 196,750 | — | 196,750 | ||||||||||||
Spain | — | 1,577,699 | — | 1,577,699 | ||||||||||||
Sweden | �� | — | 961,606 | — | 961,606 | |||||||||||
Switzerland | — | 683,365 | — | 683,365 | ||||||||||||
United Kingdom | — | 3,645,696 | — | 3,645,696 | ||||||||||||
United States | — | 39,698,943 | — | 39,698,943 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 66,807,489 | — | 66,807,489 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | ||||||||||||||||
Angola | — | 214,750 | — | 214,750 | ||||||||||||
Argentina | — | 231,000 | — | 231,000 | ||||||||||||
Australia | — | 2,916,315 | — | 2,916,315 | ||||||||||||
Belarus | — | 470,500 | — | 470,500 | ||||||||||||
Brazil | — | 1,061,498 | — | 1,061,498 | ||||||||||||
Colombia | — | 206,800 | — | 206,800 | ||||||||||||
Dominican Republic | — | 402,500 | — | 402,500 | ||||||||||||
Ecuador | — | 219,250 | — | 219,250 | ||||||||||||
Egypt | — | 538,275 | — | 538,275 | ||||||||||||
Indonesia | — | 3,559,594 | — | 3,559,594 | ||||||||||||
Italy | — | 425,572 | — | 425,572 | ||||||||||||
Jordan | — | 206,500 | — | 206,500 | ||||||||||||
Lebanon | — | 518,398 | — | 518,398 | ||||||||||||
Mexico | — | 2,105,444 | — | 2,105,444 | ||||||||||||
Morocco | — | 227,000 | — | 227,000 | ||||||||||||
New Zealand | — | 2,071,310 | — | 2,071,310 | ||||||||||||
Oman | — | 209,400 | — | 209,400 | ||||||||||||
Pakistan | — | 209,072 | — | 209,072 | ||||||||||||
Portugal | — | 1,543,239 | — | 1,543,239 | ||||||||||||
Qatar | — | 405,900 | — | 405,900 | ||||||||||||
South Africa | — | 1,068,936 | — | 1,068,936 | ||||||||||||
Spain | — | 523,146 | — | 523,146 | ||||||||||||
Sri Lanka | — | 429,000 | — | 429,000 | ||||||||||||
Turkey | — | 2,520,128 | — | 2,520,128 | ||||||||||||
Ukraine | — | 560,610 | — | 560,610 | ||||||||||||
Uruguay | — | 108,000 | — | 108,000 | ||||||||||||
Zambia | — | 217,000 | — | 217,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Foreign Government Securities | — | 23,169,137 | — | 23,169,137 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | $ | 4,919,798 | $ | — | $ | — | $ | 4,919,798 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 4,919,798 | $ | 98,717,800 | $ | 1,562,032 | $ | 105,199,630 | ||||||||
|
|
|
|
|
|
|
|
44 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Global Bond Opportunities ETF (continued)
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 200,737 | $ | — | $ | 200,737 | ||||||||
Futures Contracts | 4,332 | — | — | 4,332 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 4,332 | $ | 200,737 | $ | — | | $ | 205,069 | |||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Contracts | — | (379,601 | ) | — | (379,601 | ) | ||||||||||
Futures Contracts | (192,030 | ) | — | — | (192,030 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (192,030 | ) | $ | (379,601 | ) | $ | — | | $ | (571,631 | ) | ||||
|
|
|
|
|
|
|
|
Ultra-Short Income ETF
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 7,067,272 | $ | 250,000 | $ | 7,317,272 | ||||||||
Certificates of Deposit | — | 649,827 | — | 649,827 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 1,220,027 | — | 1,220,027 | ||||||||||||
Corporate Bonds | ||||||||||||||||
Consumer Discretionary | — | 1,452,726 | — | 1,452,726 | ||||||||||||
Consumer Staples | — | 2,106,790 | — | 2,106,790 | ||||||||||||
Energy | — | 1,871,441 | — | 1,871,441 | ||||||||||||
Financials | — | 13,848,935 | — | 13,848,935 | ||||||||||||
Health Care | — | 2,788,321 | — | 2,788,321 | ||||||||||||
Industrials | — | 304,489 | — | 304,489 | ||||||||||||
Information Technology | — | 1,301,647 | — | 1,301,647 | ||||||||||||
Real Estate | — | 1,247,282 | — | 1,247,282 | ||||||||||||
Telecommunication Services | — | 1,211,159 | — | 1,211,159 | ||||||||||||
Utilities | — | 1,298,479 | — | 1,298,479 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Corporate Bonds | — | 27,431,269 | — | 27,431,269 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Foreign Government Securities | — | 599,772 | — | 599,772 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Certificates of Deposit | — | 4,925,205 | — | 4,925,205 | ||||||||||||
Commercial Paper | — | 2,212,231 | — | 2,212,231 | ||||||||||||
Investment Company | 596,776 | — | — | 596,776 | ||||||||||||
Repurchase Agreements | — | 600,000 | — | 600,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 596,776 | 7,737,436 | — | 8,334,212 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 596,776 | $ | 44,705,603 | $ | 250,000 | $ | 45,552,379 | ||||||||
|
|
|
|
|
|
|
|
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no transfers among any levels during the period ended August 31, 2017.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 45 |
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair values (amounts in thousands):
Global Bond Opportunities ETF | Balance as of April 5, 2017 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of August 31, 2017 | |||||||||||||||||||||||||||
Asset-Backed Securities — United States | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 147,446 | $ | — | $ | 147,446 | ||||||||||||||||||
Commercial Mortgage Backed Securities — United States | — | — | — | — | — | — | 1,414,586 | — | 1,414,586 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,562,032 | $ | — | $ | 1,562,032 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) | Purchases include all purchases of securities and securities received in corporate actions. |
(2) | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The change in net unrealized appreciation (depreciation) attributable to securities owned at August 31, 2017, which were valued using significant unobservable inputs (level 3) was $17,790 for the Global Bond Opportunities ETF.
Global Bond Opportunities ETF | ||||||||||||||||
Quantitative Information about Level 3 Fair Value Measurements (Amounts in thousands) | ||||||||||||||||
Fair Value at August 31, 2017 | Valuation Technique(s) | Unobeservable Input | Range (Weighted Average) | |||||||||||||
Asset-Backed securities | $ | 147,446 | Discounted Cash Flow | Constant Prepayment Rate | 11.00% (11.00%) | |||||||||||
Constant Default Rate | 2.92% (2.92%) | |||||||||||||||
Yield (Discount Rate of Cash Flows) | 4.75% (4.75%) | |||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Commercial Mortgage Backed Securities | 1,414,586 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 3.72% - 26.53% (11.51%) | ||||||||||||
|
| |||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||
Total | $ | 1,562,032 | ||||||||||||||
|
| |||||||||||||||
|
|
|
|
|
|
|
|
|
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the default rate may decrease (increase) the fair value measurement. A significant change in the discount rate or prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net asset value of the Funds.
As of August 31, 2017, none of the Funds had investments in restricted securities other than securities sold to the Fund under Rule 144A and Regulation S under the Securities Act.
C. Repurchase Agreements — The Funds may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM, an indirect, wholly-owned subsidiary of JPMorgan. Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price. The Funds require that the collateral received in a repurchase agreement transaction be transferred to a custodian in a manner sufficient to enable the Funds to obtain collateral in the event of a counterparty default. If the counterparty defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. Repurchase agreement collateral may be held in segregated accounts maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan.
The Funds’ repurchase agreements are not subject to master netting arrangements.
D. Derivatives — The Global Bond Opportunities ETF is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against the counterparty (i.e., decline in a counterparty’s credit rating below a specified level). Such rights for both the counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
46 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
(1). Forward Foreign Currency Exchange Contracts — The Global Bond Opportunities ETF may be exposed to foreign currency risks associated with portfolio investments and therefore used forward foreign currency exchange contracts to hedge or manage these exposures. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollar without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). The Fund may be required to post or receive collateral for non-deliverable foreign currency contracts.
(2). Futures Contracts — The Global Bond Opportunities ETF used interest rate futures to obtain long and short exposure to the underlying interest rate markets. The purchase of futures contracts will tend to increase a Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sale of futures contracts will tend to offset both positive and negative market price changes.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the Schedule of Portfolio Investments and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Fund to interest rate risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(3). Summary of Derivatives Information
The following table presents the value of derivatives held as of August 31, 2017, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
Global Bond Opportunities ETF | ||||||||||||||
Derivatives Contracts | Statements of Assets and Liabilities | |||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange | Total | |||||||||||
Interest rate contracts | Receivables, Net Assets — Unrealized Appreciation | $ | 4,332 | $ | — | $ | 4,332 | |||||||
Foreign exchange contracts | Receivables | — | 200,737 | 200,737 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 4,332 | $ | 200,737 | $ | 205,069 | ||||||||
|
|
|
|
|
| |||||||||
Gross Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net Assets — Unrealized Depreciation | 192,030 | — | 192,030 | ||||||||||
Foreign exchange contracts | Payables | — | 379,601 | 379,601 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 192,030 | $ | 379,601 | $ | 571,631 | ||||||||
|
|
|
|
|
|
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported on the Schedule of Investments. The Statements of Assets and Liabilities only reflects the current day variation margin receivable/payable from/to brokers. |
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 47 |
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
The following tables present the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of August 31, 2017:
Global Bond Opportunities ETF | ||||||||||||||||
Counterparty | Gross Amount of Derivative Assets are Presented on the Statements of Assets | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty | ||||||||||||
ANZ | $ | 130,872 | $ | (9,734 | ) | $ | — | $ | 121,138 | |||||||
Citigroup | 32,089 | — | — | 32,089 | ||||||||||||
Deutsche Bank | 29,225 | (2,979 | ) | — | 26,246 | |||||||||||
Goldman Sachs | 4,209 | (4,209 | ) | — | — | |||||||||||
HSBC | 1,817 | — | — | 1,817 | ||||||||||||
National Australia Capital Markets | 1,768 | (718 | ) | — | 1,050 | |||||||||||
Royal Bank of Canada | 757 | (165 | ) | — | 592 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 200,737 | $ | (17,805 | ) | $ | — | $ | 182,932 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Liabilities are Presented on the Statements of Assets | Derivatives Available for offset | Collateral Posted | Net Amount Due to Counterparty | ||||||||||||
ANZ | $ | 9,734 | $ | (9,734 | ) | $ | — | $ | — | |||||||
Deutsche Bank | 2,979 | (2,979 | ) | — | — | |||||||||||
Goldman Sachs | 27,295 | (4,209 | ) | — | 23,086 | |||||||||||
Merrill Lynch | 2,832 | — | — | 2,832 | ||||||||||||
National Australia Capital Markets | 718 | (718 | ) | — | — | |||||||||||
Royal Bank of Canada | 165 | (165 | ) | — | — | |||||||||||
TD Securities | 335,878 | — | — | 335,878 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | 379,601 | $ | (17,805 | ) | $ | — | $ | 361,796 | ||||||||
|
|
|
|
|
|
|
|
(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the period ended August 31, 2017, by primary underlying risk exposure:
Global Bond Opportunities ETF | ||||||||||||
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statement of Operations | ||||||||||||
Derivatives Contracts: | Futures Contracts | Forward Foreign Currency Exchange | Total | |||||||||
Interest rate contracts | $ | (334,118 | ) | $ | — | $ | (334,118 | ) | ||||
Foreign exchange contracts | 3,301 | (1,760,818 | ) | (1,757,517 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | (330,817 | ) | $ | (1,760,818 | ) | $ | (2,091,635 | ) | |||
|
|
|
|
|
| |||||||
Global Bond Opportunities ETF | ||||||||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statement of Operations | ||||||||||||
Derivatives Contracts: | Futures Contracts | Forward Foreign Currency Exchange | Total | |||||||||
Interest rate contracts | $ | (187,698 | ) | $ | — | $ | (187,698 | ) | ||||
Foreign exchange contracts | — | (178,864 | ) | (178,864 | ) | |||||||
|
|
|
|
|
| |||||||
Total | $ | (187,698 | ) | $ | (178,864 | ) | $ | (366,562 | ) | |||
|
|
|
|
|
|
48 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Derivatives Volume
The table discloses the volume of the Fund’s futures contracts and forward foreign currency exchange contracts activity during the period ended August 31, 2017. Please refer to the table in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Futures Contracts: (a) | ||||
Interest | ||||
Average Notional Balance Long | $ | 1,718,528 | ||
Average Notional Balance Short | 56,945,351 | |||
Ending Notional Balance Long | 1,981,573 | |||
Ending Notional Balance Short | (80,510,720 | ) | ||
Forward Foreign Currency Exchange Contracts (a) | ||||
Average Settlement Value Purchased | 4,307,940 | |||
Average Settlement Value Sold | 26,351,769 | |||
Ending Settlement Value Purchased | 4,821,140 | |||
Ending Settlement Value Sold | 36,637,545 |
(a) | For the period from April 5, 2017 through August 31, 2017. |
The Fund’s derivatives contracts held at August 31, 2017 are not accounted for as hedging instruments under GAAP.
E. 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 at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in the foreign exchange rates from changes in the market prices of securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and withholding taxes recorded on the Funds’ books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Investment Transactions with Affiliates — The Funds invest in Underlying Funds advised by the Adviser or its affiliates.
An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the following to be affiliated issuers. Included in the Realized Gain (Loss) amounts in the table below are distributions of realized capital gains, if any, received from the Underlying Funds and other ETFs advised by the Adviser or its affiliates:
For the period ended August 31, 2017 | ||||||||||||||||||||||||||||||||
Affiliate | Value at Beginning of Period | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Unrealized Gain (Loss) | Shares at August 31, 2017 | Value at August 31, 2017 | Dividend Income | ||||||||||||||||||||||||
Disciplined High Yield ETF |
| |||||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | $ | 266,217 | $ | 2,819,889 | $ | 2,858,249 | $ | — | $ | — | 227,857 | $ | 227,857 | $ | 1,466 | |||||||||||||||||
Global Bond Opportunities ETF (a) |
| |||||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | — | 222,955,163 | 218,035,365 | — | — | 4,919,798 | 4,919,798 | 33,746 | ||||||||||||||||||||||||
Ultra-Short Income ETF (b) |
| |||||||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund, Institutional Class Shares | — | 44,743,319 | 44,146,543 | — | — | 596,776 | 596,776 | 8,380 |
(a) | Commencement of operations was April 5, 2017. |
(b) | Commencement of operations was May 17, 2017. |
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 49 |
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
G. Offering and Organizational Costs – Total offering costs incurred in connection with the offering of shares of the Funds are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Trust, if any, were recorded as an expense at the time it commenced operations. Approximate total offering costs incurred by the Funds were as follows:
Disciplined High Yield ETF | $ | 38,245 | ||
Global Bond Opportunities ETF | 75,096 | |||
Ultra-Short Income ETF | 22,938 |
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a fund first learns of the dividend.
I. Allocation of Expenses — Expenses directly attributable to the Funds are charged directly to the Funds, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of August 31, 2017, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which it invests.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid monthly. Net realized capital gains, if any, are distributed by the Funds at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser supervises the investments of each Fund and is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Disciplined High Yield ETF | 0.30 | % | ||
Global Bond Opportunities ETF | 0.55 | % | ||
Ultra-Short Income ETF | 0.15 | % |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.D.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an effective annual rate of 0.085% of the average daily net assets of each Fund in the Trust covered by the Administration Agreement.
The Administrator waived administration fees as outlined in Note 3.D.
C. Custodian and Transfer Agent Fees — JPMCB provides portfolio custody and transfer agency services to the Funds. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian and Transfer Agent fees on the Statements of Operations. With respect to the transfer agency services provided by JPMCB for each creation or redemption transaction, the Authorized Participant will generally be responsible for such associated expenses; during the period, the Funds paid no transfer agency fees to JPMCB.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Fund for these transactions.
For the period ended August 31, 2017, the amount of transaction fees paid by the Authorized Participants that were used to reimburse custodian fees were as follows:
Disciplined High Yield ETF | $ | 200 | ||
Global Bond Opportunities ETF | 4,400 | |||
Ultra-Short Income ETF | 200 |
50 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Such amounts are included in expense reimbursements from non-affiliates in the Statements of Operations.
Restricted cash on the Statements of Assets and Liabilities is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.
Interest income earned on cash balances at the custodian, if any, is included as interest income from affiliates in the Statements of Operations.
Interest expense paid to the custodian related to overdrafts, if any, is included in interest expense to affiliates in the Statements of Operations.
D. Waivers and Reimbursements — The Adviser has contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales (if applicable), interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the percentage of the Funds’ average daily net assets as shown in the below table:
Expense Cap | ||||
Disciplined High Yield ETF | 0.40 | % | ||
Global Bond Opportunities ETF | 0.55 | % | ||
Ultra-Short Income ETF | 0.18 | % |
The expense limitation agreements were in effect for the period ended August 31, 2017. The contractual expense limitation percentage is in place until at least February 28, 2021 for the Global Bond Opportunities ETF and until at least June 30, 2021 for the Disciplined High Yield ETF and the Ultra-Short Income ETF.
For the period ended August 31, 2017, the Funds’ service providers waived fees and/or reimbursed expenses for each Fund as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Total | Contractual Reimbursements | |||||||||||||
Disciplined High Yield ETF | $ | 46,285 | $ | 13,114 | $ | 59,399 | $ | 70,755 | ||||||||
Global Bond Opportunities ETF | 133,213 | 25,416 | 158,629 | 4,400 | ||||||||||||
Ultra-Short Income ETF | 16,020 | 9,078 | 25,098 | 34,638 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser has agreed to waive the net expense ratio of the underlying money market funds.
The amounts of the waivers resulting from investments in these money market funds as of August 31, 2017 were as follows:
Disciplined High Yield ETF | $ | 461 | ||
Global Bond Opportunities ETF | 3,913 | |||
Ultra-Short Income ETF | 2,093 |
E. Related Party Transactions — The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. The Distributor has no role in determining the investment policies of the Fund or the securities that are purchased or sold by the Fund. The Distributor receives no fee for its distribution services under the Distribution Agreement. Although the Distributor does not receive any fees under the Distribution Agreement with the Trust, JPMIM pays the Distributor for certain distribution related services.
F. Other — Certain officers of the Trust are affiliated with the Adviser. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. The Funds, along with other affiliated funds, make reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Funds may use related party broker-dealers. For the period ended August 31, 2017, the Funds incurred no brokerage commissions with broker-dealers affiliated with the Adviser or Trust.
4. Investment Transactions
During the period ended August 31, 2017, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Purchases of U.S. | Sales (excluding U.S. Government) | Sales of U.S. Government | |||||||||||||
Disciplined High Yield ETF | $ | 9,474,475 | $ | — | $ | 4,370,457 | $ | — | ||||||||
Global Bond Opportunities ETF | 91,097,931 | 14,488,216 | 11,840,323 | 4,163,602 | ||||||||||||
Ultra-Short Income ETF | 11,059,612 | 743,764 | 57,729 | 76,663 |
For the period ended August 31, 2017, there were no in-kind transactions associated with creations and redemptions.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 51 |
NOTES TO FINANCIAL STATEMENTS
AS OF AUGUST 31, 2017 (Unaudited) (continued)
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investments held at August 31, 2017 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized (Depreciation) | |||||||||||||
Disciplined High Yield ETF | $ | 34,780,150 | $ | 781,573 | $ | (238,908 | ) | $ | 542,665 | |||||||
Global Bond Opportunities ETF | 102,871,466 | 2,713,282 | (385,118 | ) | 2,328,164 | |||||||||||
Ultra-Short Income ETF | 45,540,253 | 23,000 | (10,874 | ) | 12,126 |
There is no difference between book and tax basis appreciation (depreciation) on investments.
The tax character of distributions paid during the period ended February 28, 2017 was as follows:
Ordinary Income | Total Distributions Paid | |||||||
Disciplined High Yield ETF | $ | 569,495 | $ | 569,495 |
As of February 28, 2017, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Undistributed Ordinary Income | Post October Losses | Unrealized Appreciation (Depreciation) | Total Distributable Earnings | |||||||||||
Disciplined High Yield ETF | $4,397 | $ | (42,867 | ) | $ | 389,000 | $ | 350,530 |
As of February 28, 2017, the Fund had no net capital loss carryforwards.
Net capital losses and other late year losses after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended February 28, 2017, the Fund deferred to March 1, 2017 net capital losses and other late year loss of:
Net Capital Loss | ||||||||||
Short-Term | Long-Term | Other late year loss | ||||||||
Disciplined High Yield ETF | $(42,867) | $ | — | $ | — |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a “DTC Participant”; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
Authorized Participants transacting in Creation Units for cash may also pay a variable charge to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in “Proceeds from shares purchased” or “Proceeds from shares issued” in the Statements of Changes in Net Assets.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure, if any, would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
As of August 31, 2017, the Adviser owned more than 10% of the outstanding shares of the following Funds:
% Ownership | ||||
Disciplined High Yield ETF | 80 | % | ||
Global Bond Opportunities ETF | 93 | % | ||
Ultra-Short Income ETF | 55 | % |
52 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
Significant transactions by the Adviser may impact the Funds’ performance.
Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.
The Disciplined High Yield ETF invests in high yield securities that are not rated or rated below investment grade (commonly known as “junk bonds”). These securities are considered to be high risk investments. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities. Junk bonds involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims. The market price of these securities can change suddenly and unexpectedly. As a result, the Fund is intended for investors who are able and willing to assume a high degree of risk.
The Disciplined High Yield ETF may invest up to 100% of the its total assets in below investment grade securities or unrated securities that JPMIM deems to be of equivalent quality. Such securities may include so called “distressed debt”.
The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. Given the historically low interest rate environment, risks associated with rising rates are heightened. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.
8. Investment Company Reporting Modernization
In October 2016, the U.S. Securities and Exchange Commission adopted new rules and forms, and amendments to certain current rules and forms, to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The amendments to Regulation S-X were applied to the Funds’ financial statements as of August 31, 2017. The adoption had no effect on the Funds’ net assets or results of operations.
9. Subsequent Events
On October 1, 2017, the following changes became effective:
JPMCB became the sub-administrator (the “Sub-administrator”) to the Funds. For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
JPMCB became fund accounting agent to the Funds.
JPMorgan Distribution Services, Inc., a wholly-owned subsidiary of JPMorgan, replaced SEI Investment Distribution Co. as distributor to the Funds.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 53 |
FOR THE PERIODS INDICATED (Unaudited)
The table below indicates the number of trading days in which the Funds traded within the range of the premium/discount noted. The number of days in each range is also shown as a percentage of the total trading days for the period covered in the table. All information within the table is based on historical performance. Past performance cannot be used to predict future results. Shareholders may pay more than NAV when they buy fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market prices.
Disciplined High Yield ETF (a) | Global Bond Opportunities ETF (b) | Ultra-Short Income ETF (c) | ||||||||||||||||||||||
Range of Premium/(Discount) | Day Count | Percentage | Day Count | Percentage | Day Count | Percentage | ||||||||||||||||||
Greater than 2.0% and Less than or equal to 2.5% | — | — | % | — | — | % | 1 | 1.39 | % | |||||||||||||||
Greater than 1.5% and Less than or equal to 2.0% | — | — | % | — | — | % | — | — | % | |||||||||||||||
Greater than 1.0% and Less than or equal to 1.5% | — | — | % | 2 | 2.00 | % | — | — | % | |||||||||||||||
Greater than 0.5% and Less than or equal to 1.0% | 135 | 56.02 | % | 10 | 10.00 | % | — | — | % | |||||||||||||||
Greater than 0.0% and Less than or equal to 0.5% | 103 | 42.74 | % | 86 | 86.00 | % | 69 | 95.83 | % | |||||||||||||||
Greater than -0.5% and Less than or equal to 0.0% | 2 | 0.83 | % | 2 | 2.00 | % | 2 | 2.78 | % | |||||||||||||||
Less than -0.5% and greater than or equal to -1.0% | 1 | 0.41 | % | — | — | % | — | — | % | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
241 | 100.00 | % | 100 | 100.00 | % | 72 | 100.00 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Commencement of operations was September 14, 2016. |
(b) | Commencement of operations was April 5, 2017. |
(c) | Commencement of operations was May 17, 2017. |
54 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, investment advisory fees, administration fees and other Fund expenses, in addition to brokerage commissions on your purchases and sales of Fund shares. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, March 1, 2017 and continued to hold your shares at the end of the reporting period, August 31, 2017.
Actual Expenses
For the Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in 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 divided by $1,000 = 8.6), then multiply the result by the number under the heading
entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line in the table below 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 other funds. The examples also assume all dividends and distributions have been reinvested. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of a Fund.
Beginning Account Value 3/1/2017 | Ending Account Value 8/31/2017 | Annualized Expense Ratios | Expenses Paid During Period | |||||||||||||
JPMorgan Disciplined High Yield ETF |
| |||||||||||||||
Actual Fund Return (1) | $ | 1,000.00 | $ | 1,031.90 | 0.40 | % | $ | 2.05 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,023.19 | 0.40 | % | 2.04 | |||||||||||
JPMorgan Global Bond Opportunities ETF |
| |||||||||||||||
Actual Fund Return (2) | $ | 1,000.00 | $ | 1,024.60 | 0.54 | % | $ | 2.22 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.48 | 0.54 | % | 2.75 | |||||||||||
JPMorgan Ultra-Short Income ETF |
| |||||||||||||||
Actual Fund Return (3) | $ | 1,000.00 | $ | 1,005.00 | 0.16 | % | $ | 0.47 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,024.40 | 0.16 | % | 0.82 |
(1) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
(2) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 148/365 (to reflect the actual period). The Fund commenced operations on April 5, 2017. |
(3) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 106/365 (to reflect the actual period). The Fund commenced operations on May 17, 2017. |
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 55 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENT
(Unaudited)
On June 7-8, 2016, the Board of the Trust, a statutory Trust organized under the laws of the State of Delaware, held an in-person meeting and approved the initial Investment Advisory Agreements, each an “Advisory Agreement” and collectively, the “Advisory Agreements,” for the JPMorgan Global Bond Opportunities ETF and JPMorgan Ultra-Short Income ETF (each a “Fund” and together, the “Funds”). The approvals included the approval of a majority of Trustees who are not interested persons of the Trust or the Adviser. Such Trustees are considered Independent Trustees as defined by the Investment Company Act of 1940. In connection with the approval of each Advisory Agreement, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser and with counsel to the Trust and independent legal counsel to the Trustees and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds and the approval of the Advisory Agreements. Each Trustee attributed his or her own evaluation of significance to the various factors, and no factor alone was considered determinative. The Trustees determined that the proposed compensation to be received by the Adviser from the Funds under the Advisory Agreements was fair and reasonable and that initial approval of the Advisory Agreements was in the best interests of the Funds and their potential shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
In connection with the approval of the initial Advisory Agreements, the Trustees considered the materials furnished specifically in connection with the approval of the Advisory Agreements, as well as other relevant information furnished for the Trustees. The Trustees considered the background and experience of the Adviser’s senior management and investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund. The Trustees also considered the investment strategy for the Funds, and the infrastructure supporting the portfolio management teams. In addition, the Trustees considered information about the structure and distribution strategy of the Funds, how they fit within the Trust’s fund offerings, and how they will be positioned against other funds.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Trust and in the financial industry generally. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to requests for additional information, questions or concerns raised by them.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Funds by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Trust.
The Trustees also considered the fees that J.P. Morgan Investment Management Inc., in its role as Administrator, will earn from the Fund for providing administrative services. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A., an affiliate of the Adviser, for custody, transfer agency and other related services. Additionally, the Trustees considered that any fall-out or ancillary benefits would be comparable to those related to the other funds in the complex.
Economies of Scale
The Trustees considered the extent to which the Fund will benefit from economies of scale. The Trustees noted that neither the proposed investment advisory fee schedule nor the proposed administration agreement for the Funds contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure for each Fund was reasonable in light of the fee caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Funds would benefit from the economies of scale present in the broader J.P. Morgan fund complex, as the Funds were able to negotiate a similar administration fee to that currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Funds’ administration fee is lower than what the Funds would have to pay if they were not a part of the J.P. Morgan fund complex.
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, the portfolio management team and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.
56 | JPMORGAN EXCHANGE-TRADED FUNDS | AUGUST 31, 2017 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENT
(Unaudited)
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate that will be paid by the Funds to the Adviser and compared that rate to the fees charged to mutual funds with similar investment objectives or in similar asset classes managed by the Adviser, as well as information prepared by Broadridge, using data from Lipper Inc., independent providers of investment company data, concerning management fee rates paid by other funds in the same Lipper category as each Fund. The Trustees also reviewed information about other projected expenses and the expense ratios for each Fund. The Trustees considered the projected fee waiver and/or expense reimbursement
arrangements proposed for each Fund and considered the net advisory fee rate after taking into account any projected waivers and/or reimbursements.
The Trustees noted that each Fund’s estimated net advisory fees and total expenses were in line with identified peer funds. The Trustees also noted that because the Funds were not yet operational, no profitability information was available. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
AUGUST 31, 2017 | JPMORGAN EXCHANGE-TRADED FUNDS | 57 |
J.P. Morgan Exchange-Traded Funds are distributed by SEI Investments Distribution Co. (One Freedom Valley Dr., Oaks, PA 19456), which is not affiliated with JPMorgan Chase & Co. or any of its affiliates.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
The Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Fund’s Forms N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-844-457-6383 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-844-457-6383 and on the Fund’s website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to the Adviser. A copy of the Fund’s voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
ITEM 2. | CODE OF ETHICS. |
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
Not applicable to a semi-annual report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable to a semi-annual report.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
Not applicable to a semi-annual report.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable to a semi-annual report.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. | PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the
Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of 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.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. | EXHIBITS. |
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Not applicable.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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.
J.P. Morgan Exchange-Traded Fund Trust
By: | /s/ Joanna M. Gallegos | |||||
Joanna M. Gallegos | ||||||
President and Principal Executive Officer |
November 1, 2017
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/ Robert F. Deutsch | |||||
Robert F. Deutsch | ||||||
President and Principal Executive Officer |
November 1, 2017
By: | /s/ Lauren A. Paino | |||||
Lauren A. Paino | ||||||
Treasurer and Principal Financial Officer |
November 1, 2017