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)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
J.P. Morgan Investment Management Inc.
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
With copies to:
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Elizabeth A. Davin, Esq. JPMorgan Chase & Co. 1111 Polaris Parkway Columbus, OH 43240 | | Jon S. Rand, Esq. Dechert LLP 1095 Avenue of the Americas New York, NY 10036 |
Registrant’s telephone number, including area code:1-844-457-6383
Date of fiscal year end: Last day of February
Date of reporting period: March 1, 2019 through February 29, 2020
FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1). The Commission may use the information provided on FormN-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by FormN-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in FormN-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 Rule30e-1 under the Investment Company Act of 1940 (17 CFR270.30e-1).
Annual Report
J.P. Morgan Exchange-Traded Funds
February 29, 2020
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
JPMorgan Core Plus Bond ETF
JPMorgan Corporate Bond Research Enhanced ETF
JPMorgan Global Bond Opportunities ETF
JPMorgan High Yield Research Enhanced ETF (formerly known as JPMorgan Disciplined High Yield ETF)
JPMorgan Municipal ETF
JPMorgan U.S. Aggregate Bond ETF
JPMorgan Ultra-Short Income ETF
JPMorgan Ultra-Short Municipal Income ETF
JPMorgan USD Emerging Markets Sovereign Bond ETF
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan).
Alternatively, you may elect to receive paper copies of all future reports free of charge by contacting your financial intermediary. Your election to receive paper reports will apply to all funds held within your account(s).
CONTENTS
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 at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
PRESIDENT’S LETTER
March 27, 2020
Dear Shareholder,
Amid an unprecedented global response to the COVID-19 pandemic, we at J.P. Morgan Asset Management sincerely hope that you and those you love are healthy and safe and that your community remains vigilant, resilient and supportive during this time of great uncertainty.
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 | | “We believe one of the greatest advantages we have is our global scale and international operations, giving us the ability to shift work and resources as needed.” - Joanna M. Gallegos |
At JPMorgan Chase we have resiliency plans in place for various scenarios, and we have been reviewing and applying those plans as necessary. The firm is monitoring the COVID-19 situation closely, and we continue to implement protocols and processes in response to the spread of the virus. We continue to take steps based on recommendations from relevant authorities aimed at protecting our employees, clients and businesses.
We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test our resiliency capabilities and core functions. Past events, such as hurricanes or
other emergencies, have helped to prepare us for rare events, including multi-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and an array of digital channels.
We believe one of the greatest advantages we have is our global scale and international operations, giving us the ability to shift work and resources as needed. Our follow-the-sun model for many of our core functions and worldwide locations means that we can serve clients around the clock, often via multiple sites simultaneously.
We want to reassure you that everyone at J.P. Morgan Asset Management is committing their energy, knowledge and resources to the crisis at hand and it is our deepest hope that together we remain healthy in all respects. Thank you for your continued trust in our firm.
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
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 1 | |
J.P. Morgan Exchange-Traded Funds
MARKET OVERVIEW
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
Overall, interest rates declined during the reporting period amid slowing but still positive growth in the U.S. economy. Financial markets largely rallied in the first months of the reporting period, but investor concerns about slowing global economic growth and an increase in U.S.-China trade tensions drove an increase in market volatility and weighed down asset prices toward the middle of the period.
Amid market volatility, investors flocked to longer-dated U.S. Treasury bonds in August, which drove the yields on the30-year U.S. Treasury bond below 2% for the first time. More notably, yields on10-year U.S. Treasury bonds fell below yields ontwo-year U.S. Treasury bonds for the first time since 2007.
By late 2019 and into early 2020, financial markets strengthened on the back of positive developments in U.S.-China trade negotiations. However, in the final weeks of the reporting period those trade concerns were replaced by investor worries about the impact ofCOVID-19. Global bond and equity markets experienced sharp declines in late February 2020.
U.S. Treasury bonds generally benefitted as investors sought a perceived safe haven amid volatile markets. By the end of the reporting period, demand for10-year Treasury bonds had pushed their yield to a record low 1.1%. For the twelve months ended February 29, 2020, the Bloomberg Barclays US Aggregate Index returned 11.68%.
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| 2 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
FUND COMMENTARY
PERIOD MARCH 12, 2019 (FUND INCEPTION DATE) THROUGH FEBRUARY 29, 2020 (Unaudited)
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| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 5.93% | |
| Market Price** | | | 5.85% | |
| Bloomberg Barclays Short-Term US Aggregate Bond Index | | | 6.04% | |
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| Net Assets as of 2/29/2020 | | $ | 37,495,084 | |
| Duration as of 2/29/2020 | | | 2.6 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Barclays Short-Term US Aggregate Bond Index (the “Underlying Index”).
INVESTMENT APPROACH
The Underlying Index, which includes bonds with remaining effective maturities between one and five years, is a subset of the Bloomberg Barclays US Aggregate Index which consists of U.S. dollar denominated investment-grade taxable bonds. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible and invests at least 80% of its assets in securities included in the Underlying Index.
HOW DID THE FUND PERFORM?
For the period from inception on March 12, 2019 to February 29, 2020, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s exposure to U.S. Treasury bonds was a leading contributor to performance during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the U.S. Treasury and corporate bond sectors and the smallest allocations were to the securitized debt and government related bond sectors.
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PORTFOLIO COMPOSITION**** | |
| U.S. Treasury Obligations | | | 58.4 | % |
| Corporate Bonds | | | 24.5 | |
| Mortgage-Backed Securities | | | 6.7 | |
| Supranational | | | 2.9 | |
| U.S. Government Agency Securities | | | 2.4 | |
| Commercial Mortgage-Backed Securities | | | 2.2 | |
| Foreign Government Securities | | | 1.4 | |
| Asset-Backed Securities | | | 1.1 | |
| Municipal Bonds | | | 0.1 | |
| Short-Term Investments | | | 0.3 | |
| * | | 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 $25.86 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $25.84. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 3 | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
FUND COMMENTARY
PERIOD MARCH 12, 2019 (FUND INCEPTION DATE) THROUGH FEBRUARY 29, 2020 (Unaudited) (continued)
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TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | CUMULATIVE
SINCE
INCEPTION | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | | | | | | |
Net Asset Value | | | March 12, 2019 | | | | 5.93 | % |
Market Price | | | | | | | 5.85 | % |
LIFE OF FUND PERFORMANCE(3/12/19 TO 2/29/20)
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 March 12, 2019.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF and the Bloomberg Barclays Short-Term US Aggregate Bond Index from March 12, 2019 to February 29, 2020. 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 Short-Term US Aggregate Bond 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 Short-Term 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 waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
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| 4 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Core Plus Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
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| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 11.22% | |
| Market Price** | | | 11.52% | |
| Bloomberg Barclays US Aggregate Bond Index | | | 11.68% | |
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| Net Assets as of 2/29/2020 | | $ | 54,168,824 | |
| Duration as of 2/29/2020 | | | 5.9 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan Core Plus Bond ETF (the “Fund”) seeks to provide a high level of current income by investing primarily in a diversified portfolio of high, medium andlow-grade debt securities.
INVESTMENT APPROACH
The Fund invests primarily in investment grade bonds, with the flexibility to invest up to 35% in high yield debt (also known as “junk bonds”). Up to 35% of the Fund’s assets may be invested in foreign securities. The portfolio managers allocate the Fund’s assets among a range of sectors based on strategic positioning and other tactical considerations. In buying and selling investments for the Fund, the adviser looks for market sectors and securities that it believes will perform well over time. The adviser selects individual securities after performing a risk/reward analysis that includes an evaluation of interest rate risk, credit risk, currency risk, legal provisions and the structure of the transactions.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays US Aggregate Bond Index (the “Index”).
Relative to the Index, the Fund’s underweight position in investment grade credit detracted from performance. Agency mortgage-backed securities underperformed U.S. Treasury bonds and other taxable bond sectors for the reporting period, and the Fund’s overweight position in the sector for most of the period detracted from relative performance.
The Fund’sout-of-Index allocation to high yield corporate bonds was a leading contributor to relative performance. The Fund’s overweight position and security selection in short-dated securitized credit sectors, including asset-backed securities and commercial mortgage-backed securities also contributed to relative performance.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on security selection and relative value, which seeks to take advantage of pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers employed macro-economic
analysis to determine asset allocations and positioning on the yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds at a given point in time. The Fund’s portfolio managers usedbottom-up research andtop-down macro perspective to construct a diversified portfolio of fixed income securities. As a result of this process, the Fund’s largest sector allocations at the end of the reporting period were to corporate bonds and mortgage-backed securities and its smallest allocations were to emerging markets debt and commercial mortgage-backed securities.
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PORTFOLIO COMPOSITION**** | |
| Corporate Bonds | | | 24.5 | % |
| Mortgage-Backed Securities | | | 20.8 | |
| U.S. Treasury Obligations | | | 15.0 | |
| Asset-Backed Securities | | | 10.4 | |
| Collateralized Mortgage Obligations | | | 5.5 | |
| Commercial Mortgage-Backed Securities | | | 4.1 | |
| Others (each less than 1.0%) | | | 0.1 | |
| Short-Term Investments | | | 19.6 | |
| * | | 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 $54.16 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $54.44. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 5 | |
JPMorgan Core Plus Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Core Plus Bond ETF | | | | | | | | | | | | |
Net Asset Value | | | January 28, 2019 | | | | 11.22 | % | | | 11.29 | % |
Market Price | | | | | | | 11.52 | % | | | 11.81 | % |
LIFE OF FUND PERFORMANCE(1/28/19 TO 2/29/20)
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 January 28, 2019.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Core Plus Bond ETF and the Bloomberg Barclays US Aggregate Index from January 28, 2019 to February 29, 2020. 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 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 Bloomberg Barclays US Aggregate 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 waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
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| 6 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Corporate Bond Research Enhanced ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
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| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 15.72% | |
| Market Price** | | | 15.95% | |
| Bloomberg Barclays US Corporate Bond Index | | | 15.81% | |
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| Net Assets as of 2/29/2020 | | $ | 35,170,394 | |
| Duration as of 2/29/2020 | | | 8.2 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan Corporate Bond Research Enhanced ETF (the “Fund”) seeks to provide total return from a portfolio of investment grade corporate bonds.
INVESTMENT APPROACH
The Fund invests primarily in investment grade bonds and uses fundamental credit research for enhanced security selection and sector allocation. The Fund seeks to outperform the Bloomberg Barclays US Corporate Bond Index while maintaining similar risk characteristics.
HOW DID THE FUND PERFORM?
For twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays US Corporate Bond Index (the “Index”).
Relative to the Index, the Fund’s security selection within the information technology sector detracted from performance. Specifically, the Fund’s underweight allocation to Dell Technologies Inc., a provider of hardware, software and services, was a leading detractor from performance as the company reduced debt and generally met earnings expectations during the period.
The Fund’s security selection within the energy sector, specifically within the independent energy producersub-sector, was a leading contributor to performance during the period. The Fund’s allocation to Anadarko Petroleum Corp. was the largest individual contributor to performance as the company’s bonds benefitted from the company’s acquisition by Occidental Petroleum Corp. in early August 2019.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s portfolio managers sought to invest in companies that they believed were
attractive from a fundamental and relative value analysis, while seeking to underweight companies that were unattractive based on their analysis. From a sector perspective, the Fund remained largely in line with the sector weightings in the Index, with its largest underweight allocations to the consumer cyclical and technology sectors, and its largest overweight allocations to the utilities and capital goods sectors.
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PORTFOLIO COMPOSITION**** | |
| Corporate Bonds | | | 98.5 | % |
| Others (each less than 1.0%) | | | 0.6 | |
| Short-Term Investments | | | 0.9 | |
| * | | 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 $56.26 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the NYSE Arca, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $56.50. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 7 | |
JPMorgan Corporate Bond Research Enhanced ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
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AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Corporate Bond Research Enhanced ETF | | | | | | | | | | | | |
Net Asset Value | | | December 12, 2018 | | | | 15.72 | % | | | 15.80 | % |
Market Price | | | | | | | 15.95 | % | | | 16.20 | % |
LIFE OF FUND PERFORMANCE(12/12/18 TO 2/29/20)
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 December 12, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Corporate Bond Research Enhanced ETF and the Bloomberg Barclays US Corporate Bond Index from December 12, 2018 to February 29, 2020. 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 US Corporate Bond 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 US Corporate Bond Index broadly measures the investment grade, fixed-rate, taxable, corporate bond market. It includes USD denominated securities publicly issued by U.S. and non-U.S. industrial, utility, and financial issuers that meet specified maturity, liquidity, and quality requirements. Securities in the index roll up to the U.S. Credit and U.S. Aggregate Indices.
Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
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| 8 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Global Bond Opportunities ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 7.36% | |
| Market Price** | | | 6.89% | |
| Bloomberg Barclays Multiverse Index | | | 7.70% | |
| |
| Net Assets as of 2/29/2020 | | $ | 169,928,839 | |
| Duration as of 2/29/2020 | | | 5.2 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan Global Bond Opportunities ETF (the “Fund”) seeks to provide total return.
INVESTMENT APPROACH
The Fund invests across sectors in 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 FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund posted a positive return of 7.36%. The Fund is managed with an unconstrained 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 7.70% for the reporting period.
The Fund’s allocations to corporate high yield bonds (also known as “junk bonds”), investment grade bonds, and emerging markets debt were leading contributors to absolute performance. For most of the reporting period, high yield bonds benefitted from investors seeking higher yields, positive investor sentiment and low default rates. The Fund’s allocation to securitized debt also contributed to absolute performance.
During the reporting period, securitized debt benefitted from lower volatility relative to other bond market sectors and continued economic growth in the U.S.
Relative to the Bloomberg Barclays Multiverse Index, the Fund’s shorter overall duration detracted from performance as interest rates fell during the period. Generally, bonds with shorter duration will experience smaller price appreciation when interest rates fall, compared with bonds of longer duration.
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 andnon-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 investment grade corporate bonds, government bonds, and securitized debt. The Fund’s smallest allocations were to agency mortgage-backed securities, emerging market corporate bonds, and collateralized loan obligations.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 9 | |
JPMorgan Global Bond Opportunities ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | |
PORTFOLIO COMPOSITION BY COUNTRY**** | |
| United States | | | 47.4 | % |
| Italy | | | 4.7 | |
| Portugal | | | 4.3 | |
| Spain | | | 4.2 | |
| United Kingdom | | | 3.4 | |
| France | | | 3.3 | |
| Mexico | | | 3.1 | |
| Indonesia | | | 2.3 | |
| Greece | | | 2.2 | |
| Luxembourg | | | 1.2 | |
| Switzerland | | | 1.2 | |
| Malaysia | | | 1.1 | |
| Germany | | | 1.1 | |
| Netherlands | | | 1.1 | |
| Others (each less than 1.0%) | | | 17.6 | |
| Short-Term Investments | | | 1.8 | |
| * | | 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 $49.97 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $49.83. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Global Bond Opportunities ETF | | | | | | | | | | | | |
| Net Asset Value | | | April 5, 2017 | | | | 7.36 | % | | | 4.53 | % |
| Market Price | | | | | | | 6.89 | % | | | 4.43 | % |
LIFE OF FUND PERFORMANCE(4/5/17 TO 2/29/20)
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. Forup-to-date,month-end performance information please call1-844-457-6383.
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 February 29, 2020. 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 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 global investment 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 applicable 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.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 11 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)1
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 6.11% | |
| Market Price** | | | 6.88% | |
| Bloomberg Barclays US Corporate High Yield — 2% Issuer Capped Index2 | | | 6.10% | |
| ICE BofAML US High Yield Index | | | 5.91% | |
| Bloomberg Barclays US Aggregate Index | | | 11.68% | |
| |
| Net Assets as of 2/29/2020 | | $ | 171,037,324 | |
| Duration as of 2/29/2020 | | | 4.0 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan High Yield Research Enhanced 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 FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund posted a positive absolute performance and outperformed the Bloomberg Barclays US Corporate High Yield — 2% Issuer Capped Index (the “Benchmark”) and the ICE BofAML US High Yield Index and underperformed the Bloomberg Barclays US Aggregate Index. During the reporting period, bonds rated CCC and lower significantly underperformed bonds rated BB andsingle-B as prices for lower rated bonds generally fell.
Relative to both the Benchmark and the ICE BofAML US Corporate High Yield Index, the Fund’s overweight position in bonds rated BB and its underweight position in bonds rated CCC helped performance during the reporting period. Following the Fund’s September 2019 change in investment approach, the Fund’s overall security selection in the oil field services and independents subsectors of the energy sector contributed to relative performance, while security selection in the technology and home construction sectors detracted from relative performance
HOW WAS THE FUND POSITIONED?
Prior to the change in the Fund’s investment approach on September 19, 2019, the Fund did not invest in securities rated CCC or lower (determined in accordance with the weighted average ratings methodology used by the Fund’s benchmark at the time) and also limited investment to securities issued by publicly held companies. Since September 19, 2019, the Fund has followed an investment approach in which it is approximately neutral to its benchmark in terms of industry groups and duration structure and selects securities based on the views of its credit analysts and has been underweight securities rated CCC or lower and overweight securities rated BB and B.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | |
PORTFOLIO COMPOSITION BY INDUSTRY**** | |
| Oil, Gas & Consumable Fuels | | | 9.8 | % |
| Media | | | 8.0 | |
| Hotels, Restaurants & Leisure | | | 7.1 | |
| Diversified Telecommunication Services | | | 6.9 | |
| Health Care Providers & Services | | | 6.8 | |
| Wireless Telecommunication Services | | | 4.0 | |
| Aerospace & Defense | | | 3.2 | |
| Food Products | | | 3.2 | |
| Chemicals | | | 3.1 | |
| Metals & Mining | | | 2.9 | |
| Commercial Services & Supplies | | | 2.8 | |
| Auto Components | | | 2.7 | |
| Pharmaceuticals | | | 2.6 | |
| Equity Real Estate Investment Trusts (REITs) | | | 2.5 | |
| Consumer Finance | | | 2.4 | |
| Entertainment | | | 2.1 | |
| Containers & Packaging | | | 2.1 | |
| Thrifts & Mortgage Finance | | | 2.0 | |
| Specialty Retail | | | 1.9 | |
| Trading Companies & Distributors | | | 1.7 | |
| Software | | | 1.5 | |
| Building Products | | | 1.4 | |
| Household Durables | | | 1.4 | |
| Communications Equipment | | | 1.3 | |
| Electric Utilities | | | 1.2 | |
| Energy Equipment & Services | | | 1.1 | |
| Capital Markets | | | 1.0 | |
| IT Services | | | 1.0 | |
| Independent Power and Renewable Electricity Producers | | | 1.0 | |
| Road & Rail | | | 1.0 | |
| Others (each less than 1.0%) | | | 8.1 | |
| Short-Term Investments | | | 2.2 | |
| 1 | | On September 9, 2019, the Fund’s name was changed to JPMorgan High Yield Research Enhanced ETF. The Fund’s investment approach also changed and its primary benchmark was changed to the Bloomberg Barclays US Corporate High Yield – 2% Issuer Capped Index. |
| 2 | | On September 9, 2019, the Fund’s benchmark changed to Bloomberg Barclays US Corporate High Yield – 2% Issuer Capped Index from the ICE BofAML US High Yield Index because the adviser believes that the Bloomberg Barclays US Corporate High Yield - 2% Issuer Capped Index is a more appropriate comparison in light of the Fund’s new name and investment strategies, which were also adopted September 9, 2019. |
| * | | 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 $50.29 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $50.62. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 13 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan High Yield Research Enhanced ETF | | | | | | | | | | | | |
| Net Asset Value | | | September 14, 2016 | | | | 6.11 | % | | | 5.22 | % |
| Market Price | | | | | | | 6.88 | % | | | 5.40 | % |
LIFE OF FUND PERFORMANCE(9/14/16 TO 2/29/20)
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. Forup-to-date,month-end performance information please call1-844-457-6383.
Fund commenced operations on September 14, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan High Yield Research Enhanced ETF, the ICE BofAML US High Yield Index, the Bloomberg Barclays US Corporate High Yield — 2% Issuer Capped Index and the Bloomberg Barclays US Aggregate Index from September 14, 2016 to February 29, 2020. 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 ICE BofAML US High Yield Index, the Bloomberg Barclays US Corporate High Yield — 2% Issuer Capped 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 ICE BofAML US 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 Corporate High Yield — 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, non-investment grade debt securities that are dollar denominated and non-convertible. The index limits the maximum exposure to any one issuer to 2%. Investors cannot invest directly in an index. The Bloomberg Barclays US Aggregate Index is an unmanaged index that represents securities that areSEC-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 applicable 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.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Municipal ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 10.07% | |
| Market Price** | | | 9.71% | |
| Bloomberg Barclays US1-15 Year Blend(1-17) Municipal Bond Index | | | 7.65% | |
| |
| Net Assets as of 2/29/2020 | | $ | 52,390,882 | |
| Duration as of 2/29/2020 | | | 5.8 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan Municipal ETF (the “Fund”) seeks to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.
INVESTMENT APPROACH
The Fund invests primarily in a diversified portfolio of intermediate-term municipal bonds, the income from which is exempt from federal income tax. The Fund seeks to maintain an average weighted maturity between three and ten years.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund outperformed to the Bloomberg Barclays US1-15 Year Blend(1-17) Municipal Bond Index (the “Index”). Interest rates fell during the reporting period and lower rated bonds generally outperformed higher rated bonds.
Relative to the Index, the Fund’s longer overall duration was a leading contributor to performance. Duration measures the price sensitivity of a portfolio of bonds relative to changes in interest rates. Generally, a portfolio of bonds with a longer duration will experience a larger increase in price when interest rates fall. The Fund’s underweight allocation to bonds rated AAA and its overweight allocation to bonds rated BBB, as well as its overweight allocations to local general obligation bonds and the education and leasing sectors also contributed to relative performance.
The Fund’s underweight allocations to the industrial development revenue/pollution control revenue and hospital sectors were leading detractors from relative performance. The Fund had no allocation to the housing sector during the reporting period, which also detracted from relative performance. The Fund’s underweight position in lower rated New Jersey munici-
pal bonds also detracted from performance as lower rated municipal bonds generally outperformed higher rated municipal bonds.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s largest allocations were to revenue bonds andpre-refunded bonds. In terms of quality, the Fund was overweight in bonds rated AA, BB and innon-rated bonds. The Fund’s overall duration was 5.8 years compared with 4.4 years for the Index.
| | | | |
PORTFOLIO COMPOSITION**** | |
| Municipal Bonds | | | 90.3 | % |
| Short-Term Investments | | | 9.7 | |
| * | | 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 $55.14 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $55.06. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 15 | |
JPMorgan Municipal ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Municipal ETF | | | | | | | | | | | | |
| Net Asset Value | | | October 29, 2018 | | | | 10.07 | % | | | 11.25 | % |
| Market Price | | | | | | | 9.71 | % | | | 11.13 | % |
LIFE OF FUND PERFORMANCE(10/29/18 TO 2/29/20)
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 October 29, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Municipal ETF and the Bloomberg Barclays US 1-15 Year Blend (1-17) Municipal Bond Index from October 29, 2018 to February 29, 2020. 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 US 1-15 Year Blend (1-17) Municipal Bond 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 US 1-15 Year Blend (1-17) Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 17 years.
Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan U.S. Aggregate Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 11.46% | |
| Market Price** | | | 11.49% | |
| Bloomberg Barclays US Aggregate Index | | | 11.68% | |
| |
| Net Assets as of 2/29/2020 | | $ | 543,070,946 | |
| Duration as of 2/29/2020 | | | 5.8 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan U.S. Aggregate Bond ETF (the “Fund”) seeks to provide long-term total return.
INVESTMENT APPROACH
The Fund invests in a diversified portfolio of high-quality fixed income securities, including corporate bonds, U.S. Treasury obligations and other U.S. government and agency securities, and asset-backed, mortgage-related and mortgage-backed securities. With respect to corporatesub-sectors, the Fund applies a multi-factor credit screening process that seeks exposure to corporate debt issuers with attractive value, quality and momentum characteristics.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays US Aggregate Index (the “Index”). During the reporting period, interest rates generally declined and lower quality bonds outperformed higher quality bonds.
Relative to the Index, the Fund’s security selection within corporate bonds detracted from performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund applied a multi-factor credit screening process to the corporatesub-sectors of the Index that sought exposure to corporate debt issuers that the Fund’s portfolio managers believed had attractive value, quality and momentum characteristics. The Fund’s and the Index’s largest allocations at the end of the reporting period were to government bonds and mortgage-backed securities and its smallest allocations were to agency debt and municipal bonds.
| | | | |
PORTFOLIO COMPOSITION**** | |
| U.S. Treasury Obligations | | | 40.5 | % |
| Mortgage-Backed Securities | | | 26.3 | |
| Corporate Bonds | | | 25.5 | |
| Commercial Mortgage-Backed Securities | | | 2.2 | |
| Foreign Government Securities | | | 1.8 | |
| Supranational | | | 1.3 | |
| U.S. Government Agency Securities | | | 1.2 | |
| Others (each less than 1.0%) | | | 1.0 | |
| Short-Term Investments | | | 0.2 | |
| * | | 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 $27.43 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the NYSE Arca, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $27.46. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 17 | |
JPMorgan U.S. Aggregate Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan U.S. Aggregate Bond ETF | | | | | | | | | | | | |
| Net Asset Value | | | December 12, 2018 | | | | 11.46 | % | | | 11.06 | % |
| Market Price | | | | | | | 11.49 | % | | | 11.15 | % |
LIFE OF FUND PERFORMANCE(12/12/18 TO 2/29/20)
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 December 12, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Aggregate Bond ETF and the Bloomberg Barclays US Aggregate Index from December 12, 2018 to February 29, 2020. 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 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 Bloomberg Barclays US Aggregate 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 waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Ultra-Short Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 3.20% | |
| Market Price** | | | 3.22% | |
| ICE BofAML3-Month US Treasury Bill Index | | | 2.18% | |
| |
| Net Assets as of 2/29/2020 | | $ | 11,591,489,504 | |
| Duration as of 2/29/2020 | | | 0.5 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 short-term 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. 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 decrease or increase in price as interest rates rise or fall, respectively, versus bonds with shorter duration. 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 twelve months ended February 29, 2020, the Fund outperformed the ICE BofAML3-Month US Treasury Bill Index (the “Index”). Interest rates fell during the reporting period and lower rated bonds generally outperformed higher rated bonds.
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, U.S. Treasury bonds and mortgage-backed securities also contributed to absolute and relative performance.
There were no significant detractors from absolute or relative performance during the reporting period.
HOW WAS THE FUND POSITIONED?
During the reporting period, the portfolio management team positioned the Fund according to its belief that interest rates would move lower throughout the year and that corporate credit fundamentals would remain favorable as the economic cycle continued on the path of expansion, absent further geopolitical risks or other shocks. The Fund maintained its U.S. Treasury bonds allocation as a hedge against potential market volatility and to benefit from a declining interest rate environment. The portfolio management team focused on adding high
quality securities to the Fund and limited exposure to issuers at the lower end of the investment grade spectrum in order to insulate the portfolio from unexpected volatility in markets. In descending order, the Fund’s largest allocations were in corporate bonds, money market securities, collateralized loan obligations, U.S. Treasury bonds, asset-backed securities, mortgage-backed securities, andnon-corporate credit.
| | | | |
PORTFOLIO COMPOSITION BY SECTOR**** | |
| Financials | | | 43.7 | % |
| Asset-Backed Securities | | | 10.5 | |
| U.S. Treasury Obligations | | | 5.6 | |
| Utilities | | | 2.8 | |
| Energy | | | 2.6 | |
| Health Care | | | 2.6 | |
| Certificate of Deposit | | | 2.2 | |
| Industrials | | | 2.2 | |
| Consumer Discretionary | | | 2.2 | |
| Communication Services | | | 1.8 | |
| Consumer Staples | | | 1.4 | |
| Others (each less than 1.0%) | | | 3.8 | |
| Short-Term Investments | | | 18.6 | |
| * | | 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 $50.50 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $50.54. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 19 | |
JPMorgan Ultra-Short Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Ultra-Short Income ETF | | | | | | | | | | | | |
| Net Asset Value | | | May 17, 2017 | | | | 3.20 | % | | | 2.56 | % |
| Market Price | | | | | | | 3.22 | % | | | 2.59 | % |
LIFE OF FUND PERFORMANCE(5/17/17 TO 2/29/20)
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. Forup-to-date,month-end performance information please call1-844-457-6383.
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 ICE BofAML 3-Month US Treasury Bill Index from May 17, 2017 to February 29, 2020. 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 ICE BofAML 3-Month US 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 ICE BofAML 3-Month US 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 applicable 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.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Ultra-Short Municipal Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 2.07% | |
| Market Price** | | | 2.09% | |
| Bloomberg Barclays1-Year Municipal Bond Index | | | 2.48% | |
| |
| Net Assets as of 2/29/2020 | | $ | 207,185,582 | |
| Duration as of 2/29/2020 | | | 0.6 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan Ultra-Short Municipal Income ETF (the “Fund”) seeks as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
INVESTMENT APPROACH
The Fund invests primarily in investment grade fixed, variable and floating rate municipal securities, the income from which is exempt from federal income tax. The Fund seeks to maintain an average weighted maturity of two years or less.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund underperformed the Bloomberg Barclays1-Year Municipal Bond Index (the “Index”). Interest rates fell during the reporting period and lower quality bonds generally outperformed higher quality bonds.
Relative to the Index, the Fund’s shorter overall duration was a leading detractor from performance as interest rates fell. The Fund’s allocation to variable rate demand notes (“VDRNs”), which are not held in the Index, also detracted from performance as VDRNs do not generally benefit from falling interest rates. The Fund’s underweight allocation to bonds ratedsingle-A and its allocationnon-rated bonds, which are not held in the Index, also detracted from relative performance.
The Fund’s underweight allocation to thepre-refunded bond sector and its overweight allocations to the hospital and industrial redevelopment revenue/pollution control revenue sectors were leading contributors to relative performance. The Fund’s underweight allocations to the water & sewer sector and to California also contributed to relative performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s largest allocation was to revenue bonds. In terms of quality, the Fund was overweight in bonds rated AA, BB and innon-rated bonds. The Fund’s overall duration was 0.6 years compared with 1.4 years for the Index. Duration measures the price sensitivity of a portfolio of bonds relative to changes in interest rates. Generally, bonds with shorter duration experience a smaller increase in price as interest rates fall, relative to longer duration bonds.
| | | | |
PORTFOLIO COMPOSITION**** | |
| Municipal Bonds | | | 95.9 | % |
| Short-Term Investments | | | 4.1 | |
| * | | 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 $50.52 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $50.56. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 21 | |
JPMorgan Ultra-Short Municipal Income ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan Ultra-Short Municipal Income ETF | | | | | | | | | | | | |
| Net Asset Value | | | October 16, 2018 | | | | 2.07 | % | | | 2.37 | % |
| Market Price | | | | | | | 2.09 | % | | | 2.43 | % |
LIFE OF FUND PERFORMANCE(10/16/18 TO 2/29/20)
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 October 16, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Ultra-Short Municipal Income ETF and the Bloomberg Barclays1-Year Municipal Bond Index from October 16, 2018 to February 29, 2020. 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 1-Year Municipal Bond 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 1 Year Municipal Bond Index is an unmanaged index that includes bonds with a minimum credit rating of BAA3, are issued as part of a deal of at least $50 million, have an amount outstanding of at least $5 million, and have maturities of 1 to 2 years. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Fund reflects the deduction of the mutual fund expenses, including sales charges if applicable. An individual cannot invest directly in an index.
Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
| | | | | | |
| | | |
| 22 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan USD Emerging Markets Sovereign Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| Net Asset Value* | | | 12.25% | |
| Market Price** | | | 12.44% | |
| JPMorgan Emerging Markets Risk-Aware Bond Index | | | 12.67% | |
| |
| Net Assets as of 2/29/2020 | | $ | 91,713,454 | |
| Duration as of 2/29/2020 | | | 7.6 Years | |
INVESTMENT OBJECTIVE***
The JPMorgan USD Emerging Markets Sovereign Bond ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets. The Underlying Index utilizes a rules-based, proprietary methodology that filters for liquidity and country risk and allocates risk across credit ratings. The Underlying Index methodology includes monthly rebalancing within countries and semi-annual rebalancing across countries. The Fund also employs optimization techniques that seek to minimize tracking error to the Underlying Index.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund performed in line with the Underlying Index. The majority of the Fund’s deviation against the Underlying Index was due to operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s risk filter screened out exposure to Lebanon amid political instability, which was a positive contributor to absolute performance. The Fund’s and the Underlying Index’s liquidity filters detracted from absolute performance as less liquid bond issues outperformed other issues of emerging markets sovereign and quasi-sovereign debt.
HOW WAS THE FUND POSITIONED?
The Fund invested at least 80% of its assets in securities included in the Underlying Index. During the reporting period, the Fund’s and Underlying Index’s largest allocations were to Turkey and Brazil and their smallest allocations were to Slovak Republic and Lithuania.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 23 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | |
PORTFOLIO COMPOSITION BY COUNTRY**** | |
| Turkey | | | 7.1 | % |
| Brazil | | | 6.6 | |
| South Africa | | | 5.2 | |
| Oman | | | 5.1 | |
| Ukraine | | | 4.6 | |
| Dominican Republic | | | 4.5 | |
| Bahrain | | | 4.0 | |
| Mexico | | | 3.9 | |
| Sri Lanka | | | 3.7 | |
| Indonesia | | | 3.5 | |
| Ecuador | | | 3.3 | |
| Saudi Arabia | | | 3.0 | |
| Russia | | | 2.8 | |
| Philippines | | | 2.5 | |
| Qatar | | | 2.5 | |
| Colombia | | | 2.4 | |
| China | | | 2.2 | |
| Kazakhstan | | | 2.1 | |
| United Arab Emirates | | | 2.1 | |
| Jamaica | | | 2.0 | |
| Egypt | | | 2.0 | |
| Azerbaijan | | | 2.0 | |
| Kenya | | | 1.9 | |
| Peru | | | 1.9 | |
| Uruguay | | | 1.7 | |
| Panama | | | 1.5 | |
| Ivory Coast | | | 1.4 | |
| Chile | | | 1.4 | |
| Pakistan | | | 1.3 | |
| Poland | | | 1.2 | |
| Iraq | | | 1.1 | |
| Malaysia | | | 1.1 | |
| Hungary | | | 1.1 | |
| Jordan | | | 1.1 | |
| Romania | | | 1.0 | |
| Others (each less than 1.0%) | | | 4.8 | |
| Short-Term Investments | | | 0.4 | |
| * | | 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 $50.95 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask |
| | spread at the close of business on the NYSE Arca, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $51.15. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | |
| | | |
| 24 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE
INCEPTION | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | | | | | | | | | |
| Net Asset Value | | | January 29, 2018 | | | | 12.25 | % | | | 5.81 | % |
| Market Price | | | | | | | 12.44 | % | | | 5.99 | % |
LIFE OF FUND PERFORMANCE(1/29/18 TO 2/29/20)
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. Forup-to-date,month-end performance information please call1-844-457-6383.
Fund commenced operations on January 29, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan USD Emerging Markets Sovereign Bond ETF and the JPMorgan Emerging Markets Risk-Aware Bond Index from January 29, 2018 to February 29, 2020. 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 JPMorgan Emerging Markets Risk-Aware Bond 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 JPMorgan Emerging Markets Risk-Aware Bond Index (the “index”) is comprised of liquid, U.S. dollar-denominated sovereign and quasi-sovereign fixed and floating rate debt securities from emerging markets selected using a rules-based methodology and is owned by J.P. Morgan Investment Inc., the Fund’s adviser (the “Adviser”). The Index is maintained and calculated by J.P. Morgan Securities LLC (“JPMS” or the “Index Provider”), which selects securities in accordance with the methodology from among the components of the J.P. Morgan Emerging Market Bond Index Global Diversified, which was developed and is maintained by the Index Provider. The Index Provider and the Adviser are both wholly-owned subsidiaries of JPMorgan Chase & Co., a publicly-held financial services holding company. The Index starts with the J.P. Morgan
Emerging Market Bond Index Global Diversified and applies a proprietary methodology that filters for liquidity and for country risk and allocates risk based on credit rating. Historically, the J.P. Morgan Emerging Markets Bond Index Global Diversified has included bonds issued by the countries of Angola, Argentina, Armenia, Azerbaijan, Belize, Bolivia, Brazil, Cameroon, Chile, China, Colombia, Costa Rica, Cote D’Ivoire, Croatia, Dominican Republic, Ecuador, Egypt, El Salvador, Ethiopia, Gabon, Georgia, Ghana, Guatemala, Honduras, Hungary, India, Indonesia, Iraq, Jamaica, Jordan, Kazakhstan, Kenya, Latvia, Lebanon, Lithuania, Malaysia, Mexico, Mongolia, Morocco, Mozambique, Namibia, Nigeria, Oman, Pakistan, Panama, Paraguay, Peru, Philippines, Poland, Romania, Russian Federation, Senegal, Serbia, Slovakia, South Africa, Sri Lanka, Suriname, Trinidad and Tobago, Tunisia, Turkey, Ukraine, Uruguay, Venezuela, Vietnam, Zambia; however, this universe of countries may change in accordance with the Index Provider’s determination of eligible emerging market countries and there is no assurance that a particular country will be represented in the Underlying Index at any given time. 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 applicable 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.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 25 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Treasury Obligations — 58.3% | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
1.38%, 8/31/2020 | | | 200,000 | | | | 200,180 | |
| | |
1.75%, 11/15/2020 | | | 313,000 | | | | 314,333 | |
| | |
2.63%, 11/15/2020 | | | 95,000 | | | | 95,976 | |
| | |
1.75%, 12/31/2020 | | | 328,000 | | | | 329,666 | |
| | |
1.13%, 2/28/2021 | | | 688,000 | | | | 688,242 | |
| | |
2.25%, 4/30/2021 | | | 80,000 | | | | 81,113 | |
| | |
1.13%, 9/30/2021 | | | 3,100,000 | | | | 3,108,355 | |
| | |
2.00%, 12/31/2021 | | | 4,196,000 | | | | 4,277,461 | |
| | |
1.75%, 6/30/2022 | | | 200,000 | | | | 203,984 | |
| | |
1.63%, 8/15/2022 | | | 482,000 | | | | 490,736 | |
| | |
1.88%, 9/30/2022 | | | 130,000 | | | | 133,321 | |
| | |
1.38%, 10/15/2022 | | | 900,000 | | | | 911,531 | |
| | |
2.00%, 11/30/2022 | | | 655,000 | | | | 674,804 | |
| | |
1.63%, 12/15/2022 | | | 23,000 | | | | 23,473 | |
| | |
1.75%, 1/31/2023 | | | 600,000 | | | | 615,000 | |
| | |
2.00%, 2/15/2023 | | | 400,000 | | | | 413,094 | |
| | |
1.50%, 2/28/2023 | | | 705,000 | | | | 717,943 | |
| | |
1.50%, 3/31/2023 | | | 24,000 | | | | 24,454 | |
| | |
1.25%, 7/31/2023 | | | 467,000 | | | | 472,655 | |
| | |
2.75%, 7/31/2023 | | | 687,000 | | | | 729,830 | |
| | |
2.75%, 11/15/2023 | | | 600,000 | | | | 640,406 | |
| | |
2.63%, 12/31/2023 | | | 15,000 | | | | 15,971 | |
| | |
2.75%, 2/15/2024 | | | 16,000 | | | | 17,146 | |
| | |
2.38%, 2/29/2024 | | | 2,627,000 | | | | 2,778,258 | |
| | |
2.13%, 3/31/2024 | | | 70,000 | | | | 73,413 | |
| | |
2.00%, 4/30/2024 | | | 480,000 | | | | 501,338 | |
| | |
2.25%, 4/30/2024 | | | 15,000 | | | | 15,818 | |
| | |
2.00%, 5/31/2024 | | | 335,000 | | | | 350,101 | |
| | |
1.75%, 6/30/2024 | | | 282,000 | | | | 292,002 | |
| | |
1.75%, 7/31/2024 | | | 695,000 | | | | 720,139 | |
| | |
1.50%, 9/30/2024 | | | 1,070,000 | | | | 1,098,004 | |
| | |
1.50%, 11/30/2024 | | | 15,000 | | | | 15,408 | |
| | |
1.75%, 12/31/2024 | | | 302,000 | | | | 313,844 | |
| | |
1.38%, 1/31/2025 | | | 510,000 | | | | 521,236 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $21,251,369) | | | | | | | 21,859,235 | |
| | | | | | | | |
Corporate Bonds — 24.4% | |
|
Aerospace & Defense — 0.2% | |
| | |
Boeing Co. (The) 2.13%, 3/1/2022 | | | 8,000 | | | | 8,091 | |
| | |
Embraer SA (Brazil) 5.15%, 6/15/2022 | | | 30,000 | | | | 31,585 | |
| | |
General Dynamics Corp. 2.25%, 11/15/2022 | | | 16,000 | | | | 16,370 | |
| | |
Lockheed Martin Corp. 3.10%, 1/15/2023 | | | 5,000 | | | | 5,241 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Aerospace & Defense — continued | |
| | |
Northrop Grumman Corp. 2.55%, 10/15/2022 | | | 15,000 | | | | 15,447 | |
| | |
Rockwell Collins, Inc. 3.20%, 3/15/2024 | | | 15,000 | | | | 15,984 | |
| | | | | | | | |
| | |
| | | | | | | 92,718 | |
| | | | | | | | |
|
Air Freight & Logistics — 0.1% | |
| | |
FedEx Corp. 2.63%, 8/1/2022 | | | 6,000 | | | | 6,155 | |
| | |
United Parcel Service, Inc. | | | | | | | | |
| | |
2.35%, 5/16/2022 | | | 8,000 | | | | 8,184 | |
| | |
2.20%, 9/1/2024 | | | 15,000 | | | | 15,488 | |
| | | | | | | | |
| | |
| | | | | | | 29,827 | |
| | | | | | | | |
|
Airlines — 0.1% | |
| | |
Delta Air Lines, Inc. | | | | | | | | |
| | |
3.63%, 3/15/2022 | | | 18,000 | | | | 18,488 | |
| | |
2.90%, 10/28/2024 | | | 8,000 | | | | 8,149 | |
| | | | | | | | |
| | |
| | | | | | | 26,637 | |
| | | | | | | | |
|
Auto Components — 0.1% | |
| | |
Aptiv Corp. 4.15%, 3/15/2024 | | | 17,000 | | | | 18,372 | |
| | |
Magna International, Inc. (Canada) 3.63%, 6/15/2024 | | | 10,000 | | | | 10,833 | |
| | | | | | | | |
| | |
| | | | | | | 29,205 | |
| | | | | | | | |
|
Automobiles — 0.2% | |
| | |
General Motors Co. 4.88%, 10/2/2023 | | | 15,000 | | | | 16,305 | |
| | |
Toyota Motor Corp. (Japan) | | | | | | | | |
| | |
3.18%, 7/20/2021 | | | 23,000 | | | | 23,527 | |
| | |
2.36%, 7/2/2024 | | | 51,000 | | | | 52,936 | |
| | | | | | | | |
| | |
| | | | | | | 92,768 | |
| | | | | | | | |
|
Banks — 7.2% | |
| | |
Bank of America Corp. | | | | | | | | |
| | |
5.00%, 5/13/2021 | | | 130,000 | | | | 135,455 | |
| | |
(ICE LIBOR USD 3 Month + 1.02%), 2.88%, 4/24/2023 (a) | | | 15,000 | | | | 15,404 | |
| | |
(ICE LIBOR USD 3 Month + 0.93%), 2.82%, 7/21/2023 (a) | | | 17,000 | | | | 17,481 | |
| | |
4.13%, 1/22/2024 | | | 15,000 | | | | 16,371 | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (a) | | | 24,000 | | | | 25,558 | |
| | |
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (a) | | | 25,000 | | | | 25,176 | |
| | |
Bank of Montreal (Canada) | | | | | | | | |
| | |
Series E, 3.30%, 2/5/2024 | | | 5,000 | | | | 5,317 | |
| | |
2.50%, 6/28/2024 | | | 18,000 | | | | 18,676 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.98%), 4.80%, 8/25/2024 (a) (b) (c) | | | 15,000 | | | | 15,260 | |
| | |
(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028 (a) | | | 25,000 | | | | 26,876 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
1.88%, 4/26/2021 | | | 22,000 | | | | 22,154 | |
| | |
2.70%, 3/7/2022 | | | 15,000 | | | | 15,374 | |
| | |
3.40%, 2/11/2024 | | | 17,000 | | | | 18,072 | |
| | |
2.20%, 2/3/2025 | | | 12,000 | | | | 12,259 | |
| | |
BNP Paribas SA (France) 3.25%, 3/3/2023 | | | 41,000 | | | | 43,121 | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | | | | | | | |
| | |
2.55%, 6/16/2022 | | | 15,000 | | | | 15,378 | |
| | |
2.25%, 1/28/2025 | | | 20,000 | | | | 20,361 | |
| | |
Citigroup, Inc. | | | | | | | | |
| | |
2.75%, 4/25/2022 | | | 16,000 | | | | 16,400 | |
| | |
4.05%, 7/30/2022 | | | 15,000 | | | | 15,865 | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 1/24/2023 (a) | | | 92,000 | | | | 94,572 | |
| | |
(ICE LIBOR USD 3 Month + 0.95%), 2.88%, 7/24/2023 (a) | | | 20,000 | | | | 20,549 | |
| | |
3.88%, 10/25/2023 | | | 7,000 | | | | 7,557 | |
| | |
(ICE LIBOR USD 3 Month + 1.02%), 4.04%, 6/1/2024 (a) | | | 12,000 | | | | 12,855 | |
| | |
Citizens Financial Group, Inc. 2.38%, 7/28/2021 | | | 35,000 | | | | 35,380 | |
| | |
Comerica, Inc. 3.70%, 7/31/2023 | | | 15,000 | | | | 16,066 | |
| | |
Cooperatieve Rabobank UA (Netherlands) | | | | | | | | |
| | |
4.50%, 1/11/2021 | | | 29,000 | | | | 29,761 | |
| | |
3.88%, 2/8/2022 | | | 15,000 | | | | 15,704 | |
| | |
Fifth Third Bancorp | | | | | | | | |
| | |
3.50%, 3/15/2022 | | | 25,000 | | | | 26,014 | |
| | |
4.30%, 1/16/2024 | | | 12,000 | | | | 13,033 | |
| | |
First Niagara Financial Group, Inc. 7.25%, 12/15/2021 | | | 20,000 | | | | 21,989 | |
| | |
HSBC Holdings plc (United Kingdom) | | | | | | | | |
| | |
5.10%, 4/5/2021 | | | 70,000 | | | | 72,724 | |
| | |
4.88%, 1/14/2022 | | | 10,000 | | | | 10,636 | |
| | |
4.00%, 3/30/2022 | | | 45,000 | | | | 47,240 | |
| | |
Huntington Bancshares, Inc. | | | | | | | | |
| | |
3.15%, 3/14/2021 | | | 22,000 | | | | 22,285 | |
| | |
2.63%, 8/6/2024 | | | 17,000 | | | | 17,670 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Banks — continued | |
| | |
Kreditanstalt fuer Wiederaufbau (Germany) | | | | | | | | |
| | |
2.50%, 2/15/2022 | | | 16,000 | | | | 16,474 | |
| | |
2.13%, 3/7/2022 | | | 8,000 | | | | 8,183 | |
| | |
2.00%, 9/29/2022 | | | 14,000 | | | | 14,376 | |
| | |
2.00%, 10/4/2022 | | | 194,000 | | | | 199,267 | |
| | |
1.38%, 8/5/2024 | | | 70,000 | | | | 71,108 | |
| | |
2.50%, 11/20/2024 | | | 44,000 | | | | 47,033 | |
| | |
Landwirtschaftliche Rentenbank (Germany) | | | | | | | | |
| | |
2.25%, 10/1/2021 | | | 20,000 | | | | 20,392 | |
| | |
3.13%, 11/14/2023 | | | 54,000 | | | | 58,239 | |
| | |
Lloyds Bank plc (United Kingdom) | | | | | | | | |
| | |
6.38%, 1/21/2021 | | | 30,000 | | | | 31,262 | |
| | |
3.30%, 5/7/2021 | | | 35,000 | | | | 35,718 | |
| | |
M&T Bank Corp. 3.55%, 7/26/2023 | | | 22,000 | | | | 23,607 | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
| | |
3.00%, 2/22/2022 | | | 40,000 | | | | 41,158 | |
| | |
2.67%, 7/25/2022 | | | 40,000 | | | | 41,054 | |
| | |
3.41%, 3/7/2024 | | | 33,000 | | | | 35,112 | |
| | |
MUFG Americas Holdings Corp. 3.50%, 6/18/2022 | | | 5,000 | | | | 5,232 | |
| | |
Oesterreichische Kontrollbank AG (Austria) 3.13%, 11/7/2023 | | | 103,000 | | | | 110,914 | |
| | |
People’s United Financial, Inc. 3.65%, 12/6/2022 | | | 27,000 | | | | 28,352 | |
| | |
PNC Financial Services Group, Inc. (The) | | | | | | | | |
| | |
3.30%, 3/8/2022 | | | 20,000 | | | | 20,739 | |
| | |
2.85%, 11/9/2022 (d) | | | 12,000 | | | | 12,403 | |
| | |
3.50%, 1/23/2024 | | | 31,000 | | | | 32,982 | |
| | |
2.20%, 11/1/2024 | | | 20,000 | | | | 20,595 | |
| | |
Regions Financial Corp. 3.80%, 8/14/2023 | | | 15,000 | | | | 16,157 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
2.75%, 2/1/2022 | | | 8,000 | | | | 8,233 | |
| | |
3.70%, 10/5/2023 | | | 15,000 | | | | 16,127 | |
| | |
2.55%, 7/16/2024 | | | 20,000 | | | | 20,842 | |
| | |
Royal Bank of Scotland Group plc (United Kingdom) | | | | | | | | |
| | |
6.13%, 12/15/2022 | | | 15,000 | | | | 16,377 | |
| | |
6.00%, 12/19/2023 | | | 50,000 | | | | 56,099 | |
| | |
Santander Holdings USA, Inc. | | | | | | | | |
| | |
4.45%, 12/3/2021 | | | 38,000 | | | | 39,662 | |
| | |
3.40%, 1/18/2023 | | | 26,000 | | | | 27,127 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 27 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
Santander UK Group Holdings plc (United Kingdom) 3.13%, 1/8/2021 | | | 16,000 | | | | 16,145 | |
| | |
Santander UK plc (United Kingdom) 4.00%, 3/13/2024 | | | 15,000 | | | | 16,340 | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.93%, 3/9/2021 | | | 38,000 | | | | 38,510 | |
| | |
2.44%, 10/19/2021 | | | 40,000 | | | | 40,596 | |
| | |
3.94%, 10/16/2023 | | | 33,000 | | | | 35,674 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
1.80%, 7/13/2021 | | | 7,000 | | | | 7,038 | |
| | |
3.25%, 3/11/2024 | | | 30,000 | | | | 32,013 | |
| | |
2.65%, 6/12/2024 | | | 20,000 | | | | 20,868 | |
| | |
Truist Bank | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.59%), 3.50%, 8/2/2022 (a) | | | 20,000 | | | | 20,572 | |
| | |
3.20%, 4/1/2024 | | | 10,000 | | | | 10,630 | |
| | |
(ICE LIBOR USD 3 Month + 0.74%), 3.69%, 8/2/2024 (a) | | | 12,000 | | | | 12,852 | |
| | |
Truist Financial Corp. | | | | | | | | |
| | |
3.20%, 9/3/2021 | | | 27,000 | | | | 27,701 | |
| | |
2.20%, 3/16/2023 | | | 7,000 | | | | 7,156 | |
| | |
3.75%, 12/6/2023 | | | 10,000 | | | | 10,812 | |
| | |
2.85%, 10/26/2024 | | | 12,000 | | | | 12,622 | |
| | |
US Bancorp | | | | | | | | |
| | |
3.00%, 3/15/2022 | | | 50,000 | | | | 51,578 | |
| | |
2.95%, 7/15/2022 | | | 20,000 | | | | 20,742 | |
| | |
3.60%, 9/11/2024 | | | 7,000 | | | | 7,606 | |
| | |
Wells Fargo & Co. | | | | | | | | |
| | |
2.50%, 3/4/2021 | | | 83,000 | | | | 83,644 | |
| | |
2.10%, 7/26/2021 | | | 40,000 | | | | 40,359 | |
| | |
Series M, 3.45%, 2/13/2023 | | | 12,000 | | | | 12,588 | |
| | |
4.13%, 8/15/2023 | | | 15,000 | | | | 16,206 | |
| | |
3.75%, 1/24/2024 | | | 17,000 | | | | 18,264 | |
| | |
3.30%, 9/9/2024 | | | 12,000 | | | | 12,777 | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.16%, 2/11/2026 (a) | | | 25,000 | | | | 25,312 | |
| | |
Westpac Banking Corp. (Australia) | | | | | | | | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (a) | | | 94,000 | | | | 95,234 | |
| | | | | | | | |
| | |
| | | | | | | 2,713,256 | |
| | | | | | | | |
|
Beverages — 0.3% | |
| | |
Anheuser-Busch InBev Finance, Inc. (Belgium) 3.70%, 2/1/2024 | | | 15,000 | | | | 16,178 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Beverages — continued | |
| | |
Beam Suntory, Inc. (Japan) 3.25%, 5/15/2022 | | | 10,000 | | | | 10,327 | |
| | |
Coca-Cola Co. (The) | | | | | | | | |
| | |
3.30%, 9/1/2021 | | | 20,000 | | | | 20,619 | |
| | |
2.20%, 5/25/2022 | | | 15,000 | | | | 15,311 | |
| | |
Diageo Investment Corp. (United Kingdom) 8.00%, 9/15/2022 | | | 10,000 | | | | 11,621 | |
| | |
Keurig Dr Pepper, Inc. 3.55%, 5/25/2021 | | | 15,000 | | | | 15,371 | |
| | |
Molson Coors Beverage Co. 3.50%, 5/1/2022 | | | 7,000 | | | | 7,276 | |
| | |
PepsiCo, Inc. | | | | | | | | |
| | |
2.25%, 5/2/2022 | | | 8,000 | | | | 8,181 | |
| | |
3.10%, 7/17/2022 | | | 17,000 | | | | 17,671 | |
| | | | | | | | |
| | |
| | | | | | | 122,555 | |
| | | | | | | | |
|
Biotechnology — 0.4% | |
|
AbbVie, Inc. | |
| | |
3.75%, 11/14/2023 | | | 40,000 | | | | 42,946 | |
| | |
2.60%, 11/21/2024 (e) | | | 37,000 | | | | 38,289 | |
| | |
Amgen, Inc. | | | | | | | | |
| | |
2.70%, 5/1/2022 | | | 7,000 | | | | 7,175 | |
| | |
3.63%, 5/22/2024 | | | 15,000 | | | | 16,125 | |
| | |
Gilead Sciences, Inc. | | | | | | | | |
| | |
1.95%, 3/1/2022 | | | 23,000 | | | | 23,259 | |
| | |
3.25%, 9/1/2022 | | | 10,000 | | | | 10,425 | |
| | | | | | | | |
| | |
| | | | | | | 138,219 | |
| | | | | | | | |
|
Building Products — 0.1% | |
| | |
Fortune Brands Home & Security, Inc. 4.00%, 9/21/2023 | | | 19,000 | | | | 20,500 | |
| | | | | | | | |
|
Capital Markets — 1.7% | |
| | |
Ameriprise Financial, Inc. 3.70%, 10/15/2024 | | | 10,000 | | | | 10,964 | |
| | |
Ares Capital Corp. 4.20%, 6/10/2024 | | | 5,000 | | | | 5,312 | |
| | |
Bank of New York Mellon Corp. (The) | | | | | | | | |
| | |
2.45%, 11/27/2020 | | | 10,000 | | | | 10,066 | |
| | |
1.95%, 8/23/2022 | | | 15,000 | | | | 15,226 | |
| | |
(ICE LIBOR USD 3 Month + 0.63%), 2.66%, 5/16/2023 (a) | | | 42,000 | | | | 43,103 | |
| | |
BGC Partners, Inc. 3.75%, 10/1/2024 | | | 15,000 | | | | 15,506 | |
| | |
BlackRock, Inc. 4.25%, 5/24/2021 | | | 15,000 | | | | 15,552 | |
| | |
Charles Schwab Corp. (The) 3.25%, 5/21/2021 | | | 5,000 | | | | 5,098 | |
| | |
Deutsche Bank AG (Germany) Series D, 5.00%, 2/14/2022 | | | 20,000 | | | | 21,009 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 28 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Capital Markets — continued | |
| | |
FS KKR Capital Corp. 4.63%, 7/15/2024 | | | 15,000 | | | | 15,720 | |
| | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
| | |
2.88%, 2/25/2021 | | | 25,000 | | | | 25,263 | |
| | |
3.20%, 2/23/2023 | | | 25,000 | | | | 26,123 | |
| | |
(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (a) | | | 83,000 | | | | 85,302 | |
| | |
3.85%, 7/8/2024 | | | 15,000 | | | | 16,198 | |
| | |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (a) | | | 20,000 | | | | 21,193 | |
| | |
Intercontinental Exchange, Inc. 4.00%, 10/15/2023 | | | 10,000 | | | | 10,828 | |
| | |
Jefferies Group LLC 6.88%, 4/15/2021 | | | 6,000 | | | | 6,324 | |
| | |
Moody’s Corp. 4.88%, 2/15/2024 | | | 17,000 | | | | 18,868 | |
| | |
Morgan Stanley | | | | | | | | |
| | |
2.63%, 11/17/2021 | | | 15,000 | | | | 15,268 | |
| | |
2.75%, 5/19/2022 | | | 15,000 | | | | 15,415 | |
| | |
3.13%, 1/23/2023 | | | 32,000 | | | | 33,400 | |
| | |
(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (a) | | | 60,000 | | | | 63,721 | |
| | |
Series F, 3.88%, 4/29/2024 | | | 15,000 | | | | 16,279 | |
| | |
3.70%, 10/23/2024 | | | 30,000 | | | | 32,607 | |
| | |
Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020 | | | 10,000 | | | | 10,000 | |
| | |
Northern Trust Corp. 2.38%, 8/2/2022 | | | 15,000 | | | | 15,337 | |
| | |
State Street Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.64%), 2.65%, 5/15/2023 (a) | | | 23,000 | | | | 23,568 | |
| | |
(ICE LIBOR USD 3 Month + 0.77%), 3.78%, 12/3/2024 (a) | | | 12,000 | | | | 12,966 | |
| | |
3.30%, 12/16/2024 | | | 20,000 | | | | 21,536 | |
| | |
Stifel Financial Corp. 3.50%, 12/1/2020 | | | 13,000 | | | | 13,101 | |
| | | | | | | | |
| | |
| | | | | | | 640,853 | |
| | | | | | | | |
|
Chemicals — 0.3% | |
| | |
Dow Chemical Co. (The) 3.00%, 11/15/2022 | | | 20,000 | | | | 20,797 | |
| | |
DuPont de Nemours, Inc. 4.21%, 11/15/2023 | | | 25,000 | | | | 27,279 | |
| | |
Eastman Chemical Co. 3.60%, 8/15/2022 | | | 18,000 | | | | 18,769 | |
| | |
LYB International Finance BV 4.00%, 7/15/2023 | | | 15,000 | | | | 16,082 | |
| | |
Mosaic Co. (The) 4.25%, 11/15/2023 | | | 10,000 | | | | 10,766 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Chemicals — continued | |
| | |
Nutrien Ltd. (Canada) 3.63%, 3/15/2024 | | | 16,000 | | | | 17,094 | |
| | |
Praxair, Inc. 2.70%, 2/21/2023 | | | 15,000 | | | | 15,562 | |
| | | | | | | | |
| | |
| | | | | | | 126,349 | |
| | | | | | | | |
|
Commercial Services & Supplies — 0.1% | |
| | |
Cintas Corp. No. 2 2.90%, 4/1/2022 | | | 5,000 | | | | 5,129 | |
| | |
Waste Management, Inc. 2.95%, 6/15/2024 | | | 24,000 | | | | 25,338 | |
| | | | | | | | |
| | |
| | | | | | | 30,467 | |
| | | | | | | | |
|
Communications Equipment — 0.1% | |
| | |
Cisco Systems, Inc. | | | | | | | | |
| | |
2.20%, 2/28/2021 | | | 10,000 | | | | 10,065 | |
| | |
2.20%, 9/20/2023 | | | 27,000 | | | | 27,749 | |
| | |
Motorola Solutions, Inc. 3.75%, 5/15/2022 | | | 6,000 | | | | 6,256 | |
| | | | | | | | |
| | |
| | | | | | | 44,070 | |
| | | | | | | | |
|
Consumer Finance — 1.4% | |
| | |
Ally Financial, Inc. 3.88%, 5/21/2024 | | | 35,000 | | | | 36,715 | |
| | |
American Express Co. | | | | | | | | |
| | |
2.50%, 8/1/2022 | | | 15,000 | | | | 15,345 | |
| | |
2.65%, 12/2/2022 | | | 12,000 | | | | 12,363 | |
| | |
3.40%, 2/27/2023 | | | 26,000 | | | | 27,356 | |
| | |
American Honda Finance Corp. | | | | | | | | |
| | |
2.60%, 11/16/2022 | | | 25,000 | | | | 25,836 | |
| | |
3.63%, 10/10/2023 | | | 16,000 | | | | 17,252 | |
| | |
Capital One Financial Corp. | | | | | | | | |
| | |
3.45%, 4/30/2021 | | | 15,000 | | | | 15,300 | |
| | |
4.75%, 7/15/2021 | | | 33,000 | | | | 34,465 | |
| | |
3.05%, 3/9/2022 | | | 15,000 | | | | 15,418 | |
| | |
3.30%, 10/30/2024 | | | 15,000 | | | | 15,999 | |
| | |
Caterpillar Financial Services Corp. | | | | | | | | |
| | |
2.90%, 3/15/2021 | | | 34,000 | | | | 34,492 | |
| | |
2.85%, 6/1/2022 | | | 12,000 | | | | 12,406 | |
| | |
3.30%, 6/9/2024 | | | 12,000 | | | | 12,867 | |
| | |
Discover Financial Services 3.85%, 11/21/2022 | | | 25,000 | | | | 26,542 | |
| | |
General Motors Financial Co., Inc. | | | | | | | | |
| | |
3.45%, 1/14/2022 | | | 15,000 | | | | 15,372 | |
| | |
5.10%, 1/17/2024 | | | 55,000 | | | | 60,054 | |
| | |
John Deere Capital Corp. | | | | | | | | |
| | |
2.88%, 3/12/2021 | | | 21,000 | | | | 21,282 | |
| | |
3.15%, 10/15/2021 | | | 18,000 | | | | 18,559 | |
| | |
2.65%, 6/24/2024 | | | 15,000 | | | | 15,718 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 29 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Consumer Finance — continued | |
| | |
PACCAR Financial Corp. | | | | | | | | |
| | |
2.65%, 5/10/2022 | | | 8,000 | | | | 8,237 | |
| | |
2.30%, 8/10/2022 | | | 10,000 | | | | 10,248 | |
| | |
Synchrony Financial 3.75%, 8/15/2021 | | | 26,000 | | | | 26,651 | |
| | |
Toyota Motor Credit Corp. | | | | | | | | |
| | |
2.80%, 7/13/2022 | | | 26,000 | | | | 26,879 | |
| | |
2.63%, 1/10/2023 | | | 33,000 | | | | 34,261 | |
| | | | | | | | |
| | |
| | | | | | | 539,617 | |
| | | | | | | | |
|
Diversified Financial Services — 0.4% | |
| | |
Berkshire Hathaway, Inc. 3.40%, 1/31/2022 | | | 37,000 | | | | 38,453 | |
| | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 2.91%), 4.75%, 4/30/2043 (a) | | | 30,000 | | | | 31,197 | |
| | |
ORIX Corp. (Japan) 3.25%, 12/4/2024 | | | 8,000 | | | | 8,575 | |
| | |
Shell International Finance BV (Netherlands) | | | | | | | | |
| | |
1.75%, 9/12/2021 | | | 11,000 | | | | 11,050 | |
| | |
3.40%, 8/12/2023 | | | 10,000 | | | | 10,667 | |
| | |
2.00%, 11/7/2024 | | | 23,000 | | | | 23,394 | |
| | |
Voya Financial, Inc. 3.13%, 7/15/2024 | | | 15,000 | | | | 15,874 | |
| | |
(ICE LIBOR USD 3 Month + 3.58%), 5.65%, 5/15/2053 (a) | | | 15,000 | | | | 15,836 | |
| | | | | | | | |
| | | | | | | 155,046 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 0.3% | |
| | |
AT&T, Inc. | | | | | | | | |
| | |
4.45%, 4/1/2024 | | | 12,000 | | | | 13,214 | |
| | |
3.55%, 6/1/2024 | | | 25,000 | | | | 26,719 | |
| | |
Orange SA (France) 4.13%, 9/14/2021 | | | 15,000 | | | | 15,652 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
4.60%, 4/1/2021 | | | 19,000 | | | | 19,657 | |
| | |
5.15%, 9/15/2023 | | | 20,000 | | | | 22,540 | |
| | |
3.50%, 11/1/2024 | | | 8,000 | | | | 8,655 | |
| | | | | | | | |
| | | | | | | 106,437 | |
| | | | | | | | |
|
Electric Utilities — 0.7% | |
| | |
Duke Energy Corp. 3.75%, 4/15/2024 | | | 8,000 | | | | 8,631 | |
| | |
Duke Energy Florida LLC 3.10%, 8/15/2021 | | | 27,000 | | | | 27,610 | |
| | |
Emera US Finance LP (Canada) 2.70%, 6/15/2021 | | | 31,000 | | | | 31,498 | |
| | |
Entergy Louisiana LLC 4.05%, 9/1/2023 | | | 15,000 | | | | 16,209 | |
| | |
Exelon Corp. 2.45%, 4/15/2021 | | | 10,000 | | | | 10,093 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Electric Utilities — continued | |
| | |
Florida Power & Light Co. 3.25%, 6/1/2024 | | | 15,000 | | | | 15,748 | |
| | |
Hydro-Quebec (Canada) Series HY, 8.40%, 1/15/2022 | | | 17,000 | | | | 19,256 | |
| | |
NextEra Energy Capital Holdings, Inc. 3.15%, 4/1/2024 | | | 15,000 | | | | 15,982 | |
| | |
Oncor Electric Delivery Co. LLC 2.75%, 6/1/2024 | | | 20,000 | | | | 21,036 | |
| | |
PPL Capital Funding, Inc. 3.50%, 12/1/2022 | | | 15,000 | | | | 15,683 | |
| | |
Public Service Co. of Colorado 2.25%, 9/15/2022 | | | 18,000 | | | | 18,357 | |
| | |
Public Service Co. of New Hampshire 3.50%, 11/1/2023 | | | 15,000 | | | | 16,029 | |
| | |
Public Service Electric & Gas Co. 2.38%, 5/15/2023 | | | 15,000 | | | | 15,481 | |
| | |
Southern California Edison Co. | | | | | | | | |
| | |
Series A, 2.90%, 3/1/2021 | | | 8,000 | | | | 8,109 | |
| | |
Wisconsin Electric Power Co. 2.05%, 12/15/2024 | | | 5,000 | | | | 5,052 | |
| | | | | | | | |
| | | | | | | 244,774 | |
| | | | | | | | |
|
Electrical Equipment — 0.2% | |
| |
ABB Finance USA, Inc. (Switzerland) | | | | | |
| | |
2.88%, 5/8/2022 | | | 24,000 | | | | 24,754 | |
| | |
3.38%, 4/3/2023 | | | 16,000 | | | | 16,906 | |
| | |
Eaton Corp. 2.75%, 11/2/2022 | | | 15,000 | | | | 15,505 | |
| | |
Emerson Electric Co. 2.63%, 12/1/2021 | | | 6,000 | | | | 6,129 | |
| | | | | | | | |
| | | | | | | 63,294 | |
| | | | | | | | |
|
Electronic Equipment, Instruments & Components — 0.1% | |
| | |
Flex Ltd. 5.00%, 2/15/2023 | | | 8,000 | | | | 8,677 | |
| | |
Tyco Electronics Group SA (Switzerland) 3.50%, 2/3/2022 | | | 15,000 | | | | 15,346 | |
| | | | | | | | |
| | | | | | | 24,023 | |
| | | | | | | | |
|
Energy Equipment & Services — 0.1% | |
| | |
National Oilwell Varco, Inc. 2.60%, 12/1/2022 | | | 4,000 | | | | 4,065 | |
| | |
Schlumberger Investment SA 3.65%, 12/1/2023 | | | 15,000 | | | | 16,022 | |
| | | | | | | | |
| | | | | | | 20,087 | |
| | | | | | | | |
|
Entertainment — 0.1% | |
| | |
TWDC Enterprises 18 Corp. 2.45%, 3/4/2022 | | | 20,000 | | | | 20,472 | |
| | |
Walt Disney Co. (The) 1.75%, 8/30/2024 | | | 15,000 | | | | 15,230 | |
| | | | | | | | |
| | | | | | | 35,702 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 30 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Equity Real Estate Investment Trusts (REITs) — 0.8% | |
| | |
Alexandria Real Estate Equities, Inc. 4.00%, 1/15/2024 | | | 15,000 | | | | 16,273 | |
| | |
American Tower Corp. | | | | | | | | |
| | |
4.70%, 3/15/2022 | | | 6,000 | | | | 6,381 | |
| | |
3.38%, 5/15/2024 | | | 15,000 | | | | 15,934 | |
| | |
Boston Properties LP 3.13%, 9/1/2023 | | | 15,000 | | | | 15,746 | |
| | |
Brixmor Operating Partnership LP 3.65%, 6/15/2024 | | | 15,000 | | | | 16,006 | |
| | |
CC Holdings GS V LLC 3.85%, 4/15/2023 | | | 24,000 | | | | 25,485 | |
| | |
Digital Realty Trust LP 3.95%, 7/1/2022 | | | 3,000 | | | | 3,158 | |
| | |
ERP Operating LP 4.63%, 12/15/2021 | | | 15,000 | | | | 15,737 | |
| | |
GLP Capital LP 3.35%, 9/1/2024 | | | 16,000 | | | | 16,630 | |
| | |
Healthpeak Properties, Inc. 3.40%, 2/1/2025 | | | 10,000 | | | | 10,685 | |
| | |
Kimco Realty Corp. 3.40%, 11/1/2022 | | | 6,000 | | | | 6,288 | |
| | |
Liberty Property LP 4.13%, 6/15/2022 | | | 15,000 | | | | 15,797 | |
| | |
Office Properties Income Trust 4.25%, 5/15/2024 | | | 15,000 | | | | 15,839 | |
| | |
Realty Income Corp. 3.25%, 10/15/2022 | | | 8,000 | | | | 8,340 | |
| | |
Sabra Health Care LP 4.80%, 6/1/2024 | | | 21,000 | | | | 22,705 | |
| | |
Service Properties Trust 4.35%, 10/1/2024 | | | 16,000 | | | | 16,854 | |
| | |
Simon Property Group LP 3.75%, 2/1/2024 | | | 25,000 | | | | 26,904 | |
| | |
Ventas Realty LP 2.65%, 1/15/2025 | | | 15,000 | | | | 15,557 | |
| | |
Welltower, Inc. 4.50%, 1/15/2024 | | | 15,000 | | | | 16,468 | |
| | | | | | | | |
| | | | | | | 286,787 | |
| | | | | | | | |
|
Food & Staples Retailing — 0.3% | |
|
Costco Wholesale Corp. | |
| | |
2.30%, 5/18/2022 | | | 6,000 | | | | 6,148 | |
| | |
2.75%, 5/18/2024 | | | 6,000 | | | | 6,352 | |
| | |
Kroger Co. (The) 2.95%, 11/1/2021 | | | 16,000 | | | | 16,348 | |
| | |
Walgreens Boots Alliance, Inc. 3.30%, 11/18/2021 | | | 15,000 | | | | 15,380 | |
| | |
Walmart, Inc. | | | | | | | | |
| | |
2.35%, 12/15/2022 | | | 24,000 | | | | 24,723 | |
| | |
2.55%, 4/11/2023 | | | 9,000 | | | | 9,345 | |
| | |
3.40%, 6/26/2023 | | | 16,000 | | | | 17,080 | |
| | | | | | | | |
| | | | | | | 95,376 | |
| | | | | | | | |
|
Food Products — 0.2% | |
| | |
Bunge Ltd. Finance Corp. 4.35%, 3/15/2024 | | | 20,000 | | | | 21,636 | |
| | |
Conagra Brands, Inc. 3.20%, 1/25/2023 | | | 10,000 | | | | 10,394 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Food Products — continued | |
| | |
General Mills, Inc. 3.15%, 12/15/2021 | | | 15,000 | | | | 15,399 | |
| | |
Kellogg Co. 3.13%, 5/17/2022 | | | 10,000 | | | | 10,352 | |
| | |
Mondelez International, Inc. 3.63%, 5/7/2023 | | | 20,000 | | | | 21,319 | |
| | |
Tyson Foods, Inc. 2.25%, 8/23/2021 | | | 10,000 | | | | 10,113 | |
| | | | | | | | |
| | | | | | | 89,213 | |
| | | | | | | | |
|
Gas Utilities — 0.1% | |
| | |
Dominion Energy Gas Holdings LLC 3.55%, 11/1/2023 | | | 17,000 | | | | 18,045 | |
| | |
ONE Gas, Inc. 3.61%, 2/1/2024 | | | 8,000 | | | | 8,554 | |
| | |
Southern Natural Gas Co. LLC 4.40%, 6/15/2021 | | | 15,000 | | | | 15,451 | |
| | | | | | | | |
| | | | | | | 42,050 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.2% | |
| | |
Abbott Laboratories 2.55%, 3/15/2022 | | | 15,000 | | | | 15,365 | |
| | |
Becton Dickinson and Co. | | | | | | | | |
| | |
3.13%, 11/8/2021 | | | 7,000 | | | | 7,181 | |
| | |
2.89%, 6/6/2022 | | | 15,000 | | | | 15,443 | |
| | |
Boston Scientific Corp. 3.38%, 5/15/2022 | | | 15,000 | | | | 15,634 | |
| | |
Medtronic, Inc. 3.15%, 3/15/2022 | | | 12,000 | | | | 12,439 | |
| | |
Stryker Corp. 3.38%, 5/15/2024 | | | 15,000 | | | | 15,981 | |
| | |
Zimmer Biomet Holdings, Inc. 3.15%, 4/1/2022 | | | 10,000 | | | | 10,304 | |
| | | | | | | | |
| | | | | | | 92,347 | |
| | | | | | | | |
|
Health Care Providers & Services — 0.7% | |
| | |
Aetna, Inc. 2.75%, 11/15/2022 | | | 11,000 | | | | 11,285 | |
| | |
Anthem, Inc. | | | | | | | | |
| | |
2.95%, 12/1/2022 | | | 7,000 | | | | 7,255 | |
| | |
3.50%, 8/15/2024 | | | 15,000 | | | | 16,047 | |
| | |
Cardinal Health, Inc. 2.62%, 6/15/2022 | | | 20,000 | | | | 20,425 | |
| | |
Cigna Corp. | | | | | | | | |
| | |
4.00%, 2/15/2022 (e) | | | 8,000 | | | | 8,319 | |
| | |
3.00%, 7/15/2023 (e) | | | 20,000 | | | | 20,778 | |
| | |
3.50%, 6/15/2024 (e) | | | 10,000 | | | | 10,667 | |
| | |
CommonSpirit Health 2.76%, 10/1/2024 | | | 16,000 | | | | 16,592 | |
| | |
CVS Health Corp. | | | | | | | | |
| | |
3.70%, 3/9/2023 | | | 21,000 | | | | 22,176 | |
| | |
4.00%, 12/5/2023 | | | 45,000 | | | | 48,380 | |
| | |
HCA, Inc. 4.75%, 5/1/2023 | | | 10,000 | | | | 10,881 | |
| | |
Humana, Inc. 3.15%, 12/1/2022 | | | 15,000 | | | | 15,588 | |
| | |
Laboratory Corp. of America Holdings 3.75%, 8/23/2022 | | | 7,000 | | | | 7,334 | |
| | |
McKesson Corp. 2.70%, 12/15/2022 | | | 10,000 | | | | 10,255 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 31 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Health Care Providers & Services — continued | |
| | |
UnitedHealth Group, Inc. 3.35%, 7/15/2022 | | | 37,000 | | | | 38,609 | |
| | | | | | | | |
| | | | | | | 264,591 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — 0.1% | |
| | |
Marriott International, Inc. 3.60%, 4/15/2024 | | | 15,000 | | | | 16,025 | |
| | |
McDonald’s Corp. 2.63%, 1/15/2022 | | | 17,000 | | | | 17,379 | |
| | |
Starbucks Corp. 3.85%, 10/1/2023 | | | 15,000 | | | | 16,161 | |
| | | | | | | | |
| | | | | | | 49,565 | |
| | | | | | | | |
|
Household Durables — 0.1% | |
DR Horton, Inc. | |
| | |
5.75%, 8/15/2023 | | | 6,000 | | | | 6,765 | |
| | |
2.50%, 10/15/2024 | | | 4,000 | | | | 4,123 | |
| | |
Whirlpool Corp. 4.00%, 3/1/2024 | | | 10,000 | | | | 10,855 | |
| | | | | | | | |
| | | | | | | 21,743 | |
| | | | | | | | |
|
Household Products — 0.1% | |
| | |
Colgate-Palmolive Co. 2.10%, 5/1/2023 | | | 15,000 | | | | 15,439 | |
| | |
Procter & Gamble Co. (The) 3.10%, 8/15/2023 | | | 17,000 | | | | 18,126 | |
| | | | | | | | |
| | | | | | | 33,565 | |
| | | | | | | | |
|
Industrial Conglomerates — 0.2% | |
| | |
3M Co. | | | | | | | | |
| | |
2.75%, 3/1/2022 | | | 8,000 | | | | 8,225 | |
| | |
2.25%, 3/15/2023 | | | 6,000 | | | | 6,173 | |
| | |
General Electric Co. | | | | | | | | |
| | |
3.10%, 1/9/2023 | | | 32,000 | | | | 33,177 | |
| | |
3.45%, 5/15/2024 | | | 16,000 | | | | 16,961 | |
| | |
Honeywell International, Inc. | | | | | | | | |
| | |
2.15%, 8/8/2022 | | | 5,000 | | | | 5,106 | |
| | |
3.35%, 12/1/2023 | | | 10,000 | | | | 10,734 | |
| | |
Roper Technologies, Inc. 3.13%, 11/15/2022 | | | 10,000 | | | | 10,401 | |
| | | | | | | | |
| | | | | | | 90,777 | |
| | | | | | | | |
|
Insurance — 0.3% | |
| | |
Allstate Corp. (The) Series B, (ICE LIBOR USD 3 Month + 2.94%), 5.75%, 8/15/2053 (a) | | | 6,000 | | | | 6,510 | |
| | |
American International Group, Inc. | | | | | | | | |
| | |
6.40%, 12/15/2020 | | | 15,000 | | | | 15,577 | |
| | |
4.88%, 6/1/2022 | | | 3,000 | | | | 3,197 | |
| | |
Aspen Insurance Holdings Ltd. (Bermuda) 4.65%, 11/15/2023 | | | 11,000 | | | | 12,116 | |
| | |
Assurant, Inc. 4.00%, 3/15/2023 | | | 3,000 | | | | 3,192 | |
| | |
Chubb INA Holdings, Inc. 2.70%, 3/13/2023 | | | 15,000 | | | | 15,582 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Insurance — continued | |
| | |
Marsh & McLennan Cos., Inc. 2.75%, 1/30/2022 | | | 15,000 | | | | 15,351 | |
| | |
MetLife, Inc. 3.60%, 4/10/2024 | | | 5,000 | | | | 5,408 | |
| | |
Prudential Financial, Inc. (ICE LIBOR USD 3 Month + 3.04%), 5.20%, 3/15/2044 (a) | | | 19,000 | | | | 20,050 | |
| | |
Trinity Acquisition plc 3.50%, 9/15/2021 | | | 5,000 | | | | 5,137 | |
| | | | | | | | |
| | | | | | | 102,120 | |
| | | | | | | | |
|
Interactive Media & Services — 0.1% | |
| | |
Alphabet, Inc. 3.38%, 2/25/2024 | | | 26,000 | | | | 28,117 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.2% | |
|
Amazon.com, Inc. | |
| | |
2.50%, 11/29/2022 | | | 10,000 | | | | 10,312 | |
| | |
2.80%, 8/22/2024 | | | 17,000 | | | | 17,925 | |
| | |
eBay, Inc. | | | | | | | | |
| | |
3.80%, 3/9/2022 | | | 12,000 | | | | 12,484 | |
| | |
2.60%, 7/15/2022 | | | 7,000 | | | | 7,170 | |
| | |
QVC, Inc. | | | | | | | | |
| | |
4.38%, 3/15/2023 | | | 10,000 | | | | 10,343 | |
| | |
4.85%, 4/1/2024 | | | 19,000 | | | | 19,887 | |
| | | | | | | | |
| | | | | | | 78,121 | |
| | | | | | | | |
|
IT Services — 0.4% | |
| | |
Fiserv, Inc. 2.75%, 7/1/2024 | | | 18,000 | | | | 18,742 | |
| | |
Global Payments, Inc. 3.75%, 6/1/2023 | | | 15,000 | | | | 15,878 | |
| | |
International Business Machines Corp. 1.88%, 8/1/2022 | | | 80,000 | | | | 81,146 | |
| | |
Mastercard, Inc. 3.38%, 4/1/2024 | | | 12,000 | | | | 12,958 | |
| | |
PayPal Holdings, Inc. 2.40%, 10/1/2024 | | | 18,000 | | | | 18,506 | |
| | |
Visa, Inc. 2.80%, 12/14/2022 | | | 20,000 | | | | 20,762 | |
| | | | | | | | |
| | | | | | | 167,992 | |
| | | | | | | | |
|
Leisure Products — 0.1% | |
| | |
Hasbro, Inc. 3.00%, 11/19/2024 | | | 30,000 | | | | 31,226 | |
| | | | | | | | |
|
Life Sciences Tools & Services — 0.0% (f) | |
| | |
Thermo Fisher Scientific, Inc. 3.00%, 4/15/2023 | | | 11,000 | | | | 11,456 | |
| | | | | | | | |
|
Machinery — 0.1% | |
| | |
CNH Industrial NV (United Kingdom) 4.50%, 8/15/2023 | | | 25,000 | | | | 27,180 | |
| | | | | | | | |
|
Media — 0.5% | |
| | |
Charter Communications Operating LLC 4.50%, 2/1/2024 | | | 20,000 | | | | 21,688 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 32 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Media — continued | |
| | |
Comcast Corp. | | | | | | | | |
| | |
3.00%, 2/1/2024 | | | 18,000 | | | | 19,012 | |
| | |
3.70%, 4/15/2024 | | | 44,000 | | | | 47,780 | |
| | |
3.38%, 2/15/2025 | | | 10,000 | | | | 10,807 | |
| | |
Discovery Communications LLC 3.30%, 5/15/2022 | | | 13,000 | | | | 13,483 | |
| | |
Interpublic Group of Cos., Inc. (The) 4.20%, 4/15/2024 | | | 21,000 | | | | 22,880 | |
| | |
Time Warner Entertainment Co. LP 8.38%, 3/15/2023 | | | 12,000 | | | | 14,227 | |
| | |
ViacomCBS, Inc. | | | | | | | | |
| | |
3.38%, 3/1/2022 | | | 7,000 | | | | 7,201 | |
| | |
3.50%, 1/15/2025 | | | 20,000 | | | | 21,255 | |
| | |
WPP Finance 2010 (United Kingdom) 3.63%, 9/7/2022 | | | 25,000 | | | | 26,202 | |
| | | | | | | | |
| | |
| | | | | | | 204,535 | |
| | | | | | | | |
|
Metals & Mining — 0.1% | |
| | |
BHP Billiton Finance USA Ltd. (Australia) 3.25%, 11/21/2021 | | | 25,000 | | | | 25,778 | |
| | |
Steel Dynamics, Inc. 2.80%, 12/15/2024 | | | 16,000 | | | | 16,579 | |
| | | | | | | | |
| | |
| | | | | | | 42,357 | |
| | | | | | | | |
|
Multiline Retail — 0.1% | |
| | |
Macy’s Retail Holdings, Inc. 3.45%, 1/15/2021 | | | 10,000 | | | | 10,060 | |
| | |
Target Corp. 2.90%, 1/15/2022 | | | 16,000 | | | | 16,487 | |
| | | | | | | | |
| | | | | | | 26,547 | |
| | | | | | | | |
|
Multi-Utilities — 0.3% | |
| | |
Berkshire Hathaway Energy Co. 3.75%, 11/15/2023 | | | 15,000 | | | | 16,116 | |
| | |
CenterPoint Energy, Inc. 3.85%, 2/1/2024 | | | 15,000 | | | | 16,252 | |
| | |
Dominion Energy, Inc. 3.07%, 8/15/2024 (d) | | | 10,000 | | | | 10,550 | |
| | |
DTE Energy Co. | | | | | | | | |
| | |
Series D, 3.70%, 8/1/2023 | | | 18,000 | | | | 19,170 | |
| | |
Series F, 3.85%, 12/1/2023 | | | 8,000 | | | | 8,583 | |
| | |
San Diego Gas & Electric Co. 3.00%, 8/15/2021 | | | 21,000 | | | | 21,402 | |
| | |
Southern Co. Gas Capital Corp. 3.50%, 9/15/2021 | | | 10,000 | | | | 10,244 | |
| | | | | | | | |
| | | | | | | 102,317 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 1.8% | |
BP Capital Markets America, Inc. | |
| | |
3.25%, 5/6/2022 | | | 6,000 | | | | 6,252 | |
| | |
3.22%, 4/14/2024 | | | 15,000 | | | | 15,970 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
BP Capital Markets plc (United Kingdom) 3.99%, 9/26/2023 | | | 43,000 | | | | 46,603 | |
| | |
Chevron Corp. 2.10%, 5/16/2021 | | | 36,000 | | | | 36,287 | |
| | |
ConocoPhillips Co. 2.40%, 12/15/2022 | | | 23,000 | | | | 23,562 | |
| | |
Ecopetrol SA (Colombia) 5.88%, 9/18/2023 | | | 30,000 | | | | 33,286 | |
| | |
Enbridge Energy Partners LP 4.20%, 9/15/2021 | | | 15,000 | | | | 15,531 | |
| | |
Energy Transfer Operating LP 4.90%, 2/1/2024 | | | 27,000 | | | | 29,413 | |
| | |
Enterprise Products Operating LLC | | | | | | | | |
| | |
3.50%, 2/1/2022 | | | 15,000 | | | | 15,545 | |
| | |
3.75%, 2/15/2025 | | | 20,000 | | | | 21,708 | |
| | |
EOG Resources, Inc. 2.63%, 3/15/2023 | | | 25,000 | | | | 25,830 | |
| | |
EQT Corp. 4.88%, 11/15/2021 | | | 17,000 | | | | 16,782 | |
| | |
Equinor ASA (Norway) | | | | | | | | |
| | |
2.75%, 11/10/2021 | | | 19,000 | | | | 19,471 | |
| | |
3.15%, 1/23/2022 | | | 9,000 | | | | 9,306 | |
| | |
7.75%, 6/15/2023 | | | 15,000 | | | | 17,976 | |
| | |
Exxon Mobil Corp. | | | | | | | | |
| | |
1.90%, 8/16/2022 | | | 8,000 | | | | 8,122 | |
| | |
3.18%, 3/15/2024 | | | 22,000 | | | | 23,351 | |
| | |
Kinder Morgan Energy Partners LP | | | | | | | | |
| | |
3.50%, 3/1/2021 | | | 15,000 | | | | 15,184 | |
| | |
4.15%, 2/1/2024 | | | 21,000 | | | | 22,763 | |
| | |
MPLX LP 4.88%, 12/1/2024 | | | 46,000 | | | | 51,012 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
2.70%, 2/15/2023 | | | 10,000 | | | | 10,127 | |
| | |
2.90%, 8/15/2024 | | | 18,000 | | | | 18,253 | |
| | |
ONEOK Partners LP 5.00%, 9/15/2023 | | | 24,000 | | | | 26,418 | |
| | |
Petroleos Mexicanos (Mexico) | | | | | | | | |
| | |
4.88%, 1/18/2024 | | | 25,000 | | | | 26,051 | |
| | |
6.84%, 1/23/2030 (g) | | | 1 | | | | 1 | |
| | |
Phillips 66 4.30%, 4/1/2022 | | | 22,000 | | | | 23,142 | |
| | |
Plains All American Pipeline LP 3.85%, 10/15/2023 | | | 15,000 | | | | 15,737 | |
| | |
Sunoco Logistics Partners Operations LP 4.25%, 4/1/2024 | | | 16,000 | | | | 17,081 | |
| | |
Total Capital International SA (France) | | | | | | | | |
| | |
2.88%, 2/17/2022 | | | 10,000 | | | | 10,292 | |
| | |
3.75%, 4/10/2024 | | | 20,000 | | | | 21,754 | |
| | |
Western Midstream Operating LP 3.10%, 2/1/2025 | | | 20,000 | | | | 19,957 | |
| | |
Williams Cos., Inc. (The) 3.60%, 3/15/2022 | | | 15,000 | | | | 15,531 | |
| | | | | | | | |
| | | | | | | 658,298 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 33 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Paper & Forest Products — 0.1% | |
|
Fibria Overseas Finance Ltd. (Brazil) | |
| | |
5.25%, 5/12/2024 | | | 5,000 | | | | 5,410 | |
| | |
4.00%, 1/14/2025 | | | 15,000 | | | | 15,587 | |
| | |
Georgia-Pacific LLC 8.00%, 1/15/2024 | | | 15,000 | | | | 18,536 | |
| | | | | | | | |
| | | | | | | 39,533 | |
| | | | | | | | |
|
Personal Products — 0.0%(f) | |
| | |
Estee Lauder Cos., Inc. (The) 2.00%, 12/1/2024 | | | 17,000 | | | | 17,428 | |
| | | | | | | | |
|
Pharmaceuticals — 0.8% | |
| | |
Allergan Funding SCS 3.45%, 3/15/2022 | | | 24,000 | | | | 24,861 | |
| | |
AstraZeneca plc (United Kingdom)
3.50%, 8/17/2023 | | | 15,000 | | | | 16,032 | |
| | |
Bristol-Myers Squibb Co. | | | | | | | | |
| | |
2.88%, 2/19/2021 (e) | | | 24,000 | | | | 24,314 | |
| | |
3.25%, 11/1/2023 | | | 15,000 | | | | 15,979 | |
| | |
2.90%, 7/26/2024 (e) | | | 10,000 | | | | 10,526 | |
| | |
GlaxoSmithKline Capital plc (United Kingdom) 3.00%, 6/1/2024 | | | 18,000 | | | | 19,182 | |
| | |
GlaxoSmithKline Capital, Inc. (United Kingdom) 2.80%, 3/18/2023 | | | 10,000 | | | | 10,446 | |
| | |
Johnson & Johnson 2.25%, 3/3/2022 | | | 20,000 | | | | 20,368 | |
| | |
Merck & Co., Inc. | | | | | | | | |
| | |
2.35%, 2/10/2022 | | | 7,000 | | | | 7,156 | |
| | |
2.40%, 9/15/2022 | | | 17,000 | | | | 17,413 | |
| | |
Mylan, Inc. 4.20%, 11/29/2023 | | | 15,000 | | | | 16,188 | |
| | |
Novartis Capital Corp. (Switzerland) 2.40%, 5/17/2022 | | | 37,000 | | | | 37,928 | |
| | |
Pfizer, Inc. | | | | | | | | |
| | |
3.00%, 9/15/2021 | | | 21,000 | | | | 21,568 | |
| | |
3.40%, 5/15/2024 | | | 15,000 | | | | 16,219 | |
| | |
Sanofi (France) 4.00%, 3/29/2021 | | | 15,000 | | | | 15,393 | |
| | |
Shire Acquisitions Investments Ireland DAC 2.40%, 9/23/2021 | | | 33,000 | | | | 33,437 | |
| | | | | | | | |
| | | | | | | 307,010 | |
| | | | | | | | |
|
Professional Services — 0.0%(f) | |
| | |
Equifax, Inc. 3.60%, 8/15/2021 | | | 6,000 | | | | 6,172 | |
| | | | | | | | |
|
Road & Rail — 0.2% | |
|
Burlington Northern Santa Fe LLC | |
| | |
3.00%, 3/15/2023 | | | 15,000 | | | | 15,626 | |
| | |
3.85%, 9/1/2023 | | | 4,000 | | | | 4,312 | |
| | |
CSX Corp. | | | | | | | | |
| | |
4.25%, 6/1/2021 | | | 4,000 | | | | 4,107 | |
| | |
3.40%, 8/1/2024 | | | 4,000 | | | | 4,303 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Road & Rai — continued | |
| | |
Norfolk Southern Corp. 3.85%, 1/15/2024 | | | 13,000 | | | | 14,084 | |
| | |
Ryder System, Inc. 3.75%, 6/9/2023 | | | 15,000 | | | | 15,962 | |
| | |
Union Pacific Corp. | | | | | | | | |
| | |
2.95%, 3/1/2022 | | | 6,000 | | | | 6,176 | |
| | |
4.16%, 7/15/2022 | | | 15,000 | | | | 15,850 | |
| | | | | | | | |
| | | | | | | 80,420 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.4% | |
| | |
Applied Materials, Inc. 4.30%, 6/15/2021 | | | 5,000 | | | | 5,195 | |
| | |
Broadcom Corp. | | | | | | | | |
| | |
2.20%, 1/15/2021 | | | 25,000 | | | | 25,094 | |
| | |
3.00%, 1/15/2022 | | | 6,000 | | | | 6,122 | |
| | |
3.63%, 1/15/2024 | | | 10,000 | | | | 10,498 | |
| | |
Broadcom, Inc. 3.63%, 10/15/2024 (e) | | | 15,000 | | | | 15,787 | |
| | |
Intel Corp. | | | | | | | | |
| | |
2.35%, 5/11/2022 | | | 16,000 | | | | 16,357 | |
| | |
2.70%, 12/15/2022 | | | 15,000 | | | | 15,585 | |
| | |
Lam Research Corp. 2.80%, 6/15/2021 | | | 10,000 | | | | 10,170 | |
| | |
Microchip Technology, Inc. 4.33%, 6/1/2023 | | | 5,000 | | | | 5,340 | |
| | |
NXP BV (Netherlands) 4.88%, 3/1/2024 (e) | | | 15,000 | | | | 16,538 | |
| | |
QUALCOMM, Inc. 2.60%, 1/30/2023 | | | 30,000 | | | | 30,978 | |
| | | | | | | | |
| | | | | | | 157,664 | |
| | | | | | | | |
|
Software — 0.5% | |
| | |
CA, Inc. 3.60%, 8/15/2022 | | | 15,000 | | | | 15,409 | |
| | |
Microsoft Corp. | | | | | | | | |
| | |
4.00%, 2/8/2021 | | | 10,000 | | | | 10,233 | |
| | |
2.38%, 2/12/2022 | | | 58,000 | | | | 59,386 | |
| | |
Oracle Corp. | | | | | | | | |
| | |
2.80%, 7/8/2021 | | | 18,000 | | | | 18,376 | |
| | |
2.50%, 5/15/2022 | | | 10,000 | | | | 10,207 | |
| | |
2.40%, 9/15/2023 | | | 30,000 | | | | 31,067 | |
| | |
3.40%, 7/8/2024 | | | 16,000 | | | | 17,240 | |
| | |
VMware, Inc. 2.95%, 8/21/2022 | | | 15,000 | | | | 15,466 | |
| | | | | | | | |
| | | | | | | 177,384 | |
| | | | | | | | |
|
Specialty Retail — 0.2% | |
| | |
Advance Auto Parts, Inc. 4.50%, 1/15/2022 | | | 15,000 | | | | 15,729 | |
| | |
AutoZone, Inc. | | | | | | | | |
| | |
3.70%, 4/15/2022 | | | 5,000 | | | | 5,210 | |
| | |
2.88%, 1/15/2023 | | | 10,000 | | | | 10,361 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 34 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Specialty Retail — continued | |
| | |
Home Depot, Inc. (The) | | | | | | | | |
| | |
3.25%, 3/1/2022 | | | 15,000 | | | | 15,526 | |
| | |
2.70%, 4/1/2023 | | | 15,000 | | | | 15,611 | |
| | |
Lowe’s Cos., Inc. 3.75%, 4/15/2021 | | | 15,000 | | | | 15,318 | |
| | |
O’Reilly Automotive, Inc. 3.80%, 9/1/2022 | | | 5,000 | | | | 5,256 | |
| | | | | | | | |
| | | | | | | 83,011 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 0.5% | |
|
Apple, Inc. | |
| | |
1.55%, 8/4/2021 | | | 43,000 | | | | 43,181 | |
| | |
2.50%, 2/9/2022 | | | 10,000 | | | | 10,248 | |
| | |
2.10%, 9/12/2022 | | | 15,000 | | | | 15,314 | |
| | |
2.85%, 2/23/2023 | | | 15,000 | | | | 15,656 | |
| | |
2.40%, 5/3/2023 | | | 15,000 | | | | 15,502 | |
| | |
3.45%, 5/6/2024 | | | 10,000 | | | | 10,836 | |
| | |
1.80%, 9/11/2024 | | | 18,000 | | | | 18,343 | |
| | |
Dell International LLC | | | | | | | | |
| | |
4.42%, 6/15/2021 (e) | | | 18,000 | | | | 18,575 | |
| | |
4.00%, 7/15/2024 (e) | | | 15,000 | | | | 16,119 | |
| | |
Hewlett Packard Enterprise Co.
4.40%, 10/15/2022 (d) | | | 3,000 | | | | 3,198 | |
| | |
HP, Inc. 4.30%, 6/1/2021 | | | 15,000 | | | | 15,479 | |
| | |
Seagate HDD Cayman 4.88%, 3/1/2024 | | | 16,000 | | | | 16,906 | |
| | | | | | | | |
| | | | | | | 199,357 | |
| | | | | | | | |
|
Thrifts & Mortgage Finance — 0.0%(f) | |
| | |
New York Community Bancorp, Inc. (ICE LIBOR USD 3 Month + 2.78%), 5.90%, 11/6/2028 (a) | | | 15,000 | | | | 15,883 | |
| | | | | | | | |
|
Tobacco — 0.3% | |
| | |
Altria Group, Inc. 4.75%, 5/5/2021 | | | 36,000 | | | | 37,335 | |
| | |
BAT Capital Corp. (United Kingdom) | | | | | | | | |
| | |
2.76%, 8/15/2022 | | | 22,000 | | | | 22,552 | |
| | |
2.79%, 9/6/2024 | | | 15,000 | | | | 15,528 | |
| | |
Philip Morris International, Inc. 2.13%, 5/10/2023 | | | 25,000 | | | | 25,452 | |
| | | | | | | | |
| | | | | | | 100,867 | |
| | | | | | | | |
|
Trading Companies & Distributors — 0.3% | |
|
Air Lease Corp. | |
| | |
2.75%, 1/15/2023 | | | 15,000 | | | | 15,412 | |
| | |
3.00%, 9/15/2023 | | | 15,000 | | | | 15,416 | |
| | |
2.30%, 2/1/2025 | | | 8,000 | | | | 7,995 | |
| | |
Aircastle Ltd. 5.50%, 2/15/2022 | | | 15,000 | | | | 15,987 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Trading Companies & Distributors — continued | |
| | |
International Lease Finance Corp. | | | | | | | | |
| | |
8.63%, 1/15/2022 | | | 7,000 | | | | 7,810 | |
| | |
5.88%, 8/15/2022 | | | 31,000 | | | | 33,942 | |
| | | | | | | | |
| | | | | | | 96,562 | |
| | | | | | | | |
|
Wireless Telecommunication Services — 0.1% | |
| | |
Vodafone Group plc (United Kingdom) 3.75%, 1/16/2024 | | | 20,000 | | | | 21,570 | |
| | | | | | | | |
| |
Total Corporate Bonds
(Cost $8,918,378) | | | | 9,145,545 | |
| | | | | |
Mortgage-Backed Securities — 6.7% | |
| |
FHLMC Gold Pools, 15 Year | | | | | |
| | |
Pool # J14776, 3.00%, 3/1/2026 | | | 21,775 | | | | 22,573 | |
| | |
Pool # G14783, 3.50%, 10/1/2026 | | | 20,857 | | | | 21,872 | |
| | |
Pool # J20134, 3.00%, 8/1/2027 | | | 12,930 | | | | 13,413 | |
| | |
Pool # G18452, 2.50%, 12/1/2027 | | | 53,989 | | | | 55,568 | |
| | |
Pool # E04178, 2.50%, 2/1/2028 | | | 13,657 | | | | 14,056 | |
| | |
Pool # J23906, 2.50%, 5/1/2028 | | | 55,953 | | | | 57,634 | |
| | |
Pool # J23582, 3.00%, 5/1/2028 | | | 20,117 | | | | 20,948 | |
| | |
Pool # G15724, 4.00%, 1/1/2029 | | | 4,963 | | | | 5,217 | |
| | |
Pool # G16577, 4.00%, 1/1/2029 | | | 10,788 | | | | 11,366 | |
| | |
Pool # G15093, 3.00%, 4/1/2029 | | | 13,237 | | | | 13,793 | |
| | |
Pool # G18511, 2.50%, 5/1/2029 | | | 9,841 | | | | 10,138 | |
| | |
Pool # G18512, 3.00%, 5/1/2029 | | | 26,093 | | | | 27,123 | |
| | |
Pool # G15164, 3.00%, 9/1/2029 | | | 13,412 | | | | 13,962 | |
| | |
Pool # G18549, 2.50%, 4/1/2030 | | | 40,636 | | | | 41,870 | |
| | |
Pool # G16749, 2.00%, 7/1/2030 | | | 12,734 | | | | 13,033 | |
| | |
Pool # J33012, 3.00%, 10/1/2030 | | | 37,611 | | | | 39,297 | |
| | |
Pool # G18587, 3.00%, 2/1/2031 | | | 20,868 | | | | 21,708 | |
| | |
Pool # G18597, 3.50%, 4/1/2031 | | | 2,619 | | | | 2,751 | |
| | |
Pool # G18600, 2.50%, 5/1/2031 | | | 14,610 | | | | 15,061 | |
| | |
Pool # G18618, 2.00%, 11/1/2031 | | | 13,773 | | | | 14,074 | |
| | |
Pool # G18620, 3.00%, 11/1/2031 | | | 15,805 | | | | 16,441 | |
| | |
Pool # G18626, 2.50%, 1/1/2032 | | | 82,484 | | | | 85,029 | |
| | |
Pool # G18632, 3.00%, 2/1/2032 | | | 16,754 | | | | 17,428 | |
| | |
Pool # J37147, 3.00%, 6/1/2032 | | | 13,148 | | | | 13,749 | |
| | |
Pool # G16207, 3.50%, 7/1/2032 | | | 12,983 | | | | 13,824 | |
| | |
Pool # J38058, 3.00%, 11/1/2032 | | | 53,543 | | | | 56,150 | |
| | |
Pool # J39722, 3.00%, 10/1/2033 | | | 14,332 | | | | 14,968 | |
| | |
Pool # G18715, 3.00%, 12/1/2033 | | | 16,255 | | | | 16,866 | |
| | |
Pool # G18720, 3.50%, 1/1/2034 | | | 13,176 | | | | 13,807 | |
| | |
Pool # G18723, 3.50%, 2/1/2034 | | | 11,330 | | | | 11,872 | |
| | |
Pool # G18726, 3.50%, 3/1/2034 | | | 10,398 | | | | 10,929 | |
| |
FHLMC UMBS, 15 Year | | | | | |
| | |
Pool # ZK2607, 3.50%, 10/1/2025 | | | 5,130 | | | | 5,382 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 35 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
Pool # ZS8020, 3.00%, 9/1/2027 | | | 20,008 | | | | 20,768 | |
Pool # ZS7502, 2.50%, 4/1/2031 | | | 5,057 | | | | 5,219 | |
Pool # ZS8628, 2.00%, 11/1/2031 | | | 4,591 | | | | 4,690 | |
Pool # ZS7988, 3.50%, 2/1/2033 | | | 18,435 | | | | 19,586 | |
Pool # ZK9341, 3.00%, 3/1/2033 | | | 5,442 | | | | 5,683 | |
Pool # ZT0716, 3.00%, 10/1/2033 | | | 9,589 | | | | 9,945 | |
Pool # ZT2104, 2.50%, 12/1/2033 | | | 4,453 | | | | 4,588 | |
Pool # ZT1799, 3.50%, 3/1/2034 | | | 5,546 | | | | 5,826 | |
Pool # SB8008, 2.50%, 8/1/2034 | | | 18,311 | | | | 18,812 | |
Pool # QN0590, 2.50%, 9/1/2034 | | | 9,580 | | | | 9,843 | |
Pool # SB8013, 2.50%, 9/1/2034 | | | 11,247 | | | | 11,555 | |
Pool # SB8010, 2.50%, 10/1/2034 | | | 20,997 | | | | 21,573 | |
Pool # SB8012, 3.50%, 10/1/2034 | | | 11,089 | | | | 11,654 | |
Pool # SB0109, 2.50%, 11/1/2034 | | | 46,813 | | | | 48,293 | |
Pool # SB8015, 2.50%, 11/1/2034 | | | 36,773 | | | | 37,780 | |
Pool # SB8017, 3.50%, 11/1/2034 | | | 22,134 | | | | 23,259 | |
Pool # SB8021, 3.00%, 12/1/2034 | | | 15,530 | | | | 16,123 | |
Pool # SB0260, 2.50%, 2/1/2035 | | | 22,000 | | | | 22,602 | |
| | |
FNMA UMBS, 15 Year | | | | | | | | |
Pool # AC8868, 4.50%, 12/1/2024 | | | 3,726 | | | | 3,910 | |
Pool # AE0988, 4.00%, 9/1/2025 | | | 7,204 | | | | 7,585 | |
Pool # AH0563, 3.00%, 12/1/2025 | | | 3,594 | | | | 3,724 | |
Pool # AL1168, 3.50%, 1/1/2026 | | | 17,917 | | | | 18,818 | |
Pool # AH9695, 4.00%, 4/1/2026 | | | 8,020 | | | | 8,428 | |
Pool # AL4643, 4.00%, 7/1/2026 | | | 12,003 | | | | 12,638 | |
| | |
Pool # AJ9357, 3.50%, 1/1/2027 | | | 13,398 | | | | 14,074 | |
| | |
Pool # AW7396, 3.50%, 1/1/2027 | | | 14,613 | | | | 15,318 | |
| | |
Pool # AK3264, 3.00%, 2/1/2027 | | | 14,308 | | | | 14,826 | |
| | |
Pool # AW7395, 3.00%, 2/1/2027 | | | 12,900 | | | | 13,367 | |
| | |
Pool # AK5412, 3.00%, 3/1/2027 | | | 13,039 | | | | 13,535 | |
| | |
Pool # AL1746, 3.50%, 3/1/2027 | | | 7,874 | | | | 8,271 | |
| | |
Pool # AB5095, 3.00%, 5/1/2027 | | | 12,632 | | | | 13,127 | |
| | |
Pool # BM4533, 4.00%, 8/1/2027 | | | 9,625 | | | | 10,137 | |
| | |
Pool # AQ5118, 2.50%, 11/1/2027 | | | 9,126 | | | | 9,389 | |
| | |
Pool # AQ1688, 2.00%, 12/1/2027 | | | 9,428 | | | | 9,656 | |
| | |
Pool # MA1277, 2.50%, 12/1/2027 | | | 80,542 | | | | 82,867 | |
| | |
Pool # AR1045, 2.50%, 1/1/2028 | | | 18,179 | | | | 18,704 | |
| | |
Pool # AR4180, 2.50%, 2/1/2028 | | | 39,443 | | | | 40,633 | |
| | |
Pool # AL3060, 3.00%, 2/1/2028 | | | 36,684 | | | | 38,040 | |
| | |
Pool # AT2769, 2.00%, 5/1/2028 | | | 17,171 | | | | 17,565 | |
| | |
Pool # AL4468, 3.50%, 11/1/2028 | | | 10,788 | | | | 11,385 | |
| | |
Pool # BM3954, 2.50%, 12/1/2028 | | | 66,300 | | | | 68,266 | |
| | |
Pool # AV8783, 3.00%, 1/1/2029 | | | 31,359 | | | | 32,639 | |
| | |
Pool # AV4793, 3.50%, 5/1/2029 | | | 11,644 | | | | 12,236 | |
| | |
Pool # AW8317, 2.50%, 9/1/2029 | | | 11,409 | | | | 11,748 | |
| | |
Pool # AL7205, 3.50%, 12/1/2029 | | | 4,516 | | | | 4,746 | |
| | |
Pool # AX7696, 3.00%, 1/1/2030 | | | 41,499 | | | | 43,121 | |
| | |
Pool # AS4489, 2.50%, 3/1/2030 | | | 3,651 | | | | 3,769 | |
| | |
Pool # AY6338, 2.50%, 3/1/2030 | | | 58,638 | | | | 60,395 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
| | |
Pool # AS4678, 3.00%, 3/1/2030 | | | 46,472 | | | | 48,321 | |
| | |
Pool # AS5237, 2.50%, 6/1/2030 | | | 13,026 | | | | 13,417 | |
| | |
Pool # AL9852, 3.00%, 9/1/2030 | | | 28,600 | | | | 29,739 | |
| | |
Pool # BA6893, 2.50%, 2/1/2031 | | | 8,274 | | | | 8,522 | |
| | |
Pool # BC2482, 3.00%, 3/1/2031 | | | 34,190 | | | | 35,551 | |
| | |
Pool # BM3754, 3.50%, 4/1/2031 | | | 5,363 | | | | 5,642 | |
| | |
Pool # FM1336, 3.50%, 6/1/2031 | | | 13,214 | | | | 13,965 | |
| | |
Pool # AS7467, 2.50%, 7/1/2031 | | | 17,379 | | | | 17,908 | |
| | |
Pool # AS7606, 2.50%, 7/1/2031 | | | 44,526 | | | | 45,970 | |
| | |
Pool # AS7620, 2.50%, 7/1/2031 | | | 103,783 | | | | 107,020 | |
| | |
Pool # AL8804, 3.50%, 7/1/2031 | | | 6,054 | | | | 6,395 | |
| | |
Pool # MA2774, 2.00%, 10/1/2031 | | | 15,895 | | | | 16,236 | |
| | |
Pool # BM3174, 3.50%, 5/1/2032 | | | 6,775 | | | | 7,177 | |
| | |
Pool # MA3217, 2.50%, 12/1/2032 | | | 11,155 | | | | 11,491 | |
| | |
Pool # 890822, 3.00%, 12/1/2032 | | | 80,637 | | | | 84,142 | |
| | |
Pool # BM3276, 3.50%, 12/1/2032 | | | 19,721 | | | | 20,847 | |
| | |
Pool # CA1089, 3.00%, 2/1/2033 | | | 14,465 | | | | 15,141 | |
| | |
Pool # BJ9052, 3.50%, 2/1/2033 | | | 8,517 | | | | 9,065 | |
| | |
Pool # FM1309, 2.00%, 3/1/2033 | | | 13,772 | | | | 14,068 | |
| | |
Pool # MA3437, 3.00%, 8/1/2033 | | | 16,399 | | | | 17,007 | |
| | |
Pool # BN3975, 3.00%, 1/1/2034 | | | 11,051 | | | | 11,461 | |
| | |
Pool # MA3559, 3.50%, 1/1/2034 | | | 7,594 | | | | 7,955 | |
| | |
Pool # MA3588, 3.50%, 2/1/2034 | | | 31,344 | | | | 32,832 | |
| | |
Pool # MA3589, 4.00%, 2/1/2034 | | | 30,306 | | | | 31,885 | |
| | |
Pool # MA3631, 3.00%, 4/1/2034 | | | 37,391 | | | | 38,818 | |
| | |
Pool # CA3440, 3.50%, 4/1/2034 | | | 3,536 | | | | 3,752 | |
| | |
Pool # MA3657, 3.00%, 5/1/2034 | | | 23,418 | | | | 24,312 | |
| | |
Pool # FM1071, 3.50%, 5/1/2034 | | | 14,318 | | | | 15,262 | |
| | |
Pool # FM1112, 4.00%, 5/1/2034 | | | 5,959 | | | | 6,361 | |
| | |
Pool # MA3682, 3.50%, 6/1/2034 | | | 6,439 | | | | 6,767 | |
| | |
Pool # FM1111, 4.00%, 6/1/2034 | | | 14,373 | | | | 15,410 | |
| | |
Pool # MA3729, 2.50%, 7/1/2034 | | | 22,370 | | | | 22,983 | |
| | |
Pool # MA3695, 3.00%, 7/1/2034 | | | 6,786 | | | | 7,045 | |
| | |
Pool # BJ5549, 3.00%, 8/1/2034 | | | 6,762 | | | | 7,021 | |
| | |
Pool # FM1900, 2.50%, 11/1/2034 | | | 14,645 | | | | 15,107 | |
| | |
GNMA I, 15 Year | | | | | | | | |
| | |
Pool # 794368, 3.00%, 2/15/2027 | | | 3,484 | | | | 3,620 | |
| | |
GNMA II, 15 Year | | | | | | | | |
| | |
Pool # 796502, 3.00%, 4/20/2022 | | | 11,791 | | | | 12,196 | |
| | |
Pool # MA0756, 2.50%, 2/20/2028 | | | 4,949 | | | | 5,127 | |
| | |
Pool # MA1134, 3.00%, 7/20/2028 | | | 14,626 | | | | 15,192 | |
| | |
Pool # MA4355, 2.50%, 4/20/2032 | | | 14,147 | | | | 14,562 | |
| | |
Pool # MA4559, 3.00%, 7/20/2032 | | | 17,156 | | | | 17,807 | |
| | |
Pool # MA4625, 3.50%, 8/20/2032 | | | 11,992 | | | | 12,574 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 36 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # MA6256, 3.50%, 12/20/2034 | | | 14,682 | | | | 15,399 | |
| | | | | | | | |
| |
Total Mortgage-Backed Securities
(Cost $2,435,073) | | | | 2,503,690 | |
| | | | | |
|
Supranational — 2.9% | |
| | |
African Development Bank (Supranational) | | | | | | | | |
| | |
1.25%, 7/26/2021 | | | 26,000 | | | | 26,084 | |
| | |
3.00%, 9/20/2023 | | | 15,000 | | | | 16,060 | |
| | |
Asian Development Bank (Supranational) | | | | | | | | |
| | |
1.75%, 6/8/2021 | | | 57,000 | | | | 57,505 | |
| | |
2.13%, 11/24/2021 | | | 10,000 | | | | 10,195 | |
| | |
1.88%, 2/18/2022 | | | 15,000 | | | | 15,266 | |
| | |
1.88%, 8/10/2022 | | | 29,000 | | | | 29,651 | |
| | |
1.50%, 10/18/2024 | | | 30,000 | | | | 30,686 | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational)
2.25%, 5/16/2024 | | | 21,000 | | | | 22,084 | |
| | |
Corp. Andina de Fomento (Supranational) | | | | | | | | |
| | |
2.13%, 9/27/2021 | | | 15,000 | | | | 15,147 | |
| | |
3.75%, 11/23/2023 | | | 22,000 | | | | 23,704 | |
| | |
Council of Europe Development Bank (Supranational)
1.63%, 3/16/2021 | | | 12,000 | | | | 12,061 | |
| | |
European Bank for Reconstruction & Development (Supranational) | | | | | | | | |
| | |
1.50%, 11/2/2021 | | | 10,000 | | | | 10,084 | |
| | |
2.13%, 3/7/2022 | | | 43,000 | | | | 43,988 | |
| | |
European Investment Bank (Supranational) | | | | | | | | |
| | |
4.00%, 2/16/2021 | | | 27,000 | | | | 27,737 | |
| | |
2.25%, 8/15/2022 | | | 54,000 | | | | 55,713 | |
| | |
2.50%, 3/15/2023 | | | 145,000 | | | | 151,685 | |
| | |
3.25%, 1/29/2024 | | | 8,000 | | | | 8,701 | |
| | |
2.25%, 6/24/2024 | | | 48,000 | | | | 50,599 | |
| | |
2.50%, 10/15/2024 | | | 17,000 | | | | 18,144 | |
| | |
Inter-American Development Bank (Supranational) | | | | | | | | |
| | |
2.63%, 4/19/2021 | | | 15,000 | | | | 15,261 | |
| | |
1.75%, 4/14/2022 | | | 70,000 | | | | 71,152 | |
| | |
1.75%, 9/14/2022 | | | 43,000 | | | | 43,873 | |
| | |
International Bank for Reconstruction & Development (Supranational) | | | | | | | | |
| | |
1.63%, 3/9/2021 | | | 100,000 | | | | 100,516 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
Supranational — continued | |
| | |
1.38%, 5/24/2021 | | | 74,000 | | | | 74,300 | |
| | |
2.75%, 7/23/2021 | | | 44,000 | | | | 45,061 | |
| | |
2.13%, 7/1/2022 | | | 35,000 | | | | 35,950 | |
| | |
2.50%, 3/19/2024 | | | 18,000 | | | | 19,103 | |
| | |
2.50%, 11/25/2024 | | | 15,000 | | | | 16,041 | |
| | |
International Finance Corp. (Supranational) | | | | | | | | |
| | |
2.25%, 1/25/2021 | | | 25,000 | | | | 25,257 | |
| | |
1.38%, 10/16/2024 | | | 15,000 | | | | 15,261 | |
| | | | | | | | |
| |
Total Supranational
(Cost $1,058,781) | | | | 1,086,869 | |
| | | | | |
|
U.S. Government Agency Securities — 2.4% | |
|
FFCB | |
| | |
2.55%, 3/11/2021 | | | 48,000 | | | | 48,729 | |
| | |
2.54%, 4/5/2021 | | | 7,000 | | | | 7,103 | |
| | |
1.64%, 6/11/2021 | | | 27,000 | | | | 26,964 | |
| | |
1.63%, 12/27/2021 | | | 25,000 | | | | 25,297 | |
| | |
1.85%, 3/3/2022 | | | 27,000 | | | | 27,079 | |
| | |
FHLB | | | | | | | | |
| | |
2.88%, 9/11/2020 | | | 35,000 | | | | 35,300 | |
| | |
2.63%, 10/1/2020 | | | 45,000 | | | | 45,360 | |
| | |
1.13%, 7/14/2021 | | | 115,000 | | | | 115,247 | |
| | |
2.50%, 3/11/2022 | | | 70,000 | | | | 72,161 | |
| | |
2.50%, 2/13/2024 | | | 15,000 | | | | 15,874 | |
| | |
1.50%, 8/15/2024 | | | 35,000 | | | | 35,810 | |
| | |
FHLMC | | | | | | | | |
| | |
2.38%, 1/13/2022 | | | 173,000 | | | | 177,462 | |
| | |
FNMA | | | | | | | | |
| | |
2.75%, 6/22/2021 | | | 50,000 | | | | 51,132 | |
| | |
1.25%, 8/17/2021 | | | 22,000 | | | | 22,084 | |
| | |
2.63%, 1/11/2022 | | | 50,000 | | | | 51,541 | |
| | |
2.00%, 10/5/2022 | | | 35,000 | | | | 35,925 | |
| | |
1.75%, 7/2/2024 | | | 15,000 | | | | 15,483 | |
| | |
1.63%, 1/7/2025 | | | 40,000 | | | | 41,127 | |
| | |
Israel Government AID Bond (Israel) | | | | | | | | |
| | |
5.50%, 4/26/2024 | | | 15,000 | | | | 17,622 | |
| | |
Tennessee Valley Authority | | | | | | | | |
| | |
1.88%, 8/15/2022 | | | 10,000 | | | | 10,216 | |
| | |
2.88%, 9/15/2024 | | | 20,000 | | | | 21,620 | |
| | | | | | | | |
| |
Total U.S. Government Agency Securities
(Cost $884,463) | | | | 899,136 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 37 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
Commercial Mortgage-Backed Securities — 2.2% | |
| | |
BENCHMARK Mortgage Trust | | | | | | | | |
| | |
Series2019-B12, Class A2,
3.00%, 8/15/2052 | | | 7,000 | | | | 7,385 | |
| | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
| | |
Series 2013-GC17, Class A4,
4.13%, 11/10/2046 | | | 20,000 | | | | 21,769 | |
| | |
Series2016-C1, Class AAB,
3.00%, 5/10/2049 | | | 12,000 | | | | 12,585 | |
| | |
Commercial Mortgage Trust | | | | | | | | |
| | |
Series 2014-CR16, Class A3,
3.78%, 4/10/2047 | | | 24,969 | | | | 26,845 | |
| | |
Series 2014-LC15, Class A4,
4.01%, 4/10/2047 | | | 20,000 | | | | 21,800 | |
| | |
Series 2014-UBS4, Class A5,
3.69%, 8/10/2047 | | | 30,000 | | | | 32,553 | |
| | |
Series 2013-CR11, Class ASB,
3.66%, 8/10/2050 | | | 15,560 | | | | 16,135 | |
| | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | | | | | | | |
| | |
Series K015, Class A2,
3.23%, 7/25/2021 | | | 90,719 | | | | 92,107 | |
| | |
Series K016, Class A2,
2.97%, 10/25/2021 | | | 28,114 | | | | 28,548 | |
| | |
Series K021, Class A1,
1.60%, 1/25/2022 | | | 13,551 | | | | 13,549 | |
| | |
Series K019, Class A2,
2.27%, 3/25/2022 | | | 15,868 | | | | 16,080 | |
| | |
Series K020, Class A2,
2.37%, 5/25/2022 | | | 10,000 | | | | 10,213 | |
| | |
Series K720, Class A2,
2.72%, 6/25/2022 | | | 15,000 | | | | 15,404 | |
| | |
Series K027, Class A2,
2.64%, 1/25/2023 | | | 26,000 | | | | 26,912 | |
| | |
Series K028, Class A2,
3.11%, 2/25/2023 | | | 10,000 | | | | 10,483 | |
| |
FNMA ACES | | | | | |
| | |
Series2014-M1, Class A2,
3.21%, 7/25/2023 (h) | | | 13,329 | | | | 14,101 | |
| | |
Series2014-M8, Class A2,
3.06%, 6/25/2024 (h) | | | 38,000 | | | | 40,582 | |
| | |
Series2017-M10, Class AV2,
2.56%, 7/25/2024 (h) | | | 14,000 | | | | 14,685 | |
| |
GS Mortgage Securities Trust | | | | | |
| | |
Series 2014-GC18, Class A4,
4.07%, 1/10/2047 | | | 30,000 | | | | 32,611 | |
| | |
Series 2014-GC18, Class AS,
4.38%, 1/10/2047 | | | 17,000 | | | | 18,354 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
| | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series 2013-LC11, Class C,
3.96%, 4/15/2046 (h) | | | 22,000 | | | | 22,690 | |
| | |
Series2013-C10, Class AS,
3.37%, 12/15/2047 ‡ | | | 20,000 | | | | 20,928 | |
| | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series2013-C17, Class ASB,
3.71%, 1/15/2047 | | | 15,571 | | | | 16,312 | |
| | |
Series2014-C19, Class C,
4.68%, 4/15/2047 ‡ (h) | | | 10,000 | | | | 10,858 | |
| | |
Series2014-C22, Class AS,
4.11%, 9/15/2047 | | | 15,000 | | | | 16,252 | |
| | |
Series2014-C23, Class C, 4.
47%, 9/15/2047 (h) | | | 20,000 | | | | 21,763 | |
| | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
| | |
Series2012-C5, Class A4,
3.18%, 8/15/2045 | | | 12,000 | | | | 12,410 | |
| | |
Series2014-C19, Class A3,
3.25%, 12/15/2047 | | | 6,385 | | | | 6,784 | |
| | |
Series2015-C25, Class ASB,
3.38%, 10/15/2048 | | | 40,000 | | | | 42,198 | |
| | |
Morgan Stanley Capital I Trust | | | | | | | | |
| | |
Series2011-C3, Class A4,
4.12%, 7/15/2049 | | | 4,142 | | | | 4,259 | |
| | |
UBS Commercial Mortgage Trust | | | | | | | | |
| | |
Series2018-C13, Class A2,
4.21%, 10/15/2051 | | | 9,984 | | | | 10,776 | |
| | |
UBS-Barclays Commercial Mortgage Trust | | | | | | | | |
| | |
Series2013-C6, Class A4,
3.24%, 4/10/2046 | | | 23,000 | | | | 24,106 | |
| | |
Wells Fargo Commercial Mortgage Trust | | | | | | | | |
| | |
Series2012-LC5, Class B,
4.14%, 10/15/2045 ‡ | | | 14,000 | | | | 14,756 | |
| | |
Series 2013-LC12, Class A4,
4.22%, 7/15/2046 (h) | | | 12,000 | | | | 12,974 | |
| | |
Series 2014-LC16, Class ASB,
3.48%, 8/15/2050 | | | 8,601 | | | | 8,965 | |
| | |
Series2019-C54, Class A2,
3.01%, 12/15/2052 | | | 35,000 | | | | 36,853 | |
| | |
WFRBS Commercial Mortgage Trust | | | | | | | | |
| | |
Series2012-C7, Class AS,
4.09%, 6/15/2045 (h) | | | 32,000 | | | | 33,503 | |
| | |
Series2012-C10, Class A3,
2.88%, 12/15/2045 | | | 12,000 | | | | 12,402 | |
| | |
Series2012-C10, Class B,
3.74%, 12/15/2045 ‡ | | | 15,000 | | | | 15,535 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 38 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
Commercial Mortgage-Backed Securities — continued | |
| | |
Series2014-C20, Class A3,
3.64%, 5/15/2047 | | | 42 | | | | 43 | |
| | |
Series2014-C20, Class A5,
4.00%, 5/15/2047 | | | 12,000 | | | | 13,105 | |
| | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities
(Cost $812,214) | | | | 830,173 | |
| | | | | |
Foreign Government Securities — 1.4% | |
|
Canada Government Bond (Canada) | |
| | |
2.63%, 1/25/2022 | | | 10,000 | | | | 10,313 | |
| | |
2.00%, 11/15/2022 | | | 35,000 | | | | 36,007 | |
| | |
1.63%, 1/22/2025 | | | 10,000 | | | | 10,312 | |
| | |
Export Development Canada (Canada) | | | | | | | | |
| | |
1.38%, 10/21/2021 | | | 10,000 | | | | 10,063 | |
| | |
2.00%, 5/17/2022 | | | 15,000 | | | | 15,335 | |
| | |
2.75%, 3/15/2023 | | | 15,000 | | | | 15,808 | |
| | |
2.63%, 2/21/2024 | | | 10,000 | | | | 10,640 | |
| | |
Export-Import Bank of Korea
(South Korea)
5.13%, 6/29/2020 | | | 50,000 | | | | 50,619 | |
| | |
Hungary Government Bond (Hungary) | | | | | | | | |
| | |
5.38%, 2/21/2023 | | | 18,000 | | | | 19,768 | |
| | |
5.75%, 11/22/2023 | | | 20,000 | | | | 22,736 | |
| | |
Italian Republic Government Bond (Italy) 6.88%, 9/27/2023 | | | 36,000 | | | �� | 42,090 | |
| | |
Oriental Republic of Uruguay (Uruguay) | | | | | | | | |
| | |
8.00%, 11/18/2022 | | | 5,000 | | | | 5,562 | |
| | |
4.50%, 8/14/2024 | | | 7,000 | | | | 7,637 | |
| | |
Province of Alberta (Canada)
2.20%, 7/26/2022 | | | 22,000 | | | | 22,592 | |
| | |
Province of British Columbia (Canada) 2.00%, 10/23/2022 | | | 15,000 | | | | 15,396 | |
| | |
1.75%, 9/27/2024 | | | 24,000 | | | | 24,756 | |
| | |
Province of Ontario (Canada) | | | | | | | | |
| | |
2.55%, 2/12/2021 | | | 10,000 | | | | 10,128 | |
| | |
2.50%, 9/10/2021 | | | 15,000 | | | | 15,323 | |
| | |
2.25%, 5/18/2022 | | | 21,000 | | | | 21,549 | |
| | |
2.45%, 6/29/2022 | | | 15,000 | | | | 15,481 | |
| | |
3.05%, 1/29/2024 | | | 16,000 | | | | 17,196 | |
| | |
3.20%, 5/16/2024 | | | 15,000 | | | | 16,294 | |
| | |
Province of Quebec (Canada)
2.63%, 2/13/2023 | | | 20,000 | | | | 20,940 | |
| | |
Republic of Colombia (Colombia) 8.13%, 5/21/2024 | | | 20,000 | | | | 24,685 | |
| | |
Republic of Poland (Poland) | | | | | | | | |
| | |
5.13%, 4/21/2021 | | | 29,000 | | | | 30,161 | |
| | |
4.00%, 1/22/2024 | | | 7,000 | | | | 7,636 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | |
| | | | | | | | |
| | |
United Mexican States (Mexico)
3.63%, 3/15/2022 | | | 24,000 | | | | 24,880 | |
| | | | | | | | |
| |
Total Foreign Government Securities
(Cost $510,358) | | | | 523,907 | |
| | | | | |
Asset-Backed Securities — 1.0% | |
| | |
Ally Auto Receivables Trust
Series2018-3, Class A4,
3.12%, 7/17/2023 | | | 10,000 | | | | 10,316 | |
| | |
Ally Master Owner Trust
Series2018-4, Class A,
3.30%, 7/17/2023 | | | 10,000 | | | | 10,281 | |
| | |
American Express Credit Account
Master Trust
Series2017-7, Class A,
2.35%, 5/15/2025 | | | 30,000 | | | | 30,962 | |
| | |
AmeriCredit Automobile
Receivables Trust
Series2017-3, Class D,
3.18%, 7/18/2023 | | | 15,000 | | | | 15,443 | |
| | |
BA Credit Card Trust
Series2018-A3, Class A3,
3.10%, 12/15/2023 | | | 22,000 | | | | 22,557 | |
| | |
BMW Vehicle Lease Trust
Series2018-1, Class A3,
3.26%, 7/20/2021 | | | 10,000 | | | | 10,103 | |
| | |
Capital One Multi-Asset Execution Trust Series2018-A1, Class A1,
3.01%, 2/15/2024 | | | 27,000 | | | | 27,561 | |
| | |
CarMax Auto Owner Trust | | | | | | | | |
| | |
Series2016-3, Class B,
1.90%, 4/15/2022 | | | 7,000 | | | | 7,020 | |
| | |
Series2018-3, Class A3,
3.13%, 6/15/2023 | | | 17,000 | | | | 17,350 | |
| | |
Citibank Credit Card Issuance Trust Series2018-A3, Class A3,
3.29%, 5/23/2025 | | | 33,000 | | | | 35,217 | |
| | |
Discover Card Execution Note Trust Series2018-A4, Class A4,
3.11%, 1/16/2024 | | | 30,000 | | | | 30,782 | |
| | |
Drive Auto Receivables Trust
Series2019-3, Class A3,
2.49%, 6/15/2023 | | | 17,000 | | | | 17,119 | |
| | |
Ford Credit Auto Lease Trust
Series2018-B, Class A3,
3.19%, 12/15/2021 | | | 10,000 | | | | 10,084 | |
| | |
Ford Credit Auto Owner Trust | | | | | | | | |
| | |
Series2018-A, Class A3, 3.03%, 11/15/2022 | | | 5,102 | | | | 5,168 | |
| | |
Series2017-A, Class C, 2.41%, 7/15/2023 | | | 6,000 | | | | 6,043 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 39 | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
Ford Credit Floorplan Master
Owner Trust
Series2019-2, Class A,
3.06%, 4/15/2026 | | | 8,000 | | | | 8,499 | |
| | |
Ford Credit Floorplan Master Owner Trust A Series2018-2, Class A,
3.17%, 3/15/2025 | | | 15,000 | | | | 15,763 | |
| | |
GM Financial Automobile Leasing Trust
Series2018-3, Class A3,
3.18%, 6/21/2021 | | | 8,797 | | | | 8,845 | |
| | |
GM Financial Consumer Automobile Receivables Trust
Series2018-1, Class A3,
2.32%, 7/18/2022 | | | 7,901 | | | | 7,948 | |
| | |
Honda Auto Receivables Owner Trust Series2017-2, Class A4,
1.87%, 9/15/2023 | | | 17,000 | | | | 17,067 | |
| | |
Hyundai Auto Receivables Trust
Series2018-B, Class A3,
3.20%, 12/15/2022 | | | 8,000 | | | | 8,160 | |
| | |
Nissan Auto Lease Trust
Series2019-A, Class A3,
2.76%, 3/15/2022 | | | 7,000 | | | | 7,099 | |
| | |
Nissan Auto Receivables Owner Trust Series2017-C, Class A3, 2.12%, 4/18/2022 | | | 10,712 | | | | 10,753 | |
| | |
Santander Drive Auto Receivables Trust
Series2019-1, Class C,
3.42%, 4/15/2025 | | | 10,000 | | | | 10,222 | |
| | |
Synchrony Credit Card Master Note Trust
Series2018-2, Class A,
3.47%, 5/15/2026 | | | 15,000 | | | | 16,009 | |
| | |
Toyota Auto Receivables Owner Trust | | | | | | | | |
| | |
Series2018-C, Class A3,
3.02%, 12/15/2022 | | | 12,000 | | | | 12,238 | |
| | |
Series2019-D, Class A3,
1.92%, 1/16/2024 | | | 8,000 | | | | 8,132 | |
| | |
World Omni Auto Receivables Trust Series2018-D, Class B,
3.67%, 12/16/2024 | | | 15,000 | | | | 15,878 | |
| | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $393,740) | | | | 402,619 | |
| | | | | |
Municipal Bonds — 0.1%(i) | |
|
Florida — 0.1% | |
|
Other Revenue — 0.1% | |
| | |
State Board of Administration
Finance Corp.
Series 2013A, Rev.,
3.00%, 7/1/2020 | | | 20,000 | | | | 20,095 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
Illinois — 0.0%(f) | |
|
General Obligation — 0.0%(f) | |
| | |
State of Illinois, Taxable Pension
Series 2003, GO, 4.95%, 6/1/2023 | | | 13,091 | | | | 13,742 | |
| | | | | | | | |
|
New Jersey — 0.0%(f) | |
Industrial Development Revenue/Pollution Control Revenue — 0.0%(f) | |
| | |
New Jersey Economic Development Authority, Cityscape Schools., Inc. Series B, Rev., AGM,
Zero Coupon, 2/15/2021 | | | 10,000 | | | | 9,868 | |
| | | | | | | | |
| |
Total Municipal Bonds
(Cost $43,141) | | | | 43,705 | |
| | | | | |
| | | SHARES | | | | |
|
Short-Term Investments — 0.3% | |
Investment Companies — 0.3% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44%(j)(k)(Cost $95,622) | | | 95,622 | | | | 95,622 | |
| | | | | | | | |
| | |
Total Investments — 99.7%
(Cost $36,403,139) | | | | | | | 37,390,501 | |
| | |
Other Assets Less Liabilities — 0.3% | | | | | | | 104,583 | |
| | | | | |
| |
Net Assets — 100.0% | | | | 37,495,084 | |
| | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
ACES | | Alternative Credit Enhancement Securities |
AGM | | Insured by Assured Guaranty Municipal Corp. |
FFCB | | Federal Farm Credit Bank |
FHLB | | Federal Home Loan Bank |
FHLMC | | Federal Home Loan Mortgage Corp. |
FNMA | | Federal National Mortgage Association |
GNMA | | Government National Mortgage Association |
GO | | General Obligation |
ICE | | Intercontinental Exchange |
LIBOR | | London Interbank Offered Rate |
Rev. | | Revenue |
UMBS | | Uniform Mortgage-Backed Securities |
USD | | United States Dollar |
| |
(a) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
(b) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security 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 February 29, 2020. |
(c) | | Security is an interest bearing note with preferred security characteristics. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 40 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | |
(d) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
(e) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(f) | | Amount rounds to less than 0.1% of net assets. |
(g) | | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(h) | | 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 is the current rate as of February 29, 2020. |
(i) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
(j) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(k) | | The rate shown is the current yield as of February 29, 2020. |
‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 41 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — 26.7% | |
|
Aerospace & Defense — 0.6% | |
| | |
Arconic, Inc. | | | | | | | | |
| | |
5.13%, 10/1/2024 | | | 37,000 | | | | 39,701 | |
| | |
5.95%, 2/1/2037 | | | 14,000 | | | | 15,537 | |
| | |
Boeing Co. (The) | | | | | | | | |
| | |
3.60%, 5/1/2034 | | | 20,000 | | | | 22,070 | |
| | |
3.25%, 2/1/2035 | | | 20,000 | | | | 21,288 | |
| | |
3.95%, 8/1/2059 | | | 10,000 | | | | 10,949 | |
| | |
Lockheed Martin Corp. 4.09%, 9/15/2052 | | | 34,000 | | | | 43,752 | |
| | |
Moog, Inc. 4.25%, 12/15/2027 (a) | | | 20,000 | | | | 20,350 | |
| | |
Precision Castparts Corp. 4.38%, 6/15/2045 | | | 15,000 | | | | 19,266 | |
| | |
Rockwell Collins, Inc. 3.50%, 3/15/2027 | | | 40,000 | | | | 44,494 | |
| | |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | | | 25,000 | | | | 26,469 | |
| | |
United Technologies Corp. 3.65%, 8/16/2023 | | | 60,000 | | | | 64,798 | |
| | | | | | | | |
| | |
| | | | | | | 328,674 | |
| | | | | | | | |
|
Air Freight & Logistics — 0.0%(b) | |
| | |
XPO Logistics, Inc. 6.13%, 9/1/2023 (a) | | | 20,000 | | | | 20,413 | |
| | | | | | | | |
|
Airlines — 0.1% | |
| | |
Continental Airlines Pass-Through Trust | | | | | | | | |
| | |
Series2012-2, Class A, 4.00%, 10/29/2024 | | | 30,774 | | | | 33,230 | |
| | |
United Airlines Holdings, Inc. | | | | | | | | |
| | |
5.00%, 2/1/2024 | | | 20,000 | | | | 20,250 | |
| | |
4.88%, 1/15/2025 | | | 16,000 | | | | 16,080 | |
| | | | | | | | |
| | |
| | | | | | | 69,560 | |
| | | | | | | | |
|
Auto Components — 0.2% | |
| | |
Adient US LLC 7.00%, 5/15/2026 (a) | | | 15,000 | | | | 15,619 | |
| | |
Allison Transmission, Inc. 5.00%, 10/1/2024 (a) | | | 18,000 | | | | 18,202 | |
| | |
American Axle & Manufacturing, Inc. 6.25%, 4/1/2025 | | | 28,000 | | | | 27,109 | |
| | |
Dana Financing Luxembourg SARL 6.50%, 6/1/2026 (a) | | | 15,000 | | | | 15,825 | |
| | |
Goodyear Tire & Rubber Co. (The) 5.00%, 5/31/2026 | | | 19,000 | | | | 18,692 | |
| | |
Icahn Enterprises LP 6.38%, 12/15/2025 | | | 22,000 | | | | 22,715 | |
| | | | | | | | |
| | |
| | | | | | | 118,162 | |
| | | | | | | | |
|
Banks — 4.9% | |
| | |
Bank of America Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (c) | | | 182,000 | | | | 188,599 | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (c) | | | 65,000 | | | | 69,221 | |
| | |
3.88%, 8/1/2025 | | | 82,000 | | | | 90,596 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Banks — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (c) | | | 135,000 | | | | 138,393 | |
| | |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (c) | | | 40,000 | | | | 43,431 | |
| | |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c) | | | 29,000 | | | | 31,953 | |
| | |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | | | 20,000 | | | | 21,895 | |
| | |
(ICE LIBOR USD 3 Month + 1.07%), 3.97%, 3/5/2029 (c) | | | 35,000 | | | | 39,380 | |
| | |
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (c) | | | 13,000 | | | | 15,224 | |
| | |
(ICE LIBOR USD 3 Month + 1.52%), 4.33%, 3/15/2050 (c) | | | 28,000 | | | | 35,852 | |
| | |
Bank of Nova Scotia (The) (Canada) 3.40%, 2/11/2024 | | | 50,000 | | | | 53,125 | |
| | |
BNP Paribas SA (France) 3.25%, 3/3/2023 | | | 18,000 | | | | 18,937 | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 2.61%, 7/22/2023 (c) | | | 24,000 | | | | 24,494 | |
| | |
3.10%, 4/2/2024 | | | 21,000 | | | | 22,141 | |
| | |
CIT Group, Inc. | | | | | | | | |
| | |
5.25%, 3/7/2025 | | | 24,000 | | | | 26,280 | |
| | |
Citigroup, Inc. 2.75%, 4/25/2022 | | | 81,000 | | | | 82,851 | |
| | |
(ICE LIBOR USD 3 Month + 1.02%), 4.04%, 6/1/2024 (c) | | | 60,000 | | | | 64,142 | |
| | |
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c) | | | 51,000 | | | | 57,593 | |
| | |
(SOFR + 1.42%), 2.98%, 11/5/2030 (c) | | | 25,000 | | | | 26,300 | |
| | |
(SOFR + 1.15%), 2.67%, 1/29/2031 (c) | | | 115,000 | | | | 117,924 | |
| | |
(ICE LIBOR USD 3 Month + 1.84%), 4.28%, 4/24/2048 (c) | | | 18,000 | | | | 22,414 | |
| | |
Citizens Financial Group, Inc. 2.50%, 2/6/2030 | | | 5,000 | | | | 5,071 | |
| | |
Comerica, Inc. 3.70%, 7/31/2023 | | | 11,000 | | | | 11,814 | |
| | |
HSBC Holdings plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 1.06%), 3.26%, 3/13/2023 (c) | | | 200,000 | | | | 205,633 | |
| | |
7.63%, 5/17/2032 | | | 40,000 | | | | 55,980 | |
| | |
6.10%, 1/14/2042 | | | 48,000 | | | | 69,440 | |
| | |
KeyCorp 2.25%, 4/6/2027 | | | 11,000 | | | | 11,116 | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.67%, 7/25/2022 | | | 18,000 | | | | 18,463 | |
| | |
3.78%, 3/2/2025 | | | 15,000 | | | | 16,434 | |
| | |
MUFG Americas Holdings Corp. 3.50%, 6/18/2022 | | | 7,000 | | | | 7,299 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 42 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
PNC Financial Services Group, Inc. (The) 2.55%, 1/22/2030 | | | 92,000 | | | | 94,892 | |
| | |
Royal Bank of Canada (Canada) 4.65%, 1/27/2026 | | | 12,000 | | | | 13,876 | |
| | |
Royal Bank of Scotland Group plc
(United Kingdom) | | | | | | | | |
| | |
6.10%, 6/10/2023 | | | 19,000 | | | | 21,022 | |
| | |
3.88%, 9/12/2023 | | | 200,000 | | | | 212,713 | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.85%, 1/11/2022 | | | 31,000 | | | | 31,784 | |
| | |
3.75%, 7/19/2023 | | | 20,000 | | | | 21,346 | |
| | |
Toronto-Dominion Bank (The) (Canada) 3.25%, 3/11/2024 | | | 13,000 | | | | 13,866 | |
| | |
Truist Bank 4.05%, 11/3/2025 | | | 21,000 | | | | 23,645 | |
| | |
Truist Financial Corp. 2.85%, 10/26/2024 | | | 51,000 | | | | 53,682 | |
| | |
US Bancorp 3.00%, 7/30/2029 | | | 27,000 | | | | 28,787 | |
| | |
Wells Fargo & Co. | | | | | | | | |
| | |
3.07%, 1/24/2023 | | | 110,000 | | | | 113,031 | |
| | |
3.55%, 9/29/2025 | | | 26,000 | | | | 28,266 | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.16%, 2/11/2026 (c) | | | 34,000 | | | | 34,408 | |
| | |
3.00%, 10/23/2026 | | | 51,000 | | | | 54,072 | |
| | |
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (c) | | | 85,000 | | | | 90,658 | |
| | |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) | | | 81,000 | | | | 88,063 | |
| | |
(ICE LIBOR USD 3 Month + 1.00%), 2.57%, 2/11/2031 (c) | | | 30,000 | | | | 30,576 | |
| | |
4.90%, 11/17/2045 | | | 25,000 | | | | 31,610 | |
| | |
4.75%, 12/7/2046 | | | 15,000 | | | | 18,841 | |
| | |
Westpac Banking Corp. (Australia) | | | | | | | | |
| | |
3.65%, 5/15/2023 | | | 40,000 | | | | 42,711 | |
| | |
2.85%, 5/13/2026 | | | 7,000 | | | | 7,380 | |
| | | | | | | | |
| | |
| | | | | | | 2,647,224 | |
| | | | | | | | |
|
Beverages — 0.3% | |
| | |
Anheuser-Busch Cos. LLC (Belgium) 4.90%, 2/1/2046 | | | 45,000 | | | | 55,604 | |
| | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | | | | | | | |
| | |
4.75%, 1/23/2029 | | | 15,000 | | | | 17,727 | |
| | |
4.90%, 1/23/2031 | | | 25,000 | | | | 30,372 | |
| | |
Keurig Dr Pepper, Inc. 3.55%, 5/25/2021 | | | 30,000 | | | | 30,717 | |
| | | | | | | | |
| | |
| | | | | | | 134,420 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Biotechnology — 0.8% | |
| | |
AbbVie, Inc. | | | | | | | | |
| | |
2.30%, 11/21/2022 (a) | | | 90,000 | | | | 91,502 | |
| | |
2.60%, 11/21/2024 (a) | | | 125,000 | | | | 129,175 | |
| | |
2.95%, 11/21/2026 (a) | | | 40,000 | | | | 41,936 | |
| | |
3.20%, 11/21/2029 (a) | | | 13,000 | | | | 13,712 | |
| | |
4.05%, 11/21/2039 (a) | | | 48,000 | | | | 53,017 | |
| | |
Gilead Sciences, Inc. | | | | | | | | |
| | |
2.95%, 3/1/2027 | | | 87,000 | | | | 92,680 | |
| | |
4.15%, 3/1/2047 | | | 25,000 | | | | 30,197 | |
| | | | | | | | |
| | |
| | | | | | | 452,219 | |
| | | | | | | | |
|
Building Products — 0.1% | |
| | |
Standard Industries, Inc. 6.00%, 10/15/2025 (a) | | | 32,000 | | | | 33,440 | |
| | | | | | | | |
|
Capital Markets — 2.3% | |
| | |
Ameriprise Financial, Inc. 4.00%, 10/15/2023 | | | 21,000 | | | | 22,710 | |
| | |
Bank of New York Mellon Corp. (The) | | | | | | | | |
| | |
3.50%, 4/28/2023 | | | 21,000 | | | | 22,322 | |
| | |
2.10%, 10/24/2024 | | | 13,000 | | | | 13,342 | |
| | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
| | |
2.35%, 11/15/2021 | | | 95,000 | | | | 95,517 | |
| | |
(ICE LIBOR USD 3 Month + 1.05%), 2.91%, 6/5/2023 (c) | | | 122,000 | | | | 125,255 | |
| | |
3.63%, 2/20/2024 | | | 60,000 | | | | 64,123 | |
| | |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | | | 93,000 | | | | 98,365 | |
| | |
3.50%, 11/16/2026 | | | 66,000 | | | | 70,960 | |
| | |
3.85%, 1/26/2027 | | | 31,000 | | | | 34,073 | |
| | |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | | | 70,000 | | | | 76,526 | |
| | |
Morgan Stanley | | | | | | | | |
| | |
3.75%, 2/25/2023 | | | 102,000 | | | | 108,557 | |
| | |
(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (c) | | | 65,000 | | | | 69,033 | |
| | |
(SOFR + 1.15%), 2.72%, 7/22/2025 (c) | | | 80,000 | | | | 82,804 | |
| | |
3.88%, 1/27/2026 | | | 51,000 | | | | 56,401 | |
| | |
3.13%, 7/27/2026 | | | 30,000 | | | | 31,972 | |
| | |
3.63%, 1/20/2027 | | | 37,000 | | | | 40,607 | |
| | |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | | | 35,000 | | | | 38,309 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (c) | | | 20,000 | | | | 22,174 | |
| | |
(SOFR + 1.14%), 2.70%, 1/22/2031(c) | | | 50,000 | | | | 51,569 | |
| | |
4.38%, 1/22/2047 | | | 33,000 | | | | 41,945 | |
| | |
MSCI, Inc. 5.75%, 8/15/2025 (a) | | | 12,000 | | | | 12,420 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 43 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Capital Markets — continued | |
| | |
Northern Trust Corp. 3.95%, 10/30/2025 | | | 27,000 | | | | 30,370 | |
| | |
State Street Corp. 3.10%, 5/15/2023 | | | 27,000 | | | | 28,320 | |
| | |
TD Ameritrade Holding Corp. 2.75%, 10/1/2029 | | | 18,000 | | | | 18,777 | |
| | | | | | | | |
| | |
| | | | | | | 1,256,451 | |
| | | | | | | | |
|
Chemicals — 0.3% | |
| | |
CF Industries, Inc. 4.95%, 6/1/2043 | | | 30,000 | | | | 31,824 | |
| | |
Chemours Co. (The) | | | | | | | | |
| | |
6.63%, 5/15/2023 | | | 5,000 | | | | 4,817 | |
| | |
7.00%, 5/15/2025 | | | 22,000 | | | | 20,515 | |
| | |
5.38%, 5/15/2027 | | | 9,000 | | | | 7,719 | |
| | |
Ecolab, Inc. 3.25%, 12/1/2027 | | | 20,000 | | | | 22,140 | |
| | |
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (a) | | | 25,000 | | | | 23,758 | |
| | |
Olin Corp. 5.13%, 9/15/2027 | | | 13,000 | | | | 13,100 | |
| | |
PolyOne Corp. 5.25%, 3/15/2023 | | | 12,000 | | | | 12,780 | |
| | |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 (a) | | | 20,000 | | | | 20,700 | |
| | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | | 10,000 | | | | 9,275 | |
| | |
Valvoline, Inc. 4.38%, 8/15/2025 | | | 10,000 | | | | 10,300 | |
| | | | | | | | |
| | |
| | | | | | | 176,928 | |
| | | | | | | | |
|
Commercial Services & Supplies — 0.2% | |
| | |
ACCO Brands Corp. 5.25%, 12/15/2024 (a) | | | 18,000 | | | | 18,502 | |
| | |
ADT Security Corp. (The) 4.13%, 6/15/2023 | | | 26,000 | | | | 26,504 | |
| | |
Aramark Services, Inc. 4.75%, 6/1/2026 | | | 25,000 | | | | 25,875 | |
| | |
Brink’s Co. (The) 4.63%, 10/15/2027 (a) | | | 20,000 | | | | 20,500 | |
| | |
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a) | | | 17,000 | | | | 17,680 | |
| | |
Waste Management, Inc. 3.20%, 6/15/2026 | | | 13,000 | | | | 14,097 | |
| | | | | | | | |
| | |
| | | | | | | 123,158 | |
| | | | | | | | |
|
Communications Equipment — 0.2% | |
| | |
CommScope, Inc. | | | | | | | | |
| | |
5.50%, 6/15/2024 (a) | | | 17,000 | | | | 16,152 | |
| | |
6.00%, 3/1/2026 (a) | | | 32,000 | | | | 32,846 | |
| | |
Nokia OYJ (Finland) 4.38%, 6/12/2027 | | | 13,000 | | | | 13,713 | |
| | |
Plantronics, Inc. 5.50%, 5/31/2023 (a) | | | 20,000 | | | | 18,200 | |
| | | | | | | | |
| | |
| | | | | | | 80,911 | |
| | | | | | | | |
|
Construction & Engineering — 0.1% | |
| | |
AECOM 5.13%, 3/15/2027 | | | 18,000 | | | | 18,599 | |
| | |
MasTec, Inc. 4.88%, 3/15/2023 | | | 15,000 | | | | 15,075 | |
| | | | | | | | |
| | |
| | | | | | | 33,674 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Consumer Finance — 0.5% | |
| | |
Ally Financial, Inc. | | | | | | | | |
| | |
5.75%, 11/20/2025 | | | 29,000 | | | | 32,731 | |
| | |
8.00%, 11/1/2031 | | | 37,000 | | | | 51,221 | |
| | |
Capital One Financial Corp. 3.20%, 1/30/2023 | | | 40,000 | | | | 41,531 | |
| | |
Credit Acceptance Corp. 6.63%, 3/15/2026 (a) | | | 15,000 | | | | 15,750 | |
| | |
Curo Group Holdings Corp. 8.25%, 9/1/2025 (a) | | | 8,000 | | | | 6,780 | |
| | |
John Deere Capital Corp. 2.65%, 6/10/2026 | | | 49,000 | | | | 52,221 | |
| | |
Navient Corp. 5.88%, 10/25/2024 | | | 20,000 | | | | 20,500 | |
| | |
Springleaf Finance Corp. 7.13%, 3/15/2026 | | | 59,000 | | | | 65,490 | |
| | | | | | | | |
| | |
| | | | | | | 286,224 | |
| | | | | | | | |
|
Containers & Packaging — 0.2% | |
| | |
Ball Corp. 5.25%, 7/1/2025 | | | 20,000 | | | | 22,117 | |
| | |
Berry Global, Inc. 4.88%, 7/15/2026 (a) | | | 30,000 | | | | 30,516 | |
| | |
Crown Americas LLC 4.25%, 9/30/2026 | | | 13,000 | | | | 13,381 | |
| | |
Greif, Inc. 6.50%, 3/1/2027 (a) | | | 25,000 | | | | 26,890 | |
| | |
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (a) | | | 25,000 | | | | 24,750 | |
| | |
Sealed Air Corp. 5.50%, 9/15/2025 (a) | | | 12,000 | | | | 13,140 | |
| | | | | | | | |
| | |
| | | | | | | 130,794 | |
| | | | | | | | |
|
Distributors — 0.0%(b) | |
| | |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | | | 11,000 | | | | 11,591 | |
| | | | | | | | |
|
Diversified Consumer Services — 0.0%(b) | |
| | |
Service Corp. International 5.38%, 5/15/2024 | | | 12,000 | | | | 12,225 | |
| | | | | | | | |
|
Diversified Financial Services — 0.5% | |
| | |
ACE Cash Express, Inc. 12.00%, 12/15/2022 (a) | | | 5,000 | | | | 4,037 | |
| | |
AIG Global Funding 1.90%, 10/6/2021 (a) | | | 15,000 | | | | 15,034 | |
| | |
CNG Holdings, Inc. 12.50%, 6/15/2024 (a) | | | 10,000 | | | | 9,450 | |
| | |
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (a) | | | 3,000 | | | | 2,791 | |
| | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
| | |
3.25%, 11/1/2025 | | | 40,000 | | | | 43,516 | |
| | |
3.40%, 2/7/2028 | | | 24,000 | | | | 26,933 | |
| | |
4.40%, 11/1/2048 | | | 23,000 | | | | 29,391 | |
| | |
ORIX Corp. (Japan) 4.05%, 1/16/2024 | | | 17,000 | | | | 18,482 | |
| | |
Shell International Finance BV (Netherlands) | | | | | | | | |
| | |
3.25%, 5/11/2025 | | | 71,000 | | | | 76,511 | |
| | |
3.75%, 9/12/2046 | | | 22,000 | | | | 25,028 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 44 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Diversified Financial Services — continued | |
| | |
3.13%, 11/7/2049 | | | 25,000 | | | | 25,721 | |
| | | | | | | | |
| | |
| | | | | | | 276,894 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 1.0% | |
| | |
AT&T, Inc. 4.75%, 5/15/2046 | | | 20,000 | | | | 23,581 | |
| | |
CCO Holdings LLC | | | | | | | | |
| | |
5.75%, 2/15/2026 (a) | | | 114,000 | | | | 118,526 | |
| | |
5.13%, 5/1/2027 (a) | | | 25,000 | | | | 25,992 | |
| | |
5.00%, 2/1/2028 (a) | | | 40,000 | | | | 41,600 | |
| | |
CenturyLink, Inc. | | | | | | | | |
| | |
Series T, 5.80%, 3/15/2022 | | | 12,000 | | | | 12,585 | |
| | |
5.63%, 4/1/2025 | | | 17,000 | | | | 17,722 | |
| | |
4.00%, 2/15/2027 (a) | | | 15,000 | | | | 15,074 | |
| | |
Series G, 6.88%, 1/15/2028 | | | 3,000 | | | | 3,330 | |
| | |
Cincinnati Bell, Inc. 8.00%, 10/15/2025 (a) | | | 4,000 | | | | 4,298 | |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | | 13,000 | | | | 13,845 | |
| | |
Frontier Communications Corp. 6.88%, 1/15/2025 | | | 35,000 | | | | 16,713 | |
| | |
Intelsat Jackson Holdings SA (Luxembourg) 8.50%, 10/15/2024 (a) | | | 28,000 | | | | 24,500 | |
| | |
Level 3 Financing, Inc. 5.25%, 3/15/2026 | | | 54,000 | | | | 55,755 | |
| | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | | 57,000 | | | | 79,230 | |
| | |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | | | 24,000 | | | | 26,700 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
3.85%, 11/1/2042 | | | 25,000 | | | | 28,323 | |
| | |
4.67%, 3/15/2055 | | | 14,000 | | | | 18,595 | |
| | |
Windstream Services LLC 8.63%, 10/31/2025 (a)(d) | | | 15,000 | | | | 13,662 | |
| | | | | | | | |
| | |
| | | | | | | 540,031 | |
| | | | | | | | |
|
Electric Utilities — 1.2% | |
| | |
Alabama Power Co. | | | | | | | | |
| | |
Series13-A, 3.55%, 12/1/2023 | | | 27,000 | | | | 28,983 | |
| | |
Arizona Public Service Co. 3.15%, 5/15/2025 | | | 21,000 | | | | 22,473 | |
| | |
Connecticut Light & Power Co. (The) 4.00%, 4/1/2048 | | | 15,000 | | | | 18,953 | |
| | |
Duke Energy Carolinas LLC 3.20%, 8/15/2049 | | | 15,000 | | | | 16,055 | |
| | |
Duke Energy Indiana LLC | | | | | | | | |
| | |
Series YYY, 3.25%, 10/1/2049 | | | 24,000 | | | | 25,668 | |
| | |
Edison International 5.75%, 6/15/2027 | | | 75,000 | | | | 88,700 | |
| | |
Entergy Louisiana LLC | | | | | | | | |
| | |
2.40%, 10/1/2026 | | | 27,000 | | | | 28,228 | |
| | |
3.05%, 6/1/2031 | | | 50,000 | | | | 54,860 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Electric Utilities — continued | |
| | |
Indiana Michigan Power Co. | | | | | | | | |
| | |
Series K, 4.55%, 3/15/2046 | | | 18,000 | | | | 23,081 | |
| | |
Kentucky Utilities Co. 5.13%, 11/1/2040 | | | 23,000 | | | | 30,738 | |
| | |
Monongahela Power Co. 4.10%, 4/15/2024 (a) | | | 81,000 | | | | 88,874 | |
| | |
Public Service Electric & Gas Co. 3.00%, 5/15/2027 | | | 20,000 | | | | 21,611 | |
| | |
Southern California Edison Co. | | | | | | | | |
| | |
Series C, 3.60%, 2/1/2045 | | | 15,000 | | | | 15,715 | |
| | |
Series C, 4.13%, 3/1/2048 | | | 24,000 | | | | 27,542 | |
| | |
Southwestern Public Service Co. | | | | | | | | |
| | |
3.30%, 6/15/2024 | | | 20,000 | | | | 21,285 | |
| | |
4.50%, 8/15/2041 | | | 24,000 | | | | 30,747 | |
| | |
Tucson Electric Power Co. | | | | | | | | |
| | |
3.05%, 3/15/2025 | | | 18,000 | | | | 19,233 | |
| | |
4.85%, 12/1/2048 | | | 27,000 | | | | 36,415 | |
| | |
Vistra Operations Co. LLC 5.50%, 9/1/2026 (a) | | | 19,000 | | | | 19,220 | |
| | |
Wisconsin Public Service Corp. 4.75%, 11/1/2044 | | | 27,000 | | | | 35,871 | |
| | | | | | | | |
| | |
| | | | | | | 654,252 | |
| | | | | | | | |
|
Electrical Equipment — 0.1% | |
| | |
EnerSys 5.00%, 4/30/2023 (a) | | | 26,000 | | | | 27,213 | |
| | |
Sensata Technologies BV 5.00%, 10/1/2025 (a) | | | 15,000 | | | | 15,789 | |
| | | | | | | | |
| | |
| | | | | | | 43,002 | |
| | | | | | | | |
|
Electronic Equipment, Instruments & Components — 0.0%(b) | |
| | |
CDW LLC 5.00%, 9/1/2025 | | | 12,000 | | | | 12,364 | |
| | | | | | | | |
|
Energy Equipment & Services — 0.3% | |
| | |
Baker Hughes a GE Co. LLC 4.08%, 12/15/2047 | | | 10,000 | | | | 10,587 | |
| | |
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | | | 20,000 | | | | 18,350 | |
| | |
Nabors Industries, Inc. 5.75%, 2/1/2025 | | | 15,000 | | | | 10,762 | |
| | |
Noble Holding International Ltd. 6.20%, 8/1/2040 | | | 5,000 | | | | 1,400 | |
| | |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | | | 83,000 | | | | 89,421 | |
| | |
Transocean Pontus Ltd. 6.13%, 8/1/2025 (a) | | | 18,370 | | | | 18,554 | |
| | | | | | | | |
| | |
| | | | | | | 149,074 | |
| | | | | | | | |
|
Entertainment — 0.3% | |
| | |
Live Nation Entertainment, Inc. | | | | | | | | |
| | |
5.63%, 3/15/2026 (a) | | | 2,000 | | | | 2,055 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 45 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Entertainment — continued | |
| | |
4.75%, 10/15/2027 (a) | | | 40,000 | | | | 40,200 | |
| | |
NBCUniversal Media LLC 2.88%, 1/15/2023 | | | 62,000 | | | | 64,710 | |
| | |
Netflix, Inc. 4.88%, 6/15/2030 (a) | | | 55,000 | | | | 57,959 | |
| | | | | | | | |
| | |
| | | | | | | 164,924 | |
| | | | | | | | |
|
Equity Real Estate Investment Trusts (REITs) — 0.6% | |
| | |
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | | | 9,000 | | | | 9,923 | |
| | |
Brookfield Property REIT, Inc. 5.75%, 5/15/2026 (a) | | | 24,000 | | | | 23,730 | |
| | |
ERP Operating LP 3.25%, 8/1/2027 | | | 11,000 | | | | 11,858 | |
| | |
ESH Hospitality, Inc. 4.63%, 10/1/2027 (a) | | | 20,000 | | | | 19,500 | |
| | |
GLP Capital LP 4.00%, 1/15/2030 | | | 10,000 | | | | 10,625 | |
| | |
Healthpeak Properties, Inc. 3.00%, 1/15/2030 | | | 9,000 | | | | 9,461 | |
| | |
Iron Mountain, Inc. 5.75%, 8/15/2024 | | | 18,000 | | | | 18,135 | |
| | |
MGM Growth Properties Operating Partnership LP 5.63%, 5/1/2024 | | | 12,000 | | | | 12,990 | |
| | |
National Retail Properties, Inc. 3.60%, 12/15/2026 | | | 9,000 | | | | 9,883 | |
| | |
Realty Income Corp. 4.13%, 10/15/2026 | | | 17,000 | | | | 19,474 | |
| | |
Ryman Hospitality Properties, Inc. 4.75%, 10/15/2027 (a) | | | 25,000 | | | | 25,344 | |
| | |
Simon Property Group LP | | | | | | | | |
| | |
2.75%, 6/1/2023 | | | 65,000 | | | | 67,283 | |
| | |
3.25%, 9/13/2049 | | | 23,000 | | | | 24,042 | |
| | |
VICI Properties LP | | | | | | | | |
| | |
4.25%, 12/1/2026 (a) | | | 30,000 | | | | 30,303 | |
| | |
4.63%, 12/1/2029 (a) | | | 20,000 | | | | 20,650 | |
| | | | | | | | |
| | |
| | | | | | | 313,201 | |
| | | | | | | | |
|
Food & Staples Retailing — 0.1% | |
| | |
Albertsons Cos., Inc. | | | | | | | | |
| | |
6.63%, 6/15/2024 | | | 18,000 | | | | 18,495 | |
| | |
4.63%, 1/15/2027 (a) | | | 20,000 | | | | 19,700 | |
| | |
New Albertsons LP 8.00%, 5/1/2031 | | | 10,000 | | | | 10,750 | |
| | |
Rite Aid Corp. 6.13%, 4/1/2023 (a) | | | 10,000 | | | | 9,163 | |
| | |
Walmart, Inc. 3.63%, 12/15/2047 | | | 15,000 | | | | 17,906 | |
| | | | | | | | |
| | |
| | | | | | | 76,014 | |
| | | | | | | | |
|
Food Products — 0.3% | |
| | |
JBS USA LUX SA 5.75%, 6/15/2025 (a) | | | 50,000 | | | | 51,312 | |
| | |
Lamb Weston Holdings, Inc. 4.88%, 11/1/2026(a) | | | 15,000 | | | | 15,563 | |
| | |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | | | 22,000 | | | | 24,719 | |
| | |
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (a) | | | 16,000 | | | | 16,315 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Food Products — continued | |
| | |
Post Holdings, Inc. 5.50%, 12/15/2029 (a) | | | 25,000 | | | | 25,938 | |
| | | | | | | | |
| | |
| | | | | | | 133,847 | |
| | | | | | | | |
|
Gas Utilities — 0.2% | |
| | |
AmeriGas Partners LP 5.50%, 5/20/2025 | | | 23,000 | | | | 23,403 | |
| | |
Atmos Energy Corp. 5.50%, 6/15/2041 | | | 13,000 | | | | 17,678 | |
| | |
Boston Gas Co. 3.00%, 8/1/2029 (a) | | | 11,000 | | | | 11,787 | |
| | |
Brooklyn Union Gas Co. (The) 3.87%, 3/4/2029 (a) | | | 10,000 | | | | 11,184 | |
| | |
Southern California Gas Co. | | | | | | | | |
| | |
Series XX, 2.55%, 2/1/2030 | | | 14,000 | | | | 14,769 | |
| | | | | | | | |
| | |
| | | | | | | 78,821 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.1% | |
| | |
Abbott Laboratories 4.90%, 11/30/2046 | | | 10,000 | | | | 13,879 | |
| | |
Boston Scientific Corp. 4.70%, 3/1/2049 | | | 15,000 | | | | 19,574 | |
| | |
Teleflex, Inc. 4.63%, 11/15/2027 | | | 20,000 | | | | 20,988 | |
| | | | | | | | |
| | |
| | | | | | | 54,441 | |
| | | | | | | | |
|
Health Care Providers & Services — 1.4% | |
| | |
Centene Corp. | | | | | | | | |
| | |
5.25%, 4/1/2025 (a) | | | 24,000 | | | | 24,690 | |
| | |
5.38%, 6/1/2026 (a) | | | 29,000 | | | | 30,522 | |
| | |
4.63%, 12/15/2029 (a) | | | 20,000 | | | | 21,400 | |
| | |
Community Health Systems, Inc. | | | | | | | | |
| | |
6.25%, 3/31/2023 | | | 25,000 | | | | 25,047 | |
| | |
8.00%, 3/15/2026 (a) | | | 16,000 | | | | 16,523 | |
| | |
CVS Health Corp. 2.88%, 6/1/2026 | | | 20,000 | | | | 20,737 | |
| | |
DaVita, Inc. 5.00%, 5/1/2025 | | | 40,000 | | | | 40,590 | |
| | |
Encompass Health Corp. 4.50%, 2/1/2028 | | | 15,000 | | | | 15,170 | |
| | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | | | 10,000 | | | | 5,293 | |
| | |
HCA, Inc. | | | | | | | | |
| | |
5.25%, 6/15/2026 | | | 49,000 | | | | 56,048 | |
| | |
5.38%, 9/1/2026 | | | 155,000 | | | | 172,403 | |
| | |
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (a) (e) | | | 5,000 | | | | 4,251 | |
| | |
Team Health Holdings, Inc. 6.38%, 2/1/2025 (a) | | | 23,000 | | | | 12,650 | |
| | |
Tenet Healthcare Corp. | | | | | | | | |
| | |
4.63%, 9/1/2024 (a) | | | 55,000 | | | | 55,894 | |
| | |
4.88%, 1/1/2026 (a) | | | 20,000 | | | | 20,375 | |
| | |
5.13%, 11/1/2027 (a) | | | 10,000 | | | | 10,387 | |
| | |
UnitedHealth Group, Inc. | | | | | | | | |
| | |
3.88%, 10/15/2020 | | | 100,000 | | | | 100,804 | |
| | |
3.38%, 4/15/2027 | | | 40,000 | | | | 43,548 | |
| | |
4.63%, 11/15/2041 | | | 51,000 | | | | 63,493 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 46 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Health Care Providers & Services — continued | |
| | |
3.70%, 8/15/2049 | | | 10,000 | | | | 11,233 | |
| | | | | | | | |
| | |
| | | | | | | 751,058 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — 0.6% | |
| | |
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | | | 17,000 | | | | 16,894 | |
| | |
Boyne USA, Inc. 7.25%, 5/1/2025 (a) | | | 19,000 | | | | 20,330 | |
| | |
CCM Merger, Inc. 6.00%, 3/15/2022 (a) | | | 10,000 | | | | 10,100 | |
| | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a) | | | 14,000 | | | | 14,140 | |
| | |
Enterprise Development Authority (The) 12.00%, 7/15/2024 (a) | | | 7,000 | | | | 8,015 | |
| | |
Hilton Domestic Operating Co., Inc. 5.13%, 5/1/2026 | | | 24,000 | | | | 24,638 | |
| | |
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | | | 20,000 | | | | 21,400 | |
| | |
Marriott Ownership Resorts, Inc. 6.50%, 9/15/2026 | | | 20,000 | | | | 21,500 | |
| | |
MGM Resorts International 5.50%, 4/15/2027 | | | 62,000 | | | | 66,941 | |
| | |
Scientific Games International, Inc. 5.00%, 10/15/2025 (a) | | | 16,000 | | | | 16,050 | |
| | |
Station Casinos LLC 5.00%, 10/1/2025 (a) | | | 25,000 | | | | 25,125 | |
| | |
Wyndham Destinations, Inc. 5.40%, 4/1/2024 (d) | | | 25,000 | | | | 26,813 | |
| | |
Wynn Las Vegas LLC 5.50%, 3/1/2025(a) | | | 25,000 | | | | 24,531 | |
| | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | | | 15,000 | | | | 14,494 | |
| | | | | | | | |
| | |
| | | | | | | 310,971 | |
| | | | | | | | |
|
Household Durables — 0.1% | |
| | |
Lennar Corp. 4.75%, 5/30/2025 | | | 30,000 | | | | 32,419 | |
| | |
Newell Brands, Inc. 5.38%, 4/1/2036 (d) | | | 20,000 | | | | 22,284 | |
| | |
Toll Brothers Finance Corp. 4.88%, 11/15/2025 | | | 13,000 | | | | 14,203 | |
| | | | | | | | |
| | |
| | | | | | | 68,906 | |
| | | | | | | | |
|
Household Products — 0.1% | |
| | |
Central Garden & Pet Co. 5.13%, 2/1/2028 | | | 20,000 | | | | 20,850 | |
| | |
Energizer Holdings, Inc. 6.38%, 7/15/2026 (a) | | | 15,000 | | | | 15,559 | |
| | |
Kimberly-Clark Corp. 3.20%, 4/25/2029 | | | 13,000 | | | | 14,566 | |
| | |
Spectrum Brands, Inc. 5.75%, 7/15/2025 | | | 25,000 | | | | 25,625 | |
| | | | | | | | |
| | |
| | | | | | | 76,600 | |
| | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.1% | |
| | |
AES Corp. 5.50%, 4/15/2025 | | | 24,000 | | | | 24,550 | |
| | |
Calpine Corp. 5.25%, 6/1/2026 (a) | | | 10,000 | | | | 9,914 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Independent Power and Renewable Electricity Producers — continued | |
| | |
NRG Energy, Inc. 6.63%, 1/15/2027 | | | 39,000 | | | | 40,662 | |
| | | | | | | | |
| | |
| | | | | | | 75,126 | |
| | | | | | | | |
|
Industrial Conglomerates — 0.1% | |
| | |
General Electric Co. | | | | | | | | |
| | |
4.38%, 9/16/2020 | | | 45,000 | | | | 45,583 | |
| | |
4.13%, 10/9/2042 | | | 30,000 | | | | 32,055 | |
| | | | | | | | |
| | |
| | | | | | | 77,638 | |
| | | | | | | | |
|
Insurance — 0.5% | |
| | |
Aflac, Inc. 3.25%, 3/17/2025 | | | 10,000 | | | | 10,745 | |
| | |
Allstate Corp. (The) 5.35%, 6/1/2033 | | | 10,000 | | | | 13,561 | |
| | |
Athene Global Funding 2.95%, 11/12/2026 (a) | | | 16,000 | | | | 16,851 | |
| | |
Berkshire Hathaway Finance Corp. 4.25%, 1/15/2049 | | | 14,000 | | | | 17,505 | |
| | |
Jackson National Life Global Funding 2.50%, 6/27/2022 (a) | | | 27,000 | | | | 27,477 | |
| | |
Lincoln National Corp. 3.35%, 3/9/2025 | | | 9,000 | | | | 9,636 | |
| | |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | | | 18,000 | | | | 20,453 | |
| | |
MetLife, Inc. 4.13%, 8/13/2042 | | | 33,000 | | | | 39,469 | |
| | |
New York Life Global Funding 3.00%, 1/10/2028 (a) | | | 20,000 | | | | 22,026 | |
| | |
Pacific Life Insurance Co. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c) | | | 9,000 | | | | 10,100 | |
| | |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | | | 13,000 | | | | 14,790 | |
| | |
Progressive Corp. (The) 4.35%, 4/25/2044 | | | 7,000 | | | | 8,760 | |
| | |
Prudential Financial, Inc. 3.88%, 3/27/2028 | | | 18,000 | | | | 20,329 | |
| | |
Reliance Standard Life Global Funding II 2.75%, 1/21/2027 (a) | | | 14,000 | | | | 14,618 | |
| | |
Travelers Cos., Inc. (The) 5.35%, 11/1/2040 | | | 15,000 | | | | 21,002 | |
| | | | | | | | |
| | |
| | | | | | | 267,322 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.2% | |
| | |
Amazon.com, Inc. 3.15%, 8/22/2027 | | | 82,000 | | | | 89,846 | |
| | |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | | | 8,000 | | | | 7,580 | |
| | | | | | | | |
| | |
| | | | | | | 97,426 | |
| | | | | | | | |
|
IT Services — 0.3% | |
| | |
International Business Machines Corp. | | | | | | | | |
| | |
3.30%, 5/15/2026 | | | 100,000 | | | | 109,286 | |
| | |
5.60%, 11/30/2039 | | | 26,000 | | | | 36,805 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 47 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
IT Services — continued | |
| | |
Zayo Group LLC 6.38%, 5/15/2025 | | | 25,000 | | | | 25,563 | |
| | | | | | | | |
| | |
| | | | | | | 171,654 | |
| | | | | | | | |
|
Leisure Products — 0.0%(b) | |
| | |
Mattel, Inc. 6.75%, 12/31/2025 (a) | | | 23,000 | | | | 24,172 | |
| | | | | | | | |
|
Machinery — 0.2% | |
| | |
ATS Automation Tooling Systems, Inc. (Canada) 6.50%, 6/15/2023 (a) | | | 15,000 | | | | 15,262 | |
| | |
Colfax Corp. 6.00%, 2/15/2024 (a) | | | 5,000 | | | | 5,183 | |
| | |
Otis Worldwide Corp. 3.36%, 2/15/2050 (a) | | | 15,000 | | | | 15,537 | |
| | |
Parker-Hannifin Corp. 3.25%, 3/1/2027 | | | 41,000 | | | | 44,187 | |
| | |
Tennant Co. 5.63%, 5/1/2025 | | | 10,000 | | | | 10,400 | |
| | | | | | | | |
| | |
| | | | | | | 90,569 | |
| | | | | | | | |
|
Media — 1.8% | |
| | |
AMC Networks, Inc. 5.00%, 4/1/2024 | | | 12,000 | | | | 12,060 | |
| | |
Charter Communications Operating LLC 4.80%, 3/1/2050 | | | 20,000 | | | | 21,539 | |
| | |
Cinemark USA, Inc. 4.88%, 6/1/2023 | | | 15,000 | | | | 14,933 | |
| | |
Clear Channel Worldwide Holdings, Inc. 5.13%, 8/15/2027 (a) | | | 47,000 | | | | 47,117 | |
| | |
Comcast Corp. | | | | | | | | |
| | |
3.38%, 8/15/2025 | | | 20,000 | | | | 21,750 | |
| | |
2.35%, 1/15/2027 | | | 100,000 | | | | 103,359 | |
| | |
3.90%, 3/1/2038 | | | 20,000 | | | | 23,336 | |
| | |
3.25%, 11/1/2039 | | | 38,000 | | | | 41,095 | |
| | |
4.75%, 3/1/2044 | | | 82,000 | | | | 106,043 | |
| | |
3.40%, 7/15/2046 | | | 15,000 | | | | 16,143 | |
| | |
4.00%, 3/1/2048 | | | 20,000 | | | | 23,706 | |
| | |
Diamond Sports Group LLC 5.38%, 8/15/2026 (a) | | | 10,000 | | | | 9,220 | |
| | |
DISH DBS Corp. | | | | | | | | |
| | |
6.75%, 6/1/2021 | | | 20,000 | | | | 20,710 | |
| | |
5.88%, 11/15/2024 | | | 66,000 | | | | 67,698 | |
| | |
iHeartCommunications, Inc. 6.38%, 5/1/2026 | | | 25,000 | | | | 26,867 | |
| | |
8.38%, 5/1/2027 | | | 5,000 | | | | 5,430 | |
| | |
Lamar Media Corp. | | | | | | | | |
| | |
5.75%, 2/1/2026 | | | 24,000 | | | | 24,961 | |
| | |
3.75%, 2/15/2028 (a) | | | 175,000 | | | | 175,490 | |
| | |
Midcontinent Communications 5.38%, 8/15/2027 (a) | | | 10,000 | | | | 10,525 | |
| | |
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027 (a) | | | 40,000 | | | | 41,402 | |
| | |
Outfront Media Capital LLC 5.00%, 8/15/2027 (a) | | | 21,000 | | | | 21,631 | |
| | |
Sirius XM Radio, Inc. | | | | | | | | |
| | |
5.38%, 7/15/2026 (a) | | | 30,000 | | | | 31,044 | |
| | |
5.00%, 8/1/2027 (a) | | | 30,000 | | | | 31,388 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Media — continued | |
| | |
ViacomCBS, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (c) | | | 41,000 | | | | 41,820 | |
| | |
Videotron Ltd. (Canada)
5.38%, 6/15/2024 (a) | | | 12,000 | | | | 12,812 | |
| | |
5.13%, 4/15/2027 (a) | | | 25,000 | | | | 26,218 | |
| | |
WMG Acquisition Corp.
4.88%, 11/1/2024 (a) | | | 13,000 | | | | 13,358 | |
| | | | | | | | |
| | |
| | | | | | | 991,655 | |
| | | | | | | | |
|
Metals & Mining — 0.3% | |
| | |
Arconic Rolled Products Corp. | | | | | | | | |
| | |
6.13%, 2/15/2028 (a) | | | 35,000 | | | | 36,050 | |
| | |
Commercial Metals Co. 4.88%, 5/15/2023 | | | 28,000 | | | | 28,930 | |
| | |
Freeport-McMoRan, Inc. | | | | | | | | |
| | |
3.88%, 3/15/2023 | | | 31,000 | | | | 31,165 | |
| | |
5.45%, 3/15/2043 | | | 30,000 | | | | 29,100 | |
| | |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | | | 10,000 | | | | 9,900 | |
| | |
Rio Tinto Finance USA Ltd. (Australia) 7.13%, 7/15/2028 | | | 19,000 | | | | 26,396 | |
| | |
Steel Dynamics, Inc. 4.13%, 9/15/2025 | | | 13,000 | | | | 13,348 | |
| | | | | | | | |
| | |
| | | | | | | 174,889 | |
| | | | | | | | |
|
Multiline Retail — 0.0%(b) | |
| | |
Neiman Marcus Group Ltd. LLC 14.00% (Blend (cash 8.00% + PIK 6.00%)), 4/25/2024 (a) (e) | | | 13,943 | | | | 6,930 | |
| | |
8.00%, 10/25/2024 (a) | | | 21,000 | | | | 5,985 | |
| | | | | | | | |
| | |
| | | | | | | 12,915 | |
| | | | | | | | |
|
Multi-Utilities — 0.3% | |
| | |
Berkshire Hathaway Energy Co. | | | | | | | | |
| | |
3.25%, 4/15/2028 | | | 23,000 | | | | 24,936 | |
| | |
5.15%, 11/15/2043 | | | 27,000 | | | | 36,072 | |
| | |
3.80%, 7/15/2048 | | | 15,000 | | | | 17,223 | |
| | |
Consolidated Edison Co. of New York, Inc. | | | | | | | | |
| | |
Series A, 4.13%, 5/15/2049 | | | 21,000 | | | | 24,697 | |
| | |
Puget Sound Energy, Inc. 5.76%, 7/15/2040 | | | 26,000 | | | | 36,019 | |
| | | | | | | | |
| | |
| | | | | | | 138,947 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 1.7% | |
| | |
Antero Midstream Partners LP 5.75%, 3/1/2027 (a) | | | 8,000 | | | | 5,440 | |
| | |
Antero Resources Corp. 5.13%, 12/1/2022 | | | 13,000 | | | | 8,093 | |
| | |
Blue Racer Midstream LLC 6.13%, 11/15/2022 (a) | | | 19,000 | | | | 17,371 | |
| | |
BP Capital Markets America, Inc. | | | | | | | | |
| | |
3.02%, 1/16/2027 | | | 28,000 | | | | 29,730 | |
| | |
4.23%, 11/6/2028 | | | 50,000 | | | | 57,838 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 48 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
3.00%, 2/24/2050 | | | 35,000 | | | | 34,549 | |
| | |
Buckeye Partners LP | | | | | | | | |
| | |
3.95%, 12/1/2026 | | | 10,000 | | | | 9,500 | |
| | |
4.13%, 12/1/2027 | | | 15,000 | | | | 14,471 | |
| | |
Cheniere Energy Partners LP 5.25%, 10/1/2025 | | | 12,000 | | | | 12,030 | |
| | |
Chesapeake Energy Corp. 11.50%, 1/1/2025 (a) | | | 15,000 | | | | 8,963 | |
| | |
Comstock Resources, Inc. 7.50%, 5/15/2025 (a) | | | 10,000 | | | | 7,372 | |
| | |
DCP Midstream Operating LP | | | | | | | | |
| | |
5.38%, 7/15/2025 | | | 20,000 | | | | 20,950 | |
| | |
EnLink Midstream Partners LP | | | | | | | | |
| | |
4.40%, 4/1/2024 | | | 8,000 | | | | 7,302 | |
| | |
5.60%, 4/1/2044 | | | 9,000 | | | | 6,921 | |
| | |
EP Energy LLC | | | | | | | | |
| | |
9.38%, 5/1/2024 (a) (f) | | | 10,000 | | | | 200 | |
| | |
8.00%, 11/29/2024 (a) (f) | | | 17,000 | | | | 6,970 | |
| | |
7.75%, 5/15/2026 (a) (f) | | | 25,000 | | | | 14,750 | |
| | |
Exxon Mobil Corp. 3.10%, 8/16/2049 | | | 35,000 | | | | 36,148 | |
| | |
Gulfport Energy Corp. | | | | | | | | |
| | |
6.63%, 5/1/2023 | | | 5,000 | | | | 2,612 | |
| | |
6.00%, 10/15/2024 | | | 5,000 | | | | 1,663 | |
| | |
Hilcorp Energy I LP 5.00%, 12/1/2024 (a) | | | 26,000 | | | | 20,540 | |
| | |
MEG Energy Corp. (Canada) | | | | | | | | |
| | |
6.50%, 1/15/2025 (a) | | | 8,000 | | | | 7,880 | |
| | |
7.13%, 2/1/2027 (a) | | | 5,000 | | | | 4,750 | |
| | |
NGPL PipeCo LLC 4.38%, 8/15/2022 (a) | | | 5,000 | | | | 5,223 | |
| | |
Noble Energy, Inc. 3.85%, 1/15/2028 | | | 95,000 | | | | 98,337 | |
| | |
NuStar Logistics LP 5.63%, 4/28/2027 | | | 20,000 | | | | 20,404 | |
| | |
Oasis Petroleum, Inc. 6.25%, 5/1/2026 (a) | | | 10,000 | | | | 6,150 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
2.60%, 4/15/2022 | | | 46,000 | | | | 46,829 | |
| | |
4.40%, 4/15/2046 | | | 31,000 | | | | 28,089 | |
| | |
Parsley Energy LLC | | | | | | | | |
| | |
5.38%, 1/15/2025 (a) | | | 10,000 | | | | 10,000 | |
| | |
5.25%, 8/15/2025 (a) | | | 5,000 | | | | 4,950 | |
| | |
PBF Holding Co. LLC 6.00%, 2/15/2028 (a) | | | 20,000 | | | | 19,750 | |
| | |
QEP Resources, Inc. 5.63%, 3/1/2026 | | | 23,000 | | | | 18,400 | |
| | |
Range Resources Corp. | | | | | | | | |
| | |
5.00%, 8/15/2022 | | | 6,000 | | | | 4,920 | |
| | |
4.88%, 5/15/2025 | | | 5,000 | | | | 3,161 | |
| | |
SM Energy Co. 6.13%, 11/15/2022 | | | 13,000 | | | | 11,700 | |
| | |
Southwestern Energy Co. 7.50%, 4/1/2026 | | | 15,000 | | | | 11,438 | |
| | |
Spectra Energy Partners LP 4.50%, 3/15/2045 | | | 15,000 | | | | 16,762 | |
| | |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | | | 15,000 | | | | 21,897 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
Sunoco Logistics Partners Operations LP 5.35%, 5/15/2045 | | | 20,000 | | | | 20,648 | |
| | |
Sunoco LP 5.50%, 2/15/2026 | | | 22,000 | | | | 22,332 | |
| | |
Tallgrass Energy Partners LP 5.50%, 9/15/2024 (a) | | | 12,000 | | | | 11,131 | |
| | |
Targa Resources Partners LP | | | | | | | | |
| | |
5.13%, 2/1/2025 | | | 33,000 | | | | 33,124 | |
| | |
6.88%, 1/15/2029 | | | 25,000 | | | | 26,969 | |
| | |
Total Capital International SA (France) 3.46%, 2/19/2029 | | | 15,000 | | | | 16,596 | |
| | |
3.46%, 7/12/2049 | | | 31,000 | | | | 33,937 | |
| | |
TransCanada PipeLines Ltd. (Canada) | | | | | | | | |
| | |
3.75%, 10/16/2023 | | | 41,000 | | | | 43,715 | |
| | |
5.10%, 3/15/2049 | | | 22,000 | | | | 27,422 | |
| | |
Ultra Resources, Inc. 11.00% (Blend (cash 9.00% + PIK 2.00%)), 7/12/2024 (e) | | | 25,535 | | | | 2,999 | |
| | |
WPX Energy, Inc. 5.75%, 6/1/2026 | | | 25,000 | | | | 24,805 | |
| | | | | | | | |
| | |
| | | | | | | 927,731 | |
| | | | | | | | |
|
Pharmaceuticals — 0.9% | |
| | |
Advanz Pharma Corp. Ltd. (Canada) 8.00%, 9/6/2024 | | | 23,000 | | | | 21,390 | |
| | |
Bausch Health Americas, Inc. | | | | | | | | |
| | |
9.25%, 4/1/2026 (a) | | | 8,000 | | | | 8,939 | |
| | |
8.50%, 1/31/2027 (a) | | | 8,000 | | | | 8,778 | |
| | |
Bausch Health Cos., Inc. | | | | | | | | |
| | |
7.00%, 3/15/2024 (a) | | | 55,000 | | | | 56,627 | |
| | |
5.50%, 11/1/2025 (a) | | | 55,000 | | | | 56,627 | |
| | |
Bristol-Myers Squibb Co. | | | | | | | | |
| | |
2.90%, 7/26/2024 (a) | | | 35,000 | | | | 36,879 | |
| | |
3.40%, 7/26/2029 (a) | | | 40,000 | | | | 44,810 | |
| | |
4.13%, 6/15/2039 (a) | | | 50,000 | | | | 60,805 | |
| | |
5.00%, 8/15/2045 (a) | | | 18,000 | | | | 24,544 | |
| | |
4.25%, 10/26/2049 (a) | | | 15,000 | | | | 19,295 | |
| | |
Eli Lilly & Co. 4.15%, 3/15/2059 | | | 18,000 | | | | 22,571 | |
| | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) | | | 10,000 | | | | 10,560 | |
| | |
Pfizer, Inc. 3.60%, 9/15/2028 | | | 81,000 | | | | 92,103 | |
| | | | | | | | |
| | |
| | | | | | | 463,928 | |
| | | | | | | | |
|
Professional Services — 0.1% | |
| | |
AMN Healthcare, Inc. 5.13%, 10/1/2024 (a) | | | 35,000 | | | | 35,875 | |
| | | | | | | | |
|
Road & Rail — 0.2% | |
| | |
Avis Budget Car Rental LLC 5.25%, 3/15/2025 (a) | | | 11,000 | | | | 11,087 | |
| | |
Burlington Northern Santa Fe LLC | | | | | | | | |
| | |
4.70%, 9/1/2045 | | | 15,000 | | | | 19,204 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 49 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Road & Rail — continued | |
| | |
3.55%, 2/15/2050 | | | 18,000 | | | | 20,309 | |
| | |
DAE Funding LLC (United Arab Emirates) 5.75%, 11/15/2023 (a) | | | 15,000 | | | | 15,448 | |
| | |
Union Pacific Corp. 3.25%, 2/5/2050 | | | 25,000 | | | | 25,749 | |
| | | | | | | | |
| | |
| | | | | | | 91,797 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.0%(b) | |
| | |
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | | | 7,000 | | | | 7,560 | |
| | | | | | | | |
|
Software — 0.4% | |
| | |
Microsoft Corp. | | | | | | | | |
| | |
3.50%, 2/12/2035 | | | 20,000 | | | | 23,316 | |
| | |
4.00%, 2/12/2055 | | | 16,000 | | | | 20,270 | |
| | |
Nuance Communications, Inc. 5.63%, 12/15/2026 | | | 13,000 | | | | 13,715 | |
| | |
Open Text Corp. (Canada) 5.88%, 6/1/2026 (a) | | | 14,000 | | | | 14,823 | |
| | |
Oracle Corp. | | | | | | | | |
| | |
2.65%, 7/15/2026 | | | 108,000 | | | | 114,022 | |
| | |
4.38%, 5/15/2055 | | | 22,000 | | | | 28,069 | |
| | | | | | | | |
| | |
| | | | | | | 214,215 | |
| | | | | | | | |
|
Specialty Retail — 0.6% | |
| | |
Group 1 Automotive, Inc. 5.25%, 12/15/2023 (a) | | | 16,000 | | | | 16,147 | |
| | |
Home Depot, Inc. (The) | | | | | | | | |
| | |
3.90%, 12/6/2028 | | | 47,000 | | | | 54,019 | |
| | |
5.95%, 4/1/2041 | | | 40,000 | | | | 58,536 | |
| | |
3.13%, 12/15/2049 | | | 25,000 | | | | 26,552 | |
| | |
3.50%, 9/15/2056 | | | 20,000 | | | | 22,648 | |
| | |
L Brands, Inc. | | | | | | | | |
| | |
5.63%, 10/15/2023 | | | 10,000 | | | | 10,775 | |
| | |
6.88%, 11/1/2035 | | | 15,000 | | | | 15,225 | |
| | |
Lowe’s Cos., Inc. 4.05%, 5/3/2047 | | | 25,000 | | | | 28,166 | |
| | |
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | | | 25,000 | | | | 25,937 | |
| | |
PetSmart, Inc. 7.13%, 3/15/2023 (a) | | | 19,000 | | | | 18,572 | |
| | |
Staples, Inc. | | | | | | | | |
| | |
7.50%, 4/15/2026 (a) | | | 25,000 | | | | 24,836 | |
| | |
10.75%, 4/15/2027 (a) | | | 13,000 | | | | 12,444 | |
| | | | | | | | |
| | |
| | | | | | | 313,857 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 0.4% | |
| | |
Apple, Inc. | | | | | | | | |
| | |
3.35%, 2/9/2027 | | | 35,000 | | | | 38,496 | |
| | |
3.45%, 2/9/2045 | | | 15,000 | | | | 16,975 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Technology Hardware, Storage & Peripherals — continued | |
| | |
4.38%, 5/13/2045 | | | 46,000 | | | | 58,798 | |
| | |
EMC Corp. 3.38%, 6/1/2023 | | | 56,000 | | | | 56,126 | |
| | |
NCR Corp. 6.13%, 9/1/2029 (a) | | | 21,000 | | | | 22,791 | |
| | |
Western Digital Corp. 4.75%, 2/15/2026 | | | 16,000 | | | | 16,520 | |
| | |
Xerox Corp. 4.12%, 3/15/2023 (d) | | | 13,000 | | | | 13,260 | |
| | | | | | | | |
| | |
| | | | | | | 222,966 | |
| | | | | | | | |
|
Textiles, Apparel & Luxury Goods — 0.0%(b) | |
| | |
Hanesbrands, Inc. 4.63%, 5/15/2024 (a) | | | 13,000 | | | | 13,585 | |
| | | | | | | | |
|
Thrifts & Mortgage Finance — 0.1% | |
| | |
Ladder Capital Finance Holdings LLLP 5.25%, 10/1/2025 (a) | | | 13,000 | | | | 13,179 | |
| | |
Quicken Loans, Inc. 5.75%, 5/1/2025 (a) | | | 20,000 | | | | 20,491 | |
| | | | | | | | |
| | |
| | | | | | | 33,670 | |
| | | | | | | | |
|
Tobacco — 0.3% | |
| | |
Altria Group, Inc. 3.88%, 9/16/2046 | | | 30,000 | | | | 29,189 | |
| | |
BAT Capital Corp. (United Kingdom) | | | | | | | | |
| | |
3.56%, 8/15/2027 | | | 65,000 | | | | 68,619 | |
| | |
4.39%, 8/15/2037 | | | 10,000 | | | | 10,552 | |
| | |
Philip Morris International, Inc. | | | | | | | | |
| | |
2.75%, 2/25/2026 | | | 40,000 | | | | 41,667 | |
| | |
3.13%, 3/2/2028 | | | 21,000 | | | | 22,414 | |
| | |
4.38%, 11/15/2041 | | | 10,000 | | | | 11,455 | |
| | | | | | | | |
| | |
| | | | | | | 183,896 | |
| | | | | | | | |
|
Trading Companies & Distributors — 0.2% | |
| | |
Ahern Rentals, Inc. 7.38%, 5/15/2023 (a) | | | 20,000 | | | | 15,473 | |
| | |
United Rentals North America, Inc. 4.63%, 10/15/2025 | | | 62,000 | | | | 62,827 | |
| | |
WESCO Distribution, Inc. 5.38%, 6/15/2024 | | | 13,000 | | | | 13,390 | |
| | | | | | | | |
| | |
| | | | | | | 91,690 | |
| | | | | | | | |
|
Wireless Telecommunication Services — 0.3% | |
| | |
Sprint Corp. | | | | | | | | |
| | |
7.88%, 9/15/2023 | | | 8,000 | | | | 9,146 | |
| | |
7.13%, 6/15/2024 | | | 30,000 | | | | 34,075 | |
| | |
7.63%, 3/1/2026 | | | 25,000 | | | | 29,564 | |
| | |
T-Mobile USA, Inc. | | | | | | | | |
| | |
5.13%, 4/15/2025 | | | 59,000 | | | | 60,622 | |
| | |
4.75%, 2/1/2028 | | | 10,000 | | | | 10,413 | |
| | | | | | | | |
| | |
| | | | | | | 143,820 | |
| | | | | | | | |
| |
Total Corporate Bonds
(Cost $13,977,119) | | | | 14,487,371 | |
| | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 50 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — 22.8% | |
| |
FHLMC Gold Pools, 30 Year | | | | | |
| | |
Pool # G60855, 4.50%, 12/1/2045 | | | 181,689 | | | | 198,309 | |
| |
FHLMC Gold Pools, Other | | | | | |
| | |
Pool # N31271, 4.50%, 1/1/2036 | | | 25,031 | | | | 26,802 | |
| |
FHLMC UMBS, 30 Year | | | | | |
| | |
Pool # QA5045, 4.00%, 11/1/2049 | | | 199,449 | | | | 211,171 | |
| |
FNMA UMBS, 20 Year | | | | | |
| | |
Pool # MA3004, 4.00%, 5/1/2037 | | | 984,748 | | | | 1,057,517 | |
| |
FNMA UMBS, 30 Year | | | | | |
| | |
Pool # AL2374, 4.00%, 12/1/2041 | | | 200,849 | | | | 220,338 | |
| | |
Pool # AL4244, 4.00%, 7/1/2042 | | | 211,532 | | | | 233,309 | |
| | |
Pool # BM1164, 3.50%, 12/1/2045 | | | 290,841 | | | | 307,457 | |
| | |
Pool # MA3073, 4.50%, 7/1/2047 | | | 80,905 | | | | 87,690 | |
| | |
Pool # BK4769, 5.00%, 8/1/2048 | | | 1,333,580 | | | | 1,448,394 | |
| | |
Pool # BN5013, 5.00%, 1/1/2049 | | | 216,325 | | | | 242,317 | |
| | |
Pool # BO1073, 4.50%, 6/1/2049 | | | 132,948 | | | | 142,335 | |
| | |
Pool # BO3039, 3.00%, 7/1/2049 | | | 277,807 | | | | 287,507 | |
| | |
Pool # BN6475, 4.00%, 7/1/2049 | | | 234,287 | | | | 248,414 | |
| | |
Pool # BO2562, 4.00%, 7/1/2049 | | | 247,569 | | | | 262,384 | |
| | |
Pool # BO4519, 4.00%, 8/1/2049 | | | 22,530 | | | | 23,879 | |
| | |
Pool # BO2203, 3.50%, 9/1/2049 | | | 940,784 | | | | 978,860 | |
| |
FNMA, Other | | | | | |
| | |
Pool # AN3099, 2.53%, 10/1/2024 | | | 94,788 | | | | 99,067 | |
| | |
Pool # AN9917, 3.80%, 7/1/2028 | | | 347,405 | | | | 398,350 | |
| | |
Pool # AN8227, 3.13%, 2/1/2030 | | | 150,000 | | | | 167,879 | |
| | |
Pool # AN3609, 3.14%, 12/1/2031 | | | 125,000 | | | | 141,280 | |
| | |
Pool # AN9725, 3.76%, 7/1/2033 | | | 107,489 | | | | 127,312 | |
| | |
Pool # MA1072, 3.50%, 5/1/2042 | | | 25,618 | | | | 27,366 | |
| |
FNMA/FHLMC UMBS, Single Family, 30 Year | | | | | |
| | |
TBA, 3.00%, 4/25/2049 (g) | | | 4,500,000 | | | | 4,627,169 | |
| |
GNMA II, 30 Year | | | | | |
| | |
Pool # AJ9020, 4.50%, 10/20/2044 | | | 114,484 | | | | 119,717 | |
| | |
Pool # BB3525, 4.00%, 9/20/2047 | | | 83,883 | | | | 88,514 | |
| | |
Pool # BM2418, 4.00%, 8/20/2049 | | | 73,808 | | | | 78,805 | |
| | |
Pool # BN7049, 4.50%, 8/20/2049 | | | 248,081 | | | | 271,852 | |
| | |
Pool # BP7160, 4.50%, 9/20/2049 | | | 198,778 | | | | 218,139 | |
| | | | | | | | |
| | |
Total Mortgage-Backed Securities
(Cost $12,100,021) | | | | | | | 12,342,133 | |
| | | | | | | | |
U.S. Treasury Obligations — 16.4% | |
| | |
U.S. Treasury Bonds | | | | | | | | |
| | |
3.75%, 11/15/2043 | | | 299,000 | | | | 423,739 | |
| | |
3.00%, 2/15/2047 | | | 411,000 | | | | 530,318 | |
| | |
3.38%, 11/15/2048 | | | 469,000 | | | | 653,266 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
2.63%, 12/31/2023 | | | 2,001,000 | | | | 2,129,971 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
| | |
2.13%, 2/29/2024 | | | 156,000 | | | | 163,398 | |
| | |
2.63%, 12/31/2025 | | | 1,250,000 | | | | 1,365,674 | |
| | |
U.S. Treasury STRIPS Bonds | | | | | | | | |
| | |
2.26%, 8/15/2041 (h) | | | 188,000 | | | | 130,350 | |
| | |
2.09%, 11/15/2041 (h) | | | 1,953,000 | | | | 1,374,615 | |
| | |
2.34%, 2/15/2042 (h) | | | 789,000 | | | | 541,752 | |
| | |
3.11%, 8/15/2048 (h) | | | 1,695,000 | | | | 1,041,710 | |
| | |
Zero Coupon, 5/15/2030 (h) | | | 582,000 | | | | 509,793 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $7,958,266) | | | | | | | 8,864,586 | |
| | | | | |
Asset-Backed Securities — 11.3% | |
| | |
American Homes 4 Rent Series 2015-SFR1, Class E, 5.64%, 4/17/2052 ‡ (a) | | | 150,000 | | | | 165,701 | |
| | |
American Homes 4 Rent Trust | | | | | | | | |
| | |
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 ‡ (a) | | | 125,000 | | | | 133,823 | |
| | |
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 ‡ (a) | | | 95,304 | | | | 103,927 | |
| | |
AmeriCredit Automobile Receivables Trust Series2017-2, Class D, 3.42%, 4/18/2023 | | | 250,000 | | | | 256,273 | |
| | |
Aqua Finance Trust Series2019-A, Class B, 3.47%, 7/16/2040 ‡ (a) | | | 246,000 | | | | 256,165 | |
| | |
Avid Automobile Receivables Trust Series2019-1, Class D, 4.03%, 7/15/2026 (a) | | | 300,000 | | | | 306,857 | |
| | |
B2R Mortgage Trust Series2016-1, Class B, 3.87%, 6/15/2049 ‡ (a) | | | 100,000 | | | | 100,821 | |
| | |
Carvana Auto Receivables Trust Series2019-4A, Class D, 3.07%, 7/15/2025 (a) | | | 110,000 | | | | 112,639 | |
| | |
CPS Auto Receivables Trust | | | | | | | | |
| | |
Series2015-C, Class D, 4.63%, 8/16/2021 (a) | | | 64,646 | | | | 65,137 | |
| | |
Series2017-C, Class D, 3.79%, 6/15/2023 (a) | | | 100,000 | | | | 101,954 | |
| | |
Delta Air Lines Pass-Through Trust | | | | | | | | |
| | |
Series2007-1, Class A, 6.82%, 8/10/2022 | | | 793 | | | | 869 | |
| | |
Series2019-1, Class AA, 3.20%, 4/25/2024 | | | 15,000 | | | | 15,931 | |
| | |
DT Auto Owner Trust Series2017-3A, Class D, 3.58%, 5/15/2023 (a) | | | 99,000 | | | | 99,858 | |
| | |
First Investors Auto Owner Trust | | | | | | | | |
| | |
Series2016-2A, Class D, 3.35%, 11/15/2022 (a) | | | 90,000 | | | | 91,296 | |
| | |
Series2017-1A, Class D, 3.60%, 4/17/2023 (a) | | | 81,000 | | | | 82,787 | |
| | |
Flagship Credit Auto Trust Series2017-2, Class C, 2.96%, 7/15/2023 (a) | | | 85,000 | | | | 85,984 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 51 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
FNMA, Grantor Trust Series2017-T1, Class A, 2.90%, 6/25/2027 | | | 598,750 | | | | 648,245 | |
| | |
Genesis Sales Finance Master Trust Series2019-AA, Class A, 4.68%, 8/20/2023 (a) | | | 250,000 | | | | 255,356 | |
| | |
GLS Auto Receivables Trust Series2018-3A, Class B, 3.78%, 8/15/2023 (a) | | | 150,000 | | | | 153,202 | |
| | |
Hertz Vehicle Financing II LP Series2019-3A, Class B, 3.03%, 12/26/2025 (a) | | | 101,000 | | | | 103,493 | |
| | |
Lendmark Funding Trust | | | | | | | | |
| | |
Series2018-2A, Class A, 4.23%, 4/20/2027 (a) | | | 118,000 | | | | 123,331 | |
| | |
Series2019-2A, Class C, 3.72%, 4/20/2028 ‡ (a) | | | 100,000 | | | | 103,032 | |
| | |
MVW LLC Series2019-2A, Class B, 2.44%, 10/20/2038 ‡ (a) | | | 183,220 | | | | 186,464 | |
| | |
MVW Owner Trust Series2019-1A, Class C, 3.33%, 11/20/2036 ‡ (a) | | | 129,877 | | | | 134,755 | |
| | |
Prestige Auto Receivables Trust
Series2018-1A, Class D, 4.14%, 10/15/2024 (a) | | | 115,000 | | | | 121,262 | |
| | |
Pretium Mortgage Credit Partners I LLC
Series 2019-CFL1, Class A1, 3.72%, 1/25/2059 ‡ (a) (d) | | | 238,101 | | | | 240,049 | |
| | |
Progress Residential Trust
Series 2017-SFR1, Class A, 2.77%, 8/17/2034 (a) | | | 99,635 | | | | 101,019 | |
| | |
Series 2017-SFR1, Class D, 3.57%, 8/17/2034 ‡ (a) | | | 150,000 | | | | 152,703 | |
| | |
ReadyCap Lending Small Business Loan Trust Series2019-2, Class A, 4.22%, 12/27/2044 (a) (i) | | | 187,674 | | | | 187,383 | |
| | |
Regional Management Issuance Trust Series2018-1, Class A, 3.83%, 7/15/2027 (a) | | | 200,000 | | | | 201,732 | |
| | |
Santander Drive Auto Receivables Trust Series2019-1, Class C, 3.42%, 4/15/2025 | | | 90,000 | | | | 91,750 | |
| | |
Santander Revolving Auto Loan Trust Series2019-A, Class D, 3.45%, 1/26/2032 (a) | | | 150,000 | | | | 154,718 | |
| | |
Upstart Securitization Trust
Series2018-1, Class C, 5.00%, 8/20/2025 (a) | | | 731,003 | | | | 737,470 | |
| | |
US Airways Pass-Through Trust
Series2011-1, Class A, 7.13%, 10/22/2023 | | | 18,719 | | | | 21,317 | |
| | |
Vericrest Opportunity Loan Trust
Series 2019-NPL4, Class A1B, 4.15%, 8/25/2049 ‡ (a) (d) | | | 200,000 | | | | 202,328 | |
| | |
VOLT LXXX LLC Series 2019-NPL6, Class A1B, 4.09%, 10/25/2049 ��� (a) (d) | | | 250,000 | | | | 253,409 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities
(Cost $5,994,383) | | | | | | | 6,153,040 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Collateralized Mortgage Obligations — 6.0% | |
| | |
FHLMC, REMIC | | | | | | | | |
| | |
Series 2708, Class ZD, 5.50%, 11/15/2033 | | | 184,243 | | | | 209,167 | |
| | |
Series 4302, Class PA, 4.00%, 12/15/2043 | | | 174,161 | | | | 191,835 | |
| | |
Series 4281, Class BC, 4.50%, 12/15/2043 (i) | | | 228,621 | | | | 253,976 | |
| | |
FNMA, REMIC | | | | | | | | |
| | |
Series2003-7, Class FA, 2.38%, 2/25/2033 (i) | | | 172,433 | | | | 174,539 | |
| | |
Series2013-108, Class GU, 3.00%, 10/25/2033 | | | 545,000 | | | | 586,466 | |
| | |
Series2005-110, Class TY, 5.50%, 12/25/2035 | | | 98,310 | | | | 114,094 | |
| | |
Series2007-89, Class F, 2.21%, 9/25/2037 (i) | | | 187,642 | | | | 188,475 | |
| | |
Series2011-112, Class PB, 4.00%, 11/25/2041 | | | 200,000 | | | | 227,691 | |
| | |
GNMA | | | | | | | | |
| | |
Series2010-H24, Class FA, 2.08%, 10/20/2060 (i) | | | 110,725 | | | | 110,390 | |
| | |
Series2014-H03, Class FA, 2.33%, 1/20/2064 (i) | | | 126,322 | | | | 126,659 | |
| | |
Series2015-H05, Class FC, 2.21%, 2/20/2065 (i) | | | 354,964 | | | | 354,600 | |
| | |
Seasoned Credit Risk Transfer Trust | | | | | | | | |
| | |
Series2018-3, Class MA, 3.50%, 8/25/2057 ‡ | | | 134,002 | | | | 142,226 | |
| | |
Series2019-1, Class MA, 3.50%, 7/25/2058 ‡ | | | 250,485 | | | | 266,877 | |
| | |
Series2019-2, Class MA, 3.50%, 8/25/2058 ‡ | | | 264,648 | | | | 282,812 | |
| | | | | | | | |
| | |
Total Collateralized Mortgage Obligations
(Cost $3,102,369) | | | | | | | 3,229,807 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 4.5% | |
| | |
Bancorp Commercial Mortgage Trust
Series 2019-CRE6, Class D, 3.96%, 9/15/2036 ‡ (a) (i) | | | 150,000 | | | | 150,000 | |
| | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | | | | | | | |
| | |
Series KJ08, Class A2, 2.36%, 8/25/2022 | | | 57,186 | | | | 58,311 | |
| | |
Series K088, Class A2, 3.69%, 1/25/2029 | | | 350,000 | | | | 405,072 | |
| | |
FNMA ACES
Series2017-M3, Class A2, 2.48%, 12/25/2026 (i) | | | 350,000 | | | | 372,540 | |
| | |
FREMF Mortgage Trust | | | | | | | | |
| | |
Series 2015-K720, Class B, 3.39%, 7/25/2022 (a) (i) | | | 180,000 | | | | 185,859 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 52 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
| | |
Series2015-K44, Class B, 3.68%, 1/25/2048 (a) (i) | | | 200,000 | | | | 213,155 | |
| | |
Series2015-K45, Class B, 3.59%, 4/25/2048 (a) (i) | | | 100,000 | | | | 106,215 | |
| | |
Series2015-K48, Class B, 3.64%, 8/25/2048 (a) (i) | | | 200,000 | | | | 213,052 | |
| | |
Series2015-K50, Class B, 3.78%, 10/25/2048 (a) (i) | | | 200,000 | | | | 214,877 | |
| | |
Series2015-K51, Class B, 3.95%, 10/25/2048 (a) (i) | | | 175,000 | | | | 189,393 | |
| | |
Series2016-K52, Class B, 3.92%, 1/25/2049 (a) (i) | | | 250,000 | | | | 269,777 | |
| | |
Series2016-K53, Class C, 4.02%, 3/25/2049 (a) (i) | | | 50,000 | | | | 53,468 | |
| | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities
(Cost $2,292,325) | | | | 2,431,719 | |
| | | | | |
U.S. Government Agency Securities — 0.2% | |
| | |
FNMA 6.63%, 11/15/2030
(Cost $115,638) | | | 80,000 | | | | 120,794 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
Preferred Stocks — 0.0%(b) | |
|
Internet & Direct Marketing Retail — 0.0%(b) | |
| | |
MYT Holding Co., 10.00%, 6/7/2029 (a)
(Cost $3,213) | | | 3,382 | | | | 3,078 | |
| | | | | | | | |
Short-Term Investments — 21.4% | |
|
Investment Companies — 19.6% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (j) (k)
(Cost $10,592,327) | | | 10,592,327 | | | | 10,592,327 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT ($) | | | | |
U.S. Treasury Obligations — 1.8% | |
| | |
U.S. Treasury Bills 1.54%, 3/5/2020 (h)
(Cost $1,003,830) | | | 1,004,000 | | | | 1,003,877 | |
| | | | | | | | |
| | |
Total Short-Term Investments
(Cost $11,596,157) | | | | | | | 11,596,204 | |
| | | | | | | | |
| | |
Total Investments — 109.3%
(Cost $57,139,491) | | | | | | | 59,228,732 | |
| | |
Liabilities in Excess of Other
Assets — (9.3)% | | | | | | | (5,059,908) | |
| | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | 54,168,824 | |
| | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| ACES | | Alternative Credit Enhancement Securities |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| OYJ | | Public Limited Company |
| REIT | | Real Estate Investment Trust |
| REMIC | | Real Estate Mortgage Investment Conduit |
| SCA | | Limited partnership with share capital |
| SOFR | | Secured Overnight Financing Rate |
| 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. |
| TBA | | To Be Announced; Security is subject to delayed delivery |
| UMBS | | Uniform Mortgage-Backed Securities |
| USD | | United States Dollar |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | | Amount rounds to less than 0.1% of net assets. |
| (c) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (d) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| (e) | | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
| (f) | | Defaulted security. |
| (g) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (h) | | The rate shown is the effective yield as of February 29, 2020. |
| (i) | | 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 is the current rate as of February 29, 2020. |
| (j) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (k) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 53 | |
JPMorgan Core Plus Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of February 29, 2020: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Long Contracts | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury 2 Year Note | | | 13 | | | | 06/2020 | | | | USD | | | | 2,838,367 | | | | 13,501 | |
U.S. Treasury 5 Year Note | | | 11 | | | | 06/2020 | | | | USD | | | | 1,350,164 | | | | 14,447 | |
U.S. Treasury 10 Year Note | | | 5 | | | | 06/2020 | | | | USD | | | | 673,594 | | | | 8,225 | |
U.S. Treasury 10 Year Ultra Note | | | 8 | | | | 06/2020 | | | | USD | | | | 1,202,000 | | | | 22,225 | |
U.S. Treasury Long Bond | | | 5 | | | | 06/2020 | | | | USD | | | | 852,031 | | | | 17,176 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 75,574 | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | | | | | | | | | | | | | |
U.S. Treasury Ultra Bond | | | (1 | ) | | | 06/2020 | | | | USD | | | | (207,875 | ) | | | (6,190 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (6,190 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 69,384 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| |
| USD | | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 54 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — 97.3% | |
| | |
Aerospace & Defense — 2.4% | | | | | | | | |
| | |
Boeing Co. (The) 3.60%, 5/1/2034 | | | 40,000 | | | | 44,141 | |
| | |
L3Harris Technologies, Inc. 4.40%, 6/15/2028 (a) | | | 188,000 | | | | 217,739 | |
| | |
Lockheed Martin Corp. | | | | | | | | |
| | |
3.55%, 1/15/2026 | | | 34,000 | | | | 37,681 | |
| | |
4.09%, 9/15/2052 | | | 71,000 | | | | 91,364 | |
| | |
Northrop Grumman Corp. | | | | | | | | |
| | |
3.25%, 1/15/2028 | | | 72,000 | | | | 77,982 | |
| | |
4.03%, 10/15/2047 | | | 97,000 | | | | 115,641 | |
| | |
Precision Castparts Corp.
3.25%, 6/15/2025 | | | 24,000 | | | | 25,728 | |
| | |
Rockwell Collins, Inc.
3.50%, 3/15/2027 | | | 61,000 | | | | 67,853 | |
| | |
United Technologies Corp. | | | | | | | | |
| | |
4.45%, 11/16/2038 | | | 60,000 | | | | 74,557 | |
| | |
4.50%, 6/1/2042 | | | 20,000 | | | | 25,472 | |
| | |
3.75%, 11/1/2046 | | | 70,000 | | | | 80,504 | |
| | | | | | | | |
| | |
| | | | | | | 858,662 | |
| | | | | | | | |
|
Automobiles — 0.7% | |
|
General Motors Co. | |
| | |
4.88%, 10/2/2023 | | | 193,000 | | | | 209,812 | |
| | |
5.00%, 4/1/2035 | | | 30,000 | | | | 31,259 | |
| | | | | | | | |
| | |
| | | | | | | 241,071 | |
| | | | | | | | |
|
Banks — 15.4% | |
|
Bank of America Corp. | |
| | |
(ICE LIBOR USD 3 Month + 0.66%), 2.37%, 7/21/2021 (b) | | | 380,000 | | | | 381,099 | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (b) | | | 401,000 | | | | 415,541 | |
| | |
(ICE LIBOR USD 3 Month + 0.78%), 3.55%, 3/5/2024 (b) | | | 110,000 | | | | 115,829 | |
| | |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (b) | | | 30,000 | | | | 30,754 | |
| | |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (b) | | | 50,000 | | | | 54,288 | |
| | |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (b) | | | 110,000 | | | | 121,200 | |
| | |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (b) | | | 150,000 | | | | 162,079 | |
| | |
(ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (b) | | | 120,000 | | | | 144,756 | |
| | |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (b) | | | 20,000 | | | | 24,185 | |
| | |
Bank of Nova Scotia (The) (Canada) 2.70%, 3/7/2022 | | | 80,000 | | | | 81,827 | |
| | |
Citigroup, Inc. (ICE LIBOR USD 3 Month + 0.95%), 2.88%, 7/24/2023 (b) | | | 225,000 | | | | 230,882 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Banks — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025(b) | | | 50,000 | | | | 52,938 | |
| | |
3.20%, 10/21/2026 | | | 225,000 | | | | 239,541 | |
| | |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (b) | | | 58,000 | | | | 63,529 | |
| | |
(SOFR + 1.15%), 2.67%, 1/29/2031 (b) | | | 80,000 | | | | 82,034 | |
| | |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (b) | | | 40,000 | | | | 46,603 | |
| | |
4.65%, 7/23/2048 | | | 60,000 | | | | 79,440 | |
| | |
Citizens Financial Group, Inc. 4.30%, 12/3/2025 | | | 124,000 | | | | 138,416 | |
| | |
Cooperatieve Rabobank UA (Netherlands) | | | | | | | | |
| | |
3.88%, 2/8/2022 | | | 59,000 | | | | 61,771 | |
| | |
5.25%, 5/24/2041 | | | 10,000 | | | | 14,386 | |
| | |
HSBC Holdings plc (United Kingdom) | | | | | | | | |
| | |
4.00%, 3/30/2022 | | | 131,000 | | | | 136,975 | |
| | |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (b) | | | 200,000 | | | | 219,255 | |
| | |
Huntington Bancshares, Inc. | | | | | | | | |
| | |
2.30%, 1/14/2022 | | | 180,000 | | | | 181,727 | |
| | |
2.63%, 8/6/2024 | | | 45,000 | | | | 46,803 | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.67%, 7/25/2022 | | | 100,000 | | | | 102,572 | |
| | |
3.76%, 7/26/2023 | | | 66,000 | | | | 70,547 | |
| | |
3.68%, 2/22/2027 | | | 31,000 | | | | 34,216 | |
| | |
3.96%, 3/2/2028 | | | 39,000 | | | | 43,998 | |
| | |
3.74%, 3/7/2029 | | | 80,000 | | | | 89,699 | |
| | |
PNC Financial Services Group, Inc. (The) | | | | | | | | |
| | |
3.90%, 4/29/2024 | | | 13,000 | | | | 14,050 | |
| | |
3.15%, 5/19/2027 | | | 23,000 | | | | 24,551 | |
| | |
Royal Bank of Scotland Group plc (United Kingdom) | | | | | | | | |
| | |
6.13%, 12/15/2022 | | | 39,000 | | | | 42,546 | |
| | |
6.00%, 12/19/2023 | | | 175,000 | | | | 196,209 | |
| | |
5.13%, 5/28/2024 | | | 201,000 | | | | 220,975 | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.78%, 7/12/2022 | | | 80,000 | | | | 82,501 | |
| | |
2.63%, 7/14/2026 | | | 70,000 | | | | 72,349 | |
| | |
3.36%, 7/12/2027 | | | 59,000 | | | | 64,535 | |
| | |
US Bancorp | | | | | | | | |
| | |
Series V, 2.38%, 7/22/2026 | | | 42,000 | | | | 43,955 | |
| | |
Wells Fargo & Co. | | | | | | | | |
| | |
2.63%, 7/22/2022 | | | 80,000 | | | | 82,008 | |
| | |
3.75%, 1/24/2024 | | | 110,000 | | | | 118,288 | |
| | |
(ICE LIBOR USD 3 Month + 0.83%), 2.41%, 10/30/2025 (b) | | | 70,000 | | | | 71,702 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 55 | |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
3.00%, 10/23/2026 | | | 143,000 | | | | 151,613 | |
| | |
4.30%, 7/22/2027 | | | 70,000 | | | | 78,769 | |
| | |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (b) | | | 141,000 | | | | 153,294 | |
| | |
(ICE LIBOR USD 3 Month + 1.17%), 2.88%, 10/30/2030 (b) | | | 70,000 | | | | 73,112 | |
| | |
3.90%, 5/1/2045 | | | 30,000 | | | | 35,424 | |
| | |
4.75%, 12/7/2046 | | | 50,000 | | | | 62,803 | |
| | |
Westpac Banking Corp. (Australia) | | | | | | | | |
| | |
2.75%, 1/11/2023 | | | 70,000 | | | | 72,510 | |
| | |
2.85%, 5/13/2026 | | | 187,000 | | | | 197,155 | |
| | |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (b) | | | 80,000 | | | | 87,568 | |
| | | | | | | | |
| | |
| | | | | | | 5,412,807 | |
| | | | | | | | |
|
Beverages — 2.0% | |
| | |
Anheuser-Busch Cos. LLC (Belgium) | | | | | | | | |
| | |
3.65%, 2/1/2026 | | | 80,000 | | | | 87,197 | |
| | |
4.90%, 2/1/2046 | | | 124,000 | | | | 153,220 | |
| | |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | | | | | | | | |
| | |
4.00%, 4/13/2028 | | | 40,000 | | | | 45,097 | |
| | |
4.90%, 1/23/2031 | | | 25,000 | | | | 30,372 | |
| | |
4.60%, 4/15/2048 | | | 122,000 | | | | 145,869 | |
| | |
4.44%, 10/6/2048 | | | 30,000 | | | | 34,984 | |
| | |
Keurig Dr Pepper, Inc. 4.06%, 5/25/2023 | | | 132,000 | | | | 141,708 | |
| | |
PepsiCo, Inc. 3.45%, 10/6/2046 | | | 50,000 | | | | 57,204 | |
| | | | | | | | |
| | |
| | | | | | | 695,651 | |
| | | | | | | | |
|
Biotechnology — 2.6% | |
|
AbbVie, Inc. | |
| | |
2.90%, 11/6/2022 | | | 160,000 | | | | 165,067 | |
| | |
2.60%, 11/21/2024 (a) | | | 45,000 | | | | 46,503 | |
| | |
3.60%, 5/14/2025 | | | 50,000 | | | | 53,936 | |
| | |
2.95%, 11/21/2026 (a) | | | 35,000 | | | | 36,694 | |
| | |
4.25%, 11/14/2028 | | | 95,000 | | | | 108,668 | |
| | |
4.05%, 11/21/2039 (a) | | | 65,000 | | | | 71,794 | |
| | |
4.70%, 5/14/2045 | | | 50,000 | | | | 58,965 | |
| | |
4.25%, 11/21/2049 (a) | | | 55,000 | | | | 62,005 | |
|
Amgen, Inc. | |
| | |
2.20%, 2/21/2027 | | | 50,000 | | | | 50,831 | |
| | |
2.45%, 2/21/2030 | | | 45,000 | | | | 45,710 | |
| | |
3.38%, 2/21/2050 | | | 20,000 | | | | 20,348 | |
| | |
Gilead Sciences, Inc. 4.15%, 3/1/2047 | | | 163,000 | | | | 196,883 | |
| | | | | | | | |
| | |
| | | | | | | 917,404 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Capital Markets — 6.0% | |
| | |
Bank of New York Mellon Corp. (The) 2.20%, 8/16/2023 | | | 60,000 | | | | 61,481 | |
| | |
(ICE LIBOR USD 3 Month + 1.07%), 3.44%, 2/7/2028 (b) | | | 112,000 | | | | 123,080 | |
| | |
CME Group, Inc. 3.00%, 3/15/2025 | | | 82,000 | | | | 87,308 | |
| | |
Credit Suisse Group AG (Switzerland) (ICE LIBOR USD 3 Month + 1.24%), 4.21%, 6/12/2024 (a) (b) | | | 250,000 | | | | 268,350 | |
| | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
| | |
5.75%, 1/24/2022 | | | 261,000 | | | | 280,885 | |
| | |
(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (b) | | | 70,000 | | | | 71,386 | |
| | |
4.00%, 3/3/2024 | | | 188,000 | | | | 204,363 | |
| | |
3.85%, 1/26/2027 | | | 73,000 | | | | 80,236 | |
| | |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (b) | | | 103,000 | | | | 116,803 | |
| | |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (b) | | | 148,000 | | | | 168,809 | |
| | |
Morgan Stanley | | | | | | | | |
| | |
2.75%, 5/19/2022 | | | 182,000 | | | | 186,991 | |
| | |
3.70%, 10/23/2024 | | | 50,000 | | | | 54,370 | |
| | |
3.63%, 1/20/2027 | | | 70,000 | | | | 76,823 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (b) | | | 110,000 | | | | 121,958 | |
| | |
(SOFR + 1.14%), 2.70%, 1/22/2031 (b) | | | 40,000 | | | | 41,255 | |
| | |
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (b) | | | 110,000 | | | | 126,735 | |
| | |
4.30%, 1/27/2045 | | | 20,000 | | | | 24,575 | |
| | | | | | | | |
| | |
| | | | | | | 2,095,408 | |
| | | | | | | | |
|
Chemicals — 1.5% | |
| | |
Dow Chemical Co. (The) 3.50%, 10/1/2024 | | | 85,000 | | | | 91,150 | |
| | |
DuPont de Nemours, Inc. | | | | | | | | |
| | |
4.21%, 11/15/2023 | | | 164,000 | | | | 178,153 | |
| | |
4.73%, 11/15/2028 | | | 55,000 | | | | 63,605 | |
| | |
Sherwin-Williams Co. (The) | | | | | | | | |
| | |
2.75%, 6/1/2022 | | | 36,000 | | | | 36,852 | |
| | |
3.45%, 6/1/2027 | | | 110,000 | | | | 120,369 | |
| | |
4.50%, 6/1/2047 | | | 20,000 | | | | 24,006 | |
| | | | | | | | |
| | |
| | | | | | | 514,135 | |
| | | | | | | | |
|
Commercial Services & Supplies — 0.4% | |
| | |
Waste Management, Inc. | | | | | | | | |
| | |
3.45%, 6/15/2029 | | | 55,000 | | | | 60,629 | |
| | |
4.15%, 7/15/2049 | | | 70,000 | | | | 87,361 | |
| | | | | | | | |
| | |
| | | | | | | 147,990 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 56 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Consumer Finance — 2.2% | |
| | |
American Express Co. 3.70%, 8/3/2023 | | | 60,000 | | | | 64,144 | |
|
Capital One Financial Corp. | |
| | |
3.30%, 10/30/2024 | | | 137,000 | | | | 145,570 | |
| | |
3.80%, 1/31/2028 | | | 120,000 | | | | 130,945 | |
| | |
Discover Financial Services 4.10%, 2/9/2027 | | | 125,000 | | | | 136,526 | |
| | |
General Motors Financial Co., Inc. | | | | | | | | |
| | |
3.20%, 7/6/2021 | | | 154,000 | | | | 155,798 | |
| | |
4.35%, 1/17/2027 | | | 36,000 | | | | 38,295 | |
| | |
John Deere Capital Corp. 2.60%, 3/7/2024 | | | 100,000 | | | | 104,470 | |
| | | | | | | | |
| | |
| | | | | | | 775,748 | |
| | | | | | | | |
| | |
Containers & Packaging — 0.3% | | | | | | | | |
| | |
International Paper Co. 4.40%, 8/15/2047 | | | 50,000 | | | | 56,312 | |
| | |
WRKCo, Inc. 4.65%, 3/15/2026 | | | 54,000 | | | | 62,173 | |
| | | | | | | | |
| | |
| | | | | | | 118,485 | |
| | | | | | | | |
| | |
Diversified Financial Services — 1.9% | | | | | | | | |
| | |
GE Capital International Funding Co. Unlimited Co. 2.34%, 11/15/2020 | | | 200,000 | | | | 200,546 | |
| | |
Hutchison Whampoa International Ltd. (United Kingdom) 4.63%, 1/13/2022(c) | | | 200,000 | | | | 210,500 | |
| | |
ORIX Corp. (Japan) 2.90%, 7/18/2022 | | | 10,000 | | | | 10,286 | |
| | |
Shell International Finance BV (Netherlands) | | | | | | | | |
| | |
3.25%, 5/11/2025 | | | 22,000 | | | | 23,708 | |
| | |
4.13%, 5/11/2035 | | | 130,000 | | | | 157,227 | |
| | |
4.38%, 5/11/2045 | | | 34,000 | | | | 41,935 | |
| | |
4.00%, 5/10/2046 | | | 20,000 | | | | 23,386 | |
| | | | | | | | |
| | |
| | | | | | | 667,588 | |
| | | | | | | | |
| |
Diversified Telecommunication Services — 3.4% | | | | | |
| | |
AT&T, Inc. | | | | | | | | |
| | |
3.00%, 6/30/2022 | | | 149,000 | | | | 153,726 | |
| | |
3.40%, 5/15/2025 | | | 49,000 | | | | 52,277 | |
| | |
4.30%, 2/15/2030 | | | 46,000 | | | | 52,695 | |
| | |
4.50%, 5/15/2035 | | | 30,000 | | | | 34,516 | |
| | |
5.25%, 3/1/2037 | | | 65,000 | | | | 80,132 | |
| | |
4.90%, 8/15/2037 | | | 20,000 | | | | 23,906 | |
| | |
4.35%, 6/15/2045 | | | 20,000 | | | | 22,284 | |
| | |
4.50%, 3/9/2048 | | | 190,000 | | | | 216,614 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
3.38%, 2/15/2025 | | | 7,000 | | | | 7,570 | |
| | |
4.33%, 9/21/2028 | | | 92,000 | | | | 107,993 | |
| | |
4.02%, 12/3/2029 | | | 40,000 | | | | 46,497 | |
| | |
4.40%, 11/1/2034 | | | 20,000 | | | | 24,285 | |
| | |
4.27%, 1/15/2036 | | | 307,000 | | | | 367,447 | |
| | |
4.52%, 9/15/2048 | | | 20,000 | | | | 25,781 | |
| | | | | | | | |
| | |
| | | | | | | 1,215,723 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
| | |
Electric Utilities — 6.2% | | | | | | | | |
| | |
Commonwealth Edison Co. 3.00%, 3/1/2050 | | | 40,000 | | | | 41,245 | |
| | |
Duke Energy Corp. | | | | | | | | |
| | |
3.75%, 4/15/2024 | | | 210,000 | | | | 225,644 | |
| | |
2.65%, 9/1/2026 | | | 18,000 | | | | 18,750 | |
| | |
3.75%, 9/1/2046 | | | 150,000 | | | | 166,439 | |
| | |
Duke Energy Indiana LLC | | | | | | | | |
| | |
Series YYY, 3.25%, 10/1/2049 | | | 20,000 | | | | 21,390 | |
| | |
Edison International | | | | | | | | |
| | |
3.13%, 11/15/2022 | | | 55,000 | | | | 56,682 | |
| | |
2.95%, 3/15/2023 | | | 150,000 | | | | 153,636 | |
| | |
4.13%, 3/15/2028 | | | 25,000 | | | | 27,268 | |
| | |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | | | 98,000 | | | | 115,113 | |
| | |
Entergy Louisiana LLC 4.00%, 3/15/2033 | | | 173,000 | | | | 209,015 | |
| | |
Entergy Texas, Inc. 3.55%, 9/30/2049 | | | 35,000 | | | | 39,139 | |
| | |
Evergy, Inc. | | | | | | | | |
| | |
2.45%, 9/15/2024 | | | 100,000 | | | | 102,899 | |
| | |
2.90%, 9/15/2029 | | | 75,000 | | | | 77,356 | |
| | |
Exelon Corp. 4.45%, 4/15/2046 | | | 84,000 | | | | 101,747 | |
| | |
FirstEnergy Corp. | | | | | | | | |
| | |
Series B, 3.90%, 7/15/2027 | | | 119,000 | | | | 131,790 | |
| | |
2.65%, 3/1/2030 | | | 40,000 | | | | 40,843 | |
| | |
Series C, 4.85%, 7/15/2047 | | | 30,000 | | | | 37,646 | |
| | |
Florida Power & Light Co. 3.95%, 3/1/2048 | | | 30,000 | | | | 36,892 | |
| | |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | | | 112,000 | | | | 118,841 | |
| | |
NextEra Energy Capital Holdings, Inc. 3.15%, 4/1/2024 | | | 30,000 | | | | 31,791 | |
| | |
Pennsylvania Electric Co. 3.60%, 6/1/2029(a) | | | 75,000 | | | | 83,609 | |
| | |
PPL Electric Utilities Corp. 3.00%, 10/1/2049 | | | 20,000 | | | | 20,754 | |
| | |
Southern California Edison Co. | | | | | | | | |
| | |
Series13-A, 3.90%, 3/15/2043 | | | 6,000 | | | | 6,568 | |
| | |
Series C, 3.60%, 2/1/2045 | | | 84,000 | | | | 88,004 | |
| | |
4.00%, 4/1/2047 | | | 30,000 | | | | 33,808 | |
| | |
3.65%, 2/1/2050 | | | 14,000 | | | | 14,883 | |
| | |
Southern Co. (The) 4.40%, 7/1/2046 | | | 54,000 | | | | 62,979 | |
| | |
Virginia Electric & Power Co. | | | | | | | | |
| | |
Series A, 3.15%, 1/15/2026 | | | 17,000 | | | | 18,296 | |
| | |
Series A, 3.50%, 3/15/2027 | | | 43,000 | | | | 47,392 | |
| | |
4.60%, 12/1/2048 | | | 30,000 | | | | 39,394 | |
| | | | | | | | |
| | |
| | | | | | | 2,169,813 | |
| | | | | | | | |
| | |
Electronic Equipment, Instruments & Components — 0.1% | | | | | | | | |
| | |
Corning, Inc. 5.45%, 11/15/2079 | | | 20,000 | | | | 22,259 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 57 | |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
| | |
Energy Equipment & Services — 0.4% | | | | | | | | |
| | |
Halliburton Co. 5.00%, 11/15/2045 | | | 50,000 | | | | 53,685 | |
| | |
Schlumberger Holdings Corp. | | | | | | | | |
| | |
3.75%, 5/1/2024(a) | | | 20,000 | | | | 21,372 | |
| | |
3.90%, 5/17/2028 (a) | | | 70,000 | | | | 75,416 | |
| | | | | | | | |
| | |
| | | | | | | 150,473 | |
| | | | | | | | |
|
Entertainment — 0.4% | |
| | |
TWDC Enterprises 18 Corp. 4.13%, 6/1/2044 | | | 40,000 | | | | 50,279 | |
| | |
Walt Disney Co. (The) 2.00%, 9/1/2029 | | | 30,000 | | | | 30,210 | |
| | |
2.75%, 9/1/2049 | | | 60,000 | | | | 60,661 | |
| | | | | | | | |
| | |
| | | | | | | 141,150 | |
| | | | | | | | |
|
Equity Real Estate Investment Trusts (REITs) — 4.1% | |
| | |
Alexandria Real Estate Equities, Inc. 2.75%, 12/15/2029 | | | 25,000 | | | | 25,996 | |
| | |
American Tower Corp. 3.38%, 10/15/2026 | | | 130,000 | | | | 139,821 | |
| | |
3.55%, 7/15/2027 | | | 158,000 | | | | 171,523 | |
| | |
3.80%, 8/15/2029 | | | 40,000 | | | | 44,100 | |
| | |
Boston Properties LP 4.50%, 12/1/2028 | | | 30,000 | | | | 35,420 | |
| | |
Healthpeak Properties, Inc. 4.00%, 6/1/2025 | | | 330,000 | | | | 366,300 | |
| | |
Simon Property Group LP 2.45%, 9/13/2029 | | | 60,000 | | | | 61,190 | |
| | |
3.25%, 9/13/2049 | | | 40,000 | | | | 41,812 | |
| | |
UDR, Inc. 3.00%, 8/15/2031 | | | 20,000 | | | | 20,898 | |
| | |
Ventas Realty LP 5.70%, 9/30/2043 | | | 50,000 | | | | 69,183 | |
| | |
Welltower, Inc. 3.63%, 3/15/2024 | | | 140,000 | | | | 150,723 | |
| | |
4.00%, 6/1/2025 | | | 270,000 | | | | 297,621 | |
| | |
3.10%, 1/15/2030 | | | 35,000 | | | | 37,382 | |
| | | | | | | | |
| | |
| | | | | | | 1,461,969 | |
| | | | | | | | |
|
Food & Staples Retailing — 0.7% | |
| | |
Kroger Co. (The) 4.45%, 2/1/2047 | | | 25,000 | | | | 28,327 | |
| | |
Walmart, Inc. 3.05%, 7/8/2026 | | | 85,000 | | | | 92,144 | |
| | |
3.70%, 6/26/2028 | | | 25,000 | | | | 28,367 | |
| | |
4.05%, 6/29/2048 | | | 69,000 | | | | 87,313 | |
| | | | | | | | |
| | |
| | | | | | | 236,151 | |
| | | | | | | | |
|
Gas Utilities — 0.1% | |
| | |
Atmos Energy Corp. 4.13%, 10/15/2044 | | | 31,000 | | | | 36,900 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 2.0% | |
| | |
Abbott Laboratories 3.75%, 11/30/2026 | | | 80,000 | | | | 90,234 | |
| | |
Becton Dickinson and Co. 2.89%, 6/6/2022 | | | 90,000 | | | | 92,408 | |
| | |
3.70%, 6/6/2027 | | | 48,000 | | | | 53,015 | |
| | |
4.69%, 12/15/2044 | | | 55,000 | | | | 68,446 | |
| | |
Boston Scientific Corp. 4.00%, 3/1/2028 | | | 40,000 | | | | 45,350 | |
| | |
4.70%, 3/1/2049 | | | 60,000 | | | | 78,296 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Health Care Equipment & Supplies — continued | |
| | |
DH Europe Finance II SARL | | | | | | | | |
| | |
3.25%, 11/15/2039 | | | 80,000 | | | | 86,444 | |
| | |
3.40%, 11/15/2049 | | | 40,000 | | | | 44,112 | |
| | |
Medtronic, Inc. 3.50%, 3/15/2025 | | | 130,000 | | | | 142,319 | |
| | | | | | | | |
| | |
| | | | | | | 700,624 | |
| | | | | | | | |
|
Health Care Providers & Services — 4.0% | |
| | |
Aetna, Inc. 2.80%, 6/15/2023 | | | 215,000 | | | | 220,716 | |
| | |
3.88%, 8/15/2047 | | | 40,000 | | | | 42,320 | |
| | |
Anthem, Inc. 4.65%, 8/15/2044 | | | 96,000 | | | | 111,972 | |
| | |
Cigna Corp. 3.25%, 4/15/2025(a) | | | 130,000 | | | | 137,886 | |
| | |
4.80%, 8/15/2038 | | | 68,000 | | | | 81,771 | |
| | |
CVS Health Corp. 3.70%, 3/9/2023 | | | 110,000 | | | | 116,257 | |
| | |
2.63%, 8/15/2024 | | | 10,000 | | | | 10,329 | |
| | |
4.30%, 3/25/2028 | | | 91,000 | | | | 101,834 | |
| | |
5.05%, 3/25/2048 | | | 156,000 | | | | 191,993 | |
| | |
HCA, Inc. 4.50%, 2/15/2027 | | | 70,000 | | | | 77,402 | |
| | |
5.25%, 6/15/2049 | | | 71,000 | | | | 82,538 | |
| | |
UnitedHealth Group, Inc. | | | | | | | | |
| | |
3.75%, 7/15/2025 | | | 68,000 | | | | 75,353 | |
| | |
3.50%, 8/15/2039 | | | 75,000 | | | | 82,387 | |
| | |
4.25%, 3/15/2043 | | | 70,000 | | | | 83,534 | |
| | | | | | | | |
| | |
| | | | | | | 1,416,292 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — 0.9% | |
| | |
McDonald’s Corp. 3.70%, 1/30/2026 | | | 132,000 | | | | 144,747 | |
| | |
3.80%, 4/1/2028 | | | 33,000 | | | | 36,779 | |
| | |
4.70%, 12/9/2035 | | | 20,000 | | | | 25,159 | |
| | |
4.88%, 12/9/2045 | | | 70,000 | | | | 88,940 | |
| | |
3.63%, 9/1/2049 | | | 20,000 | | | | 21,493 | |
| | | | | | | | |
| | |
| | | | | | | 317,118 | |
| | | | | | | | |
|
Industrial Conglomerates — 3.0% | |
| | |
General Electric Co. | | | | | | | | |
| | |
4.63%, 1/7/2021 | | | 430,000 | | | | 441,263 | |
| | |
4.65%, 10/17/2021 | | | 60,000 | | | | 62,634 | |
| | |
2.70%, 10/9/2022 | | | 160,000 | | | | 163,496 | |
| | |
6.75%, 3/15/2032 | | | 31,000 | | | | 41,646 | |
| | |
5.88%, 1/14/2038 | | | 141,000 | | | | 180,829 | |
| | |
4.13%, 10/9/2042 | | | 8,000 | | | | 8,548 | |
| | |
Roper Technologies, Inc. 4.20%, 9/15/2028 | | | 129,000 | | | | 148,539 | |
| | | | | | | | |
| | |
| | | | | | | 1,046,955 | |
| | | | | | | | |
|
Insurance — 1.4% | |
| | |
American International Group, Inc. 3.90%, 4/1/2026 | | | 28,000 | | | | 30,979 | |
| | |
4.50%, 7/16/2044 | | | 20,000 | | | | 24,529 | |
| | |
Athene Holding Ltd. 4.13%, 1/12/2028 | | | 84,000 | | | | 89,421 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 58 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Insurance — continued | |
| | |
Berkshire Hathaway Finance Corp. 4.20%, 8/15/2048 | | | 110,000 | | | | 136,168 | |
| | |
4.25%, 1/15/2049 | | | 20,000 | | | | 25,007 | |
| | |
Marsh & McLennan Cos., Inc. 4.38%, 3/15/2029 | | | 30,000 | | | | 34,962 | |
| | |
MetLife, Inc. 4.13%, 8/13/2042 | | | 20,000 | | | | 23,921 | |
| | |
New York Life Global Funding 2.88%, 4/10/2024 (a) | | | 60,000 | | | | 63,275 | |
| | |
Northwestern Mutual Life Insurance Co. (The) 3.85%, 9/30/2047 (a) | | | 20,000 | | | | 22,891 | |
| | |
Prudential Financial, Inc. | | | | | | | | |
| | |
3.91%, 12/7/2047 | | | 20,000 | | | | 22,640 | |
| | |
3.70%, 3/13/2051 | | | 30,000 | | | | 31,744 | |
| | | | | | | | |
| | |
| | | | | | | 505,537 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.8% | |
| | |
Amazon.com, Inc.
3.88%, 8/22/2037 | | | 180,000 | | | | 216,354 | |
| | |
4.05%, 8/22/2047 | | | 10,000 | | | | 12,802 | |
| | |
Expedia Group, Inc. 3.25%, 2/15/2030 (a) | | | 40,000 | | | | 39,091 | |
| | | | | | | | |
| | |
| | | | | | | 268,247 | |
| | | | | | | | |
|
IT Services — 2.1% | |
| | |
Fidelity National Information Services, Inc. 3.00%, 8/15/2026 | | | 60,000 | | | | 64,091 | |
| | |
Global Payments, Inc. 3.20%, 8/15/2029 | | | 110,000 | | | | 116,760 | |
| | |
4.15%, 8/15/2049 | | | 50,000 | | | | 57,474 | |
| | |
International Business Machines Corp. 2.85%, 5/13/2022 | | | 100,000 | | | | 103,076 | |
| | |
3.00%, 5/15/2024 | | | 100,000 | | | | 105,936 | |
| | |
3.30%, 5/15/2026 | | | 200,000 | | | | 218,572 | |
| | |
Mastercard, Inc. 2.95%, 6/1/2029 | | | 35,000 | | | | 37,946 | |
| | |
Visa, Inc. 3.65%, 9/15/2047 | | | 20,000 | | | | 23,830 | |
| | | | | | | | |
| | |
| | | | | | | 727,685 | |
| | | | | | | | |
| | |
Life Sciences Tools & Services — 0.2% | | | | | | | | |
| | |
Thermo Fisher Scientific, Inc. 3.00%, 4/15/2023 | | | 70,000 | | | | 73,052 | |
| | | | | | | | |
|
Machinery — 0.4% | |
| | |
Caterpillar, Inc. 3.80%, 8/15/2042 | | | 20,000 | | | | 23,847 | |
| | |
Otis Worldwide Corp. 2.06%, 4/5/2025 (a) | | | 40,000 | | | | 40,643 | |
| | |
2.57%, 2/15/2030 (a) | | | 40,000 | | | | 41,075 | |
| | |
3.36%, 2/15/2050 (a) | | | 20,000 | | | | 20,716 | |
| | | | | | | | |
| | |
| | | | | | | 126,281 | |
| | | | | | | | |
|
Media — 3.8% | |
| | |
Charter Communications Operating LLC 4.46%, 7/23/2022 | | | 188,000 | | | | 199,505 | |
| | |
6.48%, 10/23/2045 | | | 63,000 | | | | 81,023 | |
| | |
4.80%, 3/1/2050 | | | 80,000 | | | | 86,156 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Media — continued | |
| | |
Comcast Corp. | | | | | | | | |
| | |
3.70%, 4/15/2024 | | | 167,000 | | | | 181,364 | |
| | |
3.95%, 10/15/2025 | | | 78,000 | | | | 87,294 | |
| | |
4.15%, 10/15/2028 | | | 74,000 | | | | 85,764 | |
| | |
3.90%, 3/1/2038 | | | 60,000 | | | | 70,007 | |
| | |
4.60%, 10/15/2038 | | | 178,000 | | | | 224,115 | |
| | |
4.70%, 10/15/2048 | | | 43,000 | | | | 56,423 | |
| | |
4.00%, 11/1/2049 | | | 30,000 | | | | 35,585 | |
| | |
3.45%, 2/1/2050 | | | 20,000 | | | | 22,072 | |
| | |
Discovery Communications LLC 4.13%, 5/15/2029 | | | 135,000 | | | | 148,453 | |
| | |
Time Warner Cable LLC 6.75%, 6/15/2039 | | | 48,000 | | | | 62,213 | |
| | | | | | | | |
| | |
| | | | | | | 1,339,974 | |
| | | | | | | | |
|
Metals & Mining — 0.3% | |
| | |
Glencore Funding LLC (Switzerland) 4.13%, 5/30/2023(a) | | | 100,000 | | | | 105,587 | |
| | | | | | | | |
|
Multiline Retail — 0.1% | |
| | |
Target Corp. 3.90%, 11/15/2047 | | | 20,000 | | | | 24,129 | |
| | | | | | | | |
|
Multi-Utilities — 2.0% | |
| | |
Ameren Corp. 2.50%, 9/15/2024 | | | 105,000 | | | | 108,167 | |
| | |
Berkshire Hathaway Energy Co. 4.50%, 2/1/2045 | | | 80,000 | | | | 98,961 | |
| | |
3.80%, 7/15/2048 | | | 38,000 | | | | 43,631 | |
| | |
4.45%, 1/15/2049 | | | 49,000 | | | | 61,680 | |
| | |
Dominion Energy, Inc. 3.90%, 10/1/2025 | | | 17,000 | | | | 18,739 | |
| | |
NiSource, Inc. 2.95%, 9/1/2029 | | | 35,000 | | | | 36,685 | |
| | |
San Diego Gas & Electric Co. | | | | | | | | |
| | |
Series TTT, 4.10%, 6/15/2049 | | | 30,000 | | | | 36,998 | |
| | |
Sempra Energy 3.25%, 6/15/2027 | | | 40,000 | | | | 42,864 | |
| | |
3.80%, 2/1/2038 | | | 38,000 | | | | 42,583 | |
| | |
4.00%, 2/1/2048 | | | 50,000 | | | | 55,340 | |
| | |
Southern Co. Gas Capital Corp. | | | | | | | | |
| | |
2.45%, 10/1/2023 | | | 160,000 | | | | 164,480 | |
| | | | | | | | |
| | |
| | | | | | | 710,128 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 7.4% | |
| | |
Apache Corp. 4.38%, 10/15/2028 | | | 40,000 | | | | 42,072 | |
| | |
BP Capital Markets America, Inc. 4.23%, 11/6/2028 | | | 30,000 | | | | 34,703 | |
| | |
3.00%, 2/24/2050 | | | 25,000 | | | | 24,678 | |
| | |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | | | 210,000 | | | | 225,619 | |
| | |
Cameron LNG LLC 2.90%, 7/15/2031(a) | | | 30,000 | | | | 31,465 | |
| | |
3.30%, 1/15/2035(a) | | | 25,000 | | | | 26,901 | |
| | |
3.70%, 1/15/2039(a) | | | 5,000 | | | | 5,486 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 59 | |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
Canadian Natural Resources Ltd. (Canada) 2.95%, 1/15/2023 | | | 125,000 | | | | 129,030 | |
| | |
3.85%, 6/1/2027 | | | 29,000 | | | | 31,004 | |
| | |
Columbia Pipeline Group, Inc. 4.50%, 6/1/2025 | | | 60,000 | | | | 66,880 | |
| | |
Enbridge, Inc. (Canada) 4.25%, 12/1/2026 | | | 61,000 | | | | 68,036 | |
| | |
Energy Transfer Operating LP 4.75%, 1/15/2026 | | | 22,000 | | | | 24,240 | |
| | |
4.95%, 6/15/2028 | | | 32,000 | | | | 35,263 | |
| | |
Enterprise Products Operating LLC 3.13%, 7/31/2029 | | | 20,000 | | | | 20,912 | |
| | |
5.10%, 2/15/2045 | | | 43,000 | | | | 51,566 | |
| | |
4.80%, 2/1/2049 | | | 34,000 | | | | 39,656 | |
| | |
4.20%, 1/31/2050 | | | 35,000 | | | | 37,160 | |
| | |
Exxon Mobil Corp. | | | | | | | | |
| | |
3.00%, 8/16/2039 | | | 60,000 | | | | 62,754 | |
| | |
4.11%, 3/1/2046 | | | 40,000 | | | | 48,764 | |
| | |
Hess Corp. 4.30%, 4/1/2027 | | | 50,000 | | | | 52,719 | |
| | |
Kinder Morgan, Inc. | | | | | | | | |
| | |
4.30%, 6/1/2025 | | | 83,000 | | | | 91,668 | |
| | |
5.55%, 6/1/2045 | | | 63,000 | | | | 74,961 | |
| | |
Marathon Petroleum Corp. 4.75%, 9/15/2044 | | | 17,000 | | | | 19,498 | |
| | |
MPLX LP | | | | | | | | |
| | |
4.25%, 12/1/2027(a) | | | 28,000 | | | | 30,492 | |
| | |
4.00%, 3/15/2028 | | | 34,000 | | | | 35,927 | |
| | |
4.50%, 4/15/2038 | | | 60,000 | | | | 60,639 | |
| | |
5.50%, 2/15/2049 | | | 20,000 | | | | 22,465 | |
| | |
Noble Energy, Inc. | | | | | | | | |
| | |
5.25%, 11/15/2043 | | | 80,000 | | | | 84,649 | |
| | |
5.05%, 11/15/2044 | | | 60,000 | | | | 61,551 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
2.70%, 8/15/2022 | | | 170,000 | | | | 173,232 | |
| | |
2.90%, 8/15/2024 | | | 255,000 | | | | 258,447 | |
| | |
3.40%, 4/15/2026 | | | 55,000 | | | | 56,263 | |
| | |
3.00%, 2/15/2027 | | | 25,000 | | | | 24,942 | |
| | |
ONEOK, Inc. | | | | | | | | |
| | |
4.55%, 7/15/2028 | | | 40,000 | | | | 44,804 | |
| | |
5.20%, 7/15/2048 | | | 40,000 | | | | 45,482 | |
| | |
Sunoco Logistics Partners Operations LP 5.40%, 10/1/2047 | | | 132,000 | | | | 139,937 | |
| | |
Total Capital International SA (France) 2.43%, 1/10/2025 | | | 70,000 | | | | 72,625 | |
| | |
2.83%, 1/10/2030 | | | 40,000 | | | | 42,260 | |
| | |
3.46%, 7/12/2049 | | | 20,000 | | | | 21,895 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Oil, Gas & Consumable Fuels — continued | | | | | | | | |
| | |
TransCanada PipeLines Ltd. (Canada) 4.63%, 3/1/2034 | | | 151,000 | | | | 176,505 | |
| | |
Williams Cos., Inc. (The) 3.75%, 6/15/2027 | | | 16,000 | | | | 16,782 | |
| | | | | | | | |
| | |
| | | | | | | 2,613,932 | |
| | | | | | | | |
| |
|
Pharmaceuticals — 4.2% | |
| | |
Allergan Funding SCS 3.45%, 3/15/2022 | | | 50,000 | | | | 51,795 | |
| | |
AstraZeneca plc (United Kingdom) 4.38%, 11/16/2045 | | | 50,000 | | | | 64,879 | |
| | |
Bristol-Myers Squibb Co. 3.40%, 7/26/2029 (a) | | | 50,000 | | | | 56,013 | |
| | |
4.35%, 11/15/2047 (a) | | | 70,000 | | | | 90,369 | |
| | |
4.25%, 10/26/2049 (a) | | | 70,000 | | | | 90,046 | |
| | |
Eli Lilly & Co. 3.95%, 3/15/2049 | | | 25,000 | | | | 30,554 | |
| | |
Merck & Co., Inc. 2.75%, 2/10/2025 | | | 100,000 | | | | 105,943 | |
| | |
3.40%, 3/7/2029 | | | 30,000 | | | | 33,604 | |
| | |
Pfizer, Inc. | | | | | | | | |
| | |
3.00%, 12/15/2026 | | | 40,000 | | | | 43,365 | |
| | |
4.00%, 12/15/2036 | | | 40,000 | | | | 48,269 | |
| | |
4.40%, 5/15/2044 | | | 20,000 | | | | 25,607 | |
| | |
4.13%, 12/15/2046 | | | 102,000 | | | | 126,178 | |
| | |
4.00%, 3/15/2049 | | | 20,000 | | | | 24,909 | |
| | |
Shire Acquisitions Investments Ireland DAC 2.40%, 9/23/2021 | | | 275,000 | | | | 278,536 | |
| | |
3.20%, 9/23/2026 | | | 251,000 | | | | 269,221 | |
| | |
Zoetis, Inc. 3.00%, 9/12/2027 | | | 80,000 | | | | 85,700 | |
| | |
4.70%, 2/1/2043 | | | 40,000 | | | | 51,649 | |
| | | | | | | | |
| | |
| | | | | | | 1,476,637 | |
| | | | | | | | |
|
Road & Rail — 2.4% | |
| | |
Burlington Northern Santa Fe LLC 4.90%, 4/1/2044 | | | 76,000 | | | | 100,543 | |
| | |
4.55%, 9/1/2044 | | | 25,000 | | | | 30,942 | |
| | |
4.15%, 4/1/2045 | | | 71,000 | | | | 84,891 | |
| | |
CSX Corp. | | | | | | | | |
| | |
3.25%, 6/1/2027 | | | 124,000 | | | | 133,223 | |
| | | | | | | | |
| | |
4.25%, 3/15/2029 | | | 40,000 | | | | 46,349 | |
| | |
4.10%, 3/15/2044 | | | 20,000 | | | | 23,019 | |
| | |
4.30%, 3/1/2048 | | | 57,000 | | | | 68,867 | |
| | |
Norfolk Southern Corp. 4.15%, 2/28/2048 | | | 90,000 | | | | 110,377 | |
| | |
Union Pacific Corp. | | | | | | | | |
| | |
3.95%, 9/10/2028 | | | 21,000 | | | | 23,813 | |
| | |
3.70%, 3/1/2029 | | | 70,000 | | | | 78,924 | |
| | |
4.38%, 9/10/2038 | | | 41,000 | | | | 49,063 | |
| | |
4.30%, 3/1/2049 | | | 50,000 | | | | 60,438 | |
| | |
3.25%, 2/5/2050 | | | 45,000 | | | | 46,348 | |
| | | | | | | | |
| | |
| | | | | | | 856,797 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 60 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 1.2% | |
| | |
Analog Devices, Inc. 3.50%, 12/5/2026 | | | 14,000 | | | | 15,340 | |
| | |
Broadcom Corp. | | | | | | | | |
| | |
3.00%, 1/15/2022 | | | 154,000 | | | | 157,030 | |
| | |
3.88%, 1/15/2027 | | | 127,000 | | | | 133,186 | |
| | |
Intel Corp. | | | | | | | | |
| | |
3.73%, 12/8/2047 | | | 30,000 | | | | 34,990 | |
| | |
3.25%, 11/15/2049 | | | 40,000 | | | | 43,658 | |
| | |
NXP BV (Netherlands) 4.30%, 6/18/2029 (a) | | | 40,000 | | | | 44,806 | |
| | | | | | | | |
| | |
| | | | | | | 429,010 | |
| | | | | | | | |
|
Software — 1.5% | |
| | |
Microsoft Corp. | | | | | | | | |
| | |
3.30%, 2/6/2027 | | | 30,000 | | | | 33,247 | |
| | |
3.45%, 8/8/2036 | | | 40,000 | | | | 46,115 | |
| | |
4.10%, 2/6/2037 | | | 110,000 | | | | 136,433 | |
| | |
3.70%, 8/8/2046 | | | 96,000 | | | | 116,097 | |
| | |
Oracle Corp. | | | | | | | | |
| | |
3.25%, 11/15/2027 | | | 53,000 | | | | 58,164 | |
| | |
3.80%, 11/15/2037 | | | 50,000 | | | | 57,615 | |
| | |
4.00%, 7/15/2046 | | | 69,000 | | | | 82,364 | |
| | | | | | | | |
| | |
| | | | | | | 530,035 | |
| | | | | | | | |
|
Specialty Retail — 1.3% | |
|
Home Depot, Inc. (The) | |
| | |
4.20%, 4/1/2043 | | | 30,000 | | | | 36,488 | |
| | |
4.25%, 4/1/2046 | | | 31,000 | | | | 38,334 | |
| | |
3.13%, 12/15/2049 | | | 45,000 | | | | 47,793 | |
| | |
3.50%, 9/15/2056 | | | 20,000 | | | | 22,648 | |
| | |
Lowe’s Cos., Inc. | | | | | | | | |
| | |
3.10%, 5/3/2027 | | | 40,000 | | | | 42,783 | |
| | |
3.70%, 4/15/2046 | | | 80,000 | | | | 85,971 | |
| | |
4.05%, 5/3/2047 | | | 57,000 | | | | 64,218 | |
| | |
O’Reilly Automotive, Inc. 3.60%, 9/1/2027 | | | 100,000 | | | | 111,235 | |
| | | | | | | | |
| | |
| | | | | | | 449,470 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 2.6% | |
|
Apple, Inc. | |
| | |
2.40%, 5/3/2023 | | | 77,000 | | | | 79,583 | |
| | |
3.25%, 2/23/2026 | | | 120,000 | | | | 130,925 | |
| | |
2.90%, 9/12/2027 | | | 71,000 | | | | 76,330 | |
| | |
3.85%, 5/4/2043 | | | 20,000 | | | | 23,879 | |
| | |
4.65%, 2/23/2046 | | | 117,000 | | | | 155,623 | |
| | |
Dell International LLC | | | | | | | | |
| | |
4.42%, 6/15/2021 (a) | | | 70,000 | | | | 72,104 | |
| | |
5.45%, 6/15/2023 (a) | | | 170,000 | | | | 187,108 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — continued | |
| | |
6.02%, 6/15/2026 (a) | | | 110,000 | | | | 128,824 | |
| | |
5.30%, 10/1/2029 (a) | | | 40,000 | | | | 46,084 | |
| | | | | | | | |
| | |
| | | | | | | 900,460 | |
| | | | | | | | |
| |
|
Thrifts & Mortgage Finance — 0.6% | |
| | |
Nationwide Building Society (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 1.18%), 3.62%, 4/26/2023 (a) (b) | | | 200,000 | | | | 207,876 | |
| | | | | | | | |
|
Tobacco — 2.3% | |
| | |
Altria Group, Inc. | | | | | | | | |
| | |
2.85%, 8/9/2022 | | | 100,000 | | | | 102,738 | |
| | |
4.80%, 2/14/2029 | | | 110,000 | | | | 125,839 | |
| | |
5.80%, 2/14/2039 | | | 20,000 | | | | 24,565 | |
| | |
5.38%, 1/31/2044 | | | 80,000 | | | | 93,923 | |
| | |
5.95%, 2/14/2049 | | | 20,000 | | | | 25,392 | |
| | |
BAT Capital Corp. (United Kingdom) | | | | | | | | |
| | |
4.39%, 8/15/2037 | | | 180,000 | | | | 189,946 | |
| | |
4.54%, 8/15/2047 | | | 20,000 | | | | 20,722 | |
| | |
Philip Morris International, Inc. 3.88%, 8/21/2042 | | | 40,000 | | | | 43,693 | |
| | |
Reynolds American, Inc. (United Kingdom) | | | | | | | | |
| | |
4.00%, 6/12/2022 | | | 123,000 | | | | 129,182 | |
| | |
4.45%, 6/12/2025 | | | 58,000 | | | | 64,038 | |
| | | | | | | | |
| | | | | | | 820,038 | |
| | | | | | | | |
|
Trading Companies & Distributors — 1.1% | |
|
Air Lease Corp. | |
| | |
3.00%, 9/15/2023 | | | 257,000 | | | | 264,756 | |
| | |
3.75%, 6/1/2026 | | | 60,000 | | | | 64,391 | |
| | |
3.25%, 10/1/2029 | | | 50,000 | | | | 50,748 | |
| | | | | | | | |
| | | | | | | 379,895 | |
| | | | | | | | |
|
Wireless Telecommunication Services — 0.9% | |
|
Vodafone Group plc (United Kingdom) | |
| | |
3.75%, 1/16/2024 | | | 130,000 | | | | 139,619 | |
| | |
5.25%, 5/30/2048 | | | 70,000 | | | | 88,343 | |
| | |
4.25%, 9/17/2050 | | | 70,000 | | | | 77,434 | |
| | | | | | | | |
| | | | | | | 305,396 | |
| | | | | | | | |
| |
Total Corporate Bonds
(Cost $31,270,726) | | | | 34,210,542 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 61 | |
JPMorgan Corporate Bond Research Enhanced ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Treasury Obligations — 0.4% | |
| | |
U.S. Treasury Bonds | | | | | | | | |
| | |
2.25%, 8/15/2049 | | | 60,000 | | | | 68,201 | |
| | |
2.38%, 11/15/2049 | | | 60,000 | | | | 70,038 | |
| | | | | | | | |
| |
Total U.S. Treasury Obligations
(Cost $127,765) | | | | 138,239 | |
| | | | | | | | |
Asset-Backed Securities — 0.2% | |
| | |
Air Canada Pass-Through Trust (Canada) Series2017-1, Class AA, 3.30%, 1/15/2030 (a) | | | 27,696 | | | | 29,939 | |
| | |
American Airlines Pass-Through Trust Series2019-1, Class AA, 3.15%, 2/15/2032 | | | 19,692 | | | | 21,213 | |
| | |
United Airlines Pass-Through Trust Series2019-2, Class AA, 2.70%, 5/1/2032 | | | 20,000 | | | | 21,402 | |
| | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $66,555) | | | | 72,554 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | |
SHARES | | | VALUE ($) | |
Short-Term Investments — 0.9% | |
|
Investment Companies — 0.9% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares,
1.44% (d) (e)
(Cost $326,606) | | | 326,606 | | | | 326,606 | |
| | | | | | | | |
Total Investments — 98.8%
(Cost $31,791,652) | | | | | | | 34,747,941 | |
Other Assets Less Liabilities — 1.2% | | | | | | | 422,453 | |
| | | | | | | | |
Net Assets — 100.0% | | | | | | | 35,170,394 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
| Abbreviations |
| |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| | |
| |
| (c) | | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (d) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (e) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 62 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of February 29, 2020: | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading Currency | | | Notional Amount ($) | | | Value and
Unrealized
Appreciation
(Depreciation) ($) | |
Long Contracts | |
| | | | | |
| U.S. Treasury 2 Year Note | | | 3 | | | | 06/2020 | | | | USD | | | | 655,008 | | | | 3,861 | |
| | | | | |
| U.S. Treasury 5 Year Note | | | 2 | | | | 06/2020 | | | | USD | | | | 245,484 | | | | 1,394 | |
| | | | | |
| U.S. Treasury Long Bond | | | 7 | | | | 06/2020 | | | | USD | | | | 1,192,844 | | | | 26,469 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 31,724 | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | |
| | | | | |
| U.S. Treasury 10 Year Note | | | (7 | ) | | | 06/2020 | | | | USD | | | | (943,031 | ) | | | (14,617 | ) |
| | | | | |
| U.S. Treasury 10 Year Ultra Note | | | (3 | ) | | | 06/2020 | | | | USD | | | | (450,750 | ) | | | (8,397 | ) |
| | | | | |
| U.S. Treasury Ultra Bond | | | (1 | ) | | | 06/2020 | | | | USD | | | | (207,875 | ) | | | (6,190 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (29,204 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 2,520 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| |
| USD | | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 63 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — 48.5% | | | | | | | | |
| | |
Argentina — 0.1% | | | | | | | | |
| | |
Agua y Saneamientos Argentinos SA 6.63%, 2/1/2023 (a) | | | 280,000 | | | | 140,700 | |
| | | | | | | | |
| | |
Australia — 0.2% | | | | | | | | |
| | |
Transurban Finance Co. Pty. Ltd. 2.00%, 8/28/2025 (a) | | | EUR150,000 | | | | 180,680 | |
| | |
Westpac Banking Corp.
(US Treasury Yield Curve
Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (b) | | | 75,000 | | | | 82,094 | |
| | | | | | | | |
| | |
| | | | | | | 262,774 | |
| | | | | | | | |
| | |
Azerbaijan — 0.2% | | | | | | | | |
| | |
State Oil Co. of the Azerbaijan Republic 4.75%, 3/13/2023 (a) | | | 260,000 | | | | 273,122 | |
| | | | | | | | |
| | |
Bahrain — 0.1% | | | | | | | | |
| | |
Batelco International Finance No. 1 Ltd. 4.25%, 5/1/2020 (a) | | | 200,000 | | | | 200,563 | |
| | | | | | | | |
| | |
Belgium — 0.6% | | | | | | | | |
| | |
Anheuser-Busch Cos. LLC | | | | | | | | |
| | |
4.70%, 2/1/2036 | | | 20,000 | | | | 23,823 | |
| | |
4.90%, 2/1/2046 | | | 85,000 | | | | 105,029 | |
| | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | | | | |
| | |
4.75%, 1/23/2029 | | | 375,000 | | | | 443,185 | |
| | |
4.90%, 1/23/2031 | | | 95,000 | | | | 115,414 | |
| | |
Solvay Finance SA
(EUR Swap Annual 5 Year + 3.70%), 5.42%, 11/12/2023 (a) (b) (c) (d) | | EUR | 100,000 | | | | 124,691 | |
| | |
Solvay SA (EUR Swap Annual 5 Year + 3.92%), 4.25%, 12/4/2023 (a) (b) (c) (d) | | EUR | 100,000 | | | | 120,261 | |
| | | | | | | | |
| | |
| | | | | | | 932,403 | |
| | | | | | | | |
| | |
Brazil — 0.8% | | | | | | | | |
| | |
Braskem Netherlands Finance BV 4.50%, 1/31/2030 (e) | | | 290,000 | | | | 286,738 | |
| | |
Cemig Geracao e Transmissao SA 9.25%, 12/5/2024 (e) | | | 200,000 | | | | 232,337 | |
| | |
Klabin Austria GmbH 7.00%, 4/3/2049 (a) | | | 265,000 | | | | 298,084 | |
| | |
Petrobras Global Finance BV | | | | | | | | |
| | |
5.09%, 1/15/2030 (e) | | | 119,000 | | | | 127,181 | |
| | |
6.90%, 3/19/2049 | | | 330,000 | | | | 395,175 | |
| | | | | | | | |
| | |
| | | | | | | 1,339,515 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | |
| | | | | | | | |
| | |
Canada — 0.6% | | | | | | | | |
| | |
1011778 BC ULC | | | | | | | | |
| | |
4.25%, 5/15/2024 (e) | | | 25,000 | | | | 25,024 | |
| | |
5.00%, 10/15/2025 (e) | | | 15,000 | | | | 15,068 | |
| | |
Advanz Pharma Corp. Ltd. 8.00%, 9/6/2024 | | | 45,000 | | | | 41,850 | |
| | |
ATS Automation Tooling Systems, Inc. 6.50%, 6/15/2023 (e) | | | 13,000 | | | | 13,227 | |
| | |
Bombardier, Inc. | | | | | | | | |
| | |
6.00%, 10/15/2022 (e) | | | 10,000 | | | | 9,794 | |
| | |
7.50%, 12/1/2024 (e) | | | 35,000 | | | | 35,423 | |
| | |
7.88%, 4/15/2027 (e) | | | 37,000 | | | | 36,723 | |
| | |
Emera US Finance LP | | | | | | | | |
| | |
3.55%, 6/15/2026 | | | 216,000 | | | | 234,532 | |
| | |
4.75%, 6/15/2046 | | | 110,000 | | | | 129,208 | |
| | |
Gateway Casinos & Entertainment Ltd. 8.25%, 3/1/2024 (e) | | | 36,000 | | | | 36,990 | |
| | |
Hudbay Minerals, Inc. 7.25%, 1/15/2023 (e) | | | 20,000 | | | | 20,100 | |
| | |
Intertape Polymer Group, Inc. 7.00%, 10/15/2026 (e) | | | 16,000 | | | | 16,860 | |
| | |
MEG Energy Corp. 6.50%, 1/15/2025 (e) | | | 21,000 | | | | 20,685 | |
| | |
NOVA Chemicals Corp. | | | | | | | | |
| | |
4.88%, 6/1/2024 (e) | | | 80,000 | | | | 77,267 | |
| | |
5.00%, 5/1/2025 (e) | | | 19,000 | | | | 18,525 | |
| | |
5.25%, 6/1/2027(e) | | | 45,000 | | | | 42,764 | |
| | |
Open Text Corp. 5.88%, 6/1/2026(e) | | | 40,000 | | | | 42,352 | |
| | |
Precision Drilling Corp. | | | | | | | | |
| | |
7.75%, 12/15/2023 | | | 65,000 | | | | 63,700 | |
| | |
7.13%, 1/15/2026 (e) | | | 6,000 | | | | 5,538 | |
| | |
Quebecor Media, Inc. 5.75%, 1/15/2023 | | | 32,000 | | | | 33,936 | |
| | |
Stars Group Holdings BV 7.00%, 7/15/2026 (e) | | | 14,000 | | | | 15,050 | |
| | |
TransCanada PipeLines Ltd. 5.10%, 3/15/2049 | | | 12,000 | | | | 14,958 | |
| | |
Videotron Ltd. | | | | | | | | |
| | |
5.38%, 6/15/2024 (e) | | | 65,000 | | | | 69,401 | |
| | |
5.13%, 4/15/2027 (e) | | | 40,000 | | | | 41,948 | |
| | | | | | | | |
| | |
| | | | | | | 1,060,923 | |
| | | | | | | | |
| | |
Chile — 0.1% | | | | | | | | |
| | |
Kenbourne Invest SA 6.88%, 11/26/2024 (e) | | | 200,000 | | | | 204,000 | |
| | | | | | | | |
| | |
| | | | | | | | |
| | |
China — 0.5% | | | | | | | | |
| | |
China Evergrande Group 8.75%, 6/28/2025 (a) | | | 290,000 | | | | 240,687 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 64 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
China — continued | | | | | | | | |
| | |
China SCE Group Holdings Ltd. 7.25%, 4/19/2023 (a) | | | 200,000 | | | | 202,250 | |
| | |
GCL New Energy Holdings Ltd. 7.10%, 1/30/2021 (a) | | | 200,000 | | | | 131,750 | |
| | |
New Metro Global Ltd. 6.50%, 4/23/2021 (a) | | | 200,000 | | | | 200,822 | |
| | | | | | | | |
| | |
| | | | | | | 775,509 | |
| | | | | | | | |
| | |
Denmark — 0.3% | | | | | | | | |
| | |
Danske Bank A/S 5.00%, 1/12/2022 (e) | | | 200,000 | | | | 211,834 | |
| | |
Nykredit Realkredit A/S Series CCE, 1.00%, 10/1/2050 (a) | | DKK | 655,266 | | | | 97,401 | |
| | |
TDC A/S 5.00%, 3/2/2022 (f) | | EUR | 200,000 | | | | 238,453 | |
| | | | | | | | |
| | |
| | | | | | | 547,688 | |
| | | | | | | | |
| | |
Finland — 0.1% | | | | | | | | |
| | |
Nokia OYJ | | | | | | | | |
| | |
2.00%, 3/15/2024 (a) | | EUR | 100,000 | | | | 115,087 | |
| | |
4.38%, 6/12/2027 | | | 40,000 | | | | 42,193 | |
| | | | | | | | |
| | |
| | | | | | | 157,280 | |
| | | | | �� | | | |
| | |
France — 3.2% | | | | | | | | |
| | |
Accor SA (EUR Swap Annual 5 Year + 4.56%), 4.38%, 1/30/2024 (a) (b) (c) (d) | | EUR | 200,000 | | | | 225,206 | |
| | |
Altice France SA | | | | | | | | |
| | |
7.38%, 5/1/2026 (e) | | | 200,000 | | | | 209,740 | |
| | |
3.38%, 1/15/2028 (e) | | EUR | 100,000 | | | | 107,232 | |
| | |
BPCE SA | | | | | | | | |
| | |
3.00%, 5/22/2022 (e) | | | 250,000 | | | | 256,633 | |
| | |
5.15%, 7/21/2024 (e) | | | 600,000 | | | | 662,091 | |
| | |
(EUR Swap Annual 5 Year + 2.37%), 2.75%, 11/30/2027 (a) (b) | | EUR | 200,000 | | | | 234,634 | |
| | |
Burger King France SAS 6.00%, 5/1/2024 (a) | | EUR | 100,000 | | | | 112,581 | |
| | |
Casino Guichard Perrachon SA 4.56%, 1/25/2023 (a) (f) | | EUR | 100,000 | | | | 100,559 | |
| | |
Credit Agricole SA | | | | | | | | |
| | |
(EUR Swap Annual 5 Year + 5.12%), 6.50%, 6/23/2021 (a) (b) (c) (d) | | EUR | 300,000 | | | | 350,082 | |
| | |
3.25%, 10/4/2024 (e) | | | 376,000 | | | | 400,491 | |
| | |
(USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (b) (c) (d) (e) | | | 400,000 | | | | 472,213 | |
| | |
Elis SA | | | | | | | | |
| | |
1.88%, 2/15/2023 (a) | | EUR | 300,000 | | | | 334,282 | |
| | |
2.88%, 2/15/2026 (a) | | EUR | 100,000 | | | | 117,415 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
France — continued | | | | | | | | |
| | |
Europcar Mobility Group 4.13%, 11/15/2024 (a) | | EUR | 100,000 | | | | 97,600 | |
| | |
La Financiere Atalian SASU 4.00%, 5/15/2024 (a) | | EUR | 200,000 | | | | 174,424 | |
| | |
Orano SA 3.13%, 3/20/2023 (a) | | EUR | 300,000 | | | | 342,942 | |
| | |
Picard Groupe SAS (EURIBOR 3 Month + 3.00%), 3.00%, 11/30/2023 (a) (b) | | EUR | 100,000 | | | | 102,157 | |
| | |
Quatrim SASU 5.88%, 1/15/2024 (a) | | EUR | 100,000 | | | | 110,395 | |
| | |
Rexel SA | | | | | | | | |
| | |
2.63%, 6/15/2024 (a) | | EUR | 300,000 | | | | 331,253 | |
| | |
2.75%, 6/15/2026 (a) | | EUR | 125,000 | | | | 140,216 | |
| | |
SPIE SA 3.13%, 3/22/2024 (a) | | EUR | 200,000 | | | | 232,105 | |
| | |
TOTAL SA (EUR Swap Annual 5 Year + 3.78%), 3.88%, 5/18/2022 (a) (b) (c) (d) | | EUR | 100,000 | | | | 117,455 | |
| | |
Vallourec SA 2.25%, 9/30/2024 (a) | | EUR | 200,000 | | | | 174,424 | |
| | | | | | | | |
| | |
| | | | | | | 5,406,130 | |
| | | | | | | | |
| | |
Germany — 1.0% | | | | | | | | |
| | |
CeramTec BondCo GmbH 5.25%, 12/15/2025 (a) | | EUR | 100,000 | | | | 112,255 | |
| | |
Deutsche Bank AG 4.25%, 10/14/2021 | | | 100,000 | | | | 103,188 | |
| | |
IHO Verwaltungs GmbH 3.75% (cash), 9/15/2026 (a) (g) | | EUR | 225,000 | | | | 247,788 | |
| | |
K+S AG 3.25%, 7/18/2024 (a) | | EUR | 200,000 | | | | 207,949 | |
| | |
Nidda BondCo GmbH 5.00%, 9/30/2025 (a) | | EUR | 225,000 | | | | 247,137 | |
| | |
Nidda Healthcare Holding GmbH 3.50%, 9/30/2024 (a) | | EUR | 100,000 | | | | 110,031 | |
| | |
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a) | | EUR | 250,000 | | | | 294,454 | |
| | |
thyssenkrupp AG | | | | | | | | |
| | |
1.38%, 3/3/2022 (a) | | EUR | 300,000 | | | | 327,958 | |
| | |
2.50%, 2/25/2025 (a) | | EUR | 100,000 | | | | 107,107 | |
| | | | | | | | |
| | |
| | | | | | | 1,757,867 | |
| | | | | | | | |
| | |
Greece — 0.6% | | | | | | | | |
| | |
Alpha Bank AE 2.50%, 2/5/2023 (a) | | EUR | 780,000 | | | | 916,145 | |
| | |
Ellaktor Value plc 6.38%, 12/15/2024 (e) | | EUR | 100,000 | | | | 106,562 | |
| | | | | | | | |
| | |
| | | | | | | 1,022,707 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 65 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
Guatemala — 0.1% | | | | | | | | |
| | |
Comunicaciones Celulares SA 6.88%, 2/6/2024 (a) | | | 200,000 | | | | 204,500 | |
| | | | | | | | |
| | |
Hong Kong — 0.1% | | | | | | | | |
| | |
Metropolitan Light Co. Ltd. 5.50%, 11/21/2022 (e) | | | 151,000 | | | | 156,096 | |
| | | | | | | | |
| | |
Indonesia — 0.4% | | | | | | | | |
| | |
Indonesia Asahan Aluminium Persero PT 5.71%, 11/15/2023 (e) | | | 230,000 | | | | 254,366 | |
| | |
Pertamina Persero PT 3.65%, 7/30/2029 (e) | | | 400,000 | | | | 415,750 | |
| | | | | | | | |
| | |
| | | | | | | 670,116 | |
| | | | | | | | |
| | |
Ireland — 0.8% | | | | | | | | |
| | |
AerCap Ireland Capital DAC 4.63%, 7/1/2022 | | | 330,000 | | | | 349,651 | |
| | |
Allied Irish Banks plc (EUR Swap Annual 5 Year + 3.95%), 4.13%, 11/26/2025 (a) (b) | | EUR | 100,000 | | | | 112,977 | |
| | |
Avolon Holdings Funding Ltd. | | | | | | | | |
| | |
3.95%, 7/1/2024 (e) | | | 126,000 | | | | 131,079 | |
| | |
4.38%, 5/1/2026 (e) | | | 60,000 | | | | 63,885 | |
| | |
eircom Finance DAC 3.50%, 5/15/2026 (a) | | EUR | 200,000 | | | | 226,862 | |
| | |
Park Aerospace Holdings Ltd. 5.50%, 2/15/2024 (e) | | | 129,000 | | | | 141,832 | |
| | |
Smurfit Kappa Acquisitions ULC 2.38%, 2/1/2024 (a) | | EUR | 350,000 | | | | 406,474 | |
| | | | | | | | |
| | |
| | | | | | | 1,432,760 | |
| | | | | | | | |
| | |
Italy — 1.5% | | | | | | | | |
| | |
Banca Monte dei Paschi di Siena SpA 2.00%, 1/29/2024 (a) | | EUR | 410,000 | | | | 483,436 | |
| | |
Enel Finance International NV 3.50%, 4/6/2028 (e) | | | 200,000 | | | | 212,896 | |
| | |
Leonardo SpA 4.88%, 3/24/2025 | | EUR | 100,000 | | | | 130,712 | |
| | |
Rossini SARL 6.75%, 10/30/2025 (a) | | EUR | 100,000 | | | | 119,779 | |
| | |
Saipem Finance International BV | | | | | | | | |
| | |
3.75%, 9/8/2023 (a) | | EUR | 125,000 | | | | 147,208 | |
| | |
2.63%, 1/7/2025 (a) | | EUR | 250,000 | | | | 282,935 | |
| | |
Telecom Italia Capital SA 6.00%, 9/30/2034 | | | 30,000 | | | | 33,375 | |
| | |
Telecom Italia SpA | | | | | | | | |
| | |
5.25%, 2/10/2022 (a) | | EUR | 100,000 | | | | 120,915 | |
| | |
3.25%, 1/16/2023 (a) | | EUR | 200,000 | | | | 236,115 | |
| | |
3.63%, 1/19/2024 (a) | | EUR | 225,000 | | | | 272,119 | |
| | |
3.63%, 5/25/2026 (a) | | EUR | 225,000 | | | | 279,331 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
Italy — continued | | | | | | | | |
| | |
2.38%, 10/12/2027 (a) | | EUR | 150,000 | | | | 172,659 | |
| | | | | | | | |
| | |
| | | | | | | 2,491,480 | |
| | | | | | | | |
| | |
Kazakhstan — 0.4% | | | | | | | | |
| | |
KazMunayGas National Co. JSC | | | | | | | | |
| | |
4.75%, 4/19/2027 (a) | | | 355,000 | | | | 393,322 | |
| | |
6.38%, 10/24/2048 (a) | | | 200,000 | | | | 264,031 | |
| | | | | | | | |
| | |
| | | | | | | 657,353 | |
| | | | | | | | |
| | |
Luxembourg — 1.2% | | | | | | | | |
| | |
Altice Financing SA 7.50%, 5/15/2026 (e) | | | 200,000 | | | | 210,510 | |
| | |
Altice Finco SA 4.75%, 1/15/2028 (a) | | EUR | 200,000 | | | | 214,387 | |
| | |
Altice Luxembourg SA 6.25%, 2/15/2025 (a) | | EUR | 50,000 | | | | 56,780 | |
| | |
ARD Finance SA 5.00% (cash), 6/30/2027 (e) (g) | | EUR | 100,000 | | | | 110,053 | |
| | |
INEOS Group Holdings SA 5.63%, 8/1/2024 (e) | | | 200,000 | | | | 200,750 | |
| | |
Intelsat Jackson Holdings SA | | | | | | | | |
| | |
5.50%, 8/1/2023 | | | 80,000 | | | | 68,800 | |
| | |
8.00%, 2/15/2024 (e) | | | 110,000 | | | | 112,750 | |
| | |
8.50%, 10/15/2024 (e) | | | 99,000 | | | | 86,625 | |
| | |
9.75%, 7/15/2025 (e) | | | 120,000 | | | | 106,200 | |
| | |
Matterhorn Telecom SA 3.13%, 9/15/2026 (e) | | EUR | 100,000 | | | | 110,120 | |
| | |
Monitchem HoldCo 3 SA 5.25%, 3/15/2025 (a) | | EUR | 100,000 | | | | 111,913 | |
| | |
SES SA (EUR Swap Annual 5 Year + 4.66%), 4.62%, 1/2/2022 (a) (b) (c) (d) | | EUR | 250,000 | | | | 284,442 | |
| | |
Ypso Finance Bis SA | | | | | | | | |
| | |
8.00%, 5/15/2027 ‡ (a) | | EUR | 150,000 | | | | 184,719 | |
| | |
8.00%, 5/15/2027 ‡ (e) | | EUR | 123,000 | | | | 151,469 | |
| | | | | | | | |
| | |
| | | | | | | 2,009,518 | |
| | | | | | | | |
| | |
Mexico — 0.7% | | | | | | | | |
| | |
Banco Mercantil del Norte SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.04%), 6.87%, 7/6/2022 (b) (c) (d) (e) | | | 200,000 | | | | 210,760 | |
| | |
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.13%, 1/18/2033 (b) (e) | | | 200,000 | | | | 208,500 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 66 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | |
| | |
Mexico — continued | | | | | | | | |
| | |
Petroleos Mexicanos | | | | | | | | |
| | |
6.75%, 9/21/2047 | | | 410,000 | | | | 392,611 | |
| | |
6.95%, 1/28/2060 (e) | | | 410,000 | | | | 395,240 | |
| | | | | | | | |
| | |
| | | | | | | 1,207,111 | |
| | | | | | | | |
| | |
Morocco — 0.2% | | | | | | | | |
| | |
OCP SA 6.88%, 4/25/2044 (a) | | | 200,000 | | | | 263,438 | |
| | | | | | | | |
| | |
Netherlands — 1.0% | | | | | | | | |
| | |
ABN AMRO Bank NV | | | | | | | | |
| | |
(EUR Swap Annual 5 Year + 5.45%), 5.75%, 9/22/2020 (a) (b) (c) (d) | | EUR | 200,000 | | | | 224,930 | |
| | |
4.75%, 7/28/2025 (e) | | | 200,000 | | | | 222,598 | |
| | |
ING Groep NV (EUR Swap Annual 5 Year + 2.85%), 3.00%, 4/11/2028 (b) | | EUR | 100,000 | | | | 118,708 | |
| | |
Promontoria Holding 264 BV 6.75%, 8/15/2023 (a) | | EUR | 100,000 | | | | 92,732 | |
| | |
Sigma Holdco BV 5.75%, 5/15/2026 (a) | | EUR | 225,000 | | | | 231,126 | |
| | |
Starfruit Finco BV 6.50%, 10/1/2026 (a) | | EUR | 125,000 | | | | 139,718 | |
| | |
Sunshine Mid BV 6.50%, 5/15/2026 (a) | | EUR | 200,000 | | | | 216,922 | |
| | |
UPCB Finance IV Ltd. 4.00%, 1/15/2027 (a) | | EUR | 270,000 | | | | 303,603 | |
| | |
Ziggo BV 4.25%, 1/15/2027 (a) | | EUR | 180,000 | | | | 206,059 | |
| | | | | | | | |
| | |
| | | | | | | 1,756,396 | |
| | | | | | | | |
| | |
Peru — 0.2% | | | | | | | | |
| | |
Nexa Resources SA 5.38%, 5/4/2027 (a) | | | 200,000 | | | | 209,000 | |
| | |
Southern Copper Corp. 5.88%, 4/23/2045 | | | 140,000 | | | | 178,281 | |
| | | | | | | | |
| | |
| | | | | | | 387,281 | |
| | | | | | | | |
| | |
Portugal — 0.1% | | | | | | | | |
| | |
EDP Finance BV 2.38%, 3/23/2023 (a) | | EUR | 200,000 | | | | 237,152 | |
| | | | | | | | |
| | |
Qatar — 0.1% | | | | | | | | |
| | |
ABQ Finance Ltd. 3.50%, 2/22/2022 (a) | | | 200,000 | | | | 203,875 | |
| | |
Ras Laffan Liquefied Natural Gas Co. Ltd. II 5.30%, 9/30/2020 (a) | | | 28,025 | | | | 28,165 | |
| | | | | | | | |
| | |
| | | | | | | 232,040 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
Spain — 1.9% | | | | | | | | |
| | |
AI Candelaria Spain SLU 7.50%, 12/15/2028 (a) | | | 250,000 | | | | 276,701 | |
| | |
Bankinter SA (EUR Swap Annual 5 Year + 2.40%), 2.50%, 4/6/2027 (a) (b) | | EUR | 100,000 | | | | 114,240 | |
| | |
CaixaBank SA | | | | | | | | |
| | |
(EUR Swap Annual 5 Year + 6.50%), 6.75%, 6/13/2024 (a) (b) (c) (d) | | EUR | 200,000 | | | | 245,353 | |
| | |
(EUR Swap Annual 5 Year + 3.35%), 3.50%, 2/15/2027 (a) (b) | | EUR | 200,000 | | | | 231,807 | |
| | |
Cirsa Finance International SARL 6.25%, 12/20/2023 (a) | | EUR | 200,000 | | | | 228,040 | |
| | |
eDreams ODIGEO SA 5.50%, 9/1/2023 (a) | | EUR | 200,000 | | | | 208,779 | |
| | |
Grifols SA | | | | | | | | |
| | |
1.63%, 2/15/2025 (e) | | EUR | 100,000 | | | | 110,395 | |
| | |
3.20%, 5/1/2025 (a) | | EUR | 200,000 | | | | 221,905 | |
| | |
2.25%, 11/15/2027 (e) | | EUR | 100,000 | | | | 111,830 | |
| | |
NorteGas Energia Distribucion SAU 2.07%, 9/28/2027 (a) | | EUR | 100,000 | | | | 120,787 | |
| | |
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (b) | | EUR | 200,000 | | | | 246,457 | |
| | |
Telefonica Europe BV | | | | | | | | |
| | |
(EUR Swap Annual 5 Year + 3.86%), 3.75%, 3/15/2022 (a) (b) (c) (d) | | EUR | 400,000 | | | | 459,438 | |
| | |
(EUR Swap Annual 5 Year + 2.33%), 2.63%, 3/7/2023 (a) (b) (c) (d) | | EUR | 200,000 | | | | 223,085 | |
| | |
Series NC5, (EUR Swap Annual 5 Year + 2.45%), 3.00%, 9/4/2023 (a) (b) (c) (d) | | EUR | 300,000 | | | | 337,410 | |
| | | | | | | | |
| | |
| | | | | | | 3,136,227 | |
| | | | | | | | |
| | |
Sweden — 0.3% | | | | | | | | |
| | |
Telefonaktiebolaget LM Ericsson 1.88%, 3/1/2024 (a) | | EUR | 125,000 | | | | 145,531 | |
| | |
Verisure Midholding AB 5.75%, 12/1/2023 (a) | | EUR | 200,000 | | | | 224,515 | |
| | |
Volvo Car AB 2.00%, 1/24/2025 (a) | | EUR | 100,000 | | | | 112,647 | |
| | | | | | | | |
| | |
| | | | | | | 482,693 | |
| | | | | | | | |
| | |
Switzerland — 1.1% | | | | | | | | |
| | |
Credit Suisse Group AG (USD Swap Semi 5 Year + 4.60%), 7.50%, 12/11/2023 (b) (c) (d) (e) | | | 650,000 | | | | 719,156 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 67 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | �� | VALUE | |
Corporate Bonds — continued | |
|
Switzerland — continued | |
| | |
Dufry One BV 2.50%, 10/15/2024 (a) | | EUR | 100,000 | | | | 106,684 | |
| | |
Glencore Finance Europe Ltd. 6.00%, 4/3/2022 (a) (f) | | GBP | 100,000 | | | | 140,095 | |
| | |
UBS Group AG | | | | | | | | |
| | |
(EUR Swap Annual 5 Year + 5.29%), 5.75%, 2/19/2022 (a) (b) (c) (d) | | EUR | 600,000 | | | | 707,834 | |
| | |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 2/19/2025 (a) (b) (c) (d) | | | 200,000 | | | | 222,351 | |
| | | | | | | | |
| | |
| | | | | | | 1,896,120 | |
| | | | | | | | |
| | |
Taiwan — 0.1% | | | | | | | | |
| | |
Competition Team Technologies Ltd. 3.75%, 3/12/2024 (a) | | | 200,000 | | | | 212,250 | |
| | | | | | | | |
| | |
Turkey — 0.1% | | | | | | | | |
| | |
Turkiye Garanti Bankasi A/S 5.25%, 9/13/2022 (a) | | | 210,000 | | | | 210,066 | |
| | | | | | | | |
| | |
United Arab Emirates — 0.0% (h) | | | | | | | | |
| | |
Shelf Drilling Holdings Ltd. 8.25%, 2/15/2025 (e) | | | 39,000 | | | | 32,760 | |
| | | | | | | | |
| | |
United Kingdom — 3.0% | | | | | | | | |
| | |
BAT Capital Corp. | | | | | | | | |
| | |
3.56%, 8/15/2027 | | | 270,000 | | | | 285,032 | |
| | |
4.39%, 8/15/2037 | | | 115,000 | | | | 121,354 | |
| | |
4.54%, 8/15/2047 | | | 130,000 | | | | 134,697 | |
| | |
CPUK Finance Ltd. 4.25%, 8/28/2022 (a) | | GBP | 100,000 | | | | 130,343 | |
| | |
eG Global Finance plc 4.38%, 2/7/2025 (a) | | EUR | 200,000 | | | | 204,783 | |
| | |
Fiat Chrysler Finance Europe SA | | | | | | | | |
| | |
4.75%, 3/22/2021 (a) | | EUR | 100,000 | | | | 115,364 | |
| | |
4.75%, 7/15/2022 (a) | | EUR | 100,000 | | | | 119,779 | |
| | |
HSBC Holdings plc | | | | | | | | |
| | |
3.40%, 3/8/2021 | | | 280,000 | | | | 284,907 | |
| | |
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (b) | | | 245,000 | | | | 262,185 | |
| | |
(USD ICE Swap Rate 5 Year + 4.37%), 6.37%, 3/30/2025 (b) (c) (d) | | | 200,000 | | | | 211,640 | |
| | |
Iceland Bondco plc 4.63%, 3/15/2025 (a) | | GBP | 100,000 | | | | 100,008 | |
| | |
Lloyds Banking Group plc 4.58%, 12/10/2025 | | | 200,000 | | | | 218,582 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United Kingdom — continued | | | | | | | | |
| | |
Royal Bank of Scotland Group plc | | | | | | | | |
| | |
(USD Swap Semi 5 Year + 7.60%), 8.62%, 8/15/2021 (b) (c) (d) | | | 200,000 | | | | 211,600 | |
| | |
(ICE LIBOR USD 3 Month + 1.48%), 3.50%, 5/15/2023 (b) | | | 235,000 | | | | 242,662 | |
| | |
6.10%, 6/10/2023 | | | 30,000 | | | | 33,193 | |
| | |
Santander UK Group Holdings plc 3.57%, 1/10/2023 | | | 400,000 | | | | 412,296 | |
| | |
Sky Ltd. | | | | | | | | |
| | |
1.50%, 9/15/2021 (a) | | EUR | 200,000 | | | | 226,511 | |
| | |
2.25%, 11/17/2025 (a) | | EUR | 200,000 | | | | 247,806 | |
| | |
Standard Chartered plc (USD Swap Semi 5 Year + 5.72%), 7.75%, 4/2/2023 (b) (c) (d) (e) | | | 200,000 | | | | 215,500 | |
| | |
Synlab Unsecured Bondco plc 8.25%, 7/1/2023 (a) | | EUR | 200,000 | | | | 229,751 | |
| | |
Virgin Media Finance plc 4.50%, 1/15/2025 (a) | | EUR | 200,000 | | | | 223,649 | |
| | |
Virgin Media Secured Finance plc 5.50%, 5/15/2029 (e) | | | 200,000 | | | | 205,260 | |
| | |
Vodafone Group plc | | | | | | | | |
| | |
4.88%, 6/19/2049 | | | 121,000 | | | | 145,233 | |
| | |
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 1/3/2079 (a) (b) | | EUR | 400,000 | | | | 454,825 | |
| | | | | | | | |
| | |
| | | | | | | 5,036,960 | |
| | | | | | | | |
| | |
United States — 26.8% | | | | | | | | |
| | |
Abbott Ireland Financing DAC 1.50%, 9/27/2026 (a) | | EUR | 200,000 | | | | 238,042 | |
| | |
AbbVie, Inc. | | | | | | | | |
| | |
3.60%, 5/14/2025 | | | 250,000 | | | | 269,682 | |
| | |
2.95%, 11/21/2026 (e) | | | 200,000 | | | | 209,679 | |
| | |
4.05%, 11/21/2039 (e) | | | 100,000 | | | | 110,453 | |
| | |
4.45%, 5/14/2046 | | | 50,000 | | | | 57,627 | |
| | |
4.25%, 11/21/2049 (e) | | | 70,000 | | | | 78,915 | |
| | |
Acadia Healthcare Co., Inc. 6.50%, 3/1/2024 | | | 54,000 | | | | 55,417 | |
| | |
ACCO Brands Corp. 5.25%, 12/15/2024 (e) | | | 120,000 | | | | 123,350 | |
| | |
ACE Cash Express, Inc. 12.00%, 12/15/2022 (e) | | | 23,000 | | | | 18,572 | |
| | |
Adient Global Holdings Ltd. 3.50%, 8/15/2024 (a) | | EUR | 100,000 | | | | 93,744 | |
| | |
ADT Security Corp. (The) 4.13%, 6/15/2023 | | | 74,000 | | | | 75,434 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 68 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
AES Corp. 5.50%, 4/15/2025 | | | 15,000 | | | | 15,344 | |
| | |
Ahern Rentals, Inc. 7.38%, 5/15/2023 (e) | | | 30,000 | | | | 23,210 | |
| | |
Air Lease Corp. | | | | | | | | |
| | |
3.25%, 3/1/2025 | | | 45,000 | | | | 47,048 | |
| | |
3.25%, 10/1/2029 | | | 140,000 | | | | 142,093 | |
| | |
Air Medical Group Holdings, Inc. 6.38%, 5/15/2023 (e) | | | 70,000 | | | | 66,850 | |
| | |
Albertsons Cos., Inc. | | | | | | | | |
| | |
6.63%, 6/15/2024 | | | 124,000 | | | | 127,410 | |
| | |
5.75%, 3/15/2025 | | | 25,000 | | | | 25,906 | |
| | |
Allison Transmission, Inc. | | | | | | | | |
| | |
5.00%, 10/1/2024 (e) | | | 20,000 | | | | 20,224 | |
| | |
4.75%, 10/1/2027 (e) | | | 50,000 | | | | 51,250 | |
| | |
Ally Financial, Inc. 4.63%, 5/19/2022 | | | 174,000 | | | | 182,613 | |
| | |
Altria Group, Inc. | | | | | | | | |
| | |
1.70%, 6/15/2025 | | EUR | 300,000 | | | | 349,292 | |
| | |
2.20%, 6/15/2027 | | EUR | 250,000 | | | | 298,641 | |
| | |
4.80%, 2/14/2029 | | | 240,000 | | | | 274,559 | |
| | |
AMC Entertainment Holdings, Inc. | | | | | | | | |
| | |
5.75%, 6/15/2025 | | | 137,000 | | | | 110,056 | |
| | |
5.88%, 11/15/2026 | | | 12,000 | | | | 9,600 | |
| | |
6.13%, 5/15/2027 | | | 18,000 | | | | 14,400 | |
| | |
AMC Networks, Inc. 5.00%, 4/1/2024 | | | 119,000 | | | | 119,595 | |
| | |
American Airlines Group, Inc. 5.00%, 6/1/2022 (e) | | | 15,000 | | | | 15,037 | |
| | |
American Axle & Manufacturing, Inc. 6.63%, 10/15/2022 | | | 188,000 | | | | 188,823 | |
| | |
6.25%, 4/1/2025 | | | 11,000 | | | | 10,650 | |
| | |
6.50%, 4/1/2027 | | | 7,000 | | | | 6,716 | |
| | |
American Tower Corp. | | | | | | | | |
| | |
REIT, 5.00%, 2/15/2024 | | | 570,000 | | | | 639,260 | |
| | |
REIT, 1.38%, 4/4/2025 | | EUR | 140,000 | | | | 162,870 | |
| | |
American Woodmark Corp. 4.88%, 3/15/2026 (e) | | | 95,000 | | | | 96,121 | |
| | |
AmeriGas Partners LP 5.50%, 5/20/2025 | | | 35,000 | | | | 35,613 | |
| | |
Amkor Technology, Inc. 6.63%, 9/15/2027 (e) | | | 12,000 | | | | 12,960 | |
| | |
AMN Healthcare, Inc. 5.13%, 10/1/2024 (e) | | | 21,000 | | | | 21,525 | |
| | |
Amsted Industries, Inc. 5.63%, 7/1/2027 (e) | | | 9,000 | | | | 9,540 | |
| | |
Antero Resources Corp. 5.13%, 12/1/2022 | | | 134,000 | | | | 83,415 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Aramark International Finance SARL 3.13%, 4/1/2025 (a) | | EUR | 100,000 | | | | 110,947 | |
| | |
Aramark Services, Inc. 5.00%, 2/1/2028 (e) | | | 80,000 | | | | 83,500 | |
| | |
Archrock Partners LP 6.88%, 4/1/2027 (e) | | | 11,000 | | | | 11,172 | |
| | |
Arconic, Inc. 5.90%, 2/1/2027 | | | 60,000 | | | | 68,400 | |
| | |
AT&T, Inc. | | | | | | | | |
| | |
2.95%, 7/15/2026 | | | 42,000 | | | | 44,032 | |
| | |
4.75%, 5/15/2046 | | | 75,000 | | | | 88,428 | |
| | |
Avantor, Inc. 6.00%, 10/1/2024 (e) | | | 200,000 | | | | 209,916 | |
| | |
Avis Budget Car Rental LLC | | | | | | | | |
| | |
6.38%, 4/1/2024 (e) | | | 45,000 | | | | 45,225 | |
| | |
5.25%, 3/15/2025 (e) | | | 132,000 | | | | 133,043 | |
| | |
5.75%, 7/15/2027 (e) | | | 14,000 | | | | 14,000 | |
| | |
B&G Foods, Inc. 5.25%, 4/1/2025 | | | 49,000 | | | | 48,387 | |
| | |
Ball Corp. 4.38%, 12/15/2023 | | EUR | 150,000 | | | | 185,868 | |
| | |
Bank of America Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.37%), 2.74%, 1/23/2022 (b) | | | 180,000 | | | | 181,768 | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 3.00%, 12/20/2023 (b) | | | 810,000 | | | | 839,372 | |
| | |
Series MM, (ICE LIBOR USD 3 Month + 2.66%), 4.30%, 1/28/2025 (b) (c) (d) | | | 24,000 | | | | 23,175 | |
| | |
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (b) (c) (d) | | | 230,000 | | | | 259,516 | |
| | |
Series FF, (ICE LIBOR USD 3 Month + 2.93%), 5.87%, 3/15/2028 (b) (c) (d) | | | 335,000 | | | | 361,834 | |
| | |
Bausch Health Cos., Inc. | | | | | | | | |
| | |
6.50%, 3/15/2022 (e) | | | 74,000 | | | | 74,925 | |
| | |
4.50%, 5/15/2023 (a) | | EUR | 100,000 | | | | 109,396 | |
| | |
5.88%, 5/15/2023 (e) | | | 15,000 | | | | 15,056 | |
| | |
7.00%, 3/15/2024 (e) | | | 100,000 | | | | 102,958 | |
| | |
6.13%, 4/15/2025 (e) | | | 525,000 | | | | 535,500 | |
| | |
5.50%, 11/1/2025 (e) | | | 68,000 | | | | 70,012 | |
| | |
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025 (e) | | | 20,000 | | | | 19,294 | |
| | |
Becton Dickinson and Co. 1.40%, 5/24/2023 | | EUR | 100,000 | | | | 114,674 | |
| | |
Belden, Inc. 3.38%, 7/15/2027 (a) | | EUR | 100,000 | | | | 113,891 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 69 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Berry Global, Inc. | | | | | | | | |
| | |
5.13%, 7/15/2023 | | | 25,000 | | | | 25,012 | |
| | |
4.50%, 2/15/2026 (e) | | | 13,000 | | | | 12,789 | |
| | |
5.63%, 7/15/2027 (e) | | | 10,000 | | | | 10,400 | |
| | |
Big River Steel LLC 7.25%, 9/1/2025 (e) | | | 10,000 | | | | 10,100 | |
| | |
Blue Racer Midstream LLC 6.13%, 11/15/2022 (e) | | | 155,000 | | | | 141,707 | |
| | |
Boeing Co. (The) 3.50%, 3/1/2039 | | | 135,000 | | | | 143,592 | |
| | |
Booz Allen Hamilton, Inc. 5.13%, 5/1/2025 (e) | | | 13,000 | | | | 13,298 | |
| | |
Boston Scientific Corp. | | | | | | | | |
| | |
3.75%, 3/1/2026 | | | 110,000 | | | | 120,949 | |
| | |
4.00%, 3/1/2029 | | | 280,000 | | | | 321,425 | |
| | |
Boyd Gaming Corp. 6.38%, 4/1/2026 | | | 58,000 | | | | 60,465 | |
| | |
Boyne USA, Inc. 7.25%, 5/1/2025 (e) | | | 28,000 | | | | 29,960 | |
| | |
Brink’s Co. (The) 4.63%, 10/15/2027 (e) | | | 42,000 | | | | 43,050 | |
| | |
Bristol-Myers Squibb Co. | | | | | | | | |
| | |
2.90%, 7/26/2024 (e) | | | 242,000 | | | | 254,992 | |
| | |
3.40%, 7/26/2029 (e) | | | 310,000 | | | | 347,280 | |
| | |
4.25%, 10/26/2049 (e) | | | 85,000 | | | | 109,341 | |
| | |
Broadcom, Inc. 4.25%, 4/15/2026 (e) | | | 175,000 | | | | 189,914 | |
| | |
BWX Technologies, Inc. 5.38%, 7/15/2026 (e) | | | 10,000 | | | | 10,468 | |
| | |
Cablevision Systems Corp. 5.88%, 9/15/2022 | | | 20,000 | | | | 21,003 | |
| | |
Caesars Resort Collection LLC 5.25%, 10/15/2025 (e) | | | 25,000 | | | | 24,550 | |
| | |
Callon Petroleum Co. | | | | | | | | |
| | |
6.25%, 4/15/2023 | | | 47,000 | | | | 39,716 | |
| | |
6.13%, 10/1/2024 | | | 38,000 | | | | 30,115 | |
| | |
Calpine Corp. 5.25%, 6/1/2026 (e) | | | 69,000 | | | | 68,405 | |
| | |
Capital One Financial Corp. 3.80%, 1/31/2028 | | | 180,000 | | | | 196,418 | |
| | |
Catalent Pharma Solutions, Inc. 4.88%, 1/15/2026 (e) | | | 35,000 | | | | 35,875 | |
| | |
CCO Holdings LLC | | | | | | | | |
| | |
5.13%, 2/15/2023 | | | 12,000 | | | | 12,090 | |
| | |
5.88%, 4/1/2024 (e) | | | 144,000 | | | | 147,917 | |
| | |
5.75%, 2/15/2026 (e) | | | 501,000 | | | | 520,890 | |
| | |
5.13%, 5/1/2027 (e) | | | 160,000 | | | | 166,352 | |
| | |
5.00%, 2/1/2028 (e) | | | 105,000 | | | | 109,200 | |
| | |
5.38%, 6/1/2029 (e) | | | 16,000 | | | | 17,035 | |
| | |
4.75%, 3/1/2030 (e) | | | 36,000 | | | | 37,080 | |
| | |
CDK Global, Inc. 5.25%, 5/15/2029 (e) | | | 35,000 | | | | 37,319 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Cedar Fair LP 5.25%, 7/15/2029 (e) | | | 4,000 | | | | 4,000 | |
| | |
Centene Corp. | | | | | | | | |
| | |
6.13%, 2/15/2024 | | | 48,000 | | | | 49,474 | |
| | |
5.25%, 4/1/2025 (e) | | | 28,000 | | | | 28,805 | |
| | |
Central Garden & Pet Co. | | | | | | | | |
| | |
6.13%, 11/15/2023 | | | 20,000 | | | | 20,533 | |
| | |
5.13%, 2/1/2028 | | | 95,000 | | | | 99,038 | |
| | |
CenturyLink, Inc. | | | | | | | | |
| | |
Series T, 5.80%, 3/15/2022 | | | 80,000 | | | | 83,900 | |
| | |
Series W, 6.75%, 12/1/2023 | | | 15,000 | | | | 16,496 | |
| | |
Series Y, 7.50%, 4/1/2024 | | | 65,000 | | | | 72,854 | |
| | |
CF Industries, Inc. 4.50%, 12/1/2026 (e) | | | 190,000 | | | | 216,136 | |
| | |
Charter Communications Operating LLC | | | | | | | | |
| | |
4.91%, 7/23/2025 | | | 279,000 | | | | 312,607 | |
| | |
5.38%, 5/1/2047 | | | 188,000 | | | | 216,321 | |
| | |
Chemours Co. (The) | | | | | | | | |
| | |
6.63%, 5/15/2023 | | | 40,000 | | | | 38,533 | |
| | |
7.00%, 5/15/2025 | | | 73,000 | | | | 68,072 | |
| | |
4.00%, 5/15/2026 | | EUR | 100,000 | | | | 96,118 | |
| | |
Cheniere Energy Partners LP 5.25%, 10/1/2025 | | | 30,000 | | | | 30,076 | |
| | |
Chesapeake Energy Corp. 11.50%, 1/1/2025 (e) | | | 93,000 | | | | 55,567 | |
| | |
Cincinnati Bell, Inc. | | | | | | | | |
| | |
7.00%, 7/15/2024 (e) | | | 29,000 | | | | 30,486 | |
| | |
8.00%, 10/15/2025 (e) | | | 4,000 | | | | 4,298 | |
| | |
Cinemark USA, Inc. 4.88%, 6/1/2023 | | | 38,000 | | | | 37,829 | |
| | |
CITGO Petroleum Corp. 6.25%, 8/15/2022 (e) | | | 27,000 | | | | 27,000 | |
| | |
Citigroup, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 3.14%, 1/24/2023 (b) | | | 100,000 | | | | 102,517 | |
| | |
Series V, (SOFR + 3.23%), 4.70%, 1/30/2025 (b) (c) (d) | | | 141,000 | | | | 139,061 | |
| | |
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (b) (c) (d) | | | 190,000 | | | | 204,725 | |
| | |
Series T, (ICE LIBOR USD 3 Month + 4.52%), 6.25%, 8/15/2026 (b) (c) (d) | | | 200,000 | | | | 222,166 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 70 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Clean Harbors, Inc. 4.88%, 7/15/2027 (e) | | | 25,000 | | | | 26,117 | |
| | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | |
| | |
9.25%, 2/15/2024 (e) | | | 85,000 | | | | 90,312 | |
| | |
5.13%, 8/15/2027 (e) | | | 80,000 | | | | 80,200 | |
| | |
Clearwater Paper Corp. 4.50%, 2/1/2023 | | | 37,000 | | | | 37,185 | |
| | |
Clearway Energy Operating LLC 5.00%, 9/15/2026 | | | 44,000 | | | | 45,069 | |
| | |
CNO Financial Group, Inc. 5.25%, 5/30/2025 | | | 15,000 | | | | 16,982 | |
| | |
CNX Midstream Partners LP 6.50%, 3/15/2026 (e) | | | 20,000 | | | | 16,400 | |
| | |
Cogent Communications Group, Inc. 5.38%, 3/1/2022 (e) | | | 25,000 | | | | 25,625 | |
| | |
Comcast Corp. | | | | | | | | |
| | |
3.95%, 10/15/2025 | | | 250,000 | | | | 279,790 | |
| | |
4.60%, 8/15/2045 | | | 105,000 | | | | 133,766 | |
| | |
4.70%, 10/15/2048 | | | 40,000 | | | | 52,487 | |
| | |
3.45%, 2/1/2050 | | | 160,000 | | | | 176,580 | |
| | |
Commercial Metals Co. 4.88%, 5/15/2023 | | | 15,000 | | | | 15,498 | |
| | |
CommScope Technologies LLC 6.00%, 6/15/2025 (e) | | | 329,000 | | | | 309,260 | |
| | |
CommScope, Inc. 8.25%, 3/1/2027 (e) | | | 48,000 | | | | 48,420 | |
| | |
Community Health Systems, Inc. | | | | | | | | |
| | |
6.25%, 3/31/2023 | | | 21,000 | | | | 21,039 | |
| | |
8.63%, 1/15/2024 (e) | | | 37,000 | | | | 38,657 | |
| | |
Concho Resources, Inc. 3.75%, 10/1/2027 | | | 53,000 | | | | 55,065 | |
| | |
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (e) | | | 21,000 | | | | 18,165 | |
| | |
Constellium SE 4.25%, 2/15/2026 (a) | | EUR | 100,000 | | | | 112,294 | |
| | |
Cooper-Standard Automotive, Inc. 5.63%, 11/15/2026 (e) | | | 105,000 | | | | 93,817 | |
| | |
Coty, Inc. 6.50%, 4/15/2026 (e) | | | 50,000 | | | | 51,375 | |
| | |
Covanta Holding Corp. 5.88%, 7/1/2025 | | | 14,000 | | | | 14,350 | |
| | |
Crestwood Midstream Partners LP 5.75%, 4/1/2025 | | | 60,000 | | | | 58,650 | |
| | |
Crown Americas LLC 4.25%, 9/30/2026 | | | 74,000 | | | | 76,169 | |
| | |
Crown European Holdings SA | | | | | | | | |
| | |
4.00%, 7/15/2022 (a) | | EUR | 350,000 | | | | 411,200 | |
| | |
2.63%, 9/30/2024 (a) | | EUR | 125,000 | | | | 144,941 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
CSC Holdings LLC | | | | | | | | |
| | |
5.25%, 6/1/2024 | | | 215,000 | | | | 232,469 | |
| | |
6.63%, 10/15/2025 (e) | | | 210,000 | | | | 219,454 | |
| | |
CSX Corp. 3.35%, 9/15/2049 | | | 110,000 | | | | 115,468 | |
| | |
Curo Group Holdings Corp. 8.25%, 9/1/2025 (e) | | | 110,000 | | | | 93,227 | |
| | |
CVR Partners LP 9.25%, 6/15/2023 (e) | | | 98,000 | | | | 99,960 | |
| | |
Dana Financing Luxembourg SARL 6.50%, 6/1/2026 (e) | | | 105,000 | | | | 110,775 | |
| | |
Darling Global Finance BV 3.63%, 5/15/2026 (a) | | EUR | 125,000 | | | | 143,142 | |
| | |
DaVita, Inc. 5.13%, 7/15/2024 | | | 82,000 | | | | 83,093 | |
| | |
DCP Midstream Operating LP 3.88%, 3/15/2023 | | | 74,000 | | | | 73,667 | |
| | |
Delek Logistics Partners LP 6.75%, 5/15/2025 | | | 29,000 | | | | 29,454 | |
| | |
Dell International LLC | | | | | | | | |
| | |
7.13%, 6/15/2024 (e) | | | 37,000 | | | | 38,711 | |
| | |
6.02%, 6/15/2026 (e) | | | 270,000 | | | | 316,205 | |
| | |
Diamond Offshore Drilling, Inc. 7.88%, 8/15/2025 | | | 15,000 | | | | 10,519 | |
| | |
Diamond Sports Group LLC | | | | | | | | |
| | |
5.38%, 8/15/2026 (e) | | | 84,000 | | | | 77,450 | |
| | |
6.63%, 8/15/2027 (e) | | | 9,000 | | | | 7,290 | |
| | |
Diamondback Energy, Inc. 5.38%, 5/31/2025 | | | 40,000 | | | | 41,769 | |
| | |
DISH DBS Corp. | | | | | | | | |
| | |
6.75%, 6/1/2021 | | | 10,000 | | | | 10,355 | |
| | |
5.88%, 7/15/2022 | | | 92,000 | | | | 95,997 | |
| | |
5.00%, 3/15/2023 | | | 100,000 | | | | 100,635 | |
| | |
5.88%, 11/15/2024 | | | 415,000 | | | | 425,678 | |
| | |
7.75%, 7/1/2026 | | | 235,000 | | | | 252,522 | |
| | |
Dole Food Co., Inc. 7.25%, 6/15/2025 (e) | | | 39,000 | | | | 38,220 | |
| | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (e) | | | 60,000 | | | | 60,600 | |
| | |
Dun & Bradstreet Corp. (The) 6.88%, 8/15/2026 (e) | | | 13,000 | | | | 13,881 | |
| | |
Edgewell Personal Care Co. 4.70%, 5/24/2022 | | | 25,000 | | | | 25,597 | |
| | |
Edison International 3.55%, 11/15/2024 | | | 150,000 | | | | 159,126 | |
| | |
Eldorado Resorts, Inc. 7.00%, 8/1/2023 | | | 40,000 | | | | 41,304 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 71 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | | 70,000 | | | | 74,550 | |
| | |
Encompass Health Corp. | | | | | | | | |
| | |
5.75%, 11/1/2024 | | | 70,000 | | | | 70,618 | |
| | |
5.75%, 9/15/2025 | | | 105,000 | | | | 108,588 | |
| | |
Energizer Holdings, Inc. | | | | | | | | |
| | |
5.50%, 6/15/2025 (e) | | | 70,000 | | | | 71,036 | |
| | |
7.75%, 1/15/2027 (e) | | | 65,000 | | | | 70,525 | |
| | |
Energy Transfer Operating LP 3.75%, 5/15/2030 | | | 110,000 | | | | 111,479 | |
| | |
EnLink Midstream Partners LP | | | | | | | | |
| | |
4.40%, 4/1/2024 | | | 20,000 | | | | 18,255 | |
| | |
4.15%, 6/1/2025 | | | 20,000 | | | | 16,904 | |
| | |
5.60%, 4/1/2044 | | | 20,000 | | | | 15,381 | |
| | |
Entegris, Inc. 4.63%, 2/10/2026 (e) | | | 65,000 | | | | 67,031 | |
| | |
Entercom Media Corp. 7.25%, 11/1/2024 (e) | | | 20,000 | | | | 20,975 | |
| | |
Enterprise Development Authority (The) 12.00%, 7/15/2024 (e) | | | 63,000 | | | | 72,135 | |
| | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (e) | | | 93,000 | | | | 49,225 | |
| | |
EP Energy LLC | | | | | | | | |
| | |
9.38%, 5/1/2024 (e) (i) | | | 40,000 | | | | 800 | |
| | |
8.00%, 11/29/2024 (e) (i) | | | 37,000 | | | | 15,170 | |
| | |
7.75%, 5/15/2026 (e) (i) | | | 36,000 | | | | 21,240 | |
| | |
Equinix, Inc. REIT, 5.88%, 1/15/2026 | | | 115,000 | | | | 121,541 | |
| | |
ESH Hospitality, Inc. | | | | | | | | |
| | |
REIT, 5.25%, 5/1/2025 (e) | | | 130,000 | | | | 130,758 | |
| | |
REIT, 4.63%, 10/1/2027 (e) | | | 18,000 | | | | 17,550 | |
| | |
Exela Intermediate LLC 10.00%, 7/15/2023 (e) | | | 56,000 | | | | 18,900 | |
| | |
FirstCash, Inc. 5.38%, 6/1/2024 (e) | | | 15,000 | | | | 15,337 | |
| | |
FirstEnergy Corp. | | | | | | | | |
| | |
Series B, 3.90%, 7/15/2027 | | | 295,000 | | | | 326,707 | |
| | |
2.65%, 3/1/2030 | | | 180,000 | | | | 183,794 | |
| | |
Fox Corp. | | | | | | | | |
| | |
4.03%, 1/25/2024 (e) | | | 90,000 | | | | 97,331 | |
| | |
4.71%, 1/25/2029 (e) | | | 40,000 | | | | 46,904 | |
| | |
Freeport-McMoRan, Inc. | | | | | | | | |
| | |
3.55%, 3/1/2022 | | | 59,000 | | | | 59,525 | |
| | |
3.88%, 3/15/2023 | | | 25,000 | | | | 25,133 | |
| | |
4.55%, 11/14/2024 | | | 60,000 | | | | 60,750 | |
| | |
Frontier Communications Corp. | | | | | | | | |
| | |
7.63%, 4/15/2024 | | | 15,000 | | | | 7,125 | |
| | |
6.88%, 1/15/2025 | | | 35,000 | | | | 16,712 | |
| | |
8.50%, 4/1/2026 (e) | | | 161,000 | | | | 163,013 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
GCI LLC 6.88%, 4/15/2025 | | | 90,000 | | | | 92,738 | |
| | |
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/2035 | | | 600,000 | | | | 685,139 | |
| | |
General Electric Co. 1.50%, 5/17/2029 | | EUR | 100,000 | | | | 115,997 | |
| | |
General Motors Co. 5.15%, 4/1/2038 | | | 30,000 | | | | 30,606 | |
| | |
General Motors Financial Co., Inc. 4.00%, 1/15/2025 | | | 330,000 | | | | 349,166 | |
| | |
Genesis Energy LP | | | | | | | | |
| | |
5.63%, 6/15/2024 | | | 20,000 | | | | 17,200 | |
| | |
6.25%, 5/15/2026 | | | 15,000 | | | | 12,525 | |
| | |
GEO Group, Inc. (The) REIT, 5.88%, 10/15/2024 | | | 100,000 | | | | 93,500 | |
| | |
Global Partners LP 7.00%, 6/15/2023 | | | 25,000 | | | | 25,656 | |
| | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 7/24/2023 (b) | | | 205,000 | | | | 210,594 | |
| | |
(ICE LIBOR USD 3 Month + 1.60%), 3.21%, 11/29/2023 (b) | | | 130,000 | | | | 133,846 | |
| | |
3.85%, 1/26/2027 | | | 159,000 | | | | 174,760 | |
| | |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (b) | | | 35,000 | | | | 39,921 | |
| | |
Goodyear Tire & Rubber Co. (The) | | | | | | | | |
| | |
5.00%, 5/31/2026 | | | 94,000 | | | | 92,477 | |
| | |
4.88%, 3/15/2027 | | | 1,000 | | | | 968 | |
| | |
Gray Television, Inc. 7.00%, 5/15/2027 (e) | | | 95,000 | | | | 103,051 | |
| | |
Gulfport Energy Corp. 6.00%, 10/15/2024 | | | 78,000 | | | | 25,935 | |
| | |
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | | | 15,000 | | | | 15,631 | |
| | |
Hanesbrands, Inc. 4.88%, 5/15/2026 (e) | | | 51,000 | | | | 53,423 | |
| | |
HCA Healthcare, Inc. 6.25%, 2/15/2021 | | | 15,000 | | | | 15,582 | |
| | |
HCA, Inc. | | | | | | | | |
| | |
5.88%, 5/1/2023 | | | 82,000 | | | | 89,585 | |
| | |
5.38%, 2/1/2025 | | | 130,000 | | | | 143,715 | |
| | |
5.88%, 2/15/2026 | | | 440,000 | | | | 496,707 | |
| | |
5.63%, 9/1/2028 | | | 119,000 | | | | 134,872 | |
| | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (e) | | | 89,000 | | | | 92,329 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 72 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Hertz Corp. (The) | | | | | | | | |
| | |
7.63%, 6/1/2022 (e) | | | 4,000 | | | | 4,030 | |
| | |
5.50%, 10/15/2024 (e) | | | 228,000 | | | | 218,271 | |
| | |
7.13%, 8/1/2026 (e) | | | 15,000 | | | | 14,782 | |
| | |
Hess Corp. 5.80%, 4/1/2047 | | | 100,000 | | | | 110,751 | |
| | |
Hilcorp Energy I LP | | | | | | | | |
| | |
5.00%, 12/1/2024 (e) | | | 23,000 | | | | 18,170 | |
| | |
6.25%, 11/1/2028 (e) | | | 25,000 | | | | 18,188 | |
| | |
Hill-Rom Holdings, Inc. 5.00%, 2/15/2025 (e) | | | 15,000 | | | | 15,558 | |
| | |
Hilton Domestic Operating Co., Inc. 5.13%, 5/1/2026 | | | 12,000 | | | | 12,319 | |
| | |
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | | | 15,000 | | | | 16,050 | |
| | |
Hilton Worldwide Finance LLC | | | | | | | | |
| | |
4.63%, 4/1/2025 | | | 88,000 | | | | 88,330 | |
| | |
4.88%, 4/1/2027 | | | 33,000 | | | | 33,743 | |
| | |
Hologic, Inc. 4.38%, 10/15/2025 (e) | | | 15,000 | | | | 15,277 | |
| | |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | | | 15,000 | | | | 16,502 | |
| | |
Icahn Enterprises LP 6.38%, 12/15/2025 | | | 25,000 | | | | 25,813 | |
| | |
iHeartCommunications, Inc. 5.25%, 8/15/2027 (e) | | | 50,000 | | | | 51,565 | |
| | |
Infor US, Inc. 6.50%, 5/15/2022 | | | 141,000 | | | | 141,422 | |
| | |
International Game Technology plc 4.75%, 2/15/2023 (a) | | EUR | 200,000 | | | | 232,381 | |
| | |
IQVIA, Inc. | | | | | | | | |
| | |
3.50%, 10/15/2024 (a) | | EUR | 150,000 | | | | 166,791 | |
| | |
3.25%, 3/15/2025 (a) | | EUR | 200,000 | | | | 221,731 | |
| | |
2.25%, 1/15/2028 (a) | | EUR | 100,000 | | | | 109,291 | |
| | |
IRB Holding Corp. 6.75%, 2/15/2026 (e) | | | 39,000 | | | | 38,708 | |
| | |
Iron Mountain, Inc. | | | | | | | | |
| | |
REIT, 5.75%, 8/15/2024 | | | 58,000 | | | | 58,435 | |
| | |
REIT, 4.88%, 9/15/2029 (e) | | | 70,000 | | | | 69,371 | |
| | |
ITC Holdings Corp. 3.35%, 11/15/2027 | | | 140,000 | | | | 151,355 | |
| | |
James Hardie International Finance DAC 4.75%, 1/15/2025 (e) | | | 200,000 | | | | 206,040 | |
| | |
JBS USA LUX SA | | | | | | | | |
| | |
5.88%, 7/15/2024 (e) | | | 7,000 | | | | 7,127 | |
| | |
5.75%, 6/15/2025 (e) | | | 6,000 | | | | 6,158 | |
| | |
6.75%, 2/15/2028 (e) | | | 80,000 | | | | 86,380 | |
| | |
6.50%, 4/15/2029 (e) | | | 43,000 | | | | 46,642 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
JELD-WEN, Inc. 4.63%, 12/15/2025 (e) | | | 70,000 | | | | 70,525 | |
| | |
Kennedy-Wilson, Inc. 5.88%, 4/1/2024 | | | 14,000 | | | | 14,228 | |
| | |
Kroger Co. (The) 2.65%, 10/15/2026 | | | 135,000 | | | | 139,736 | |
| | |
L Brands, Inc. | | | | | | | | |
| | |
5.63%, 10/15/2023 | | | 45,000 | | | | 48,488 | |
| | |
5.25%, 2/1/2028 | | | 18,000 | | | | 17,471 | |
| | |
L3Harris Technologies, Inc. 4.85%, 4/27/2035 | | | 185,000 | | | | 229,478 | |
| | |
LABL Escrow Issuer LLC 6.75%, 7/15/2026 (e) | | | 120,000 | | | | 125,724 | |
| | |
Lamar Media Corp. 5.75%, 2/1/2026 | | | 50,000 | | | | 52,003 | |
| | |
Lennar Corp. 5.88%, 11/15/2024 | | | 48,000 | | | | 52,402 | |
| | |
Level 3 Financing, Inc. | | | | | | | | |
| | |
5.38%, 5/1/2025 | | | 25,000 | | | | 25,521 | |
| | |
5.25%, 3/15/2026 | | | 61,000 | | | | 62,982 | |
| | |
4.63%, 9/15/2027 (e) | | | 80,000 | | | | 81,600 | |
| | |
Liberty Mutual Group, Inc. 3.95%, 10/15/2050 (e) | | | 15,000 | | | | 16,529 | |
| | |
Live Nation Entertainment, Inc. 5.63%, 3/15/2026 (e) | | | 19,000 | | | | 19,523 | |
| | |
LKQ European Holdings BV 3.63%, 4/1/2026 (a) | | EUR | 100,000 | | | | 110,936 | |
| | |
LKQ Italia Bondco SpA 3.88%, 4/1/2024 (a) | | EUR | 200,000 | | | | 237,586 | |
| | |
Lowe’s Cos., Inc. 3.65%, 4/5/2029 | | | 74,000 | | | | 82,043 | |
| | |
LPL Holdings, Inc. 5.75%, 9/15/2025 (e) | | | 38,000 | | | | 39,425 | |
| | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
| | |
6.50%, 9/15/2026 | | | 29,000 | | | | 31,175 | |
| | |
4.75%, 1/15/2028 (e) | | | 3,000 | | | | 3,000 | |
| | |
Martin Midstream Partners LP 7.25%, 2/15/2021 | | | 46,000 | | | | 42,550 | |
| | |
MasTec, Inc. 4.88%, 3/15/2023 | | | 34,000 | | | | 34,170 | |
| | |
Matador Resources Co. 5.88%, 9/15/2026 | | | 21,000 | | | | 18,795 | |
| | |
Mattel, Inc. | | | | | | | | |
| | |
3.15%, 3/15/2023 | | | 10,000 | | | | 9,850 | |
| | |
6.75%, 12/31/2025 (e) | | | 170,000 | | | | 178,662 | |
| | |
Mauser Packaging Solutions Holding Co. 5.50%, 4/15/2024 (e) | | | 125,000 | | | | 123,752 | |
| | |
Meredith Corp. 6.88%, 2/1/2026 | | | 35,000 | | | | 35,095 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 73 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
MetLife, Inc. 6.40%, 12/15/2036 | | | 130,000 | | | | 160,576 | |
| | |
MGM Resorts International | | | | | | | | |
| | |
6.00%, 3/15/2023 | | | 315,000 | | | | 339,019 | |
| | |
4.63%, 9/1/2026 | | | 55,000 | | | | 57,200 | |
| | |
5.50%, 4/15/2027 | | | 130,000 | | | | 140,361 | |
| | |
Midcontinent Communications 5.38%, 8/15/2027 (e) | | | 9,000 | | | | 9,473 | |
| | |
Morgan Stanley | | | | | | | | |
| | |
3.70%, 10/23/2024 | | | 360,000 | | | | 391,461 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (b) | | | 15,000 | | | | 16,631 | |
| | |
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (b) | | | 240,000 | | | | 276,513 | |
| | |
MPH Acquisition Holdings LLC 7.13%, 6/1/2024 (e) | | | 79,000 | | | | 73,487 | |
| | |
MSCI, Inc. 5.38%, 5/15/2027 (e) | | | 34,000 | | | | 36,380 | |
| | |
MTS Systems Corp. 5.75%, 8/15/2027 (e) | | | 14,000 | | | | 14,245 | |
| | |
Nabors Industries, Inc. 5.75%, 2/1/2025 | | | 90,000 | | | | 64,575 | |
| | |
NCR Corp. | | | | | | | | |
| | |
5.75%, 9/1/2027 (e) | | | 15,000 | | | | 15,787 | |
| | |
6.13%, 9/1/2029 (e) | | | 15,000 | | | | 16,280 | |
| | |
Netflix, Inc. | | | | | | | | |
| | |
4.38%, 11/15/2026 | | | 17,000 | | | | 17,802 | |
| | |
3.63%, 5/15/2027 | | EUR | 100,000 | | | | 115,998 | |
| | |
4.88%, 4/15/2028 | | | 65,000 | | | | 68,426 | |
| | |
5.88%, 11/15/2028 | | | 45,000 | | | | 50,594 | |
| | |
4.88%, 6/15/2030 (e) | | | 53,000 | | | | 55,851 | |
| | |
New Albertsons LP 8.00%, 5/1/2031 | | | 103,000 | | | | 110,725 | |
| | |
Newell Brands, Inc. 4.20%, 4/1/2026 (f) | | | 145,000 | | | | 150,912 | |
| | |
Nexstar Broadcasting, Inc. 5.63%, 7/15/2027 (e) | | | 35,000 | | | | 36,227 | |
| | |
NextEra Energy Operating Partners LP 4.25%, 9/15/2024 (e) | | | 10,000 | | | | 10,067 | |
| | |
Nielsen Co. Luxembourg SARL (The) | | | | | | | | |
| | |
5.50%, 10/1/2021 (e) | | | 110,000 | | | | 110,137 | |
| | |
5.00%, 2/1/2025 (e) | | | 30,000 | | | | 29,625 | |
| | |
Nielsen Finance LLC 5.00%, 4/15/2022 (e) | | | 38,000 | | | | 37,810 | |
| | |
Noble Energy, Inc. 3.85%, 1/15/2028 | | | 410,000 | | | | 424,403 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Noble Holding International Ltd. | | | | | | | | |
| | |
7.88%, 2/1/2026 (e) | | | 53,000 | | | | 33,125 | |
| | |
5.25%, 3/15/2042 | | | 12,000 | | | | 3,120 | |
| | |
Novelis Corp. 5.88%, 9/30/2026 (e) | | | 74,000 | | | | 76,431 | |
| | |
NRG Energy, Inc. 6.63%, 1/15/2027 | | | 45,000 | | | | 46,918 | |
| | |
Nuance Communications, Inc.
5.63%, 12/15/2026 | | | 50,000 | | | | 52,750 | |
| | |
NuStar Logistics LP 5.63%, 4/28/2027 | | | 30,000 | | | | 30,606 | |
| | |
Oasis Petroleum, Inc. | | | | | | | | |
| | |
6.88%, 1/15/2023 | | | 125,000 | | | | 96,875 | |
| | |
6.25%, 5/1/2026 (e) | | | 33,000 | | | | 20,295 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
2.90%, 8/15/2024 | | | 340,000 | | | | 344,596 | |
| | |
3.40%, 4/15/2026 | | | 340,000 | | | | 347,809 | |
| | |
Ovintiv, Inc. | | | | | | | | |
| | |
6.50%, 8/15/2034 | | | 100,000 | | | | 107,229 | |
| | |
6.50%, 2/1/2038 | | | 25,000 | | | | 27,453 | |
| | |
Panther BF Aggregator 2 LP 6.25%, 5/15/2026 (e) | | | 65,000 | | | | 66,768 | |
| | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (e) | | | 9,000 | | | | 9,504 | |
| | |
Pattern Energy Group, Inc. 5.88%, 2/1/2024 (e) | | | 20,000 | | | | 20,400 | |
| | |
PBF Holding Co. LLC 7.25%, 6/15/2025 | | | 22,000 | | | | 22,623 | |
| | |
Peabody Energy Corp. 6.00%, 3/31/2022 (e) | | | 20,000 | | | | 17,090 | |
| | |
Penske Automotive Group, Inc. | | | | | | | | |
| | |
5.75%, 10/1/2022 | | | 35,000 | | | | 35,350 | |
| | |
5.50%, 5/15/2026 | | | 48,000 | | | | 49,800 | |
| | |
PetSmart, Inc. | | | | | | | | |
| | |
7.13%, 3/15/2023 (e) | | | 75,000 | | | | 73,313 | |
| | |
5.88%, 6/1/2025 (e) | | | 101,000 | | | | 101,636 | |
| | |
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (e) | | | 63,000 | | | | 64,241 | |
| | |
Plantronics, Inc. 5.50%, 5/31/2023 (e) | | | 53,000 | | | | 48,231 | |
| | |
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (e) (g) | | | 25,000 | | | | 21,253 | |
| | |
Post Holdings, Inc. | | | | | | | | |
| | |
5.00%, 8/15/2026 (e) | | | 63,000 | | | | 64,260 | |
| | |
5.75%, 3/1/2027 (e) | | | 50,000 | | | | 52,032 | |
| | |
5.63%, 1/15/2028 (e) | | | 50,000 | | | | 52,261 | |
| | |
Prime Security Services Borrower LLC | | | | | | | | |
| | |
5.25%, 4/15/2024 (e) | | | 16,000 | | | | 16,560 | |
| | |
5.75%, 4/15/2026 (e) | | | 16,000 | | | | 16,640 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 74 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
QEP Resources, Inc. | | | | | | | | |
| | |
5.38%, 10/1/2022 | | | 38,000 | | | | 34,651 | |
| | |
5.63%, 3/1/2026 | | | 5,000 | | | | 4,000 | |
| | |
Qorvo, Inc. 5.50%, 7/15/2026 | | | 52,000 | | | | 53,716 | |
| | |
Quicken Loans, Inc. 5.75%, 5/1/2025 (e) | | | 53,000 | | | | 54,303 | |
| | |
Radian Group, Inc. 4.50%, 10/1/2024 | | | 25,000 | | | | 26,375 | |
| | |
Rain CII Carbon LLC 7.25%, 4/1/2025 (e) | | | 50,000 | | | | 48,000 | |
| | |
Realty Income Corp. REIT, 3.00%, 1/15/2027 | | | 170,000 | | | | 182,264 | |
| | |
Refinitiv US Holdings, Inc. | | | | | | | | |
| | |
6.25%, 5/15/2026 (e) | | | 21,000 | | | | 22,627 | |
| | |
8.25%, 11/15/2026 (e) | | | 9,000 | | | | 9,909 | |
| | |
Rite Aid Corp. | | | | | | | | |
| | |
6.13%, 4/1/2023 (e) | | | 105,000 | | | | 96,206 | |
| | |
7.50%, 7/1/2025 (e) | | | 60,000 | | | | 59,850 | |
| | |
Rockwell Collins, Inc. | | | | | | | | |
| | |
3.70%, 12/15/2023 | | | 325,000 | | | | 348,425 | |
| | |
3.20%, 3/15/2024 | | | 400,000 | | | | 425,410 | |
| | |
3.50%, 3/15/2027 | | | 340,000 | | | | 378,197 | |
| | |
Roper Technologies, Inc. 3.80%, 12/15/2026 | | | 280,000 | | | | 311,174 | |
| | |
Ryman Hospitality Properties, Inc.
REIT, 4.75%, 10/15/2027 (e) | | | 9,000 | | | | 9,124 | |
| | |
SBA Communications Corp.
REIT, 4.88%, 9/1/2024 | | | 25,000 | | | | 25,672 | |
| | |
Schlumberger Holdings Corp. | | | | | | | | |
| | |
3.75%, 5/1/2024 (e) | | | 315,000 | | | | 336,614 | |
| | |
3.90%, 5/17/2028 (e) | | | 120,000 | | | | 129,283 | |
| | |
Scientific Games International, Inc. 5.00%, 10/15/2025 (e) | | | 87,000 | | | | 87,272 | |
| | |
ScottsMiracle-Gro Co. (The)
4.50%, 10/15/2029 (e) | | | 30,000 | | | | 31,050 | |
| | |
Sealed Air Corp. 5.13%, 12/1/2024 (e) | | | 94,000 | | | | 100,815 | |
| | |
Sempra Energy 3.80%, 2/1/2038 | | | 145,000 | | | | 162,487 | |
| | |
Sensata Technologies BV | | | | | | | | |
| | |
4.88%, 10/15/2023 (e) | | | 85,000 | | | | 89,675 | |
| | |
5.00%, 10/1/2025 (e) | | | 14,000 | | | | 14,736 | |
| | |
Service Corp. International | | | | | | | | |
| | |
7.50%, 4/1/2027 | | | 70,000 | | | | 85,400 | |
| | |
5.13%, 6/1/2029 | | | 70,000 | | | | 75,688 | |
| | |
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | | | 225,000 | | | | 233,564 | |
| | |
Silgan Holdings, Inc. 3.25%, 3/15/2025 | | EUR | 200,000 | | | | 222,336 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Sinclair Television Group, Inc. 5.63%, 8/1/2024 (e) | | | 176,000 | | | | 179,520 | |
| | |
Sirius XM Radio, Inc. | | | | | | | | |
| | |
4.63%, 5/15/2023 (e) | | | 10,000 | | | | 10,075 | |
| | |
4.63%, 7/15/2024 (e) | | | 12,000 | | | | 12,371 | |
| | |
5.38%, 4/15/2025 (e) | | | 93,000 | | | | 95,402 | |
| | |
5.38%, 7/15/2026 (e) | | | 2,000 | | | | 2,070 | |
| | |
5.00%, 8/1/2027 (e) | | | 162,000 | | | | 169,492 | |
| | |
5.50%, 7/1/2029 (e) | | | 14,000 | | | | 15,079 | |
| | |
Six Flags Entertainment Corp. | | | | | | | | |
| | |
4.88%, 7/31/2024 (e) | | | 10,000 | | | | 9,870 | |
| | |
5.50%, 4/15/2027 (e) | | | 7,000 | | | | 6,760 | |
| | |
SM Energy Co. 6.13%, 11/15/2022 | | | 75,000 | | | | 67,500 | |
| | |
Solera LLC 10.50%, 3/1/2024 (e) | | | 45,000 | | | | 47,532 | |
| | |
Southern California Edison Co. | | | | | | | | |
| | |
Series13-A, 3.90%, 3/15/2043 | | | 37,000 | | | | 40,503 | |
| | |
3.65%, 2/1/2050 | | | 79,000 | | | | 83,980 | |
| | |
Southwestern Energy Co. 6.20%, 1/23/2025 (f) | | | 87,000 | | | | 64,380 | |
| | |
Spectrum Brands, Inc. | | | | | | | | |
| | |
5.75%, 7/15/2025 | | | 90,000 | | | | 92,250 | |
| | |
5.00%, 10/1/2029 (e) | | | 5,000 | | | | 5,163 | |
| | |
Springleaf Finance Corp. | | | | | | | | |
| | |
5.63%, 3/15/2023 | | | 60,000 | | | | 61,838 | |
| | |
7.13%, 3/15/2026 | | | 32,000 | | | | 35,520 | |
| | |
Sprint Capital Corp. 8.75%, 3/15/2032 | | | 202,000 | | | | 280,780 | |
| | |
Sprint Corp. | | | | | | | | |
| | |
7.88%, 9/15/2023 | | | 173,000 | | | | 197,796 | |
| | |
7.13%, 6/15/2024 | | | 80,000 | | | | 90,866 | |
| | |
7.63%, 2/15/2025 | | | 376,000 | | | | 436,160 | |
| | |
7.63%, 3/1/2026 | | | 65,000 | | | | 76,866 | |
| | |
SPX FLOW, Inc. 5.63%, 8/15/2024 (e) | | | 50,000 | | | | 51,657 | |
| | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (e) | | | 85,000 | | | | 89,463 | |
| | |
Standard Industries, Inc. | | | | | | | | |
| | |
6.00%, 10/15/2025 (e) | | | 24,000 | | | | 25,080 | |
| | |
4.75%, 1/15/2028 (e) | | | 60,000 | | | | 61,746 | |
| | |
Staples, Inc. | | | | | | | | |
| | |
7.50%, 4/15/2026 (e) | | | 140,000 | | | | 139,083 | |
| | |
10.75%, 4/15/2027 (e) | | | 46,000 | | | | 44,031 | |
| | |
Station Casinos LLC 5.00%, 10/1/2025 (e) | | | 21,000 | | | | 21,105 | |
| | |
Steel Dynamics, Inc. 5.00%, 12/15/2026 | | | 25,000 | | | | 26,560 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 75 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Summit Materials LLC 6.13%, 7/15/2023 | | | 20,000 | | | | 20,100 | |
| | |
Summit Midstream Holdings LLC | | | | | | | | |
| | |
5.50%, 8/15/2022 | | | 20,000 | | | | 17,125 | |
| | |
5.75%, 4/15/2025 | | | 20,000 | | | | 14,800 | |
| | |
Sunoco Logistics Partners Operations LP 5.35%, 5/15/2045 | | | 130,000 | | | | 134,214 | |
| | |
Sunoco LP | | | | | | | | |
| | |
4.88%, 1/15/2023 | | | 20,000 | | | | 19,940 | |
| | |
5.50%, 2/15/2026 | | | 15,000 | | | | 15,227 | |
| | |
6.00%, 4/15/2027 | | | 22,000 | | | | 22,550 | |
| | |
Tallgrass Energy Partners LP 5.50%, 9/15/2024 (e) | | | 28,000 | | | | 25,973 | |
| | |
Targa Resources Partners LP | | | | | | | | |
| | |
4.25%, 11/15/2023 | | | 62,000 | | | | 61,411 | |
| | |
6.75%, 3/15/2024 | | | 170,000 | | | | 173,191 | |
| | |
5.88%, 4/15/2026 | | | 80,000 | | | | 82,408 | |
| | |
Team Health Holdings, Inc. 6.38%, 2/1/2025 (e) | | | 53,000 | | | | 29,150 | |
| | |
Tempur Sealy International, Inc. | | | | | | | | |
| | |
5.63%, 10/15/2023 | | | 110,000 | | | | 111,947 | |
| | |
5.50%, 6/15/2026 | | | 155,000 | | | | 162,177 | |
| | |
Tenet Healthcare Corp. | | | | | | | | |
| | |
8.13%, 4/1/2022 | | | 145,000 | | | | 157,100 | |
| | |
6.75%, 6/15/2023 | | | 70,000 | | | | 74,900 | |
| | |
4.63%, 9/1/2024 (e) | | | 6,000 | | | | 6,098 | |
| | |
5.13%, 5/1/2025 | | | 75,000 | | | | 75,562 | |
| | |
4.88%, 1/1/2026 (e) | | | 30,000 | | | | 30,563 | |
| | |
6.25%, 2/1/2027 (e) | | | 35,000 | | | | 36,662 | |
| | |
5.13%, 11/1/2027 (e) | | | 96,000 | | | | 99,720 | |
| | |
Tennant Co. 5.63%, 5/1/2025 | | | 33,000 | | | | 34,320 | |
| | |
Tenneco, Inc. 5.00%, 7/15/2026 | | | 65,000 | | | | 55,900 | |
| | |
Terex Corp. 5.63%, 2/1/2025 (e) | | | 65,000 | | | | 65,975 | |
| | |
Terraform Global Operating LLC 6.13%, 3/1/2026 (e) | | | 10,000 | | | | 10,350 | |
| | |
TerraForm Power Operating LLC | | | | | | | | |
| | |
4.25%, 1/31/2023 (e) | | | 17,000 | | | | 17,277 | |
| | |
5.00%, 1/31/2028 (e) | | | 21,000 | | | | 22,602 | |
| | |
T-Mobile USA, Inc. | | | | | | | | |
| | |
6.50%, 1/15/2024 ‡ | | | 150,000 | | | | — | |
| | |
6.00%, 4/15/2024 ‡ | | | 328,000 | | | | — | |
| | |
6.38%, 3/1/2025 | | | 79,000 | | | | 81,222 | |
| | |
6.50%, 1/15/2026 | | | 375,000 | | | | 394,800 | |
| | |
6.50%, 1/15/2026 ‡ | | | 160,000 | | | | — | |
| | |
4.50%, 2/1/2026 | | | 50,000 | | | | 50,673 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
TransDigm, Inc. 6.25%, 3/15/2026 (e) | | | 70,000 | | | | 74,113 | |
| | |
Transocean Pontus Ltd. 6.13%, 8/1/2025 (e) | | | 17,535 | | | | 17,710 | |
| | |
Transocean Poseidon Ltd. 6.88%, 2/1/2027 (e) | | | 10,000 | | | | 10,152 | |
| | |
Transocean Proteus Ltd. 6.25%, 12/1/2024 (e) | | | 33,600 | | | | 33,936 | |
| | |
Transocean, Inc. | | | | | | | | |
| | |
7.50%, 1/15/2026 (e) | | | 55,000 | | | | 43,725 | |
| | |
7.50%, 4/15/2031 | | | 9,000 | | | | 5,355 | |
| | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (e) | | | 28,000 | | | | 25,970 | |
| | |
Triumph Group, Inc. 7.75%, 8/15/2025 | | | 75,000 | | | | 74,250 | |
| | |
Tronox Finance plc 5.75%, 10/1/2025 (e) | | | 8,000 | | | | 7,562 | |
| | |
Tronox, Inc. 6.50%, 4/15/2026 (e) | | | 19,000 | | | | 18,239 | |
| | |
UGI International LLC 3.25%, 11/1/2025 (a) | | EUR | 150,000 | | | | 171,802 | |
| | |
Ultra Resources, Inc. 11.00% (Blend (cash 9.00% + PIK 2.00%)), 7/12/2024 (g) | | | 128,702 | | | | 15,115 | |
| | |
Union Pacific Corp. 4.30%, 3/1/2049 | | | 100,000 | | | | 120,875 | |
| | |
United Airlines Holdings, Inc. | | | | | | | | |
| | |
5.00%, 2/1/2024 | | | 25,000 | | | | 25,313 | |
| | |
4.88%, 1/15/2025 | | | 13,000 | | | | 13,065 | |
| | |
United Rentals North America, Inc. | | | | | | | | |
| | |
6.50%, 12/15/2026 | | | 30,000 | | | | 31,989 | |
| | |
5.50%, 5/15/2027 | | | 289,000 | | | | 302,005 | |
| | |
United States Cellular Corp. 6.70%, 12/15/2033 | | | 90,000 | | | | 101,926 | |
| | |
United States Steel Corp. | | | | | | | | |
| | |
6.88%, 8/15/2025 | | | 9,000 | | | | 7,792 | |
| | |
6.25%, 3/15/2026 | | | 28,000 | | | | 22,680 | |
| | |
United Technologies Corp. | | | | | | | | |
| | |
3.95%, 8/16/2025 | | | 125,000 | | | | 139,970 | |
| | |
4.13%, 11/16/2028 | | | 150,000 | | | | 175,565 | |
| | |
3.75%, 11/1/2046 | | | 115,000 | | | | 132,256 | |
| | |
Uniti Group LP REIT, 6.00%, 4/15/2023 (e) | | | 85,000 | | | | 83,087 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
4.33%, 9/21/2028 | | | 230,000 | | | | 269,983 | |
| | |
4.86%, 8/21/2046 | | | 75,000 | | | | 99,800 | |
| | |
Vista Outdoor, Inc. 5.88%, 10/1/2023 | | | 85,000 | | | | 82,238 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 76 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Corporate Bonds — continued | | | | | | | | |
| | |
United States — continued | | | | | | | | |
| | |
Vistra Energy Corp. 5.88%, 6/1/2023 | | | 22,000 | | | | 22,206 | |
| | |
Vistra Operations Co. LLC 5.50%, 9/1/2026 (e) | | | 55,000 | | | | 55,638 | |
| | |
VOC Escrow Ltd. 5.00%, 2/15/2028 (e) | | | 10,000 | | | | 8,925 | |
| | |
W&T Offshore, Inc. 9.75%, 11/1/2023 (e) | | | 44,000 | | | | 39,050 | |
| | |
Welbilt, Inc. 9.50%, 2/15/2024 | | | 140,000 | | | | 147,788 | |
| | |
Wells Fargo & Co. 4.90%, 11/17/2045 | | | 150,000 | | | | 189,660 | |
| | |
WESCO Distribution, Inc. 5.38%, 6/15/2024 | | | 17,000 | | | | 17,510 | |
| | |
Western Digital Corp. 4.75%, 2/15/2026 | | | 50,000 | | | | 51,625 | |
| | |
Whiting Petroleum Corp. | �� | | | | | | | |
| | |
5.75%, 3/15/2021 | | | 85,000 | | | | 48,875 | |
| | |
6.63%, 1/15/2026 | | | 21,000 | | | | 7,665 | |
| | |
William Carter Co. (The) 5.63%, 3/15/2027 (e) | | | 8,000 | | | | 8,511 | |
| | |
Williams Cos., Inc. (The) 4.00%, 9/15/2025 | | | 275,000 | | | | 297,705 | |
| | |
Windstream Services LLC 8.63%, 10/31/2025 (e) (f) | | | 15,000 | | | | 13,662 | |
| | |
WMG Acquisition Corp. | | | | | | | | |
| | |
4.13%, 11/1/2024 (a) | | EUR | 135,000 | | | | 153,504 | |
| | |
4.88%, 11/1/2024 (e) | | | 113,000 | | | | 116,108 | |
| | |
Wolverine Escrow LLC 9.00%, 11/15/2026 (e) | | | 70,000 | | | | 69,825 | |
| | |
WPX Energy, Inc. 8.25%, 8/1/2023 | | | 41,000 | | | | 45,715 | |
| | |
Wyndham Destinations, Inc. | | | | | | | | |
| | |
5.40%, 4/1/2024 (f) | | | 4,000 | | | | 4,290 | |
| | |
6.35%, 10/1/2025 (f) | | | 13,000 | | | | 14,235 | |
| | |
5.75%, 4/1/2027 (f) | | | 17,000 | | | | 17,972 | |
| | |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (e) | | | 121,000 | | | | 118,731 | |
| | |
XPO Logistics, Inc. | | | | | | | | |
| | |
6.50%, 6/15/2022 (e) | | | 90,000 | | | | 89,946 | |
| | |
6.13%, 9/1/2023 (e) | | | 26,000 | | | | 26,536 | |
| | |
6.75%, 8/15/2024 (e) | | | 35,000 | | | | 36,925 | |
| | |
Zayo Group LLC 6.38%, 5/15/2025 | | | 184,000 | | | | 188,140 | |
| | | | | | | | |
| | |
| | | | | | | 45,602,682 | |
| | | | | | | | |
| | |
Total Corporate Bonds
(Cost $81,466,067) | | | | | | | 82,396,180 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Foreign Government Securities — 26.1% | |
| | |
Angola — 0.5% | | | | | | | | |
| | |
Republic of Angola | | | | | | | | |
| | |
8.25%, 5/9/2028 (a) | | | 470,000 | | | | 482,484 | |
| | |
8.00%, 11/26/2029 (e) | | | 320,000 | | | | 320,800 | |
| | | | | | | | |
| | |
| | | | | | | 803,284 | |
| | | | | | | | |
| | |
Belarus — 0.2% | | | | | | | | |
| | |
Republic of Belarus 6.88%, 2/28/2023 (a) | | | 350,000 | | | | 375,375 | |
| | | | | | | | |
| | |
Benin — 0.2% | | | | | | | | |
| | |
Benin Government Bond 5.75%, 3/26/2026 (e) | | EUR | 320,000 | | | | 355,913 | |
| | | | | | | | |
| | |
Colombia — 0.6% | | | | | | | | |
| | |
Republic of Colombia | | | | | | | | |
| | |
3.00%, 1/30/2030 | | | 680,000 | | | | 687,650 | |
| | |
5.00%, 6/15/2045 | | | 200,000 | | | | 242,437 | |
| | | | | | | | |
| | |
| | | | | | | 930,087 | |
| | | | | | | | |
| | |
Cyprus — 0.7% | | | | | | | | |
| | |
Republic of Cyprus | | | | | | | | |
| | |
2.75%, 6/27/2024 (a) | | EUR | 230,000 | | | | 282,631 | |
| | |
2.38%, 9/25/2028 (a) | | EUR | 570,000 | | | | 727,892 | |
| | |
2.75%, 2/26/2034 (a) | | EUR | 180,000 | | | | 248,187 | |
| | | | | | | | |
| | |
| | | | | | | 1,258,710 | |
| | | | | | | | |
| | |
Dominican Republic — 0.4% | | | | | | | | |
| | |
Dominican Republic Government Bond | | | | | | | | |
| | |
9.75%, 6/5/2026 (e) | | DOP | 14,000,000 | | | | 264,367 | |
| | |
5.95%, 1/25/2027 (a) | | | 160,000 | | | | 175,000 | |
| | |
5.88%, 1/30/2060 (e) | | | 230,000 | | | | 227,355 | |
| | | | | | | | |
| | |
| | | | | | | 666,722 | |
| | | | | | | | |
| | |
Ecuador — 0.2% | | | | | | | | |
| | |
Republic of Ecuador 10.50%, 3/24/2020 (a) | | | 350,000 | | | | 346,719 | |
| | | | | | | | |
| | |
Egypt — 0.3% | | | | | | | | |
| | |
Arab Republic of Egypt | | | | | | | | |
| | |
7.60%, 3/1/2029 (e) | | | 280,000 | | | | 300,212 | |
| | |
7.05%, 1/15/2032 (e) | | | 230,000 | | | | 234,025 | |
| | | | | | | | |
| | |
| | | | | | | 534,237 | |
| | | | | | | | |
| | |
El Salvador — 0.3% | | | | | | | | |
| | |
Republic of El Salvador | | | | | | | | |
| | |
7.75%, 1/24/2023 (a) | | | 152,000 | | | | 165,822 | |
| | |
7.12%, 1/20/2050 (e) | | | 377,000 | | | | 393,612 | |
| | | | | | | | |
| | |
| | | | | | | 559,434 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 77 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Foreign Government Securities — continued | |
| | |
Ethiopia — 0.1% | | | | | | | | |
| | |
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (a) | | | 200,000 | | | | 211,750 | |
| | | | | | | | |
| | |
Greece — 1.5% | | | | | | | | |
| | |
Hellenic Republic | | | | | | | | |
| | |
3.38%, 2/15/2025 (a) | | EUR | 676,000 | | | | 841,838 | |
| | |
1.88%, 7/23/2026 (a) | | EUR | 466,000 | | | | 544,422 | |
| | |
3.88%, 3/12/2029 (a) | | EUR | 550,000 | | | | 736,154 | |
| | |
1.88%, 2/4/2035 (a) | | EUR | 350,000 | | | | 387,085 | |
| | | | | | | | |
| | |
| | | | | | | 2,509,499 | |
| | | | | | | | |
| | |
Hungary — 0.2% | | | | | | | | |
| | |
Hungary Government Bond 7.63%, 3/29/2041 | | | 230,000 | | | | 393,300 | |
| | | | | | | | |
| | |
Indonesia — 1.8% | | | | | | | | |
| | |
Republic of Indonesia | | | | | | | | |
| | |
8.25%, 7/15/2021 | | IDR | 8,945,000,000 | | | | 650,574 | |
| | |
7.00%, 5/15/2022 | | IDR | 12,372,000,000 | | | | 892,060 | |
| | |
8.25%, 5/15/2029 | | IDR | 3,688,000,000 | | | | 276,841 | |
| | |
8.75%, 5/15/2031 | | IDR | 4,634,000,000 | | | | 355,443 | |
| | |
1.40%, 10/30/2031 | | EUR | 353,000 | | | | 389,207 | |
| | |
6.63%, 2/17/2037 (a) | | | 340,000 | | | | 477,913 | |
| | | | | | | | |
| | |
| | | | | | | 3,042,038 | |
| | | | | | | | |
| | |
Italy — 3.1% | | | | | | | | |
| | |
Buoni Poliennali del Tesoro | | | | | | | | |
| | |
0.95%, 3/1/2023 | | EUR | 760,000 | | | | 857,292 | |
| | |
3.85%, 9/1/2049 (a) | | EUR | 1,205,000 | | | | 1,839,137 | |
| | |
Italian Republic Government Bond | | | | | | | | |
| | |
2.38%, 10/17/2024 | | | 1,345,000 | | | | 1,350,678 | |
| | |
2.88%, 10/17/2029 | | | 1,135,000 | | | | 1,132,862 | |
| | | | | | | | |
| | |
| | | | | | | 5,179,969 | |
| | | | | | | | |
| | |
Ivory Coast — 0.2% | | | | | | | | |
| | |
Republic of Cote d’Ivoire 6.88%, 10/17/2040 (e) | | EUR | 310,000 | | | | 358,480 | |
| | | | | | | | |
| | |
Jamaica — 0.3% | | | | | | | | |
| | |
Jamaica Government Bond | | | | | | | | |
| | |
8.00%, 3/15/2039 | | | 120,000 | | | | 164,063 | |
| | |
7.88%, 7/28/2045 | | | 200,000 | | | | 270,937 | |
| | | | | | | | |
| | |
| | | | | | | 435,000 | |
| | | | | | | | |
| | |
Kazakhstan — 0.3% | | | | | | | | |
| | |
Republic of Kazakhstan 1.50%, 9/30/2034 (e) | | EUR | 370,000 | | | | 419,694 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | | | | | | | |
| | |
Kenya — 0.2% | | | | | | | | |
| | |
Republic of Kenya 8.25%, 2/28/2048 (a) | | | 250,000 | | | | 266,875 | |
| | | | | | | | |
| | |
Lebanon — 0.1% | | | | | | | | |
| | |
Lebanese Republic | | | | | | | | |
| | |
6.65%, 4/22/2024 (a) | | | 280,000 | | | | 74,200 | |
| | |
6.65%, 11/3/2028 (a) | | | 226,000 | | | | 58,760 | |
| | | | | | | | |
| | |
| | | | | | | 132,960 | |
| | | | | | | | |
| | |
Malaysia — 1.0% | | | | | | | | |
| | |
Malaysia Government Bond | | | | | | | | |
| | |
3.88%, 3/10/2022 | | MYR | 3,670,000 | | | | 891,973 | |
| | |
3.48%, 3/15/2023 | | MYR | 3,630,000 | | | | 882,799 | |
| | | | | | | | |
| | |
| | | | | | | 1,774,772 | |
| | | | | | | | |
| | |
Mexico — 2.3% | | | | | | | | |
| | |
Mex Bonos Desarr Fix Rt | | | | | | | | |
| | |
Series M 20, 8.50%, 5/31/2029 | | MXN | 29,000,000 | | | | 1,653,049 | |
| | |
7.75%, 5/29/2031 | | MXN | 30,000,000 | | | | 1,641,904 | |
| | |
United Mexican States | | | | | | | | |
| | |
3.25%, 4/16/2030 | | | 240,000 | | | | 246,360 | |
| | |
4.50%, 1/31/2050 | | | 310,000 | | | | 351,269 | |
| | | | | | | | |
| | |
| | | | | | | 3,892,582 | |
| | | | | | | | |
| | |
Morocco — 0.4% | | | | | | | | |
| | |
Kingdom of Morocco | | | | | | | | |
| | |
1.50%, 11/27/2031 (e) | | EUR | 180,000 | | | | 201,692 | |
| | |
5.50%, 12/11/2042 (a) | | | 320,000 | | | | 406,200 | |
| | | | | | | | |
| | |
| | | | | | | 607,892 | |
| | | | | | | | |
| | |
Nigeria — 0.3% | | | | | | | | |
| | |
Federal Republic of Nigeria | | | | | | | | |
| | |
7.14%, 2/23/2030 (a) | | | 390,000 | | | | 387,319 | |
| | |
7.88%, 2/16/2032 (a) | | | 200,000 | | | | 201,687 | |
| | | | | | | | |
| | |
| | | | | | | 589,006 | |
| | | | | | | | |
| | |
Oman — 0.3% | | | | | | | | |
| | |
Sultanate of Oman Government Bond 5.38%, 3/8/2027 (a) | | | 580,000 | | | | 578,731 | |
| | | | | | | | |
| | |
Panama — 0.3% | | | | | | | | |
| | |
Republic of Panama 3.87%, 7/23/2060 | | | 400,000 | | | | 457,500 | |
| | | | | | | | |
| | |
Paraguay — 0.1% | | | | | | | | |
| | |
Republic of Paraguay 5.00%, 4/15/2026 (a) | | | 220,000 | | | | 245,850 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 78 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Foreign Government Securities — continued | |
| | |
Peru — 0.4% | | | | | | | | |
| | |
Republic of Peru 6.95%, 8/12/2031 (a) | | PEN | 1,750,000 | | | | 616,852 | |
| | | | | | | | |
| | |
Portugal — 4.0% | | | | | | | | |
| | |
Obrigacoes do Tesouro | | | | | | | | |
| | |
2.88%, 10/15/2025 (a) | | EUR | 2,220,000 | | | | 2,848,902 | |
| | |
2.88%, 7/21/2026 (a) | | EUR | 1,035,000 | | | | 1,347,973 | |
| | |
1.95%, 6/15/2029 (a) | | EUR | 790,000 | | | | 1,006,811 | |
| | |
3.88%, 2/15/2030 (a) | | EUR | 500,000 | | | | 743,732 | |
| | |
Portuguese Republic 5.13%, 10/15/2024 (a) | | | 740,000 | | | | 847,618 | |
| | | | | | | | |
| | |
| | | | | | | 6,795,036 | |
| | | | | | | | |
| | |
Qatar — 0.2% | | | | | | | | |
| | |
State of Qatar 5.10%, 4/23/2048 (a) | | | 245,000 | | | | 325,238 | |
| | | | | | | | |
| | |
Romania — 0.4% | | | | | | | | |
| | |
Romania Government Bond | | | | | | | | |
| | |
2.12%, 7/16/2031 (e) | | EUR | 193,000 | | | | 220,719 | |
| | |
2.00%, 1/28/2032 (e) | | EUR | 80,000 | | | | 89,641 | |
| | |
4.63%, 4/3/2049 (e) | | EUR | 256,000 | | | | 355,384 | |
| | | | | | | | |
| | |
| | | | | | | 665,744 | |
| | | | | | | | |
| | |
Russia — 0.8% | | | | | | | | |
| | |
Russian Federation | | | | | | | | |
| | |
7.75%, 9/16/2026 | | RUB | 24,800,000 | | | | 402,454 | |
| | |
7.25%, 5/10/2034 | | RUB | 24,590,000 | | | | 391,249 | |
| | |
5.88%, 9/16/2043 (a) | | | 400,000 | | | | 548,500 | |
| | | | | | | | |
| | |
| | | | | | | 1,342,203 | |
| | | | | | | | |
| | |
Serbia — 0.2% | | | | | | | | |
| | |
Republic of Serbia 1.50%, 6/26/2029 (e) | | EUR | 230,000 | | | | 261,526 | |
| | | | | | | | |
| | |
South Africa — 0.7% | | | | | | | | |
| | |
Republic of South Africa | | | | | | | | |
| | |
8.88%, 2/28/2035 | | ZAR | 4,000,000 | | | | 235,457 | |
| | |
9.00%, 1/31/2040 | | ZAR | 4,000,000 | | | | 229,695 | |
| | |
6.50%, 2/28/2041 | | ZAR | 17,611,087 | | | | 771,283 | |
| | | | | | | | |
| | |
| | | | | | | 1,236,435 | |
| | | | | | | | |
| | |
South Korea — 0.2% | | | | | | | | |
| | |
Korea Housing Finance Corp. 0.10%, 6/18/2024 (e) | | EUR | 371,000 | | | | 414,079 | |
| | | | | | | | |
| | |
Spain — 2.2% | | | | | | | | |
| | |
Bonos and Obligaciones del Estado 1.45%, 4/30/2029 (a) | | EUR | 70,000 | | | | 85,872 | |
| | |
0.60%, 10/31/2029 (a) | | EUR | 2,575,000 | | | | 2,937,288 | |
| | |
1.85%, 7/30/2035 (a) | | EUR | 580,000 | | | | 754,718 | |
| | | | | | | | |
| | |
| | | | | | | 3,777,878 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| | |
| | | | | | | | |
| | |
Sri Lanka — 0.2% | | | | | | | | |
| |
Democratic Socialist Republic of Sri Lanka | | | | | |
| | |
6.35%, 6/28/2024 (e) | | | 200,000 | | | | 198,352 | |
| | |
7.55%, 3/28/2030 (e) | | | 200,000 | | | | 187,763 | |
| | | | | | | | |
| | |
| | | | | | | 386,115 | |
| | | | | | | | |
| | |
Turkey — 0.3% | | | | | | | | |
| |
Republic of Turkey | | | | | |
| | |
5.60%, 11/14/2024 | | | 330,000 | | | | 328,350 | |
| | |
5.75%, 5/11/2047 | | | 220,000 | | | | 187,550 | |
| | | | | | | | |
| | |
| | | | | | | 515,900 | |
| | | | | | | | |
| | |
Ukraine — 0.4% | | | | | | | | |
| |
Ukraine Government Bond | | | | | |
| | |
7.75%, 9/1/2026 (a) | | | 370,000 | | | | 405,150 | |
| | |
7.38%, 9/25/2032 (a) | | | 230,000 | | | | 246,819 | |
| | | | | | | | |
| | |
| | | | | | | 651,969 | |
| | | | | | | | |
| | |
Uruguay — 0.2% | | | | | | | | |
| | |
Oriental Republic of Uruguay 5.10%, 6/18/2050 | | | 320,000 | | | | 403,900 | |
| | | | | | | | |
| |
Total Foreign Government Securities
(Cost $43,807,249) | | | | 44,319,254 | |
| | | | | | | | |
Asset-Backed Securities — 9.0% | |
| | |
Cayman Islands — 0.7% | | | | | | | | |
| | |
Apidos CLO XXX Series XXXA, Class A2, 3.42%, 10/18/2031 (e) (j) | | | 250,000 | | | | 247,450 | |
| | |
Benefit Street Partners CLO XI Series2017-11A, Class A2A, 3.58%, 4/15/2029 (e) (j) | | | 250,000 | | | | 250,000 | |
| | |
BlueMountain CLO Ltd. Series2014-2A, Class BR2, 3.57%, 10/20/2030 ‡ (e) (j) | | | 350,000 | | | | 348,565 | |
| | |
Shackleton CLO Ltd. Series2014-6RA, Class B, 3.57%, 7/17/2028(e)(j) | | | 260,000 | | | | 259,766 | |
| | | | | | | | |
| | |
| | | | | | | 1,105,781 | |
| | | | | | | | |
| | |
United States — 8.3% | | | | | | | | |
| | |
ACC Trust Series2019-1, Class A, 3.75%, 5/20/2022 (e) | | | 62,921 | | | | 63,388 | |
| | |
Accelerated Assets LLC Series2018-1, Class C, 6.65%, 12/2/2033 ‡ (e) | | | 210,965 | | | | 222,948 | |
| |
American Credit Acceptance Receivables Trust | | | | | |
| | |
Series2016-4, Class D, 4.11%, 4/12/2023 (e) | | | 43,404 | | | | 43,662 | |
| | |
Series2019-3, Class B, 2.59%, 8/14/2023 (e) | | | 290,000 | | | | 293,294 | |
| | |
Series2018-3, Class C, 3.75%, 10/15/2024 (e) | | | 60,000 | | | | 60,652 | |
| | |
Series2019-3, Class C, 2.76%, 9/12/2025 (e) | | | 192,000 | | | | 195,903 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 79 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Asset-Backed Securities — continued | |
| | |
United States — continued | | | | | | | | |
| | |
Series2019-3, Class D, 2.89%, 9/12/2025 (e) | | | 97,000 | | | | 98,513 | |
| | |
Business Jet Securities LLC Series2018-2, Class C, 6.66%, 6/15/2033 (e) | | | 140,014 | | | | 143,134 | |
| | |
Chase Funding Trust Series2003-6, Class 1A7, 5.02%, 11/25/2034 ‡ (f) | | | 121,172 | | | | 127,624 | |
| | |
Conn’s Receivables Funding LLC | | | | | | | | |
| | |
Series2019-A, Class B, 4.36%, 10/16/2023 ‡ (e) | | | 110,000 | | | | 111,257 | |
| | |
Series2019-A, Class C, 5.29%, 10/16/2023 ‡ (e) | | | 100,000 | | | | 101,167 | |
| | |
CPS Auto Receivables Trust | | | | | | | | |
| | |
Series2018-A, Class B, 2.77%, 4/18/2022 (e) | | | 282,502 | | | | 282,997 | |
| | |
Series2018-A, Class D, 3.66%, 12/15/2023 (e) | | | 400,000 | | | | 411,313 | |
| | |
Credit Acceptance Auto Loan Trust | | | | | | | | |
| | |
Series2018-1A, Class C, 3.77%, 6/15/2027 (e) | | | 250,000 | | | | 256,814 | |
| | |
Series2018-3A, Class B, 3.89%, 10/15/2027 (e) | | | 250,000 | | | | 259,761 | |
| | |
Credit-Based Asset Servicing & Securitization LLC Series2004-CB5, Class M1, 2.54%, 1/25/2034 ‡ (j) | | | 104,588 | | | | 103,405 | |
| | |
Drive Auto Receivables Trust | | | | | | | | |
| | |
Series2018-3, Class D, 4.30%, 9/16/2024 | | | 256,000 | | | | 264,628 | |
| | |
Series2018-4, Class C, 3.66%, 11/15/2024 | | | 260,000 | | | | 262,984 | |
| | |
DT Auto Owner Trust | | | | | | | | |
| | |
Series2018-3A, Class C, 3.79%, 7/15/2024 (e) | | | 260,000 | | | | 266,005 | |
| | |
Series2019-1A, Class D, 3.87%, 11/15/2024 (e) | | | 65,000 | | | | 67,224 | |
| | |
Series2019-1A, Class E, 4.94%, 2/17/2026 (e) | | | 100,000 | | | | 104,010 | |
| | |
Exeter Automobile Receivables Trust | | | | | | | | |
| | |
Series2015-3A, Class D, 6.55%, 10/17/2022 (e) | | | 213,482 | | | | 214,440 | |
| | |
Series2018-3A, Class C, 3.71%, 6/15/2023 (e) | | | 99,000 | | | | 100,647 | |
| | |
Series2017-3A, Class C, 3.68%, 7/17/2023 (e) | | | 180,000 | | | | 184,820 | |
| | |
Series2016-3A, Class D, 6.40%, 7/17/2023 (e) | | | 350,000 | | | | 365,979 | |
| | |
Series2018-2A, Class D, 4.04%, 3/15/2024 (e) | | | 60,000 | | | | 62,019 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| | |
United States — continued | | | | | | | | |
| | |
Series2018-3A, Class D, 4.35%, 6/17/2024 (e) | | | 210,000 | | | | 219,053 | |
| | |
Series2019-1A, Class C, 3.82%, 12/16/2024 (e) | | | 130,000 | | | | 133,341 | |
| | |
Series2019-1A, Class D, 4.13%, 12/16/2024 (e) | | | 240,000 | | | | 248,489 | |
| | |
Flagship Credit Auto Trust | | | | | | | | |
| | |
Series2018-3, Class A, 3.07%, 2/15/2023 (e) | | | 130,375 | | | | 131,250 | |
| | |
Series2017-4, Class D, 3.58%, 1/15/2024 (e) | | | 280,000 | | | | 289,646 | |
| | |
Series2017-2, Class E, 5.55%, 7/15/2024 (e) | | | 380,000 | | | | 399,647 | |
| | |
Series2018-3, Class C, 3.79%, 12/16/2024 (e) | | | 170,000 | | | | 176,930 | |
| | |
FREED ABS Trust | | | | | | | | |
| | |
Series2018-1, Class A, 3.61%, 7/18/2024 (e) | | | 29,665 | | | | 29,846 | |
| | |
Series2018-1, Class B, 4.56%, 7/18/2024 ‡ (e) | | | 100,000 | | | | 102,185 | |
| | |
GLS Auto Receivables Issuer Trust | | | | | | | | |
| | |
Series2019-2A, Class B, 3.32%, 3/15/2024 (e) | | | 200,000 | | | | 206,110 | |
| | |
Series2019-1A, Class C, 3.87%, 12/16/2024 (e) | | | 155,000 | | | | 160,871 | |
| | |
Lendmark Funding Trust Series2019-2A, Class C, 3.72%, 4/20/2028 ‡ (e) | | | 580,000 | | | | 597,586 | |
| | |
Marlette Funding Trust | | | | | | | | |
| | |
Series2018-1A, Class B, 3.19%, 3/15/2028 ‡ (e) | | | 48,246 | | | | 48,348 | |
| | |
Series2018-1A, Class C, 3.69%, 3/15/2028 (e) | | | 100,000 | | | | 101,152 | |
| | |
Series2018-2A, Class B, 3.61%, 7/17/2028 ‡ (e) | | | 335,000 | | | | 336,970 | |
| | |
Series2018-2A, Class C, 4.37%, 7/17/2028 (e) | | | 280,000 | | | | 287,159 | |
| | |
Series2018-3A, Class A, 3.20%, 9/15/2028 (e) | | | 14,750 | | | | 14,786 | |
| | |
MFA LLC | | | | | | | | |
| | |
Series 2017-NPL1, Class A1, 3.35%, 11/25/2047 ‡ (e) (f) | | | 193,979 | | | | 194,699 | |
| | |
Series 2018-NPL2, Class A1, 4.16%, 7/25/2048 ‡ (e) (f) | | | 133,944 | | | | 134,654 | |
| | |
Morgan Stanley ABS Capital I, Inc. Trust Series2004-NC8, Class B1, 4.25%, 9/25/2034 ‡ (j) | | | 277,953 | | | | 280,140 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 80 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Asset-Backed Securities — continued | |
| | |
United States — continued | | | | | | | | |
| | |
OneMain Direct Auto Receivables Trust | | | | | | | | |
| | |
Series2018-1A, Class B, 3.71%, 4/14/2025 (e) | | | 100,000 | | | | 103,435 | |
| | |
Series2018-1A, Class D, 4.40%, 1/14/2028 (e) | | | 160,000 | | | | 166,936 | |
| | |
OneMain Financial Issuance Trust Series2018-1A, Class D, 4.08%, 3/14/2029 ‡ (e) | | | 100,000 | | | | 103,912 | |
| | |
Oportun Funding VI LLCSeries 2017-A, Class B, 3.97%, 6/8/2023 ‡ (e) (j) | | | 293,000 | | | | 293,525 | |
| | |
PNMAC GMSR Issuer Trust | | | | | | | | |
| | |
Series2018-GT2, Class A, 4.28%, 8/25/2025 (e) (j) | | | 210,000 | | | | 210,665 | |
| | |
Prestige Auto Receivables Trust
Series2018-1A, Class C, 3.75%, 10/15/2024(e) | | | 440,000 | | | | 455,873 | |
| | |
Pretium Mortgage Credit Partners I LLC Series 2019-NPL2, Class A2, 5.93%, 12/25/2058 ‡ (e) (f) | | | 250,000 | | | | 255,836 | |
| | |
Progress Residential Trust
Series 2018-SFR3, Class E, 4.87%, 10/17/2035 ‡ (e) | | | 262,000 | | | | 272,707 | |
| | |
Santander Drive Auto Receivables Trust Series2018-4, Class D, 3.98%, 12/15/2025 | | | 350,000 | | | | 362,568 | |
| | |
Santander Revolving Auto Loan Trust | | | | | | | | |
| | |
Series2019-A, Class C, 3.00%, 1/26/2032 (e) | | | 150,000 | | | | 155,009 | |
| | |
Series2019-A, Class D, 3.45%, 1/26/2032 (e) | | | 650,000 | | | | 670,447 | |
| | |
SoFi Consumer Loan Program Trust Series2018-1, Class B, 3.65%, 2/25/2027 (e) | | | 100,000 | | | | 103,115 | |
| |
Structured Asset Investment Loan Trust | | | | | |
| | |
Series2004-8, Class M3, 2.60%, 9/25/2034 ‡ (j) | | | 73,856 | | | | 72,760 | |
| | |
Series2005-HE3, Class M1, 2.35%, 9/25/2035 ‡ (j) | | | 89,189 | | | | 89,032 | |
| | |
Tricolor Auto Securitization Trust | | | | | | | | |
| | |
Series2018-2A, Class A, 3.96%, 10/15/2021 (e) | | | 47,778 | | | | 47,857 | |
| | |
Series2018-2A, Class C, 5.75%, 5/16/2022 (e) | | | 380,888 | | | | 386,852 | |
| | |
VOLT LXIV LLC Series 2017-NP11, Class A1, 3.38%, 10/25/2047 ‡ (e) (f) | | | 29,715 | | | | 29,770 | |
| | |
VOLT LXXX LLC Series 2019-NPL6, Class A1B, 4.09%, 10/25/2049 ‡ (e) (f) | | | 675,000 | | | | 684,203 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| | |
United States — continued | | | | | | | | |
| | |
VOLT LXXXIII LLC Series 2019-NPL9, Class A1B, 4.09%, 11/26/2049 ‡ (e) (f) | | | 580,000 | | | | 586,939 | |
| | |
Westlake Automobile Receivables Trust Series2018-2A, Class E, 4.86%, 1/16/2024 (e) | | | 310,000 | | | | 324,807 | |
| | | | | | | | |
| | |
| | | | | | | 14,137,698 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities
(Cost $14,905,740) | | | | | | | 15,243,479 | |
| | | | | | | | |
Collateralized Mortgage Obligations — 5.8% | |
| | |
United Kingdom — 0.3% | | | | | | | | |
| | |
Brass NO 8 plc Series 8A, Class A1, 2.39%, 11/16/2066 (e) (j) | | | 219,030 | | | | 219,831 | |
| | |
Lanark Master Issuer plc
Series2019-1A, Class 1A1, 2.45%, 12/22/2069 (e) (j) | | | 164,000 | | | | 164,488 | |
| | |
Permanent Master Issuer plc
Series2018-1A, Class 1A1, 2.21%, 7/15/2058 (e) (j) | | | 191,250 | | | | 191,299 | |
| | | | | | | | |
| | |
| | | | | | | 575,618 | |
| | | | | | | | |
| | |
United States — 5.5% | | | | | | | | |
| | |
Alternative Loan Trust | | | | | | | | |
| | |
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | | | 153,608 | | | | 156,303 | |
| | |
Series2005-6CB, Class 1A6, 5.50%, 4/25/2035 | | | 95,409 | | | | 97,989 | |
| | |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | | | 129,720 | | | | 133,106 | |
| | |
Series2007-2CB, Class 1A6, 5.75%, 3/25/2037 | | | 169,948 | | | | 144,018 | |
| | |
Angel Oak Mortgage Trust
Series2019-5, Class A1, 2.59%, 10/25/2049 (e) (j) | | | 617,384 | | | | 620,438 | |
| | |
Antler Mortgage Trust
Series 2019-RTL1, Class A2, 4.95%, 8/25/2022 (e) (j) | | | 600,000 | | | | 620,129 | |
| | |
Chase Mortgage Finance Trust
Series2007-A1, Class 1A5, 4.41%, 2/25/2037 (j) | | | 35,555 | | | | 36,147 | |
| | |
CHL Mortgage Pass-Through Trust Series2007-16, Class A1, 6.50%, 10/25/2037 | | | 65,313 | | | | 53,352 | |
| | |
CIM Trust Series 2019-INV3, Class A11, 2.61%, 8/25/2049 (e) (j) | | | 269,496 | | | | 269,602 | |
| | |
COLT Mortgage Loan Trust
Series2019-4, Class A1, 2.58%, 11/25/2049 (e) (j) | | | 168,641 | | | | 170,790 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 81 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Collateralized Mortgage Obligations — continued | |
| | |
United States — continued | | | | | | | | |
| | |
Deephaven Residential Mortgage Trust | | | | | | | | |
| | |
Series2019-4A, Class A1, 2.79%, 10/25/2059 (e) (j) | | | 270,197 | | | | 271,833 | |
| | |
Series2020-1, Class A1, 2.34%, 1/25/2060 (e) (j) | | | 170,000 | | | | 170,563 | |
| | |
FHLMC Structured Agency Credit Risk Debt Notes Series 2018-HQA1, Class M2, 3.93%, 9/25/2030 (j) | | | 60,000 | | | | 60,570 | |
| | |
FHLMC, REMIC | | | | | | | | |
| | |
Series 2916, Class S, IF, IO, 5.59%, 1/15/2035 (j) | | | 2,230,801 | | | | 477,365 | |
| | |
Series 4305, Class SK, IF, IO, 4.94%, 2/15/2044 (j) | | | 850,581 | | | | 190,258 | |
| | |
Series 4689, Class SD, IF, IO, 4.49%, 6/15/2047 (j) | | | 642,640 | | | | 123,083 | |
| | |
Series 4714, Class SA, IF, IO, 4.49%, 8/15/2047 (j) | | | 494,818 | | | | 109,805 | |
| | |
Flagstar Mortgage Trust
Series 2020-1INV, Class A11, 2.51%, 3/25/2050 (e) (j) | | | 160,000 | | | | 160,425 | |
| | |
FNMA, Connecticut Avenue Securities | | | | | | | | |
| | |
Series2015-C03, Class 2M2, 6.63%, 7/25/2025 (j) | | | 137,385 | | | | 145,279 | |
| | |
Series2016-C06, Class 1M2, 5.88%, 4/25/2029 (j) | | | 60,000 | | | | 63,630 | |
| | |
Series2018-C05, Class 1M2, 3.98%, 1/25/2031 (j) | | | 10,000 | | | | 10,119 | |
| | |
Series2018-C06, Class 1M2, 3.63%, 3/25/2031 (j) | | | 113,664 | | | | 113,843 | |
| | |
Series2018-C06, Class 2M2, 3.73%, 3/25/2031 (j) | | | 30,000 | | | | 30,195 | |
| | |
FNMA, REMIC | | | | | | | | |
| | |
Series2010-57, Class ID, IO, 4.00%, 6/25/2025 | | | 333,914 | | | | 13,583 | |
| | |
Series2012-146, Class AI, IO, 3.00%, 1/25/2028 | | | 1,808,931 | | | | 120,346 | |
| | |
Series2016-68, Class BI, IO, 3.00%, 10/25/2031 | | | 1,060,555 | | | | 95,307 | |
| | |
Series2012-93, Class SE, IF, IO, 4.47%, 9/25/2042 (j) | | | 149,491 | | | | 32,978 | |
| | |
Series2012-124, Class UI, IO, 4.00%, 11/25/2042 | | | 204,590 | | | | 27,021 | |
| | |
Series2012-133, Class NS, IF, IO, 4.52%, 12/25/2042 (j) | | | 278,462 | | | | 64,345 | |
| | |
Series2015-40, Class LS, IF, IO, 4.54%, 6/25/2045 (j) | | | 461,228 | | | | 99,212 | |
| | |
Series2016-75, Class SC, IF, IO, 4.47%, 10/25/2046 (j) | | | 916,629 | | | | 192,867 | |
| | |
Series2017-31, Class SG, IF, IO, 4.47%, 5/25/2047 (j) | | | 1,604,389 | | | | 322,222 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| | |
United States — continued | | | | | | | | |
| | |
Series2017-39, Class ST, IF, IO, 4.47%, 5/25/2047 (j) | | | 432,990 | | | | 92,315 | |
| | |
Series2017-69, Class SH, IF, IO, 4.57%, 9/25/2047 (j) | | | 712,963 | | | | 158,481 | |
| | |
Series2019-42, Class SK, IF, IO, 4.42%, 8/25/2049 (j) | | | 1,271,260 | | | | 243,043 | |
| | |
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (j) | | | 264,387 | | | | 22,145 | |
| | |
GCAT Trust Series 2020-NQM1, Class A1, 2.25%, 1/25/2060 (e) (f) | | | 530,000 | | | | 529,991 | |
| | |
GNMA | | | | | | | | |
| | |
Series2017-107, Class KS, IF, IO, 4.55%, 7/20/2047 (j) | | | 519,722 | | | | 94,828 | |
| | |
Series2019-42, Class SJ, IF, IO, 4.40%, 4/20/2049 (j) | | | 1,374,178 | | | | 195,714 | |
| | |
Series2015-H13, Class GI, IO, 1.62%, 4/20/2065 (j) | | | 252,167 | | | | 10,539 | |
| | |
Series2017-H14, Class FG, 3.49%, 6/20/2067 (j) | | | 381,343 | | | | 389,181 | |
| | |
Homeward Opportunities Fund I Trust | | | | | | | | |
| | |
Series2018-1, Class A1, 3.77%, 6/25/2048 (e) (j) | | | 56,820 | | | | 57,529 | |
| | |
Series2019-1, Class M1, 3.95%, 1/25/2059 ‡ (e) (j) | | | 150,000 | | | | 153,617 | |
| | |
Merrill Lynch Mortgage Investors Trust Series2004-C, Class A1, 2.19%, 7/25/2029 (j) | | | 81,570 | | | | 79,736 | |
| | |
OBX Trust | | | | | | | | |
| | |
Series 2019-EXP1, Class 2A1B, 2.58%, 1/25/2059 (e) (j) | | | 206,000 | | | | 202,741 | |
| | |
Series 2019-EXP3, Class 2A1B, 2.53%, 10/25/2059 (e) (j) | | | 130,000 | | | | 130,861 | |
| | |
PRPM LLC Series2019-1A, Class A1, 4.50%, 1/25/2024 (e) (f) | | | 490,343 | | | | 496,397 | |
| | |
Starwood Mortgage Residential Trust Series2020-1, Class A1, 2.27%, 2/25/2050 (e) (j) | | | 250,000 | | | | 251,853 | |
| | |
Structured Adjustable Rate Mortgage Loan Trust Series2004-8, Class 3A, 3.95%, 7/25/2034 (j) | | | 20,425 | | | | 20,742 | |
| | |
Toorak Mortgage Corp. Ltd.
Series2018-1, Class A1, 4.34%, 8/25/2021 (e) (f) | | | 240,000 | | | | 242,553 | |
| | |
Verus Securitization Trust | | | | | | | | |
| | |
Series2018-2, Class A1, 3.68%, 6/1/2058 (e) (j) | | | 127,783 | | | | 129,079 | |
| | |
Series2019-1, Class A1, 3.84%, 2/25/2059 (e) (j) | | | 205,304 | | | | 208,377 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 82 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Collateralized Mortgage Obligations — continued | |
| | |
United States — continued | | | | | | | | |
| | |
Series 2019-INV3, Class A1, 2.69%, 11/25/2059 (e) (j) | | | 381,863 | | | | 384,650 | |
| | | | | | | | |
| | |
| | | | | | | 9,291,095 | |
| | | | | | | | |
| |
Total Collateralized Mortgage Obligations
(Cost $9,554,635) | | | | 9,866,713 | |
| | | | | | | | |
Commercial Mortgage-Backed Securities — 4.9% | |
| | |
United States — 4.9% | | | | | | | | |
| | |
BAMLLRe-REMIC Trust
Series 2014-FRR4, Class BK29, PO, 4/27/2023 (e) | | | 400,000 | | | | 327,390 | |
| | |
Banc of America Commercial Mortgage Trust Series2007-5, Class AJ, 5.82%, 2/10/2051 (j) | | | 340,307 | | | | 367,689 | |
| | |
BANK Series 2020-BN25, Class XA, IO, 0.89%, 1/15/2063 (j) | | | 4,600,000 | | | | 347,305 | |
| | |
BX Commercial Mortgage Trust | | | | | | | | |
| | |
Series2018-IND, Class E, 3.36%, 11/15/2035 ‡ (e) (j) | | | 259,000 | | | | 259,325 | |
| | |
Series 2018-BIOA, Class D, 2.98%, 3/15/2037 ‡ (e) (j) | | | 485,000 | | | | 484,692 | |
| | |
BXMT Ltd. Series2017-FL1, Class D, 4.36%, 6/15/2035 ‡ (e) (j) | | | 210,000 | | | | 209,999 | |
| | |
Citigroup Commercial Mortgage Trust Series2015-P1, Class D, 3.23%, 9/15/2048 ‡ (e) | | | 205,000 | | | | 198,074 | |
| | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | | | | | | | |
| | |
Series K033, Class X1, IO, 0.30%, 7/25/2023 (j) | | | 3,919,788 | | | | 37,866 | |
| | |
Series K078, Class X3, IO, 2.21%, 10/25/2028 (j) | | | 1,820,000 | | | | 288,020 | |
| | |
Series K153, Class X3, IO, 3.77%, 4/25/2035 (j) | | | 340,000 | | | | 117,176 | |
| | |
Series K036, Class X3, IO, 2.11%, 12/25/2041 (j) | | | 2,640,000 | | | | 195,072 | |
| | |
Series K720, Class X3, IO, 1.33%, 8/25/2042 (j) | | | 6,800,000 | | | | 190,622 | |
| | |
Series K041, Class X3, IO, 1.64%, 11/25/2042 (j) | | | 3,470,000 | | | | 249,483 | |
| | |
Series K042, Class X3, IO, 1.60%, 1/25/2043 (j) | | | 1,720,000 | | | | 117,210 | |
| | |
Series K718, Class X3, IO, 1.44%, 2/25/2043 (j) | | | 10,025,000 | | | | 245,955 | |
| | |
Series K045, Class X3, IO, 1.50%, 4/25/2043 (j) | | | 1,915,000 | | | | 128,933 | |
| | |
Series K054, Class X3, IO, 1.60%, 4/25/2043 (j) | | | 1,365,000 | | | | 115,522 | |
| | |
Series K050, Class X3, IO, 1.55%, 10/25/2043 (j) | | | 1,010,000 | | | | 77,511 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| | |
United States — continued | | | | | | | | |
| | |
Series K051, Class X3, IO, 1.61%, 10/25/2043 (j) | | | 1,395,000 | | | | 111,916 | |
| | |
Series K052, Class X3, IO, 1.61%, 1/25/2044 (j) | | | 750,000 | | | | 62,647 | |
| | |
Series K726, Class X3, IO, 2.13%, 7/25/2044 (j) | | | 2,890,000 | | | | 229,321 | |
| | |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (j) | | | 1,385,000 | | | | 192,644 | |
| | |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (j) | | | 400,000 | | | | 58,533 | |
| | |
Series K089, Class X3, IO, 2.30%, 1/25/2046 (j) | | | 850,000 | | | | 149,716 | |
| | |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (j) | | | 980,000 | | | | 175,295 | |
| | |
FREMF Series 2018-KF46, Class B, 3.61%, 3/25/2028 (e) (j) | | | 538,820 | | | | 535,124 | |
| |
FREMF Mortgage Trust | | | | | |
| | |
Series 2017-KF31, Class B, 4.56%, 4/25/2024 (e) (j) | | | 46,257 | | | | 46,751 | |
| | |
Series 2017-KF36, Class B, 4.31%, 8/25/2024 (e) (j) | | | 64,639 | | | | 65,431 | |
| | |
Series 2017-KF38, Class B, 4.16%, 9/25/2024 (e) (j) | | | 47,303 | | | | 47,510 | |
| | |
Series 2018-KF47, Class B, 3.66%, 5/25/2025 (e) (j) | | | 42,330 | | | | 42,099 | |
| | |
Series 2018-KF49, Class B, 3.56%, 6/25/2025 (e) (j) | | | 482,166 | | | | 478,109 | |
| | |
Series 2017-K728, Class B, 3.65%, 11/25/2050 (e) (j) | | | 190,000 | | | | 200,140 | |
| | |
Series 2017-K728, Class C, 3.65%, 11/25/2050 (e) (j) | | | 105,000 | | | | 109,201 | |
| | |
Series 2019-K102, Class C, 3.65%, 12/25/2051 (e) (j) | | | 260,000 | | | | 269,678 | |
| | |
GNMA Series2017-23, IO, 0.72%, 5/16/2059 (j) | | | 638,610 | | | | 35,661 | |
| | |
GS Mortgage Securities Trust
Series 2012-GCJ9, Class D,
4.74%, 11/10/2045 ‡ (e) (j) | | | 320,000 | | | | 331,842 | |
| | |
LB Commercial Mortgage Trust
Series2007-C3, Class AJ, 6.05%, 7/15/2044 (j) | | | 19,749 | | | | 19,756 | |
| | |
LB-UBS Commercial Mortgage Trust Series2006-C6, Class AJ, 5.45%, 9/15/2039 (j) | | | 236,445 | | | | 143,640 | |
| | |
Morgan Stanley Capital I Trust
Series2005-HQ7, Class E, 5.38%, 11/14/2042 ‡ (j) | | | 56,591 | | | | 57,016 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 83 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
(Amounts in U.S. Dollars, unless otherwise noted)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
Commercial Mortgage-Backed Securities — continued | |
| | |
United States — continued | | | | | | | | |
| |
Velocity Commercial Capital Loan Trust | | | | | |
| | |
Series2018-2, Class A, 4.05%, 10/26/2048 (e) (j) | | | 231,575 | | | | 238,628 | |
| | |
Series2019-1, Class A, 3.76%, 3/25/2049 (e) (j) | | | 529,466 | | | | 546,947 | |
| | |
Series2019-1, Class M1, 3.94%, 3/25/2049 ‡ (e) (j) | | | 227,351 | | | | 236,023 | |
| | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities
(Cost $8,120,694) | | | | 8,341,472 | |
| | | | | | | | |
Supranational — 0.1% | | | | | |
| | |
African Export-Import Bank (The) 5.25%, 10/11/2023 (a)
(Cost $213,027) | | | 200,000 | | | | 216,812 | |
| | | | | | | | |
U.S. Treasury Obligations — 0.0%(h) | | | | | |
| | |
U.S. Treasury Bonds 3.00%, 2/15/2048(Cost $50,015) | | | 50,000 | | | | 64,871 | |
| | | | | | | | |
| | |
| | | NO. OF
WARRANTS | | | | |
Warrants — 0.0%(h) | |
|
Canada — 0.0%(h) | |
| | |
Ultra Petroleum Corp. expiring 7/14/2025, price 1.00 USD*
(Cost $—) | | | 2,450 | | | | 86 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
Short-Term Investments — 1.7% | |
|
Investment Companies — 1.7% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (k) (l)
(Cost $2,920,684) | | | 2,920,684 | | | | 2,920,684 | |
| | | | | |
Total Investments — 96.1%
(Cost $161,038,111) | | | | 163,369,551 | |
Other Assets Less Liabilities — 3.9% | | | | 6,559,288 | |
| | | | | |
NET ASSETS — 100.0% | | | | | | | 169,928,839 | |
| | | | | | | | |
Percentages indicated are based on net assets.
Abbreviations
| | |
| ABS | | Asset-backed securities |
| CLO | | Collateralized Loan Obligations |
| DKK | | Danish Krone |
| DOP | | Dominican Republic Peso |
| EUR | | Euro |
| EURIBOR | | Euro Interbank Offered Rate |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GBP | | British Pound |
| | |
| GNMA | | Government National Mortgage Association |
| ICE | | Intercontinental Exchange |
| IDR | | Indonesian Rupiah |
| IF | | Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index or have an interest rate that adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the rate in effect as of February 29, 2020. The rate may be subject to a cap and floor. |
| 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. |
| JSC | | Joint Stock Company |
| LIBOR | | London Interbank Offered Rate |
| MXN | | Mexican Peso |
| MYR | | Malaysian Ringgit |
| OYJ | | Public Limited Company |
| PEN | | Peruvian Nuevo Sol |
| 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. |
| PT | | Limited liability company |
| REIT | | Real Estate Investment Trust |
| REMIC | | Real Estate Mortgage Investment Conduit |
| Re-REMIC | | Combined Real Estate Mortgage Investment Conduit |
| RUB | | Russian Ruble |
| SCA | | Limited partnership with share capital |
| SOFR | | Secured Overnight Financing Rate |
| 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. |
| USD | | United States Dollar |
| ZAR | | South African Rand |
| (a) | | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security 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 February 29, 2020. |
| (d) | | Security is an interest bearing note with preferred security characteristics. |
| (e) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 84 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | |
| (f) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| (g) | | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
| (h) | | Amount rounds to less than 0.1% of net assets. |
| (i) | | Defaulted security. |
| | |
| (j) | | 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 is the current rate as of February 29, 2020. |
| (k) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (l) | | The rate shown is the current yield as of February 29, 2020. |
| * | | Non-income producing security. |
| ‡ | | Value determined using significant unobservable inputs. |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of February 29, 2020: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| |
Long Contracts | | | | | |
| | | | | |
| Australia 10 Year Bond | | | 56 | | | | 03/2020 | | | | AUD | | | | 5,461,098 | | | | 142,419 | |
| | | | | |
| Euro-BTP | | | 24 | | | | 03/2020 | | | | EUR | | | | 3,861,882 | | | | 9,904 | |
| | | | | |
| Canada 10 Year Bond | | | 157 | | | | 06/2020 | | | | CAD | | | | 16,671,417 | | | | 204,655 | |
| | | | | |
| U.S. Treasury 2 Year Note | | | 5 | | | | 06/2020 | | | | USD | | | | 1,091,680 | | | | 6,435 | |
| | | | | |
| U.S. Treasury 5 Year Note | | | 44 | | | | 06/2020 | | | | USD | | | | 5,400,656 | | | | 61,783 | |
| | | | | |
| U.S. Treasury 10 Year Note | | | 7 | | | | 06/2020 | | | | USD | | | | 943,031 | | | | 14,578 | |
| | | | | |
| U.S. Treasury 10 Year Ultra Note | | | 62 | | | | 06/2020 | | | | USD | | | | 9,315,500 | | | | 127,278 | |
| | | | | |
| U.S. Treasury Ultra Bond | | | 2 | | | | 06/2020 | | | | USD | | | | 415,750 | | | | 12,230 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | 579,282 | |
| | | | | | | | | | | | | | | | | | | | |
Short Contracts | | | | | |
| | | | | |
| Euro-Bund | | | (66) | | | | 03/2020 | | | | EUR | | | | (12,929,860 | ) | | | (325,260 | ) |
| | | | | |
| Long Gilt | | | (27) | | | | 06/2020 | | | | GBP | | | | (4,687,284 | ) | | | (21,820 | ) |
| | | | | |
| U.S. Treasury 2 Year Note | | | (18) | | | | 06/2020 | | | | USD | | | | (3,930,047 | ) | | | (23,099 | ) |
| | | | | |
| U.S. Treasury 5 Year Note | | | (46) | | | | 06/2020 | | | | USD | | | | (5,646,141 | ) | | | (64,065 | ) |
| | | | | |
| U.S. Treasury 10 Year Note | | | (12) | | | | 06/2020 | | | | USD | | | | (1,616,625 | ) | | | (25,058 | ) |
| | | | | |
| U.S. Treasury 10 Year Ultra Note | | | (16) | | | | 06/2020 | | | | USD | | | | (2,404,000 | ) | | | (44,785 | ) |
| | | | | |
| U.S. Treasury Long Bond | | | (5) | | | | 06/2020 | | | | USD | | | | (852,031 | ) | | | (21,925 | ) |
| | | | | |
| U.S. Treasury Ultra Bond | | | (2) | | | | 06/2020 | | | | USD | | | | (415,750 | ) | | | (12,216 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | (538,228 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | 41,054 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| AUD | | Australian Dollar |
| CAD | | Canadian Dollar |
| EUR | | Euro |
| GBP | | British Pound |
| USD | | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 85 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | | | | | |
| Forward foreign currency exchange contracts outstanding as of February 29, 2020: | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| EUR | | | 21,160,654 | | | USD | | | 23,223,596 | | | HSBC Bank, NA | | | 3/4/2020 | | | | 138,220 | |
| EUR | | | 285,677 | | | USD | | | 313,292 | | | TD Bank Financial Group | | | 3/4/2020 | | | | 2,102 | |
| USD | | | 23,017,308 | | | EUR | | | 20,831,161 | | | Merrill Lynch International | | | 3/4/2020 | | | | 19,260 | |
| USD | | | 395,245 | | | GBP | | | 301,253 | | | Barclays Bank plc | | | 3/4/2020 | | | | 8,982 | |
| EUR | | | 1,657,284 | | | USD | | | 1,814,690 | | | Citibank, NA | | | 3/24/2020 | | | | 17,342 | |
| EUR | | | 788,221 | | | USD | | | 868,220 | | | HSBC Bank, NA | | | 3/24/2020 | | | | 3,112 | |
| EUR | | | 1,010,670 | | | USD | | | 1,099,710 | | | State Street Corp. | | | 3/24/2020 | | | | 17,526 | |
| EUR | | | 274,413 | | | USD | | | 300,743 | | | TD Bank Financial Group | | | 3/24/2020 | | | | 2,604 | |
| JPY | | | 1,410,145,469 | | | USD | | | 12,886,662 | | | Goldman Sachs International | | | 3/24/2020 | | | | 202,810 | |
| MYR | | | 3,086,108 | | | USD | | | 728,431 | | | BNP Paribas ** | | | 3/24/2020 | | | | 3,335 | |
| USD | | | 3,346,076 | | | AUD | | | 4,979,844 | | | BNP Paribas | | | 3/24/2020 | | | | 100,249 | |
| USD | | | 857,020 | | | AUD | | | 1,281,699 | | | Goldman Sachs International | | | 3/24/2020 | | | | 21,617 | |
| USD | | | 848,643 | | | BRL | | | 3,770,268 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | 6,688 | |
| USD | | | 3,342,828 | | | CAD | | | 4,428,315 | | | Citibank, NA | | | 3/24/2020 | | | | 43,561 | |
| USD | | | 861,165 | | | CAD | | | 1,139,935 | | | HSBC Bank, NA | | | 3/24/2020 | | | | 11,869 | |
| USD | | | 856,080 | | | CAD | | | 1,140,547 | | | TD Bank Financial Group | | | 3/24/2020 | | | | 6,328 | |
| USD | | | 846,156 | | | COP | | | 2,907,837,150 | | | Citibank, NA ** | | | 3/24/2020 | | | | 20,694 | |
| USD | | | 834,994 | | | COP | | | 2,940,138,601 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | 362 | |
| USD | | | 22,768 | | | GBP | | | 17,674 | | | BNP Paribas | | | 3/24/2020 | | | | 93 | |
| USD | | | 12,205 | | | GBP | | | 9,366 | | | State Street Corp. | | | 3/24/2020 | | | | 189 | |
| USD | | | 1,518,377 | | | IDR | | | 20,876,620,010 | | | Citibank, NA ** | | | 3/24/2020 | | | | 80,479 | |
| USD | | | 871,473 | | | MXN | | | 16,961,000 | | | BNP Paribas | | | 3/24/2020 | | | | 12,686 | |
| USD | | | 845,853 | | | MXN | | | 16,225,783 | | | Citibank, NA | | | 3/24/2020 | | | | 24,293 | |
| USD | | | 1,750,291 | | | MXN | | | 33,640,893 | | | Merrill Lynch International | | | 3/24/2020 | | | | 46,952 | |
| USD | | | 4,191,748 | | | NZD | | | 6,526,767 | | | Goldman Sachs International | | | 3/24/2020 | | | | 111,270 | |
| USD | | | 789,978 | | | PEN | | | 2,674,392 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | 16,138 | |
| USD | | | 865,613 | | | PHP | | | 43,961,907 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | 6,264 | |
| USD | | | 372,912 | | | RUB | | | 24,267,000 | | | Citibank, NA ** | | | 3/24/2020 | | | | 11,768 | |
| USD | | | 1,275,941 | | | RUB | | | 84,244,000 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | 22,212 | |
| USD | | | 1,103,076 | | | THB | | | 34,478,859 | | | Goldman Sachs International | | | 3/24/2020 | | | | 9,980 | |
| USD | | | 2,013,800 | | | ZAR | | | 30,067,580 | | | Barclays Bank plc | | | 3/24/2020 | | | | 92,699 | |
| EUR | | | 453,911 | | | USD | | | 493,840 | | | Merrill Lynch International | | | 4/3/2020 | | | | 8,251 | |
| USD | | | 388,112 | | | GBP | | | 301,253 | | | BNP Paribas | | | 4/3/2020 | | | | 1,511 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | 1,071,446 | |
| | | | | | | | | | | | | | | | | | | | |
| EUR | | | 165,695 | | | USD | | | 183,170 | | | State Street Corp. | | | 3/4/2020 | | | | (239 | ) |
| GBP | | | 301,253 | | | USD | | | 387,790 | | | BNP Paribas | | | 3/4/2020 | | | | (1,527 | ) |
| USD | | | 854,066 | | | EUR | | | 780,866 | | | State Street Corp. | | | 3/4/2020 | | | | (8,026 | ) |
| AUD | | | 1,065,124 | | | USD | | | 703,325 | | | Goldman Sachs International | | | 3/24/2020 | | | | (9,084 | ) |
| BRL | | | 11,193,134 | | | USD | | | 2,593,594 | | | Citibank, NA** | | | 3/24/2020 | | | | (90,843 | ) |
| CAD | | | 2,155,851 | | | USD | | | 1,618,000 | | | HSBC Bank, NA | | | 3/24/2020 | | | | (11,807 | ) |
| COP | | | 8,734,389,169 | | | USD | | | 2,588,228 | | | Citibank, NA ** | | | 3/24/2020 | | | | (108,753 | ) |
| CZK | | | 19,401,460 | | | USD | | | 846,357 | | | BNP Paribas | | | 3/24/2020 | | | | (4,680 | ) |
| EUR | | | 777,077 | | | CZK | | | 19,822,377 | | | State Street Corp. | | | 3/24/2020 | | | | (924 | ) |
| EUR | | | 777,077 | | | PLN | | | 3,374,429 | | | BNP Paribas | | | 3/24/2020 | | | | (1,426 | ) |
| GBP | | | 27,040 | | | USD | | | 35,019 | | | Merrill Lynch International | | | 3/24/2020 | | | | (329 | ) |
| INR | | | 121,302,865 | | | USD | | | 1,692,779 | | | Merrill Lynch International ** | | | 3/24/2020 | | | | (20,699 | ) |
| KRW | | | 3,059,508,899 | | | USD | | | 2,586,885 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | (39,412 | ) |
| MXN | | | 16,334,725 | | | USD | | | 873,954 | | | Goldman Sachs International | | | 3/24/2020 | | | | (46,878 | ) |
| NZD | | | 3,858,606 | | | USD | | | 2,499,296 | | | HSBC Bank, NA | | | 3/24/2020 | | | | (86,929 | ) |
| PHP | | | 43,961,907 | | | USD | | | 869,448 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | (10,099 | ) |
| PLN | | | 3,250,750 | | | USD | | | 829,376 | | | HSBC Bank, NA | | | 3/24/2020 | | | | (473 | ) |
| RUB | | | 53,942,498 | | | USD | | | 845,061 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | (42,282 | ) |
| THB | | | 34,478,859 | | | USD | | | 1,104,525 | | | Goldman Sachs International | | | 3/24/2020 | | | | (11,429 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 86 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| USD | | | 817,465 | | | BRL | | | 3,664,040 | | | Citibank, NA ** | | | 3/24/2020 | | | | (769 | ) |
| USD | | | 1,714,584 | | | CNY | | | 12,067,753 | | | HSBC Bank, NA ** | | | 3/24/2020 | | | | (14,407 | ) |
| USD | | | 77,779 | | | DKK | | | 534,654 | | | Goldman Sachs International | | | 3/24/2020 | | | | (1,319 | ) |
| USD | | | 11,479 | | | EUR | | | 10,427 | | | BNP Paribas | | | 3/24/2020 | | | | (48 | ) |
| USD | | | 860,907 | | | EUR | | | 795,680 | | | Citibank, NA | | | 3/24/2020 | | | | (18,671 | ) |
| USD | | | 18,902,405 | | | EUR | | | 17,389,085 | | | Goldman Sachs International | | | 3/24/2020 | | | | (320,223 | ) |
| USD | | | 6,897,279 | | | EUR | | | 6,344,722 | | | HSBC Bank, NA | | | 3/24/2020 | | | | (116,444 | ) |
| USD | | | 362,030 | | | EUR | | | 331,319 | | | Merrill Lynch International | | | 3/24/2020 | | | | (4,225 | ) |
| USD | | | 210,131 | | | EUR | | | 194,000 | | | Royal Bank of Canada | | | 3/24/2020 | | | | (4,324 | ) |
| USD | | | 849,842 | | | KRW | | | 1,036,254,433 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | (12,986 | ) |
| USD | | | 849,312 | | | MYR | | | 3,592,589 | | | BNP Paribas ** | | | 3/24/2020 | | | | (2,549 | ) |
| USD | | | 1,713,703 | | | TWD | | | 52,115,409 | | | Goldman Sachs International ** | | | 3/24/2020 | | | | (19,819 | ) |
| USD | | | 23,266,658 | | | EUR | | | 21,160,654 | | | HSBC Bank, NA | | | 4/3/2020 | | | | (140,074 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (1,151,697 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | (80,251 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| |
| AUD | | Australian Dollar |
| BRL | | Brazilian Real |
| CAD | | Canadian Dollar |
| CNY | | China Yuan |
| COP | | Colombian Peso |
| CZK | | Czech Republic Koruna |
| DKK | | Danish Krone |
| EUR | | Euro |
| GBP | | British Pound |
| IDR | | Indonesian Rupiah |
| INR | | Indian Rupee |
| JPY | | Japanese Yen |
| KRW | | Korean Republic Won |
| MXN | | Mexican Peso |
| MYR | | Malaysian Ringgit |
| NZD | | New Zealand Dollar |
| PEN | | Peru Nuevo Sol |
| PHP | | Philippines Peso |
| PLN | | Polish Zloty |
| RUB | | Russian Ruble |
| THB | | Thai Baht |
| TWD | | Taiwan Dollar |
| USD | | United States Dollar |
| ZAR | | South African Rand |
| ** | | Non-deliverable forward |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Over-the-Counter (“OTC”) Credit default swap contracts outstanding — buy protection(a) as of February 29, 2020: | |
REFERENCE
OBLIGATION/INDEX | | FINANCING RATE
PAID BY THE
FUND (%) | | PAYMENT
FREQUENCY | | | COUNTERPARTY | | | MATURITY
DATE | | | IMPLIED
CREDIT
SPREAD
(%)(b) | | | NOTIONAL
AMOUNT(c) | | | UPFRONT
PAYMENTS
(RECEIPTS)
($)(d) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | | | VALUE
($) | |
| | | | | | | | | |
| Republic of Indonesia, 5.88%, 3/13/2020 | | 1.00 | | | Quarterly | | | | Citibank, NA | | | | 6/20/2024 | | | | 0.89 | | | USD | 1,920,000 | | | | (10,812 | ) | | | (1,653 | ) | | | (12,465 | ) |
| | | | | | | | | |
| United Mexican States, 4.15%, 3/28/2027 | | 1.00 | | | Quarterly | | | | Citibank, NA | | | | 6/20/2024 | | | | 0.99 | | | USD | 1,920,000 | | | | 13,854 | | | | (18,783 | ) | | | (4,929 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | 3,042 | | | | (20,436 | ) | | | (17,394 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 87 | |
JPMorgan Global Bond Opportunities ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Credit default swap contracts outstanding — buy protection(a) as of February 29, 2020: | |
| REFERENCE OBLIGATION/INDEX | | FINANCING
RATE PAID
BY THE
FUND (%) | | PAYMENT
FREQUENCY | | | MATURITY
DATE | | | IMPLIED
CREDIT
SPREAD
(%)(b) | | | NOTIONAL
AMOUNT(c) | | | UPFRONT
PAYMENTS
(RECEIPTS)
($)(d) | | | UNREALIZED
APPRECIATION
(DEPRECIATION)
($) | | | VALUE ($) | |
| | | | | | | | |
| CDX.NA.HY.33-V1 | | 5.00 | | | Quarterly | | | | 12/20/2024 | | | | 3.77 | | | USD | 3,800,000 | | | | (261,668 | ) | | | 30,196 | | | | (231,472 | ) |
| | | | | | | | |
| CDX.NA.HY.33-V2 | | 5.00 | | | Quarterly | | | | 12/20/2024 | | | | 3.77 | | | | USD 3,850,000 | | | | (267,224 | ) | | | 32,706 | | | | (234,518 | ) |
| | | | | | | | |
| iTraxx.Europe.Crossover.31-V2 | | 5.00 | | | Quarterly | | | | 6/20/2024 | | | | 3.11 | | | | EUR 2,183,000 | | | | (223,387 | ) | | | 21,929 | | | | (201,458 | ) |
| | | | | | | | |
| iTraxx.Europe.Crossover.31-V2 | | 5.00 | | | Quarterly | | | | 6/20/2024 | | | | 3.11 | | | | EUR 1,900,000 | | | | (184,005 | ) | | | 8,663 | | | | (175,342 | ) |
| | | | | | | | |
| iTraxx.Europe.Crossover.32-V1 | | 5.00 | | | Quarterly | | | | 12/20/2024 | | | | 3.03 | | | | EUR 1,172,000 | | | | (136,493 | ) | | | 11,878 | | | | (124,615 | ) |
| | | | | | | | |
| iTraxx.Europe.Crossover.32-V1 | | 5.00 | | | Quarterly | | | | 12/20/2024 | | | | 3.03 | | | | EUR 1,198,000 | | | | (140,097 | ) | | | 12,717 | | | | (127,380 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (1,212,874 | ) | | | 118,089 | | | | (1,094,785 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | The Fund, as a buyer of credit protection, is generally obligated to make periodic payments and may also pay or receive an upfront premium to or from the protection seller, in exchange for the right to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of individual swap contracts. |
| (b) | Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e. make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index. |
| (c) | The notional amount is the maximum amount that a seller of credit protection would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. |
| (d) | Upfront payments and receipts generally represent premiums paid or received at the initiation of the agreement to compensate the differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). |
| | | | | | | | | | | | | | | | | | | | | | |
| Centrally Cleared Interest rate swap contracts outstanding as of February 29, 2020: | | | | |
| FLOATING RATE INDEX(a) | | FIXED RATE | | PAY/
RECEIVE
FLOATING
RATE | | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS (RECEIPTS) ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
| | | | | | |
| 6 month LIBOR semi-annually | | 0.91 semi-annually | | | Pay | | | | 1/14/2030 | | | GBP | 6,800,000 | | | | — | | | | 229,872 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | — | | | | 229,872 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 6 month LIBOR semi-annually | | 1.04 semi-annually | | | Receive | | | | 1/14/2050 | | | | GBP 2,450,000 | | | | — | | | | (279,359 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | — | | | | (279,359 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | — | | | | (49,487 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| |
| CDX | | Credit Default Swap Index |
| EUR | | Euro |
| GBP | | British Pound |
| LIBOR | | London Interbank Offered Rate |
| USD | | United States Dollar |
| (a) | Value of floating rate index at February 29, 2020 was 0.69%. |
| | | | | | |
| Summary of total swap contracts outstanding as of February 29, 2020 | | | | | |
| | | NET UPFRONT PAYMENTS
(RECEIPTS) ($) | | VALUE
($) | |
Liabilities | |
| | |
| OTC Credit default swap contracts outstanding — buy protection | | 3,042 | | | (17,394 | ) |
| | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 88 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — 98.2% | |
|
Aerospace & Defense — 3.3% | |
| | |
Arconic, Inc. | | | | | | | | |
| | |
5.40%, 4/15/2021 | | | 385,000 | | | | 389,214 | |
| | |
5.13%, 10/1/2024 | | | 452,000 | | | | 484,996 | |
| | |
5.90%, 2/1/2027 | | | 340,000 | | | | 387,600 | |
| | |
6.75%, 1/15/2028 | | | 70,000 | | | | 82,250 | |
| | |
5.95%, 2/1/2037 | | | 480,000 | | | | 532,689 | |
| | |
Bombardier, Inc. (Canada) | | | | | | | | |
| | |
6.13%, 1/15/2023 (a) | | | 275,000 | | | | 275,605 | |
| | |
7.50%, 3/15/2025 (a) | | | 54,000 | | | | 53,325 | |
| | |
7.88%, 4/15/2027 (a) | | | 326,000 | | | | 323,555 | |
| | |
7.45%, 5/1/2034 (a) | | | 100,000 | | | | 99,000 | |
| | |
BWX Technologies, Inc. 5.38%, 7/15/2026 (a) | | | 156,000 | | | | 163,302 | |
| | |
TransDigm, Inc. | | | | | | | | |
| | |
6.25%, 3/15/2026 (a) | | | 2,387,000 | | | | 2,527,241 | |
| | |
5.50%, 11/15/2027 (a) | | | 160,000 | | | | 159,808 | |
| | |
Triumph Group, Inc. 6.25%, 9/15/2024 (a) | | | 91,000 | | | | 94,526 | |
| | | | | | | | |
| | |
| | | | | | | 5,573,111 | |
| | | | | | | | |
|
Air Freight & Logistics — 0.1% | |
| | |
XPO Logistics, Inc. 6.50%, 6/15/2022 (a) | | | 219,000 | | | | 218,869 | |
| | | | | | | | |
|
Airlines — 0.1% | |
| | |
American Airlines Group, Inc. 5.00%, 6/1/2022 (a) | | | 54,000 | | | | 54,135 | |
| | |
United Airlines Holdings, Inc. | | | | | | | | |
| | |
4.25%, 10/1/2022 | | | 71,000 | | | | 71,000 | |
| | |
4.88%, 1/15/2025 | | | 42,000 | | | | 42,210 | |
| | | | | | | | |
| | |
| | | | | | | 167,345 | |
| | | | | | | | |
|
Auto Components — 2.7% | |
| | |
Adient US LLC 7.00%, 5/15/2026 (a) | | | 224,000 | | | | 233,240 | |
| | |
Allison Transmission, Inc. | | | | | | | | |
| | |
5.00%, 10/1/2024 (a) | | | 288,000 | | | | 291,229 | |
| | |
5.88%, 6/1/2029 (a) | | | 239,000 | | | | 259,016 | |
| | |
American Axle & Manufacturing, Inc. | | | | | | | | |
| | |
6.25%, 4/1/2025 | | | 812,000 | | | | 786,178 | |
| | |
6.50%, 4/1/2027 | | | 335,000 | | | | 321,433 | |
| | |
Cooper-Standard Automotive, Inc. 5.63%, 11/15/2026 (a) | | | 114,000 | | | | 101,859 | |
| | |
Dana, Inc. | | | | | | | | |
| | |
5.50%, 12/15/2024 | | | 343,000 | | | | 346,560 | |
| | |
5.38%, 11/15/2027 | | | 84,000 | | | | 84,840 | |
| | |
Delphi Technologies plc 5.00%, 10/1/2025 (a) | | | 454,000 | | | | 497,130 | |
| | |
Goodyear Tire & Rubber Co. (The) | | | | | | | | |
| | |
5.13%, 11/15/2023 (b) | | | 53,000 | | | | 52,587 | |
| | |
5.00%, 5/31/2026 | | | 50,000 | | | | 49,190 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Auto Components — continued | |
| | |
4.88%, 3/15/2027 | | | 150,000 | | | | 145,125 | |
| | |
Icahn Enterprises LP 4.75%, 9/15/2024 (a) | | | 75,000 | | | | 76,500 | |
| | |
6.38%, 12/15/2025 | | | 28,000 | | | | 28,910 | |
| | |
6.25%, 5/15/2026 | | | 458,000 | | | | 469,500 | |
| | |
5.25%, 5/15/2027 (a) | | | 126,000 | | | | 126,630 | |
| | |
JB Poindexter & Co., Inc. 7.13%, 4/15/2026 (a) | | | 99,000 | | | | 104,500 | |
| | |
Panther BF Aggregator 2 LP | | | | | | | | |
| | |
6.25%, 5/15/2026 (a) | | | 379,000 | | | | 389,309 | |
| | |
8.50%, 5/15/2027 (a) | | | 110,000 | | | | 111,925 | |
| | |
Tenneco, Inc. 5.00%, 7/15/2026 | | | 160,000 | | | | 137,600 | |
| | | | | | | | |
| | |
| | | | | | | 4,613,261 | |
| | | | | | | | |
|
Banks — 0.1% | |
| | |
CIT Group, Inc. 6.13%, 3/9/2028 | | | 76,000 | | | | 91,200 | |
| | | | | | | | |
|
Beverages — 0.0%(c) | |
| | |
Cott Holdings, Inc. (Canada) 5.50%, 4/1/2025 (a) | | | 26,000 | | | | 26,607 | |
| | | | | | | | |
|
Building Products — 1.4% | |
| | |
Advanced Drainage Systems, Inc. 5.00%, 9/30/2027 (a) | | | 110,000 | | | | 113,713 | |
| | |
American Woodmark Corp. 4.88%, 3/15/2026 (a) | | | 35,000 | | | | 35,413 | |
| | |
Griffon Corp. 5.75%, 3/1/2028 (a) | | | 210,000 | | | | 211,575 | |
| | |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | | | 175,000 | | | | 181,003 | |
| | |
Masonite International Corp. 5.38%, 2/1/2028 (a) | | | 37,000 | | | | 38,850 | |
| | |
PGT Innovations, Inc. 6.75%, 8/1/2026 (a) | | | 124,000 | | | | 133,920 | |
| | |
Standard Industries, Inc. | | | | | | | | |
| | |
6.00%, 10/15/2025 (a) | | | 636,000 | | | | 664,620 | |
| | |
5.00%, 2/15/2027 (a) | | | 180,000 | | | | 184,789 | |
| | |
4.75%, 1/15/2028 (a) | | | 783,000 | | | | 805,789 | |
| | |
Summit Materials LLC | | | | | | | | |
| | |
6.13%, 7/15/2023 | | | 74,000 | | | | 74,370 | |
| | |
6.50%, 3/15/2027 (a) | | | 18,000 | | | | 19,170 | |
| | | | | | | | |
| | |
| | | | | | | 2,463,212 | |
| | | | | | | | |
|
Capital Markets — 1.0% | |
|
LPL Holdings, Inc. | |
| | |
5.75%, 9/15/2025 (a) | | | 431,000 | | | | 447,163 | |
| | |
4.63%, 11/15/2027 (a) | | | 201,000 | | | | 203,512 | |
| | |
MSCI, Inc. | | | | | | | | |
| | |
5.75%, 8/15/2025 (a) | | | 416,000 | | | | 430,560 | |
| | |
5.38%, 5/15/2027 (a) | | | 277,000 | | | | 296,390 | |
| | |
4.00%, 11/15/2029 (a) | | | 322,000 | | | | 333,689 | |
| | | | | | | | |
| | |
| | | | | | | 1,711,314 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 89 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Chemicals — 3.1% | |
| | |
Ashland LLC 4.75%, 8/15/2022 (d) | | | 11,000 | | | | 11,440 | |
| | |
Blue Cube Spinco LLC 9.75%, 10/15/2023 | | | 118,000 | | | | 124,232 | |
| | |
CF Industries, Inc. | | | | | | | | |
| | |
3.45%, 6/1/2023 | | | 100,000 | | | | 101,252 | |
| | |
4.95%, 6/1/2043 | | | 38,000 | | | | 40,310 | |
| | |
5.38%, 3/15/2044 | | | 310,000 | | | | 347,575 | |
| | |
Chemours Co. (The) | | | | | | | | |
| | |
6.63%, 5/15/2023 | | | 656,000 | | | | 631,944 | |
| | |
7.00%, 5/15/2025 (b) | | | 588,000 | | | | 548,310 | |
| | |
CVR Partners LP 9.25%, 6/15/2023 (a) | | | 317,000 | | | | 323,340 | |
| | |
Element Solutions, Inc. 5.88%, 12/1/2025 (a) | | | 91,000 | | | | 91,457 | |
| | |
Gates Global LLC 6.25%, 1/15/2026 (a) | | | 35,000 | | | | 35,175 | |
| | |
GCP Applied Technologies, Inc. 5.50%, 4/15/2026 (a) | | | 85,000 | | | | 88,400 | |
| | |
Hexion, Inc. 7.88%, 7/15/2027 (a) | | | 442,000 | | | | 438,685 | |
| | |
Ingevity Corp. 4.50%, 2/1/2026 (a) | | | 41,000 | | | | 40,357 | |
| | |
OCI NV (Netherlands) 6.63%, 4/15/2023 (a) | | | 271,000 | | | | 280,756 | |
| | |
Olin Corp. | | | | | | | | |
| | |
5.13%, 9/15/2027 | | | 68,000 | | | | 68,523 | |
| | |
5.63%, 8/1/2029 | | | 257,000 | | | | 259,262 | |
| | |
PolyOne Corp. 5.25%, 3/15/2023 | | | 80,000 | | | | 85,200 | |
| | |
Rain CII Carbon LLC 7.25%, 4/1/2025 (a) | | | 395,000 | | | | 379,200 | |
| | |
ScottsMiracle-Gro Co. (The) 4.50%, 10/15/2029 (a) | | | 165,000 | | | | 170,775 | |
| | |
Starfruit Finco BV (Netherlands) 8.00%, 10/1/2026 (a) (b) | | | 419,000 | | | | 415,732 | |
| | |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | | | 491,000 | | | | 455,402 | |
| | |
Tronox, Inc. 6.50%, 4/15/2026 (a) (b) | | | 68,000 | | | | 65,277 | |
| | |
Valvoline, Inc. 4.38%, 8/15/2025 | | | 160,000 | | | | 164,800 | |
| | |
Venator Finance SARL 5.75%, 7/15/2025 (a) | | | 101,000 | | | | 90,395 | |
| | |
WR Grace & Co.-Conn. 5.13%, 10/1/2021 (a) | | | 58,000 | | | | 59,522 | |
| | | | | | | | |
| | |
| | | | | | | 5,317,321 | |
| | | | | | | | |
|
Commercial Services & Supplies — 2.8% | |
| | |
ACCO Brands Corp. 5.25%, 12/15/2024 (a) | | | 142,000 | | | | 145,965 | |
| | |
ADT Security Corp. (The) | | | | | | | | |
| | |
3.50%, 7/15/2022 | | | 542,000 | | | | 540,808 | |
| | |
4.13%, 6/15/2023 | | | 225,000 | | | | 229,359 | |
| | |
4.88%, 7/15/2032 (a) | | | 227,000 | | | | 214,560 | |
| | |
Allied Universal Holdco LLC | | | | | | | | |
| | |
6.63%, 7/15/2026 (a) | | | 150,000 | | | | 157,313 | |
| | |
9.75%, 7/15/2027 (a) | | | 578,000 | | | | 617,015 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Commercial Services & Supplies — continued | |
| | |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | | | 571,000 | | | | 595,981 | |
| | |
Brink’s Co. (The) 4.63%, 10/15/2027 (a) | | | 193,000 | | | | 197,825 | |
| | |
Clean Harbors, Inc. 4.88%, 7/15/2027 (a) | | | 172,000 | | | | 179,688 | |
| | |
Covanta Holding Corp. | | | | | | | | |
| | |
5.88%, 7/1/2025 | | | 61,000 | | | | 62,525 | |
| | |
6.00%, 1/1/2027 | | | 58,000 | | | | 59,740 | |
| | |
GFL Environmental, Inc. (Canada) 8.50%, 5/1/2027 (a) | | | 130,000 | | | | 141,050 | |
| | |
GWB-CR Security Corp. (Canada) 9.50%, 11/1/2027 (a) | | | 325,000 | | | | 344,500 | |
| | |
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | | | 51,000 | | | | 52,397 | |
| | |
Nielsen Co. Luxembourg SARL (The) 5.00%, 2/1/2025 (a) | | | 15,000 | | | | 14,813 | |
| | |
Nielsen Finance LLC 5.00%, 4/15/2022 (a) | | | 151,000 | | | | 150,245 | |
| | |
Prime Security Services Borrower LLC | | | | | | | | |
| | |
5.25%, 4/15/2024 (a) | | | 241,000 | | | | 249,435 | |
| | |
5.75%, 4/15/2026 (a) | | | 755,000 | | | | 785,200 | |
| | | | | | | | |
| | |
| | | | | | | 4,738,419 | |
| | | | | | | | |
|
Communications Equipment — 1.3% | |
| | |
CommScope Technologies LLC | | | | | | | | |
| | |
6.00%, 6/15/2025 (a) | | | 789,000 | | | | 741,660 | |
| | |
5.00%, 3/15/2027 (a) | | | 240,000 | | | | 217,176 | |
| | |
CommScope, Inc. | | | | | | | | |
| | |
5.50%, 3/1/2024 (a) | | | 500,000 | | | | 507,240 | |
| | |
6.00%, 3/1/2026 (a) | | | 611,000 | | | | 627,149 | |
| | |
Plantronics, Inc. 5.50%, 5/31/2023 (a) | | | 187,000 | | | | 170,174 | |
| | |
ViaSat, Inc. 5.63%, 4/15/2027 (a) | | | 18,000 | | | | 18,236 | |
| | | | | | | | |
| | |
| | | | | | | 2,281,635 | |
| | | | | | | | |
|
Construction & Engineering — 0.5% | |
|
AECOM | |
| | |
5.88%, 10/15/2024 | | | 277,000 | | | | 304,008 | |
| | |
5.13%, 3/15/2027 | | | 305,000 | | | | 315,147 | |
| | |
MasTec, Inc. | | | | | | | | |
| | |
4.88%, 3/15/2023 | | | 156,000 | | | | 156,780 | |
| | | | | | | | |
| | |
| | | | | | | 775,935 | |
| | | | | | | | |
|
Construction Materials — 0.0% (c) | |
| | |
US Concrete, Inc. 6.38%, 6/1/2024 | | | 28,000 | | | | 28,493 | |
| | | | | | | | |
|
Consumer Finance — 2.4% | |
| | |
Ally Financial, Inc. 5.75%, 11/20/2025 | | | 528,000 | | | | 595,927 | |
| | |
Credit Acceptance Corp. 6.63%, 3/15/2026 (a) | | | 74,000 | | | | 77,702 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 90 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Consumer Finance — continued | |
| | |
Curo Group Holdings Corp. 8.25%, 9/1/2025 (a) | | | 694,000 | | | | 588,179 | |
| | |
Global Aircraft Leasing Co. Ltd.
(Cayman Islands) 6.50% (cash), 9/15/2024 (a) (e) | | | 175,000 | | | | 171,828 | |
| | |
Springleaf Finance Corp. | | | | | | | | |
| | |
6.13%, 5/15/2022 | | | 662,000 | | | | 697,827 | |
| | |
6.13%, 3/15/2024 | | | 859,000 | | | | 905,249 | |
| | |
7.13%, 3/15/2026 | | | 1,023,000 | | | | 1,135,530 | |
| | | | | | | | |
| | |
| | | | | | | 4,172,242 | |
| | | | | | | | |
|
Containers & Packaging — 2.1% | |
| | |
Ardagh Packaging Finance plc | | | | | | | | |
| | |
6.00%, 2/15/2025 (a) | | | 900,000 | | | | 938,250 | |
| | |
5.25%, 8/15/2027 (a) | | | 472,000 | | | | 479,693 | |
| | |
Ball Corp. | | | | | | | | |
| | |
4.00%, 11/15/2023 | | | 72,000 | | | | 73,984 | |
| | |
5.25%, 7/1/2025 | | | 88,000 | | | | 97,313 | |
| | |
4.88%, 3/15/2026 | | | 82,000 | | | | 90,200 | |
| | |
Berry Global, Inc. 4.88%, 7/15/2026 (a) | | | 113,000 | | | | 114,944 | |
| | |
Graphic Packaging International LLC | | | | | | | | |
| | |
4.88%, 11/15/2022 | | | 56,000 | | | | 58,380 | |
| | |
4.75%, 7/15/2027 (a) | | | 44,000 | | | | 47,960 | |
| | |
Greif, Inc. 6.50%, 3/1/2027 (a) | | | 159,000 | | | | 171,020 | |
| | |
LABL Escrow Issuer LLC | | | | | | | | |
| | |
6.75%, 7/15/2026 (a) | | | 436,000 | | | | 456,797 | |
| | |
10.50%, 7/15/2027 (a) | | | 35,000 | | | | 36,063 | |
| | |
Mauser Packaging Solutions Holding Co. | | | | | | | | |
| | |
5.50%, 4/15/2024 (a) | | | 128,000 | | | | 126,723 | |
| | |
7.25%, 4/15/2025 (a) | | | 428,000 | | | | 414,813 | |
| | |
Sealed Air Corp. 6.88%, 7/15/2033 (a) | | | 165,000 | | | | 196,350 | |
| | |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (d) | | | 210,000 | | | | 217,613 | |
| | | | | | | | |
| | |
| | | | | | | 3,520,103 | |
| | | | | | | | |
|
Distributors — 0.7% | |
| | |
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (a) | | | 471,000 | | | | 459,814 | |
| | |
Core & Main LP 6.13%, 8/15/2025 (a) | | | 50,000 | | | | 50,630 | |
| | |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | | | 50,000 | | | | 52,688 | |
| | |
Wolverine Escrow LLC | | | | | | | | |
| | |
8.50%, 11/15/2024 (a) | | | 200,000 | | | | 195,040 | |
| | |
9.00%, 11/15/2026 (a) | | | 475,000 | | | | 473,812 | |
| | | | | | | | |
| | |
| | | | | | | 1,231,984 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Diversified Consumer Services — 0.2% | |
|
Service Corp. International | |
| | |
5.38%, 5/15/2024 | | | 70,000 | | | | 71,312 | |
| | |
4.63%, 12/15/2027 | | | 30,000 | | | | 31,425 | |
| | |
5.13%, 6/1/2029 | | | 155,000 | | | | 167,594 | |
| | | | | | | | |
| | |
| | | | | | | 270,331 | |
| | | | | | | | |
|
Diversified Financial Services — 0.4% | |
| | |
ACE Cash Express, Inc. 12.00%, 12/15/2022 (a) | | | 158,000 | | | | 127,585 | |
| | |
CNG Holdings, Inc. 12.50%, 6/15/2024 (a) | | | 255,000 | | | | 240,975 | |
| | |
MPH Acquisition Holdings LLC
7.13%, 6/1/2024 (a) | | | 425,000 | | | | 395,343 | |
| | | | | | | | |
| | |
| | | | | | | 763,903 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 6.9% | |
|
Altice France SA (France) | |
| | |
7.38%, 5/1/2026 (a) | | | 894,000 | | | | 937,538 | |
| | |
5.50%, 1/15/2028 (a) | | | 250,000 | | | | 250,312 | |
| | |
CCO Holdings LLC | | | | | | | | |
| | |
5.75%, 2/15/2026 (a) | | | 2,466,000 | | | | 2,563,900 | |
| | |
5.50%, 5/1/2026 (a) | | | 61,000 | | | | 63,294 | |
| | |
5.13%, 5/1/2027 (a) | | | 919,000 | | | | 955,484 | |
| | |
5.38%, 6/1/2029 (a) | | | 527,000 | | | | 561,097 | |
| | |
4.75%, 3/1/2030 (a) | | | 150,000 | | | | 154,500 | |
| | |
CenturyLink, Inc. | | | | | | | | |
| | |
Series T, 5.80%, 3/15/2022 | | | 190,000 | | | | 199,263 | |
| | |
Series Y, 7.50%, 4/1/2024 | | | 76,000 | | | | 85,183 | |
| | |
Series U, 7.65%, 3/15/2042 | | | 34,000 | | | | 36,720 | |
| | |
Cincinnati Bell, Inc. 7.00%, 7/15/2024 (a) | | | 236,000 | | | | 248,095 | |
| | |
Embarq Corp. 8.00%, 6/1/2036 | | | 200,000 | | | | 213,000 | |
| | |
Frontier Communications Corp. | | | | | | | | |
| | |
8.50%, 4/1/2026 (a) | | | 988,000 | | | | 1,000,350 | |
| | |
8.00%, 4/1/2027 (a) | | | 186,000 | | | | 192,975 | |
| | |
Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | |
| | |
8.00%, 2/15/2024 (a) | | | 704,000 | | | | 721,600 | |
| | |
8.50%, 10/15/2024 (a) | | | 268,000 | | | | 234,500 | |
| | |
Level 3 Financing, Inc. 4.63%, 9/15/2027 (a) | | | 250,000 | | | | 255,000 | |
| | |
Sprint Capital Corp. | | | | | | | | |
| | |
6.88%, 11/15/2028 | | | 692,000 | | | | 824,130 | |
| | |
8.75%, 3/15/2032 | | | 150,000 | | | | 208,500 | |
| | |
Telecom Italia Capital SA (Italy) 7.72%, 6/4/2038 | | | 800,000 | | | | 1,036,000 | |
| | |
Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a) | | | 251,000 | | | | 267,943 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 91 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Diversified Telecommunication Services — continued | |
| | |
Telesat Canada (Canada) 4.88%, 6/1/2027 (a) | | | 85,000 | | | | 86,912 | |
| | |
Virgin Media Secured Finance plc
(United Kingdom) | | | | | | | | |
| | |
5.50%, 8/15/2026 (a) | | | 400,000 | | | | 411,627 | |
| | |
5.50%, 5/15/2029 (a) | | | 350,000 | | | | 359,205 | |
| | | | | | | | |
| | |
| | | | | | | 11,867,128 | |
| | | | | | | | |
|
Electric Utilities — 1.2% | |
| | |
DPL, Inc. 4.35%, 4/15/2029 (a) | | | 76,000 | | | | 71,009 | |
| | |
NextEra Energy Operating Partners LP 4.25%, 7/15/2024 (a) | | | 35,000 | | | | 35,648 | |
| | |
4.50%, 9/15/2027 (a) | | | 275,000 | | | | 286,829 | |
| | |
Terraform Global Operating LLC 6.13%, 3/1/2026 (a) | | | 45,000 | | | | 46,575 | |
| | |
Vistra Operations Co. LLC | | | | | | | | |
| | |
5.50%, 9/1/2026 (a) | | | 743,000 | | | | 751,623 | |
| | |
5.63%, 2/15/2027 (a) | | | 600,000 | | | | 615,000 | |
| | |
5.00%, 7/31/2027 (a) | | | 310,000 | | | | 313,146 | |
| | | | | | | | |
| | |
| | | | | | | 2,119,830 | |
| | | | | | | | |
|
Electrical Equipment — 0.0% (c) | |
|
Sensata Technologies BV | |
| | |
4.88%, 10/15/2023 (a) | | | 25,000 | | | | 26,375 | |
| | |
5.00%, 10/1/2025 (a) | | | 28,000 | | | | 29,473 | |
| | | | | | | | |
| | |
| | | | | | | 55,848 | |
| | | | | | | | |
|
Electronic Equipment, Instruments & Components — 0.6% | |
| | |
Anixter, Inc. 5.13%, 10/1/2021 | | | 18,000 | | | | 18,658 | |
| | |
CDW LLC | | | | | | | | |
| | |
5.50%, 12/1/2024 | | | 15,000 | | | | 16,500 | |
| | |
5.00%, 9/1/2025 | | | 71,000 | | | | 73,151 | |
| | |
MTS Systems Corp. 5.75%, 8/15/2027 (a) | | | 126,000 | | | | 128,205 | |
| | |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | | | 851,000 | | | | 858,446 | |
| | | | | | | | |
| | |
| | | | | | | 1,094,960 | |
| | | | | | | | |
|
Energy Equipment & Services — 1.1% | |
|
Archrock Partners LP | |
| | |
6.88%, 4/1/2027 (a) | | | 386,000 | | | | 392,048 | |
| | |
6.25%, 4/1/2028 (a) | | | 438,000 | | | | 421,619 | |
| | |
CSI Compressco LP 7.50%, 4/1/2025 (a) | | | 58,000 | | | | 56,985 | |
| | |
Nabors Industries, Inc. | | | | | | | | |
| | |
4.63%, 9/15/2021 | | | 15,000 | | | | 14,925 | |
| | |
5.75%, 2/1/2025 | | | 145,000 | | | | 104,037 | |
| | |
Precision Drilling Corp. (Canada) | | | | | | | | |
| | |
5.25%, 11/15/2024 | | | 242,000 | | | | 214,020 | |
| | |
7.13%, 1/15/2026 (a) | | | 176,000 | | | | 162,448 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Energy Equipment & Services — continued | |
| | |
Transocean Guardian Ltd. 5.88%, 1/15/2024 (a) | | | 88,511 | | | | 87,635 | |
| | |
Transocean Pontus Ltd. 6.13%, 8/1/2025 (a) | | | 40,080 | | | | 40,481 | |
| | |
Transocean Proteus Ltd. 6.25%, 12/1/2024 (a) | | | 26,600 | | | | 26,866 | |
| | |
Transocean, Inc. 7.50%, 1/15/2026 (a) | | | 252,000 | | | | 200,340 | |
| | |
USA Compression Partners LP 6.88%, 9/1/2027 | | | 247,000 | | | | 239,294 | |
| | | | | | | | |
| | |
| | | | | | | 1,960,698 | |
| | | | | | | | |
|
Entertainment — 2.1% | |
| | |
AMC Entertainment Holdings, Inc. 5.75%, 6/15/2025 (b) | | | 515,000 | | | | 413,715 | |
| | |
Live Nation Entertainment, Inc. | | | | | | | | |
| | |
4.88%, 11/1/2024 (a) | | | 532,000 | | | | 542,640 | |
| | |
4.75%, 10/15/2027 (a) | | | 500,000 | | | | 502,500 | |
| | |
Netflix, Inc. | | | | | | | | |
| | |
5.50%, 2/15/2022 | | | 49,000 | | | | 51,374 | |
| | |
5.88%, 2/15/2025 | | | 409,000 | | | | 459,614 | |
| | |
5.88%, 11/15/2028 | | | 1,500,000 | | | | 1,686,450 | |
| | | | | | | | |
| | |
| | | | | | | 3,656,293 | |
| | | | | | | | |
|
Equity Real Estate Investment Trusts (REITs) — 2.5% | |
| | |
Brookfield Property REIT, Inc. 5.75%, 5/15/2026 (a) | | | 903,000 | | | | 892,841 | |
| | |
ESH Hospitality, Inc. | | | | | | | | |
| | |
5.25%, 5/1/2025 (a) | | | 320,000 | | | | 321,866 | |
| | |
4.63%, 10/1/2027 (a) | | | 700,000 | | | | 682,500 | |
| | |
HAT Holdings I LLC 5.25%, 7/15/2024 (a) | | | 50,000 | | | | 52,250 | |
| | |
Iron Mountain, Inc. | | | | | | | | |
| | |
5.75%, 8/15/2024 | | | 179,000 | | | | 180,343 | |
| | |
4.88%, 9/15/2027 (a) | | | 202,000 | | | | 204,525 | |
| | |
iStar, Inc. 4.75%, 10/1/2024 | | | 165,000 | | | | 168,427 | |
| | |
MGM Growth Properties Operating Partnership LP | | | | | | | | |
| | |
5.63%, 5/1/2024 | | | 67,000 | | | | 72,527 | |
| | |
5.75%, 2/1/2027 | | | 96,000 | | | | 105,120 | |
| | |
Uniti Group LP | | | | | | | | |
| | |
6.00%, 4/15/2023 (a) | | | 147,000 | | | | 143,692 | |
| | |
8.25%, 10/15/2023 | | | 173,000 | | | | 160,890 | |
| | |
VICI Properties LP | | | | | | | | |
| | |
4.25%, 12/1/2026 (a) | | | 600,000 | | | | 606,060 | |
| | |
4.63%, 12/1/2029 (a) | | | 600,000 | | | | 619,500 | |
| | | | | | | | |
| | |
| | | | | | | 4,210,541 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 92 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Food & Staples Retailing — 0.9% | |
| | |
Albertsons Cos., Inc. 6.63%, 6/15/2024 | | | 552,000 | | | | 567,180 | |
| | |
4.63%, 1/15/2027 (a) | | | 594,000 | | | | 585,090 | |
| | |
5.88%, 2/15/2028 (a) | | | 139,000 | | | | 144,463 | |
| | |
Rite Aid Corp. 6.13%, 4/1/2023 (a) | | | 317,000 | | | | 290,451 | |
| | |
Safeway, Inc. 7.25%, 2/1/2031 | | | 35,000 | | | | 37,625 | |
| | | | | | | | |
| | |
| | | | | | | 1,624,809 | |
| | | | | | | | |
|
Food Products — 3.2% | |
| | |
B&G Foods, Inc. 5.25%, 4/1/2025 | | | 32,000 | | | | 31,600 | |
| | |
5.25%, 9/15/2027 | | | 19,000 | | | | 18,810 | |
| | |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a) | | | 109,000 | | | | 114,450 | |
| | |
Dole Food Co., Inc. 7.25%, 6/15/2025 (a) | | | 101,000 | | | | 98,980 | |
| | |
JBS USA LUX SA 5.75%, 6/15/2025 (a) | | | 1,006,000 | | | | 1,032,407 | |
| | |
6.50%, 4/15/2029 (a) | | | 927,000 | | | | 1,005,517 | |
| | |
5.50%, 1/15/2030 (a) | | | 290,000 | | | | 306,040 | |
| | |
Lamb Weston Holdings, Inc. 4.63%, 11/1/2024 (a) | | | 146,000 | | | | 151,961 | |
| | |
4.88%, 11/1/2026 (a) | | | 140,000 | | | | 145,257 | |
| | |
Pilgrim’s Pride Corp. 5.75%, 3/15/2025 (a) | | | 275,000 | | | | 280,418 | |
| | |
5.88%, 9/30/2027 (a) | | | 350,000 | | | | 362,705 | |
| | |
Post Holdings, Inc. 5.00%, 8/15/2026 (a) | | | 375,000 | | | | 382,500 | |
| | |
5.75%, 3/1/2027 (a) | | | 541,000 | | | | 562,989 | |
| | |
5.50%, 12/15/2029 (a) | | | 955,000 | | | | 990,812 | |
| | | | | | | | |
| | |
| | | | | | | 5,484,446 | |
| | | | | | | | |
|
Gas Utilities — 0.2% | |
| | |
AmeriGas Partners LP 5.50%, 5/20/2025 | | | 174,000 | | | | 177,048 | |
| | |
5.88%, 8/20/2026 | | | 149,000 | | | | 154,591 | |
| | | | | | | | |
| | |
| | | | | | | 331,639 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.2% | |
| | |
Hill-Rom Holdings, Inc. 4.38%, 9/15/2027 (a) | | | 85,000 | | | | 87,984 | |
| | |
Hologic, Inc. | | | | | | | | |
| | |
4.38%, 10/15/2025 (a) | | | 166,000 | | | | 169,063 | |
| | |
4.63%, 2/1/2028 (a) | | | 67,000 | | | | 69,493 | |
| | |
Ortho-Clinical Diagnostics, Inc. 6.63%, 5/15/2022 (a) | | | 12,000 | | | | 11,906 | |
| | |
Teleflex, Inc. 4.63%, 11/15/2027 | | | 21,000 | | | | 22,037 | |
| | | | | | | | |
| | |
| | | | | | | 360,483 | |
| | | | | | | | |
|
Health Care Providers & Services — 6.8% | |
| | |
Acadia Healthcare Co., Inc. 5.63%, 2/15/2023 | | | 56,000 | | | | 56,420 | |
| | |
BCPE Cycle Merger Sub II, Inc. 10.63%, 7/15/2027 (a) | | | 84,000 | | | | 85,050 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Health Care Providers & Services — continued | |
| | |
Centene Corp. | | | | | | | | |
| | |
5.25%, 4/1/2025 (a) | | | 346,000 | | | | 355,947 | |
| | |
5.38%, 6/1/2026 (a) | | | 1,380,000 | | | | 1,452,450 | |
| | |
5.38%, 8/15/2026 (a) | | | 134,000 | | | | 140,700 | |
| | |
4.25%, 12/15/2027 (a) | | | 907,000 | | | | 933,122 | |
| | |
4.63%, 12/15/2029 (a) | | | 772,000 | | | | 826,040 | |
| | |
Community Health Systems, Inc. | | | | | | | | |
| | |
6.25%, 3/31/2023 | | | 242,000 | | | | 242,455 | |
| | |
8.00%, 3/15/2026 (a) | | | 620,000 | | | | 640,274 | |
| | |
DaVita, Inc. | | | | | | | | |
| | |
5.13%, 7/15/2024 | | | 494,000 | | | | 500,585 | |
| | |
5.00%, 5/1/2025 | | | 92,000 | | | | 93,357 | |
| | |
Encompass Health Corp. | | | | | | | | |
| | |
4.50%, 2/1/2028 | | | 359,000 | | | | 363,057 | |
| | |
4.75%, 2/1/2030 | | | 200,000 | | | | 206,460 | |
| | |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | | | 300,000 | | | | 158,791 | |
| | |
HCA, Inc. | | | | | | | | |
| | |
7.50%, 2/15/2022 | | | 516,000 | | | | 570,283 | |
| | |
5.38%, 2/1/2025 | | | 998,000 | | | | 1,103,289 | |
| | |
5.63%, 9/1/2028 | | | 1,222,000 | | | | 1,384,991 | |
| | |
5.88%, 2/1/2029 | | | 119,000 | | | | 137,270 | |
| | |
MEDNAX, Inc. 6.25%, 1/15/2027 (a) | | | 60,000 | | | | 57,597 | |
| | |
Molina Healthcare, Inc. 4.88%, 6/15/2025 (a) | | | 75,000 | | | | 76,125 | |
| | |
Polaris Intermediate Corp. 8.50% (cash), 12/1/2022 (a) (e) | | | 45,000 | | | | 38,255 | |
| | |
RegionalCare Hospital Partners Holdings, Inc. 9.75%, 12/1/2026 (a) | | | 435,000 | | | | 466,537 | |
| | |
Team Health Holdings, Inc. 6.38%, 2/1/2025(a) (b) | | | 39,000 | | | | 21,450 | |
| | |
Tenet Healthcare Corp. | | | | | | | | |
| | |
8.13%, 4/1/2022 | | | 265,000 | | | | 287,114 | |
| | |
4.88%, 1/1/2026 (a) | | | 511,000 | | | | 520,581 | |
| | |
6.25%, 2/1/2027 (a) | | | 600,000 | | | | 628,500 | |
| | |
6.88%, 11/15/2031 | | | 243,000 | | | | 252,720 | |
| | | | | | | | |
| | |
| | | | | | | 11,599,420 | |
| | | | | | | | |
| | | | | | | | |
|
Health Care Technology — 0.3% | |
| | |
IQVIA, Inc. | | | | | | | | |
| | |
5.00%, 10/15/2026 (a) | | | 200,000 | | | | 206,321 | |
| | |
5.00%, 5/15/2027 (a) | | | 241,000 | | | | 249,134 | |
| | | | | | | | |
| | |
| | | | | | | 455,455 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 93 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Hotels, Restaurants & Leisure — 7.1% | |
| | |
1011778 BC ULC (Canada) | | | | | | | | |
| | |
4.25%, 5/15/2024 (a) | | | 483,000 | | | | 483,459 | |
| | |
5.00%, 10/15/2025 (a) | | | 1,440,000 | | | | 1,446,595 | |
| | |
3.88%, 1/15/2028 (a) | | | 125,000 | | | | 124,219 | |
| | |
Boyd Gaming Corp. | | | | | | | | |
| | |
6.38%, 4/1/2026 | | | 101,000 | | | | 105,293 | |
| | |
4.75%, 12/1/2027 (a) | | | 275,000 | | | | 272,167 | |
| | |
Boyne USA, Inc. 7.25%, 5/1/2025 (a) | | | 128,000 | | | | 136,960 | |
| | |
Caesars Resort Collection LLC 5.25%, 10/15/2025 (a) | | | 97,000 | | | | 95,256 | |
| | |
Cedar Fair LP | | | | | | | | |
| | |
5.38%, 4/15/2027 | | | 33,000 | | | | 33,795 | |
| | |
5.25%, 7/15/2029 (a) | | | 132,000 | | | | 132,000 | |
| | |
Churchill Downs, Inc. 5.50%, 4/1/2027 (a) | | | 35,000 | | | | 36,531 | |
| | |
Constellation Merger Sub, Inc. 8.50%, 9/15/2025 (a) | | | 137,000 | | | | 118,505 | |
| | |
Diamond Resorts International, Inc. 7.75%, 9/1/2023 (a) | | | 70,000 | | | | 70,000 | |
| | |
Downstream Development Authority of the Quapaw Tribe of Oklahoma 10.50%, 2/15/2023 (a) | | | 71,000 | | | | 71,710 | |
| | |
Eldorado Resorts, Inc. 6.00%, 4/1/2025 | | | 106,000 | | | | 110,770 | |
| | |
Enterprise Development Authority (The) 12.00%, 7/15/2024 (a) | | | 118,000 | | | | 135,110 | |
| | |
Gateway Casinos & Entertainment Ltd. (Canada) 8.25%, 3/1/2024 (a) | | | 74,000 | | | | 76,035 | |
| | |
Hilton Domestic Operating Co., Inc. | | | | | | | | |
| | |
5.13%, 5/1/2026 | | | 637,000 | | | | 653,944 | |
| | |
4.88%, 1/15/2030 | | | 375,000 | | | | 388,594 | |
| | |
Hilton Grand Vacations Borrower LLC 6.13%, 12/1/2024 | | | 87,000 | | | | 93,090 | |
| | |
Hilton Worldwide Finance LLC | | | | | | | | |
| | |
4.63%, 4/1/2025 | | | 235,000 | | | | 235,881 | |
| | |
4.88%, 4/1/2027 | | | 168,000 | | | | 171,780 | |
| | |
International Game Technology plc | | | | | | | | |
| | |
6.25%, 2/15/2022 (a) | | | 335,000 | | | | 344,213 | |
| | |
6.50%, 2/15/2025 (a) | | | 400,000 | | | | 433,000 | |
| | |
6.25%, 1/15/2027 (a) | | | 213,000 | | | | 225,145 | |
| | |
IRB Holding Corp. 6.75%, 2/15/2026 (a) | | | 135,000 | | | | 133,988 | |
| | |
KFC Holding Co. | | | | | | | | |
| | |
5.00%, 6/1/2024 (a) | | | 161,000 | | | | 162,269 | |
| | |
4.75%, 6/1/2027 (a) | | | 68,000 | | | | 69,530 | |
| | |
Marriott Ownership Resorts, Inc. | | | | | | | | |
| | |
6.50%, 9/15/2026 | | | 196,000 | | | | 210,700 | |
| | |
4.75%, 1/15/2028 (a) | | | 100,000 | | | | 100,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — continued | |
| | |
MGM Resorts International | | | | | | | | |
| | |
6.00%, 3/15/2023 | | | 143,000 | | | | 153,904 | |
| | |
5.50%, 4/15/2027 | | | 1,248,000 | | | | 1,347,465 | |
| | |
Penn National Gaming, Inc. 5.63%, 1/15/2027 (a) | | | 25,000 | | | | 25,875 | |
| | |
Sabre GLBL, Inc. 5.38%, 4/15/2023 (a) | | | 388,000 | | | | 388,000 | |
| | |
Scientific Games International, Inc. 5.00%, 10/15/2025 (a) | | | 773,000 | | | | 775,416 | |
| | |
Six Flags Entertainment Corp. | | | | | | | | |
| | |
4.88%, 7/31/2024 (a) | | | 57,000 | | | | 56,259 | |
| | |
5.50%, 4/15/2027 (a) | | | 366,000 | | | | 353,437 | |
| | |
Stars Group Holdings BV (Canada) 7.00%, 7/15/2026 (a) | | | 57,000 | | | | 61,275 | |
| | |
Station Casinos LLC | | | | | | | | |
| | |
5.00%, 10/1/2025 (a) | | | 157,000 | | | | 157,785 | |
| | |
4.50%, 2/15/2028 (a) | | | 150,000 | | | | 142,875 | |
| | |
VOC Escrow Ltd. 5.00%, 2/15/2028 (a) | | | 160,000 | | | | 142,800 | |
| | |
Wyndham Destinations, Inc. | | | | | | | | |
| | |
4.25%, 3/1/2022 | | | 48,000 | | | | 47,400 | |
| | |
6.35%, 10/1/2025 (d) | | | 55,000 | | | | 60,225 | |
| | |
5.75%, 4/1/2027 (d) | | | 100,000 | | | | 105,720 | |
| | |
Wyndham Hotels & Resorts, Inc. 5.38%, 4/15/2026 (a) | | | 28,000 | | | | 29,025 | |
| | |
Wynn Las Vegas LLC | | | | | | | | |
| | |
5.50%, 3/1/2025 (a) | | | 610,000 | | | | 598,563 | |
| | |
5.25%, 5/15/2027 (a) | | | 330,000 | | | | 317,625 | |
| | |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | | | 240,000 | | | | 231,900 | |
| | |
Yum! Brands, Inc. | | | | | | | | |
| | |
4.75%, 1/15/2030 (a) | | | 387,000 | | | | 401,555 | |
| | |
6.88%, 11/15/2037 | | | 34,000 | | | | 40,120 | |
| | | | | | | | |
| | |
| | | | | | | 12,107,763 | |
| | | | | | | | |
|
Household Durables — 1.4% | |
| | |
Lennar Corp. | | | | | | | | |
| | |
4.13%, 1/15/2022 | | | 155,000 | | | | 158,323 | |
| | |
4.50%, 4/30/2024 | | | 127,000 | | | | 134,884 | |
| | |
4.75%, 11/29/2027 | | | 103,000 | | | | 113,558 | |
| | |
Meritage Homes Corp. 6.00%, 6/1/2025 | | | 25,000 | | | | 28,104 | |
| | |
Newell Brands, Inc. | | | | | | | | |
| | |
4.20%, 4/1/2026 (d) | | | 650,000 | | | | 676,504 | |
| | |
5.50%, 4/1/2046 (d) | | | 300,000 | | | | 335,575 | |
| | |
PulteGroup, Inc. | | | | | | | | |
| | |
5.50%, 3/1/2026 | | | 145,000 | | | | 159,790 | |
| | |
6.38%, 5/15/2033 | | | 175,000 | | | | 214,438 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 94 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Household Durables — continued | |
| | |
Taylor Morrison Communities, Inc. | | | | | | | | |
| | |
5.63%, 3/1/2024 (a) | | | 45,000 | | | | 48,600 | |
| | |
5.88%, 6/15/2027 (a) | | | 108,000 | | | | 120,960 | |
| | |
Tempur Sealy International, Inc. 5.50%, 6/15/2026 | | | 180,000 | | | | 188,334 | |
| | |
Toll Brothers Finance Corp. | | | | | | | | |
| | |
5.88%, 2/15/2022 | | | 25,000 | | | | 26,187 | |
| | |
4.88%, 3/15/2027 | | | 122,000 | | | | 133,095 | |
| | |
3.80%, 11/1/2029 | | | 60,000 | | | | 60,300 | |
| | | | | | | | |
| | |
| | | | | | | 2,398,652 | |
| | | | | | | | |
|
Household Products — 0.7% | |
| | |
Central Garden & Pet Co. 5.13%, 2/1/2028 | | | 150,000 | | | | 156,375 | |
| | |
Energizer Holdings, Inc. 5.50%, 6/15/2025 (a) | | | 559,000 | | | | 567,273 | |
| | |
Spectrum Brands, Inc. | | | | | | | | |
| | |
5.75%, 7/15/2025 | | | 425,000 | | | | 435,625 | |
| | |
5.00%, 10/1/2029 (a) | | | 88,000 | | | | 90,872 | |
| | | | | | | | |
| | |
| | | | | | | 1,250,145 | |
| | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 1.0% | |
| | |
AES Corp. | | | | | | | | |
| | |
4.88%, 5/15/2023 | | | 244,000 | | | | 241,748 | |
| | |
5.13%, 9/1/2027 | | | 44,000 | | | | 45,707 | |
| | |
Calpine Corp. | | | | | | | | |
| | |
5.25%, 6/1/2026 (a) | | | 316,000 | | | | 313,276 | |
| | |
4.50%, 2/15/2028 (a) | | | 325,000 | | | | 311,740 | |
| | |
5.13%, 3/15/2028 (a) | | | 121,000 | | | | 113,740 | |
| | |
Clearway Energy Operating LLC 5.75%, 10/15/2025 | | | 150,000 | | | | 154,999 | |
| | |
NRG Energy, Inc. | | | | | | | | |
| | |
6.63%, 1/15/2027 | | | 250,000 | | | | 260,655 | |
| | |
5.75%, 1/15/2028 | | | 75,000 | | | | 77,910 | |
| | |
5.25%, 6/15/2029 (a) | | | 150,000 | | | | 155,909 | |
| | | | | | | | |
| | |
| | | | | | | 1,675,684 | |
| | | | | | | | |
|
Insurance — 0.1% | |
| | |
HUB International Ltd. 7.00%, 5/1/2026 (a) | | | 96,000 | | | | 96,955 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.2% | |
| | |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a) | | | 158,000 | | | | 164,320 | |
| | |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | | | 190,000 | | | | 180,025 | |
| | | | | | | | |
| | |
| | | | | | | 344,345 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
IT Services — 1.0% | |
| | |
Gartner, Inc. 5.13%, 4/1/2025 (a) | | | 527,000 | | | | 544,180 | |
| | |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | | | 250,000 | | | | 250,000 | |
| | |
Zayo Group LLC | | | | | | | | |
| | |
6.00%, 4/1/2023 | | | 96,000 | | | | 98,040 | |
| | |
5.75%, 1/15/2027 (a) | | | 775,000 | | | | 792,438 | |
| | | | | | | | |
| | |
| | | | | | | 1,684,658 | |
| | | | | | | | |
|
Leisure Products — 0.6% | |
| | |
Mattel, Inc. | | | | | | | | |
| | |
6.75%, 12/31/2025 (a) | | | 599,000 | | | | 629,519 | |
| | |
5.88%, 12/15/2027 (a) | | | 172,000 | | | | 179,740 | |
| | |
5.45%, 11/1/2041 | | | 160,000 | | | | 148,701 | |
| | |
Vista Outdoor, Inc. 5.88%, 10/1/2023 | | | 76,000 | | | | 73,530 | |
| | | | | | | | |
| | |
| | | | | | | 1,031,490 | |
| | | | | | | | |
|
Life Sciences Tools & Services — 0.1% | |
| | |
Avantor, Inc. 6.00%, 10/1/2024 (a) | | | 140,000 | | | | 146,941 | |
| | | | | | | | |
|
Machinery — 0.6% | |
| | |
Amsted Industries, Inc. 5.63%, 7/1/2027 (a) | | | 34,000 | | | | 36,040 | |
| | |
EnPro Industries, Inc. 5.75%, 10/15/2026 | | | 135,000 | | | | 143,437 | |
| | |
Hillman Group, Inc. (The) 6.38%, 7/15/2022 (a) | | | 130,000 | | | | 116,594 | |
| | |
Mueller Water Products, Inc. 5.50%, 6/15/2026 (a) | | | 175,000 | | | | 184,188 | |
| | |
RBS Global, Inc. 4.88%, 12/15/2025 (a) | | | 33,000 | | | | 33,334 | |
| | |
SPX FLOW, Inc. 5.88%, 8/15/2026 (a) | | | 50,000 | | | | 52,500 | |
| | |
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a) | | | 28,000 | | | | 30,355 | |
| | |
Tennant Co. 5.63%, 5/1/2025 | | | 114,000 | | | | 118,560 | |
| | |
Terex Corp. 5.63%, 2/1/2025 (a) | | | 50,000 | | | | 50,750 | |
| | |
TriMas Corp. 4.88%, 10/15/2025 (a) | | | 118,000 | | | | 120,065 | |
| | |
Wabash National Corp. 5.50%, 10/1/2025 (a) | | | 92,000 | | | | 90,390 | |
| | | | | | | | |
| | |
| | | | | | | 976,213 | |
| | | | | | | | |
|
Media — 8.1% | |
| | |
Altice Financing SA (Luxembourg) 7.50%, 5/15/2026 (a) | | | 240,000 | | | | 252,612 | |
| | |
AMC Networks, Inc. 5.00%, 4/1/2024 | | | 105,000 | | | | 105,525 | |
| | |
Cinemark USA, Inc. 4.88%, 6/1/2023 | | | 321,000 | | | | 319,556 | |
| | |
Clear Channel Worldwide Holdings, Inc. | | | | | | | | |
| | |
9.25%, 2/15/2024 (a) | | | 917,000 | | | | 974,313 | |
| | |
5.13%, 8/15/2027 (a) | | | 460,000 | | | | 461,150 | |
| | |
CSC Holdings LLC | | | | | | | | |
| | |
5.50%, 4/15/2027 (a) | | | 200,000 | | | | 210,500 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 95 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Media — continued | |
| | |
7.50%, 4/1/2028 (a) | | | 400,000 | | | | 451,000 | |
| | |
6.50%, 2/1/2029 (a) | | | 1,452,000 | | | | 1,599,015 | |
| | |
Cumulus Media New Holdings, Inc. 6.75%, 7/1/2026 (a) | | | 33,000 | | | | 34,269 | |
| | |
Diamond Sports Group LLC 5.38%, 8/15/2026 (a) | | | 940,000 | | | | 866,699 | |
| | |
DISH DBS Corp. | | | | | | | | |
| | |
6.75%, 6/1/2021 | | | 870,000 | | | | 900,894 | |
| | |
5.00%, 3/15/2023 | | | 250,000 | | | | 251,587 | |
| | |
5.88%, 11/15/2024 | | | 586,000 | | | | 601,078 | |
| | |
7.75%, 7/1/2026 | | | 400,000 | | | | 429,824 | |
| | |
Entercom Media Corp. 6.50%, 5/1/2027 (a) | | | 85,000 | | | | 88,825 | |
| | |
Gray Television, Inc. 7.00%, 5/15/2027 (a) | | | 91,000 | | | | 98,712 | |
| | |
iHeartCommunications, Inc. | | | | | | | | |
| | |
6.38%, 5/1/2026 (b) | | | 250,000 | | | | 268,675 | |
| | |
8.38%, 5/1/2027 | | | 1,082,000 | | | | 1,174,998 | |
| | |
4.75%, 1/15/2028 (a) | | | 250,000 | | | | 248,750 | |
| | |
Lamar Media Corp. 5.00%, 5/1/2023 | | | 69,000 | | | | 69,517 | |
| | |
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (a) | | | 230,000 | | | | 241,868 | |
| | |
Liberty Interactive LLC 8.25%, 2/1/2030 | | | 38,000 | | | | 38,570 | |
| | |
Meredith Corp. 6.88%, 2/1/2026 | | | 311,000 | | | | 311,840 | |
| | |
Midcontinent Communications 5.38%, 8/15/2027 (a) | | | 54,000 | | | | 56,835 | |
| | |
Nexstar Broadcasting, Inc. | | | | | | | | |
| | |
5.63%, 8/1/2024 (a) | | | 224,000 | | | | 230,384 | |
| | |
5.63%, 7/15/2027 (a) | | | 340,000 | | | | 351,917 | |
| | |
Outfront Media Capital LLC | | | | | | | | |
| | |
5.00%, 8/15/2027 (a) | | | 148,000 | | | | 152,447 | |
| | |
4.63%, 3/15/2030 (a) | | | 81,000 | | | | 81,226 | |
| | |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | | | 98,000 | | | | 101,675 | |
| | |
Sinclair Television Group, Inc. | | | | | | | | |
| | |
5.63%, 8/1/2024 (a) | | | 57,000 | | | | 58,140 | |
| | |
5.13%, 2/15/2027 (a) | | | 47,000 | | | | 46,647 | |
| | |
5.50%, 3/1/2030 (a) | | | 200,000 | | | | 198,760 | |
| | |
Sirius XM Radio, Inc. | | | | | | | | |
| | |
3.88%, 8/1/2022 (a) | | | 305,000 | | | | 304,277 | |
| | |
4.63%, 7/15/2024 (a) | | | 676,000 | | | | 696,922 | |
| | |
5.38%, 4/15/2025 (a) | | | 36,000 | | | | 36,930 | |
| | |
5.00%, 8/1/2027 (a) | | | 435,000 | | | | 455,119 | |
| | |
5.50%, 7/1/2029 (a) | | | 302,000 | | | | 325,269 | |
| | |
TEGNA, Inc. 5.00%, 9/15/2029 (a) | | | 65,000 | | | | 64,431 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Media — continued | |
| | |
ViacomCBS, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 3.90%), 5.87%, 2/28/2057 (f) | | | 28,000 | | | | 28,560 | |
| | |
(ICE LIBOR USD 3 Month + 3.90%), 6.25%, 2/28/2057 (f) | | | 27,000 | | | | 28,553 | |
| | |
WMG Acquisition Corp. | | | | | | | | |
| | |
5.50%, 4/15/2026 (a) | | | 399,000 | | | | 416,955 | |
| | |
Ziggo BV (Netherlands) 5.50%, 1/15/2027 (a) | | | 150,000 | | | | 154,506 | |
| | | | | | | | |
| | |
| | | | | | | 13,789,330 | |
| | | | | | | | |
|
Metals & Mining — 2.9% | |
| | |
AK Steel Corp. 7.50%, 7/15/2023 | | | 77,000 | | | | 79,695 | |
| | |
Alcoa Nederland Holding BV | | | | | | | | |
| | |
6.75%, 9/30/2024 (a) | | | 624,000 | | | | 639,613 | |
| | |
6.13%, 5/15/2028 (a) | | | 561,000 | | | | 575,754 | |
| | |
Aleris International, Inc. 10.75%, 7/15/2023 (a) | | | 33,000 | | | | 34,116 | |
| | |
Allegheny Technologies, Inc. 7.88%, 8/15/2023 (d) | | | 250,000 | | | | 265,175 | |
| | |
Constellium SE 6.63%, 3/1/2025 (a) | | | 766,000 | | | | 787,080 | |
| | |
Freeport-McMoRan, Inc. | | | | | | | | |
| | |
3.55%, 3/1/2022 | | | 137,000 | | | | 138,219 | |
| | |
3.88%, 3/15/2023 | | | 449,000 | | | | 451,380 | |
| | |
5.40%, 11/14/2034 | | | 138,000 | | | | 134,599 | |
| | |
5.45%, 3/15/2043 | | | 428,000 | | | | 415,160 | |
| | |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | | | 391,000 | | | | 387,090 | |
| | |
Novelis Corp. 5.88%, 9/30/2026 (a) | | | 965,000 | | | | 996,705 | |
| | | | | | | | |
| | |
| | | | | | | 4,904,586 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 9.9% | |
| | |
Antero Midstream Partners LP | | | | | | | | |
| | |
5.38%, 9/15/2024 | | | 63,000 | | | | 47,565 | |
| | |
5.75%, 3/1/2027 (a) | | | 210,000 | | | | 142,800 | |
| | |
Antero Resources Corp. | | | | | | | | |
| | |
5.13%, 12/1/2022 | | | 135,000 | | | | 84,037 | |
| | |
5.63%, 6/1/2023 (b) | | | 218,000 | | | | 117,720 | |
| | |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | | | 350,000 | | | | 332,500 | |
| | |
Blue Racer Midstream LLC 6.13%, 11/15/2022 (a) | | | 487,000 | | | | 445,235 | |
| | |
Buckeye Partners LP | | | | | | | | |
| | |
4.15%, 7/1/2023 | | | 217,000 | | | | 218,606 | |
| | |
3.95%, 12/1/2026 | | | 225,000 | | | | 213,750 | |
| | |
4.50%, 3/1/2028 (a) | | | 622,000 | | | | 603,732 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 96 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
Callon Petroleum Co. | | | | | | | | |
| | |
6.25%, 4/15/2023 | | | 112,000 | | | | 94,642 | |
| | |
6.13%, 10/1/2024 | | | 69,000 | | | | 54,683 | |
| | |
Centennial Resource Production LLC 6.88%, 4/1/2027 (a) | | | 150,000 | | | | 134,250 | |
| | |
Cheniere Energy Partners LP | | | | | | | | |
| | |
5.25%, 10/1/2025 | | | 300,000 | | | | 300,756 | |
| | |
4.50%, 10/1/2029 (a) | | | 973,000 | | | | 930,480 | |
| | |
Chesapeake Energy Corp. 11.50%, 1/1/2025 (a) | | | 321,000 | | | | 191,797 | |
| | |
Comstock Resources, Inc. | | | | | | | | |
| | |
7.50%, 5/15/2025 (a) | | | 104,000 | | | | 76,669 | |
| | |
9.75%, 8/15/2026 | | | 228,000 | | | | 190,950 | |
| | |
Crestwood Midstream Partners LP | | | | | | | | |
| | |
6.25%, 4/1/2023 (d) | | | 288,000 | | | | 273,658 | |
| | |
5.75%, 4/1/2025 | | | 388,000 | | | | 379,270 | |
| | |
5.63%, 5/1/2027 (a) | | | 377,000 | | | | 348,706 | |
| | |
DCP Midstream Operating LP | | | | | | | | |
| | |
4.75%, 9/30/2021 (a) | | | 181,000 | | | | 179,950 | |
| | |
5.38%, 7/15/2025 | | | 103,000 | | | | 107,895 | |
| | |
5.13%, 5/15/2029 | | | 300,000 | | | | 294,750 | |
| | |
Denbury Resources, Inc. | | | | | | | | |
| | |
9.00%, 5/15/2021 (a) | | | 98,000 | | | | 85,750 | |
| | |
7.75%, 2/15/2024 (a) | | | 90,000 | | | | 50,445 | |
| | |
EnLink Midstream Partners LP | | | | | | | | |
| | |
4.15%, 6/1/2025 | | | 161,000 | | | | 136,077 | |
| | |
5.45%, 6/1/2047 | | | 244,000 | | | | 176,827 | |
| | |
Genesis Energy LP | | | | | | | | |
| | |
6.00%, 5/15/2023 | | | 648,000 | | | | 615,600 | |
| | |
6.50%, 10/1/2025 | | | 813,000 | | | | 684,709 | |
| | |
Global Partners LP 7.00%, 8/1/2027 | | | 68,000 | | | | 70,333 | |
| | |
Gulfport Energy Corp. 6.00%, 10/15/2024 | | | 225,000 | | | | 74,812 | |
| | |
Hess Infrastructure Partners LP 5.63%, 2/15/2026 (a) | | | 25,000 | | | | 24,938 | |
| | |
Hess Midstream Operations LP | | | | | | | | |
| | |
5.63%, 2/15/2026 (a) | | | 107,000 | | | | 106,735 | |
| | |
5.13%, 6/15/2028 (a) | | | 54,000 | | | | 52,650 | |
| | |
Hilcorp Energy I LP | | | | | | | | |
| | |
5.75%, 10/1/2025 (a) | | | 120,000 | | | | 96,000 | |
| | |
6.25%, 11/1/2028 (a) | | | 78,000 | | | | 56,746 | |
| | |
Jagged Peak Energy LLC 5.88%, 5/1/2026 | | | 125,000 | | | | 124,650 | |
| | |
MEG Energy Corp. (Canada) | | | | | | | | |
| | |
7.00%, 3/31/2024 (a) | | | 186,000 | | | | 176,235 | |
| | |
7.13%, 2/1/2027 (a) | | | 500,000 | | | | 475,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
Murphy Oil Corp. | | | | | | | | |
| | |
5.75%, 8/15/2025 | | | 190,000 | | | | 184,446 | |
| | |
5.88%, 12/1/2027 | | | 67,000 | | | | 65,398 | |
| | |
5.87%, 12/1/2042 (d) | | | 84,000 | | | | 73,920 | |
| | |
NuStar Logistics LP | | | | | | | | |
| | |
6.00%, 6/1/2026 | | | 30,000 | | | | 31,353 | |
| | |
5.63%, 4/28/2027 | | | 169,000 | | | | 172,414 | |
| | |
Oasis Petroleum, Inc. | | | | | | | | |
| | |
6.88%, 3/15/2022 | | | 729,000 | | | | 572,265 | |
| | |
6.25%, 5/1/2026 (a) | | | 244,000 | | | | 150,060 | |
| | |
Parsley Energy LLC | | | | | | | | |
| | |
5.38%, 1/15/2025 (a) | | | 854,000 | | | | 854,017 | |
| | |
5.63%, 10/15/2027 (a) | | | 427,000 | | | | 423,264 | |
| | |
PBF Holding Co. LLC 7.25%, 6/15/2025 | | | 292,000 | | | | 300,272 | |
| | |
PBF Logistics LP 6.88%, 5/15/2023 | | | 70,000 | | | | 71,701 | |
| | |
PDC Energy, Inc. 5.75%, 5/15/2026 | | | 90,000 | | | | 80,320 | |
| | |
QEP Resources, Inc. | | | | | | | | |
| | |
5.25%, 5/1/2023 | | | 191,000 | | | | 169,073 | |
| | |
5.63%, 3/1/2026 | | | 51,000 | | | | 40,800 | |
| | |
Range Resources Corp. | | | | | | | | |
| | |
5.00%, 8/15/2022 | | | 192,000 | | | | 157,440 | |
| | |
5.00%, 3/15/2023 | | | 30,000 | | | | 21,741 | |
| | |
4.88%, 5/15/2025 | | | 111,000 | | | | 70,174 | |
| | |
SM Energy Co. | | | | | | | | |
| | |
5.63%, 6/1/2025 | | | 43,000 | | | | 33,289 | |
| | |
6.75%, 9/15/2026 (b) | | | 131,000 | | | | 103,490 | |
| | |
6.63%, 1/15/2027 (b) | | | 134,000 | | | | 103,850 | |
| | |
Southwestern Energy Co. | | | | | | | | |
| | |
6.20%, 1/23/2025 (d) | | | 185,000 | | | | 136,900 | |
| | |
7.75%, 10/1/2027 | | | 65,000 | | | | 49,237 | |
| | |
Sunoco LP | | | | | | | | |
| | |
4.88%, 1/15/2023 | | | 193,000 | | | | 192,425 | |
| | |
6.00%, 4/15/2027 | | | 135,000 | | | | 138,375 | |
| | |
Targa Resources Partners LP | | | | | | | | |
| | |
5.88%, 4/15/2026 | | | 943,000 | | | | 971,384 | |
| | |
5.00%, 1/15/2028 | | | 77,000 | | | | 76,014 | |
| | |
6.88%, 1/15/2029 | | | 826,000 | | | | 891,048 | |
| | |
5.50%, 3/1/2030 (a) | | | 231,000 | | | | 228,621 | |
| | |
TerraForm Power Operating LLC | | | | | | | | |
| | |
4.25%, 1/31/2023 (a) | | | 14,000 | | | | 14,228 | |
| | |
5.00%, 1/31/2028 (a) | | | 300,000 | | | | 322,890 | |
| | |
Whiting Petroleum Corp. | | | | | | | | |
| | |
5.75%, 3/15/2021 | | | 86,000 | | | | 49,450 | |
| | |
6.63%, 1/15/2026 | | | 167,000 | | | | 60,955 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 97 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
WPX Energy, Inc. | | | | | | | | |
| | |
8.25%, 8/1/2023 | | | 53,000 | | | | 59,095 | |
| | |
5.25%, 9/15/2024 | | | 1,250,000 | | | | 1,256,250 | |
| | | | | | | | |
| | |
| | | | | | | 16,898,067 | |
| | | | | | | | |
|
Personal Products — 0.2% | |
| | |
Coty, Inc. 6.50%, 4/15/2026 (a) | | | 165,000 | | | | 169,537 | |
| | |
Prestige Brands, Inc. 6.38%, 3/1/2024 (a) | | | 207,000 | | | | 213,382 | |
| | | | | | | | |
| | |
| | | | | | | 382,919 | |
| | | | | | | | |
|
Pharmaceuticals — 2.6% | |
| | |
Bausch Health Americas, Inc. 8.50%, 1/31/2027 (a) | | | 755,000 | | | | 828,446 | |
| | |
Bausch Health Cos., Inc. | | | | | | | | |
| | |
6.13%, 4/15/2025 (a) | | | 2,390,000 | | | | 2,437,800 | |
| | |
5.00%, 1/30/2028 (a) | | | 655,000 | | | | 646,400 | |
| | |
7.25%, 5/30/2029 (a) | | | 105,000 | | | | 115,500 | |
| | |
Catalent Pharma Solutions, Inc. | | | | | | | | |
| | |
5.00%, 7/15/2027 (a) | | | 257,000 | | | | 267,601 | |
| | |
Elanco Animal Health, Inc. 5.65%, 8/28/2028 (d) | | | 50,000 | | | | 57,273 | |
| | |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) | | | 95,000 | | | | 100,320 | |
| | | | | | | | |
| | |
| | | | | | | 4,453,340 | |
| | | | | | | | |
|
Professional Services — 0.1% | |
| | |
AMN Healthcare, Inc. 4.63%, 10/1/2027 (a) | | | 50,000 | | | | 50,625 | |
| | |
Dun & Bradstreet Corp. (The) | | | | | | | | |
| | |
6.88%, 8/15/2026 (a) | | | 80,000 | | | | 85,420 | |
| | |
10.25%, 2/15/2027 (a) | | | 80,000 | | | | 89,800 | |
| | | | | | | | |
| | |
| | | | | | | 225,845 | |
| | | | | | | | |
|
Real Estate Management & Development — 0.1% | |
| | |
Kennedy-Wilson, Inc. 5.88%, 4/1/2024 | | | 110,000 | | | | 111,790 | |
| | | | | | | | |
|
Road & Rail — 1.0% | |
| | |
Avis Budget Car Rental LLC | | | | | | | | |
| | |
5.25%, 3/15/2025 (a) (b) | | | 391,000 | | | | 394,089 | |
| | |
5.75%, 7/15/2027 (a) | | | 126,000 | | | | 126,000 | |
| | |
Hertz Corp. (The) | | | | | | | | |
| | |
7.63%, 6/1/2022 (a) | | | 108,000 | | | | 108,810 | |
| | |
5.50%, 10/15/2024 (a) | | | 502,000 | | | | 480,579 | |
| | |
7.13%, 8/1/2026 (a) | | | 247,000 | | | | 243,399 | |
| | |
6.00%, 1/15/2028 (a) | | | 300,000 | | | | 277,500 | |
| | | | | | | | |
| | |
| | | | | | | 1,630,377 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.2% | |
| | |
Entegris, Inc. 4.63%, 2/10/2026 (a) | | | 362,000 | | | | 373,312 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Software — 1.5% | |
| | |
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | | | 35,000 | | | | 37,450 | |
| | |
Ascend Learning LLC 6.88%, 8/1/2025 (a) | | | 428,000 | | | | 440,840 | |
| | |
CDK Global, Inc. | | | | | | | | |
| | |
4.88%, 6/1/2027 | | | 315,000 | | | | 324,450 | |
| | |
5.25%, 5/15/2029 (a) | | | 203,000 | | | | 216,449 | |
| | |
Fair Isaac Corp. 5.25%, 5/15/2026 (a) | | | 231,000 | | | | 255,833 | |
| | |
Nuance Communications, Inc. 5.63%, 12/15/2026 | | | 188,000 | | | | 198,340 | |
| | |
PTC, Inc. 4.00%, 2/15/2028 (a) | | | 350,000 | | | | 347,725 | |
| | |
Solera LLC 10.50%, 3/1/2024 (a) | | | 132,000 | | | | 139,426 | |
| | |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | | | 642,000 | | | | 675,705 | |
| | | | | | | | |
| | |
| | | | | | | 2,636,218 | |
| | | | | | | | |
|
Specialty Retail — 1.9% | |
| | |
L Brands, Inc. | | | | | | | | |
| | |
5.63%, 2/15/2022 | | | 75,000 | | | | 78,570 | |
| | |
5.63%, 10/15/2023 | | | 33,000 | | | | 35,557 | |
| | |
7.50%, 6/15/2029 | | | 300,000 | | | | 318,750 | |
| | |
6.88%, 11/1/2035 | | | 833,000 | | | | 845,495 | |
| | |
Penske Automotive Group, Inc. 5.50%, 5/15/2026 | | | 80,000 | | | | 83,000 | |
| | |
PetSmart, Inc. | | | | | | | | |
| | |
7.13%, 3/15/2023 (a) | | | 639,000 | | | | 624,623 | |
| | |
5.88%, 6/1/2025 (a) | | | 400,000 | | | | 402,520 | |
| | |
Staples, Inc. 7.50%, 4/15/2026 (a) | | | 843,000 | | | | 837,478 | |
| | | | | | | | |
| | |
| | | | | | | 3,225,993 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 0.7% | |
| | |
Diebold Nixdorf, Inc. 8.50%, 4/15/2024 (b) | | | 51,000 | | | | 45,900 | |
| | |
NCR Corp. | | | | | | | | |
| | |
5.00%, 7/15/2022 | | | 227,000 | | | | 228,135 | |
| | |
6.38%, 12/15/2023 | | | 204,000 | | | | 207,951 | |
| | |
5.75%, 9/1/2027 (a) | | | 400,000 | | | | 421,000 | |
| | |
6.13%, 9/1/2029 (a) | | | 350,000 | | | | 379,855 | |
| | | | | | | | |
| | |
| | | | | | | 1,282,841 | |
| | | | | | | | |
|
Textiles, Apparel & Luxury Goods — 0.2% | |
| | |
Hanesbrands, Inc. | | | | | | | | |
| | |
4.63%, 5/15/2024 (a) | | | 120,000 | | | | 125,400 | |
| | |
4.88%, 5/15/2026 (a) | | | 55,000 | | | | 57,612 | |
| | |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | | | 139,000 | | | | 147,886 | |
| | | | | | | | |
| | |
| | | | | | | 330,898 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 98 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Thrifts & Mortgage Finance — 2.0% | |
| | |
Ladder Capital Finance Holdings LLLP | | | | | | | | |
| | |
5.25%, 3/15/2022 (a) | | | 406,000 | | | | 414,120 | |
| | |
5.25%, 10/1/2025 (a) | | | 150,000 | | | | 152,063 | |
| | |
4.25%, 2/1/2027 (a) | | | 250,000 | | | | 237,187 | |
| | |
Nationstar Mortgage Holdings, Inc. 8.13%, 7/15/2023 (a) | | | 1,500,000 | | | | 1,563,120 | |
| | |
Quicken Loans, Inc. | | | | | | | | |
| | |
5.75%, 5/1/2025 (a) | | | 120,000 | | | | 122,950 | |
| | |
5.25%, 1/15/2028 (a) | | | 410,000 | | | | 424,227 | |
| | |
Radian Group, Inc. 4.88%, 3/15/2027 | | | 431,000 | | | | 456,860 | |
| | | | | | | | |
| | |
| | | | | | | 3,370,527 | |
| | | | | | | | |
|
Trading Companies & Distributors — 1.7% | |
| | |
AerCap Holdings NV (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.54%), 5.87%, 10/10/2079 (b) (f) | | | 637,000 | | | | 646,555 | |
| | |
Beacon Roofing Supply, Inc. 4.88%, 11/1/2025 (a) | | | 124,000 | | | | 119,623 | |
| | |
H&E Equipment Services, Inc. 5.63%, 9/1/2025 | | | 71,000 | | | | 73,988 | |
| | |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | | | 404,000 | | | | 419,109 | |
| | |
United Rentals North America, Inc. | | | | | | | | |
| | |
5.88%, 9/15/2026 | | | 260,000 | | | | 273,637 | |
| | |
6.50%, 12/15/2026 | | | 66,000 | | | | 70,376 | |
| | |
5.50%, 5/15/2027 | | | 312,000 | | | | 326,040 | |
| | |
4.88%, 1/15/2028 | | | 800,000 | | | | 821,040 | |
| | |
5.25%, 1/15/2030 | | | 186,000 | | | | 195,672 | |
| | | | | | | | |
| | |
| | | | | | | 2,946,040 | |
| | | | | | | | |
|
Wireless Telecommunication Services — 4.1% | |
| | |
Hughes Satellite Systems Corp. | | | | | | | | |
| | |
7.63%, 6/15/2021 | | | 36,000 | | | | 37,910 | |
| | |
6.63%, 8/1/2026 | | | 71,000 | | | | 78,107 | |
| | |
Sprint Communications, Inc. 6.00%, 11/15/2022 | | | 241,000 | | | | 258,497 | |
| | |
Sprint Corp. 7.88%, 9/15/2023 | | | 2,512,000 | | | | 2,872,045 | |
| | |
T-Mobile USA, Inc. | | | | | | | | |
| | |
6.38%, 3/1/2025 ‡ | | | 369,000 | | | | — | |
| | |
6.50%, 1/15/2026 | | | 2,027,000 | | | | 2,134,026 | |
| | |
6.50%, 1/15/2026 ‡ | | | 432,000 | | | | — | |
| | |
4.50%, 2/1/2026 | | | 250,000 | | | | 253,362 | |
| | |
4.75%, 2/1/2028 | | | 251,000 | | | | 261,354 | |
| | |
4.75%, 12/31/2164 ‡ (g) (h) | | | 168,000 | | | | — | |
| | |
United States Cellular Corp. 6.70%, 12/15/2033 | | | 110,000 | | | | 124,576 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Wireless Telecommunication Services — continued | |
| | |
Vodafone Group plc (United Kingdom) (USD Swap Semi 5 Year + 4.87%),
7.00%, 4/4/2079 (f) | | | 96,000 | | | | 110,887 | |
| | |
Ypso Finance Bis SA (Luxembourg) 10.50%, 5/15/2027 ‡ (a) | | | 708,000 | | | | 808,890 | |
| | | | | | | | |
| | |
| | | | | | | 6,939,654 | |
| | | | | | | | |
| |
Total Corporate Bonds
(Cost $169,363,957) | | | | 168,001,418 | |
| | | | | |
| | |
| | | SHARES | | | | |
Short-Term Investments — 2.2% | |
|
Investment Companies — 0.6% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (i) (j)
(Cost $1,006,572) | | | 1,006,572 | | | | 1,006,572 | |
| | | | | | | | |
|
Investment of Cash Collateral from Securities Loaned — 1.6% | |
| | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (i) (j)
(Cost $2,675,130) | | | 2,675,130 | | | | 2,675,130 | |
| | | | | | | | |
Total Short-Term Investments
(Cost $3,681,702) | | | | 3,681,702 | |
| | | | | | | | |
Total Investments — 100.4%
(Cost $173,045,659) | | | | 171,683,120 | |
Liabilities in Excess of
Other Assets — (0.4)% | | | | (645,796) | |
| | | | | |
NET ASSETS — 100.0% | | | | 171,037,324 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 99 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | |
| Abbreviations |
| |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| REIT | | Real Estate Investment Trust |
| SCA | | Limited partnership with share capital |
| USD | | United States Dollar |
| |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | | The security or a portion of this security is on loan at February 29, 2020. The total value of securities on loan at February 29, 2020 is $2,524,615. |
| (c) | | Amount rounds to less than 0.1% of net assets. |
| (d) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| | |
| |
| (e) | | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. |
| (f) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (g) | | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2020. |
| (h) | | Security is an interest bearing note with preferred security characteristics. |
| (i) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (j) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 100 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — 98.3%(a) | | | | | | | | |
| | |
Alabama — 2.4% | | | | | | | | |
| | |
Education — 1.0% | | | | | | | | |
| | |
Alabama Public School and College Authority, Capital Improvement Series B, Rev., 5.00%, 5/1/2020 | | | 20,000 | | | | 20,135 | |
| | |
Auburn University Series 2016A, Rev., 5.00%, 6/1/2030 | | | 35,000 | | | | 43,419 | |
| | |
Tuscaloosa City Board of Education Rev., 5.00%, 8/1/2020 | | | 10,000 | | | | 10,171 | |
| | |
University of Alabama (The) SeriesB-2, Rev., 5.00%, 9/1/2031 | | | 95,000 | | | | 124,254 | |
| | |
University of South Alabama Facilities | | | | | | | | |
| | |
Rev., AGM, 5.00%, 4/1/2030 (b) | | | 250,000 | | | | 335,973 | |
| | | | | | | | |
| | |
| | | | | | | 533,952 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
City of Pell City Series A, GO, 5.00%, 2/1/2025 | | | 100,000 | | | | 119,004 | |
| | | | | | | | |
|
Transportation — 0.5% | |
| | |
Alabama Federal Aid Highway Finance Authority Series 2016A, Rev., 5.00%, 9/1/2034 | | | 200,000 | | | | 247,446 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
Black Belt Energy Gas District, Gas Supply Series 2017A, Rev., LIQ: Royal Bank of Canada, 4.00%, 7/1/2022 (c) | | | 30,000 | | | | 32,039 | |
| | |
Black Belt Energy Gas District, Project No. 5 Series2020A-1, Rev., 4.00%, 3/6/2020 (c) | | | 250,000 | | | | 292,255 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (c) | | | 25,000 | | | | 27,724 | |
| | | | | | | | |
| | |
| | | | | | | 352,018 | |
| | | | | | | | |
| | |
Total Alabama | | | | | | | 1,252,420 | |
| | | | | | | | |
| | |
Alaska — 1.7% | | | | | | | | |
| | |
General Obligation — 1.2% | | | | | | | | |
| | |
Borough of North Slope, General Purpose Series 2018A, GO, 5.00%, 6/30/2020 | | | 35,000 | | | | 35,476 | |
| | |
Municipality of Anchorage Series 2019A, GO, 5.00%, 4/1/2029 | | | 435,000 | | | | 582,456 | |
| | | | | | | | |
| | |
| | | | | | | 617,932 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.4% | |
| | |
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 5.00%, 10/1/2024 | | | 200,000 | | | | 232,468 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Alaska Municipal Bond Bank Authority Series 3, Rev., 5.00%, 10/1/2025 | | | 20,000 | | | | 23,602 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Prerefunded — 0.0% (d) | |
| | |
Borough of North Slope, General Purpose Series 2017A, GO, 5.00%, 6/30/2021 (e) | | | 10,000 | | | | 10,138 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 884,140 | |
| | | | | | | | |
|
Arizona — 3.0% | |
| |
Education — 1.1% | | | | | |
| | |
Arizona Industrial Development Authority, Cadence Campus Project
Series 2020A, Rev., 4.00%, 7/15/2030 (f) | | | 125,000 | | | | 140,105 | |
| | |
Series 2020A, Rev., 4.00%, 7/15/2040 (f) | | | 125,000 | | | | 136,995 | |
| | |
Arizona Industrial Development Authority, Equitable School Revolving Funds Series A, Rev., 5.00%, 11/1/2044 | | | 250,000 | | | | 309,797 | |
| | | | | | | | |
| | |
| | | | | | | 586,897 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
City of Chandler GO, 3.00%, 7/1/2020 | | | 10,000 | | | | 10,073 | |
| | |
City of Phoenix GO, 5.00%, 7/1/2027 | | | 25,000 | | | | 31,347 | |
| | |
County of Pima GO, 5.00%, 7/1/2020 | | | 10,000 | | | | 10,137 | |
| | |
Kyrene Elementary School District No. 28 Series 2017A, GO, 4.00%, 7/1/2020 | | | 10,000 | | | | 10,106 | |
| | |
Maricopa County School District No. 3 Tempe Elementary, School Improvement Series A, GO, 5.00%, 7/1/2027 | | | 30,000 | | | | 38,611 | |
| | | | | | | | |
| | |
| | | | | | | 100,274 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 1.0% | |
| | |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2022 | | | 200,000 | | | | 212,388 | |
| | |
Series 2019A, Rev., 5.00%, 1/1/2036 | | | 250,000 | | | | 300,768 | |
| | | | | | | | |
| | |
| | | | | | | 513,156 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
City of Phoenix Civic Improvement Corp., Capital Appreciation Series 2005B, Rev.,BHAC-CR, FGIC, 5.50%, 7/1/2036 | | | 100,000 | | | | 157,059 | |
| | |
City of Phoenix Civic Improvement Corp., Junior Lien Series 2014B, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,139 | |
| | |
City of Surprise Rev., 3.00%, 7/1/2020 | | | 10,000 | | | | 10,073 | |
| | | | | | | | |
| | |
| | | | | | | 177,271 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Phoenix, Civic Improvement Corp., Light Rail Project Series 2013, Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,345 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 101 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Utility — 0.2% | |
| | |
Salt Verde Financial Corp. Rev., 5.25%, 12/1/2026 | | | 100,000 | | | | 123,770 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Glendale, Water and Sewer System, Senior Lien Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,342 | |
| | |
County of Pima, Sewer System Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,137 | |
| | | | | | | | |
| | |
| | | | | | | 35,479 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 1,562,192 | |
| | | | | | | | |
|
Arkansas — 0.3% | |
|
Education — 0.1% | |
| | |
University of Arkansas, UAMS Campus Rev., 5.00%, 11/1/2021 | | | 40,000 | | | | 42,794 | |
| | | | | | | | |
|
Other Revenue — 0.0% (d) | |
| | |
Arkansas Development Finance Authority, Revolving Loan Fund | | | | | | | | |
| | |
Series 2011C, Rev., 5.00%, 6/1/2020 | | | 10,000 | | | | 10,103 | |
| | | | | | | | |
|
Water & Sewer — 0.2% | |
| | |
City of Fort Smith, Water and Sewer Construction Rev., 5.00%, 10/1/2024 | | | 75,000 | | | | 88,455 | |
| | | | | | | | |
| | |
Total Arkansas | | | | | | | 141,352 | |
| | | | | | | | |
|
California — 1.7% | |
| | |
Certificate of Participation/Lease — 0.4% | | | | | | | | |
| | |
City of Roseville, 316 Vernon Street Project COP, 5.00%, 8/1/2025 | | | 70,000 | | | | 86,052 | |
| | |
City of Santa Rosa, Courthouse Square Project and Lease COP, 4.00%, 10/1/2024 | | | 90,000 | | | | 103,303 | |
| | | | | | | | |
| | |
| | | | | | | 189,355 | |
| | | | | | | | |
| | |
General Obligation — 0.2% | | | | | | | | |
| | |
El Monte City School District, Election 2014 Series A, GO, 5.00%, 8/1/2025 | | | 55,000 | | | | 67,646 | |
| | |
Hermosa Beach City School District, Election of 2016 Series A, GO, 4.00%, 8/1/2023 | | | 15,000 | | | | 16,697 | |
| | |
Vista Unified School District GO, 5.00%, 8/1/2020 | | | 10,000 | | | | 10,182 | |
| | | | | | | | |
| | |
| | | | | | | 94,525 | |
| | | | | | | | |
|
Other Revenue — 0.8% | |
| | |
Chula Vista Municipal Financing Authority Rev., 4.00%, 5/1/2026 | | | 60,000 | | | | 71,677 | |
| | |
Golden State Tobacco Securitization Corp., Tobacco Settlement SeriesA-1, Rev., 5.00%, 6/1/2032 | | | 250,000 | | | | 320,927 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Other Revenue — continued | |
| | |
Municipal Improvement Corp. of Los Angeles, Real Property Series2014-A, Rev., 5.00%, 5/1/2023 | | | 20,000 | | | | 22,657 | |
| | | | | | | | |
| | |
| | | | | | | 415,261 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
California Municipal Finance Authority, San Antonio Gardens Project Rev., 5.00%, 11/15/2039 | | | 150,000 | | | | 182,820 | |
| | | | | | | | |
| | |
Total California | | | | | | | 881,961 | |
| | | | | | | | |
| | |
Colorado — 1.8% | | | | | | | | |
| |
Certificate of Participation/Lease — 0.1% | | | | | |
| | |
Regional Transportation District Series 2015A, COP, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,101 | |
| | |
State of Colorado, Higher Education Capital Construction, Lease Purchase Financing Program Series 2014A, COP, 5.00%, 11/1/2025 | | | 10,000 | | | | 12,252 | |
| | | | | | | | |
| | |
| | | | | | | 22,353 | |
| | | | | | | | |
| | |
Education — 0.1% | | | | | | | | |
| | |
University of Colorado, University Enterprise SeriesA-2, Rev., 5.00%, 6/1/2026 | | | 40,000 | | | | 49,952 | |
| | | | | | | | |
| | |
General Obligation — 1.6% | | | | | | | | |
| | |
Southlands Metropolitan District No. 1Series A-1, GO, 5.00%, 12/1/2037 | | | 250,000 | | | | 292,980 | |
| | |
STC Metropolitan District No. 2 Series 2019A, GO, 5.00%, 12/1/2038 | | | 300,000 | | | | 331,749 | |
| | |
Vauxmont Metropolitan District, Subordinate Limited Tax, Convertible to Unlimited Tax GO, AGM, 5.00%, 12/15/2022 | | | 205,000 | | | | 224,641 | |
| | | | | | | | |
| | |
| | | | | | | 849,370 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 921,675 | |
| | | | | | | | |
| | |
Connecticut — 1.3% | | | | | | | | |
| | |
General Obligation — 1.1% | | | | | | | | |
| | |
State of Connecticut | | | | | | | | |
| | |
Series 2014C, GO, 5.00%, 6/15/2020 | | | 20,000 | | | | 20,237 | |
| | |
Series A, GO, 5.00%, 4/15/2033 | | | 135,000 | | | | 167,015 | |
| | |
Series 2019A, GO, 5.00%, 4/15/2035 | | | 300,000 | | | | 387,120 | |
| | |
Town of Trumbull Series 2012A, GO, 4.00%, 9/1/2020 | | | 10,000 | | | | 10,165 | |
| | | | | | | | |
| | |
| | | | | | | 584,537 | |
| | | | | | | | |
| | |
Special Tax — 0.2% | | | | | | | | |
| | |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | | | | | | | | |
| | |
Series 2015A, Rev., 5.00%, 8/1/2020 | | | 15,000 | | | | 15,255 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 102 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Special Tax — continued | | | | | | | | |
| | |
Series B, Rev., 5.00%, 8/1/2023 | | | 75,000 | | | | 85,303 | |
| | | | | | | | |
| | |
| | | | | | | 100,558 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 685,095 | |
| | | | | | | | |
| | |
Delaware — 0.2% | | | | | | | | |
| | |
General Obligation — 0.1% | | | | | | | | |
| | |
State of Delaware GO, 5.00%, 2/1/2027 | | | 30,000 | | | | 38,444 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Delaware Transportation Authority Rev., 5.00%, 7/1/2022 | | | 40,000 | | | | 43,897 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 82,341 | |
| | | | | | | | |
| | |
District of Columbia — 1.2% | | | | | | | | |
| | |
Education — 0.3% | | | | | | | | |
| | |
District of Columbia, International School Issue Rev., 5.00%, 7/1/2039 | | | 125,000 | | | | 156,964 | |
| | | | | | | | |
| | |
General Obligation — 0.2% | | | | | | | | |
| | |
District of Columbia Series D, GO, 5.00%, 6/1/2031 | | | 65,000 | | | | 82,741 | |
| | | | | | | | |
| | |
Hospital — 0.0% (d) | | | | | | | | |
| | |
District of Columbia, Children’s Hospital Obligated Group Issue Rev., 5.00%, 7/15/2020 | | | 15,000 | | | | 15,227 | |
| | | | | | | | |
| | |
Other Revenue — 0.5% | | | | | | | | |
| | |
District of Columbia, Income Tax Series C, Rev., 5.00%, 12/1/2021 | | | 25,000 | | | | 26,838 | |
| | |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 | | | 200,000 | | | | 229,236 | |
| | | | | | | | |
| | |
| | | | | | | 256,074 | |
| | | | | | | | |
| | |
Water & Sewer — 0.2% | | | | | | | | |
| | |
District of Columbia, Water and Sewer Authority Series B, Rev., 5.00%, 10/1/2025 | | | 65,000 | | | | 79,830 | |
| | |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2012A, Rev., 4.00%, 10/1/2022 | | | 35,000 | | | | 37,880 | |
| | | | | | | | |
| | |
| | | | | | | 117,710 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 628,716 | |
| | | | | | | | |
| | |
Florida — 5.7% | | | | | | | | |
|
Certificate of Participation/Lease — 0.6% | |
| | |
Hillsborough County School Board, Master Lease Program | | | | | | | | |
| | |
Series 2015A, COP, 5.00%, 7/1/2020 | | | 10,000 | | | | 10,137 | |
| | |
Series 2017C, COP, 5.00%, 7/1/2020 | | | 20,000 | | | | 20,273 | |
| | |
Monroe County School District Series 2018A, COP, 4.00%, 6/1/2025 | | | 45,000 | | | | 51,744 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Certificate of Participation/Lease — continued | |
| | |
Palm Beach County School District Series 2015B, COP, 5.00%, 8/1/2021 | | | 10,000 | | | | 10,586 | |
| | |
South Florida Water Management District COP, 5.00%, 10/1/2036 | | | 200,000 | | | | 240,994 | |
| | | | | | | | |
| | |
| | | | | | | 333,734 | |
| | | | | | | | |
| | |
Education — 1.3% | | | | | | | | |
| | |
County of Palm Beach, Atlantic University | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2029 (f) | | | 100,000 | | | | 115,841 | |
| | |
Rev., 5.00%, 4/1/2039 (f) | | | 100,000 | | | | 115,616 | |
| | |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2032 | | | 250,000 | | | | 323,323 | |
| | |
State of Florida, State Board of Education, Lottery | | | | | | | | |
| | |
Series 2016B, Rev., 5.00%, 7/1/2023 | | | 40,000 | | | | 45,504 | |
| | |
Series A, Rev., 5.00%, 7/1/2026 | | | 75,000 | | | | 94,197 | |
| | | | | | | | |
| | |
| | | | | | | 694,481 | |
| | | | | | | | |
| | |
General Obligation — 0.5% | | | | | | | | |
| | |
County of Miami-Dade, Building Better Communities Program Series 2016A, GO, 5.00%, 7/1/2025 | | | 25,000 | | | | 30,399 | |
| | |
Florida State Board of Education, Public Education Capital Outlay
Series B, GO, 5.00%, 6/1/2024 | | | 30,000 | | | | 35,285 | |
| | |
Series B, GO, 5.00%, 6/1/2026 | | | 20,000 | | | | 25,059 | |
| | |
Series B, GO, 5.00%, 6/1/2031 | | | 75,000 | | | | 96,013 | |
| | |
Reedy Creek Improvement District Series2016-A, GO, 5.00%, 6/1/2026 | | | 50,000 | | | | 62,371 | |
| | | | | | | | |
| | |
| | | | | | | 249,127 | |
| | | | | | | | |
| | |
Hospital — 0.6% | | | | | | | | |
| | |
Palm Beach County Health Facilities Authority, ACTS Retirement Life Communities Inc. Obligated Group Rev., 5.00%, 11/15/2032 | | | 240,000 | | | | 288,698 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Florida Department of Environmental Protection Series2014-A, Rev., 5.00%, 7/1/2020 | | | 35,000 | | | | 35,476 | |
| | | | | | | | |
| | |
Other Revenue — 0.7% | | | | | | | | |
| | |
City of Orlando, Capital Improvement | | | | | | | | |
| | |
Series D, Rev., 5.00%, 10/1/2022 | | | 75,000 | | | | 83,103 | |
| | |
Series B, Rev., 5.00%, 10/1/2024 | | | 60,000 | | | | 71,417 | |
| | |
County of Hillsborough Rev., 5.00%, 10/1/2024 | | | 40,000 | | | | 47,571 | |
| | |
County of Lee Rev., 5.00%, 10/1/2025 | | | 40,000 | | | | 48,882 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 103 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Other Revenue — continued | | | | | | | | |
| | |
County of Okaloosa Rev., 5.00%, 10/1/2024 | | | 30,000 | | | | 35,589 | |
| | |
County of Osceola, Sales Tax Series 2016A, Rev., 4.00%, 10/1/2023 | | | 10,000 | | | | 11,055 | |
| | |
Sunshine State Governmental Financing Commission, Miami-Dade County Program Series 2011A, Rev., 5.00%, 9/1/2020 | | | 20,000 | | | | 20,413 | |
| | |
Tampa Sports Authority, Stadium Project Rev., 4.00%, 1/1/2023 | | | 20,000 | | | | 21,780 | |
| | | | | | | | |
| | |
| | | | | | | 339,810 | |
| | | | | | | | |
| | |
Prerefunded — 0.0%(d) | | | | | | | | |
| | |
State of Florida, Full Faith and Credit State Board of Education Public Education Capital Outlay Series 2010B, GO, 5.00%, 6/1/2023 (e) | | | 25,000 | | | | 25,260 | |
| | | | | | | | |
| | |
Transportation — 0.3% | | | | | | | | |
| | |
County of Broward, Port Facilities Series 2019A, Rev., 5.00%, 9/1/2030 | | | 50,000 | | | | 66,690 | |
| | |
Florida’s Turnpike Enterprise, Department of Transportation Series A, Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,278 | |
| | |
State of Florida, Department of Transportation Turnpike System Series 2010B, Rev., 5.00%, 7/1/2020 | | | 40,000 | | | | 40,556 | |
| | |
Tampa-Hillsborough County Expressway Authority Series B, Rev., 5.00%, 7/1/2031 | | | 40,000 | | | | 51,625 | |
| | | | | | | | |
| | |
| | | | | | | 179,149 | |
| | | | | | | | |
| | |
Utility — 1.3% | | | | | | | | |
| | |
County of Polk, Utility System Rev., 5.00%, 10/1/2035 (b) | | | 100,000 | | | | 135,753 | |
| | |
County of Sarasota, Utility System Series 2016B, Rev., 5.00%, 10/1/2030 | | | 30,000 | | | | 37,171 | |
| | |
North Sumter County Utility Dependent District, Central Sumter Utility Rev., 5.00%, 10/1/2030 | | | 250,000 | | | | 331,622 | |
| | |
Pinellas County Industrial Development Authority, Drs. Kiran & Pallavi Patel 2017 Foundation For Global Understanding, Inc., Project Rev., 5.00%, 7/1/2029 | | | 125,000 | | | | 151,298 | |
| | | | | | | | |
| | |
| | | | | | | 655,844 | |
| | | | | | | | |
| | |
Water & Sewer — 0.3% | | | | | | | | |
| | |
City of Cape Coral, Water and Sewer Rev., 5.00%, 10/1/2022 | | | 25,000 | | | | 27,586 | |
| | |
City of Miami Beach, Water and Sewer Rev., 5.00%, 9/1/2033 | | | 25,000 | | | | 31,672 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Water & Sewer — continued | | | | | | | | |
| | |
East Central Regional Wastewater Treatment Facilities Operation Board, Green Bonds, Bio Solids Project Rev., 5.00%, 10/1/2024 | | | 30,000 | | | | 35,589 | |
| | |
Tampa Bay Water Utility System Series C, Rev., 5.00%, 10/1/2025 | | | 55,000 | | | | 67,448 | |
| | |
Tohopekaliga Water Authority, Utility System Rev., 5.00%, 10/1/2025 | | | 10,000 | | | | 12,282 | |
| | | | | | | | |
| | |
| | | | | | | 174,577 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 2,976,156 | |
| | | | | | | | |
| | |
Georgia — 0.7% | | | | | | | | |
| | |
General Obligation — 0.0% (d) | | | | | | | | |
| | |
State of Georgia Series2011E-1, GO, 4.00%, 7/1/2020 | | | 10,000 | | | | 10,106 | |
| | | | | | | | |
| | |
Hospital — 0.6% | | | | | | | | |
| | |
Glynn-Brunswick Memorial Hospital Authority, Health System Project Rev., 4.00%, 8/1/2037 | | | 255,000 | | | | 301,254 | |
| | |
Richmond County Hospital Authority, University Health Services, Inc. Project Rev., RAN, 5.00%, 1/1/2022 | | | 20,000 | | | | 21,449 | |
| | | | | | | | |
| | |
| | | | | | | 322,703 | |
| | | | | | | | |
| | |
Water & Sewer — 0.1% | | | | | | | | |
| | |
County of Clayton, Water and Sewerage Series 2013A, Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,170 | |
| | |
County of DeKalb, Water and Sewerage | | | | | | | | |
| | |
Series B, Rev., 5.25%, 10/1/2026 | | | 25,000 | | | | 31,968 | |
| | | | | | | | |
| | |
| | | | | | | 57,138 | |
| | | | | | | | |
| | |
Total Georgia | | | | | | | 389,947 | |
| | | | | | | | |
| | |
Hawaii — 0.4% | | | | | | | | |
| | |
General Obligation — 0.3% | | | | | | | | |
| | |
City and County of Honolulu,Tax-Exempt Series D, GO, 5.00%, 9/1/2032 | | | 45,000 | | | | 57,379 | |
| | |
State of Hawaii | | | | | | | | |
| | |
Series EP, GO, 5.00%, 8/1/2023 | | | 40,000 | | | | 45,654 | |
| | |
Series FK, GO, 5.00%, 5/1/2033 | | | 30,000 | | | | 37,922 | |
| | | | | | | | |
| | |
| | | | | | | 140,955 | |
| | | | | | | | |
| | |
Prerefunded — 0.0%(d) | | | | | | | | |
| | |
State of Hawaii Series EE, GO, 5.00%, 11/1/2026 (e) | | | 15,000 | | | | 16,676 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
State of Hawaii, Highway Fund Series B, Rev., 5.00%, 1/1/2027 | | | 25,000 | | | | 31,377 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 104 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Water & Sewer — 0.0%(d) | | | | | | | | |
| | |
City and County Honolulu, Wastewater System Series 2019A, Rev., 5.00%, 7/1/2020 | | | 30,000 | | | | 30,412 | |
| | | | | | | | |
| | |
Total Hawaii | | | | | | | 219,420 | |
| | | | | | | | |
| | |
Illinois — 6.8% | | | | | | | | |
| | |
General Obligation — 4.3% | | | | | | | | |
| | |
Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2027 | | | 45,000 | | | | 55,277 | |
| | |
City of Decatur GO, 5.00%, 3/1/2027 | | | 130,000 | | | | 157,496 | |
| | |
City of Peoria Series B, GO, 5.00%, 1/1/2027 | | | 230,000 | | | | 279,758 | |
| | |
Cook and DuPage Counties, Village of Elk Grove GO, 5.00%, 1/1/2029 | | | 25,000 | | | | 31,567 | |
| | |
Cook County School District No. 150, South Holland GO, 3.00%, 12/1/2032 (b) | | | 370,000 | | | | 401,161 | |
| | |
Grundy and Will Counties Community Unit School District No. 1 Coal City GO, 5.00%, 2/1/2027 | | | 225,000 | | | | 275,738 | |
| | |
Kane County School District No. 131 Aurora East Side Series 2020A, GO, AGM, 5.00%, 12/1/2026 (b) | | | 110,000 | | | | 136,708 | |
| | |
Kane McHenry Cook and De Kalb Counties Unit School District No. 300, School Bonds GO, 5.00%, 1/1/2024 | | | 35,000 | | | | 39,986 | |
| | |
Kendall and Kane Counties Community Unit School District No. 115 Series 2017B, GO, 5.00%, 1/1/2027 | | | 25,000 | | | | 30,912 | |
| | |
Lake and McHenry Counties Community Unit School District No. 118 Wauconda GO, 5.00%, 1/1/2022 | | | 50,000 | | | | 53,670 | |
| | |
Lake County Forest Preserve District GO, 5.00%, 12/15/2028 | | | 165,000 | | | | 216,940 | |
| | |
McLean & Woodford Counties Community Unit School District No. 5 Normal Series 2017A, GO, 4.00%, 12/1/2023 | | | 80,000 | | | | 88,171 | |
| | |
State of Illinois | | | | | | | | |
| | |
GO, 5.00%, 4/1/2024 | | | 30,000 | | | | 34,391 | |
| | |
Series A, GO, 5.00%, 10/1/2024 | | | 30,000 | | | | 34,914 | |
| | |
Village of Bolingbrook Series A, GO, AGM, 5.00%, 1/1/2033 | | | 125,000 | | | | 155,648 | |
| | |
Will & Kendall Counties Community Consolidated School District 202 Plainfield GO, 4.00%, 1/1/2023 | | | 10,000 | | | | 10,808 | |
| | |
Will County Forest Preserve District, Limited Tax GO, 5.00%, 12/15/2034 | | | 200,000 | | | | 259,462 | |
| | | | | | | | |
| | |
| | | | | | | 2,262,607 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Other Revenue — 1.6% | | | | | | | | |
| | |
Southwestern Illinois Development Authority, Southwestern Flood Prevention District Council Project Rev., 5.00%, 4/15/2030 | | | 625,000 | | | | 829,100 | |
| | | | | | | | |
| | |
Transportation — 0.8% | | | | | | | | |
| | |
Chicago O’Hare International Airport, Third Lien Series 2017B, Rev., 5.00%, 1/1/2034 | | | 40,000 | | | | 49,413 | |
| | |
Illinois State Toll Highway Authority | | | | | | | | |
| | |
Series D, Rev., 5.00%, 1/1/2024 | | | 25,000 | | | | 28,805 | |
| | |
Series A, Rev., 5.00%, 1/1/2036 | | | 250,000 | | | | 325,375 | |
| | | | | | | | |
| | |
| | | | | | | 403,593 | |
| | | | | | | | |
| | |
Water & Sewer — 0.1% | | | | | | | | |
| | |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2032 | | | 35,000 | | | | 44,264 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 3,539,564 | |
| | | | | | | | |
| | |
Indiana — 1.4% | | | | | | | | |
| | |
Education — 0.7% | | | | | | | | |
| | |
Adams Central Elementary School Building Corp., Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2027 | | | 20,000 | | | | 25,035 | |
| | |
Ball State University, Student Fee | | | | | | | | |
| | |
Series R, Rev., 5.00%, 7/1/2024 | | | 35,000 | | | | 41,236 | |
| | |
Indiana State University, Housing and Dining System Rev., 5.00%, 4/1/2031 | | | 75,000 | | | | 93,250 | |
| | |
Indiana State University, Student Fee Series R, Rev., 5.00%, 10/1/2022 | | | 10,000 | | | | 11,067 | |
| | |
Indiana University | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/1/2022 | | | 25,000 | | | | 27,355 | |
| | |
Series Y, Rev., 5.00%, 8/1/2028 | | | 25,000 | | | | 32,225 | |
| | |
Perry Township Multi School Building Corp. Rev., 5.00%, 7/15/2025 | | | 35,000 | | | | 42,407 | |
| | |
Portage Township Multi-School Building Corp., Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2028 | | | 75,000 | | | | 97,186 | |
| | | | | | | | |
| | |
| | | | | | | 369,761 | |
| | | | | | | | |
| | |
Housing — 0.6% | | | | | | | | |
| | |
Decatur County Jail Building Corp. Rev., 5.00%, 7/15/2028 | | | 250,000 | | | | 313,007 | |
| | | | | | | | |
| | |
Other Revenue — 0.0% (d) | | | | | | | | |
| | |
Indiana Finance Authority Series 2017A, Rev., 4.00%, 6/1/2020 | | | 10,000 | | | | 10,079 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Indiana Finance Authority, Highway Series C, Rev., 5.00%, 12/1/2025 | | | 35,000 | | | | 43,148 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 735,995 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 105 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Iowa — 1.0% | | | | | | | | |
| | |
Education — 0.7% | | | | | | | | |
| | |
University of Iowa Facilities Corp., Medical Education and Biomedical Research Facilities Rev., 4.00%, 6/1/2020 | | | 25,000 | | | | 25,196 | |
| | |
University of Northern Iowa, Utility System Series UNI, Rev., 5.00%, 7/1/2028 | | | 250,000 | | | | 327,648 | |
| | | | | | | | |
| | |
| | | | | | | 352,844 | |
| | | | | | | | |
| | |
General Obligation — 0.1% | | | | | | | | |
| | |
City of Des Moines Series 2016B, GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,103 | |
| | |
City of West Des Moines, Urban Renewal Series 2016B, GO, 5.00%, 6/1/2024 | | | 35,000 | | | | 41,135 | |
| | | | | | | | |
| | |
| | | | | | | 51,238 | |
| | | | | | | | |
| | |
Other Revenue — 0.1% | | | | | | | | |
| | |
Iowa Finance Authority, State Revolving Fund, Green Bonds Rev., 5.00%, 8/1/2027 | | | 30,000 | | | | 38,893 | |
| | | | | | | | |
| | |
Water & Sewer — 0.1% | | | | | | | | |
| | |
City of Cedar Rapids Series 2018D, Rev., 5.00%, 6/1/2022 | | | 70,000 | | | | 76,495 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 519,470 | |
| | | | | | | | |
| | |
Kansas — 0.2% | | | | | | | | |
| | |
General Obligation — 0.0%(d) | | | | | | | | |
| | |
Seward County Unified School District No. 480 Liberal GO, 5.00%, 9/1/2020 | | | 10,000 | | | | 10,204 | |
| | | | | | | | |
| | |
Water & Sewer — 0.2% | | | | | | | | |
| | |
City of Wichita, Water and Sewer Utility System Series A, Rev., 5.00%, 10/1/2020 | | | 20,000 | | | | 20,482 | |
| | |
Johnson County Water District No. 1 Series 2017A, Rev., 5.00%, 1/1/2025 | | | 50,000 | | | | 60,024 | |
| | | | | | | | |
| | |
| | | | | | | 80,506 | |
| | | | | | | | |
| | |
Total Kansas | | | | | | | 90,710 | |
| | | | | | | | |
| | |
Kentucky — 0.7% | | | | | | | | |
| | |
Hospital — 0.1% | | | | | | | | |
| | |
Louisville/Jefferson County Metropolitan Government, Health System, Norton Healthcare, Inc. Series2016-A, Rev., 4.00%, 10/1/2036 | | | 65,000 | | | | 74,210 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.4% | |
| | |
Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series B, Rev., 5.00%, 8/15/2029 | | | 165,000 | | | | 201,975 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Transportation — 0.0%(d) | | | | | | | | |
| | |
Kentucky Asset Liability Commission, Project Notes, Federal Highway Trust Series 2015A, Rev., 5.00%, 9/1/2020 | | | 10,000 | | | | 10,201 | |
| | |
Kentucky Turnpike Authority Series 2016A, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,132 | |
| | | | | | | | |
| | |
| | | | | | | 20,333 | |
| | | | | | | | |
| | |
Water & Sewer — 0.2% | | | | | | | | |
| | |
Louisville & Jefferson County Metropolitan Sewer District, Sewer and Drainage System | | | | | | | | |
| | |
Series B, Rev., 5.00%, 5/15/2024 | | | 25,000 | | | | 29,258 | |
| | |
Series 2017A, Rev., 5.00%, 5/15/2027 | | | 40,000 | | | | 50,401 | |
| | | | | | | | |
| | |
| | | | | | | 79,659 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 376,177 | |
| | | | | | | | |
| | |
Louisiana — 1.5% | | | | | | | | |
| | |
General Obligation — 0.2% | | | | | | | | |
| | |
St. Tammany Parish Wide School District No. 12 Series 2012A, GO, 4.50%, 3/1/2024 | | | 70,000 | | | | 79,888 | |
| | |
State of Louisiana Series2016-B, GO, 4.00%, 8/1/2026 | | | 30,000 | | | | 35,695 | |
| | | | | | | | |
| | |
| | | | | | | 115,583 | |
| | | | | | | | |
| | |
Other Revenue — 0.7% | | | | | | | | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority Rev., 5.00%, 12/1/2030 | | | 250,000 | | | | 332,457 | |
| | | | | | | | |
| | |
Prerefunded — 0.1% | | | | | | | | |
| | |
State of Louisiana, Gas and Fuels Tax Series2012A-1, Rev., 5.00%, 5/1/2024 (e) | | | 55,000 | | | | 59,951 | |
| | | | | | | | |
| | |
Water & Sewer — 0.5% | | | | | | | | |
| | |
City of Shreveport, Water and Sewer, Junior Lien Series 2019B, Rev., AGM, 5.00%, 12/1/2032 | | | 200,000 | | | | 260,102 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 768,093 | |
| | | | | | | | |
| | |
Maine — 0.3% | | | | | | | | |
| | |
Other Revenue — 0.2% | | | | | | | | |
| | |
Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2024 | | | 75,000 | | | | 89,260 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Maine Municipal Bond Bank, Maine Department of Transportation Series 2018A, Rev., 5.00%, 9/1/2026 | | | 45,000 | | | | 56,273 | |
| | | | | | | | |
| | |
Total Maine | | | | | | | 145,533 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 106 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Maryland — 0.9% | | | | | | | | |
| | |
Education — 0.4% | | | | | | | | |
| | |
Maryland Economic Development Corp., Bowie State University Project Rev., 4.00%, 7/1/2040 | | | 200,000 | | | | 228,534 | |
| | | | | | | | |
| | |
General Obligation — 0.3% | | | | | | | | |
| | |
County of Frederick, Public Facilities Series 2011A, GO, 5.00%, 8/1/2020 (e) | | | 15,000 | | | | 15,256 | |
| | |
County of Spotsylvania, Commissioners of St. Mary’s, Public Improvement GO, 4.00%, 7/15/2027 | | | 70,000 | | | | 85,267 | |
| | |
State of Maryland, State and Local Facilities Loan of 2017 Series A, GO, 5.00%, 8/1/2025 | | | 45,000 | | | | 55,079 | |
| | | | | | | | |
| | |
| | | | | | | 155,602 | |
| | | | | | | | |
| | |
Transportation — 0.2% | | | | | | | | |
| | |
State of Maryland Department of Transportation Rev., 5.00%, 9/1/2026 | | | 75,000 | | | | 94,757 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 478,893 | |
| | | | | | | | |
| | |
Massachusetts — 0.4% | | | | | | | | |
| | |
Education — 0.2% | | | | | | | | |
| | |
Massachusetts Development Finance Agency, Emerson College Rev., 5.00%, 1/1/2028 | | | 25,000 | | | | 31,681 | |
| | |
Massachusetts State College Building Authority Series D, Rev., 5.00%, 5/1/2027 | | | 45,000 | | | | 57,954 | |
| | | | | | | | |
| | |
| | | | | | | 89,635 | |
| | | | | | | | |
| | |
General Obligation — 0.1% | | | | | | | | |
| | |
City of Boston Series 2017A, GO, 5.00%, 4/1/2025 | | | 10,000 | | | | 12,151 | |
| | |
Commonwealth of Massachusetts Series C, GO, 5.00%, 10/1/2026 | | | 25,000 | | | | 31,606 | |
| | |
Town of Hopkinton GO, 5.00%, 11/15/2024 | | | 30,000 | | | | 35,950 | |
| | | | | | | | |
| | |
| | | | | | | 79,707 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Massachusetts Bay Transportation Authority, Mass Sales Tax Series 2004C, Rev., 5.50%, 7/1/2020 | | | 10,000 | | | | 10,154 | |
| | |
Massachusetts Bay Transportation Authority, Sales Tax Series A, Rev., 5.00%, 7/1/2022 | | | 20,000 | | | | 21,943 | |
| | | | | | | | |
| | |
| | | | | | | 32,097 | |
| | | | | | | | |
| | |
Water & Sewer — 0.0%(d) | | | | | | | | |
| | |
Massachusetts Water Resources Authority Series 2019G, Rev., 5.00%, 8/1/2020 | | | 10,000 | | | | 10,175 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Water & Sewer — continued | | | | | | | | |
| | |
Springfield Water & Sewer Commission Series C, Rev., 5.00%, 7/15/2023 | | | 10,000 | | | | 11,406 | |
| | | | | | | | |
| | |
| | | | | | | 21,581 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 223,020 | |
| | | | | | | | |
| | |
Michigan — 2.1% | | | | | | | | |
| | |
Education — 1.2% | | | | | | | | |
| | |
Eastern Michigan University Series 2017A, Rev., 5.00%, 3/1/2026 | | | 500,000 | | | | 612,080 | |
| | | | | | | | |
| | |
General Obligation — 0.8% | | | | | | | | |
| | |
Ann Arbor School District Public Schools, School Building and Site GO, 5.00%, 5/1/2020 | | | 55,000 | | | | 55,373 | |
| | |
Berrien Springs Public Schools, School Building and Site GO,Q-SBLF, 5.00%, 5/1/2030 | | | 250,000 | | | | 329,900 | |
| | |
Charter Township of Northville, Limited Tax GO, 4.00%, 4/1/2020 | | | 30,000 | | | | 30,075 | |
| | |
Rochester Community School District Series I, GO, 5.00%, 5/1/2020 | | | 20,000 | | | | 20,133 | |
| | | | | | | | |
| | |
| | | | | | | 435,481 | |
| | | | | | | | |
| | |
Hospital — 0.1% | | | | | | | | |
| | |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series C, Rev., 5.00%, 12/1/2025 | | | 25,000 | | | | 30,726 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 1,078,287 | |
| | | | | | | | |
| | |
Minnesota — 0.8% | | | | | | | | |
| |
Certificate of Participation/Lease — 0.0%(d) | | | | | |
| | |
Plymouth Intermediate District No. 287 Series 2016A, COP, 4.00%, 5/1/2020 | | | 15,000 | | | | 15,075 | |
| | | | | | | | |
| | |
Education — 0.1% | | | | | | | | |
| | |
Minnesota State Colleges And Universities Foundation Series 2017A, Rev., 3.00%, 10/1/2020 | | | 10,000 | | | | 10,128 | |
| | |
University of Minnesota Series 2017B, Rev., 5.00%, 12/1/2020 | | | 10,000 | | | | 10,313 | |
| | |
University of Minnesota, Board of Regents Series B, Rev., 5.00%, 12/1/2025 | | | 15,000 | | | | 18,492 | |
| | | | | | | | |
| | |
| | | | | | | 38,933 | |
| | | | | | | | |
| | |
General Obligation — 0.2% | | | | | | | | |
| | |
Alexandria Lake Area Sanitation District, Sanitary Sewer Board Series 2015A, GO, 5.00%, 2/1/2022 | | | 30,000 | | | | 32,415 | |
| | |
City of Hopkins Series 2017B, GO, 4.00%, 2/1/2025 | | | 20,000 | | | | 22,990 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 107 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
City of Maple Grove, Improvement Series 2013A, GO, 4.00%, 2/1/2022 | | | 20,000 | | | | 21,211 | |
| | | | | | | | |
| | |
| | | | | | | 76,616 | |
| | | | | | | | |
| | |
Housing — 0.5% | | | | | | | | |
| | |
City of Apple Valley, Minnesota Senior Housing, Orchard Path Project Rev., 4.25%, 9/1/2038 | | | 250,000 | | | | 263,770 | |
| | | | | | | | |
| | |
Other Revenue — 0.0%(d) | | | | | | | | |
| | |
State of Minnesota, 911 Services Public Safety Radio Communications System Project Rev., 5.00%, 6/1/2020 | | | 10,000 | | | | 10,104 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 404,498 | |
| | | | | | | | |
| | |
Mississippi — 0.7% | | | | | | | | |
| | |
Education — 0.2% | | | | | | | | |
| | |
Mississippi Development Bank, Special Obligation, Hinds County School District Project Rev., 4.00%, 3/1/2031 | | | 25,000 | | | | 29,552 | |
| | |
Mississippi State University Educational Building Corp., New Facilities and Refinancing Project Rev., 5.00%, 8/1/2025 | | | 35,000 | | | | 42,466 | |
| | |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Series 2016A, Rev., 5.00%, 10/1/2030 | | | 40,000 | | | | 49,575 | |
| | | | | | | | |
| | |
| | | | | | | 121,593 | |
| | | | | | | | |
| | |
General Obligation — 0.3% | | | | | | | | |
| | |
Harrison County School District GO, 4.00%, 6/1/2020 | | | 20,000 | | | | 20,152 | |
| | |
State of Mississippi | | | | | | | | |
| | |
Series B, GO, 5.00%, 12/1/2025 | | | 20,000 | | | | 24,643 | |
| | |
Series 2015F, GO, 5.00%, 11/1/2028 | | | 35,000 | | | | 42,898 | |
| | |
Series A, GO, 5.00%, 11/1/2031 | | | 60,000 | | | | 75,589 | |
| | | | | | | | |
| | |
| | | | | | | 163,282 | |
| | | | | | | | |
| | |
Utility — 0.2% | | | | | | | | |
| | |
West Rankin Utility Authority Rev., AGM, 5.00%, 1/1/2029 | | | 70,000 | | | | 82,769 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 367,644 | |
| | | | | | | | |
| | |
Missouri — 3.4% | | | | | | | | |
| | |
General Obligation — 0.1% | | | | | | | | |
| | |
Columbia School District GO, 5.00%, 3/1/2036 | | | 50,000 | | | | 60,745 | |
| | | | | | | | |
| | |
Hospital — 1.4% | | | | | | | | |
| | |
Health and Educational Facilities Authority of the State of Missouri, City Art Institute Rev., 5.00%, 9/1/2030 | | | 200,000 | | | | 254,554 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Hospital — continued | | | | | | | | |
| | |
Health and Educational Facilities Authority of the State of Missouri, St. Luke’s Episcopal-Presbyterian Hospitals Series 2015B, Rev., 5.00%, 12/1/2026 | | | 165,000 | | | | 198,569 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital Rev., 5.00%, 9/1/2026 | | | 200,000 | | | | 239,526 | |
| | |
Missouri Development Finance Board, Fulton State Hospital Project Series 2016, Rev., 5.00%, 10/1/2025 | | | 25,000 | | | | 29,688 | |
| | | | | | | | |
| | |
| | | | | | | 722,337 | |
| | | | | | | | |
| | |
Other Revenue — 1.5% | | | | | | | | |
| | |
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Combined Lien Mass Transit Rev., 5.00%, 10/1/2030 | | | 350,000 | | | | 474,754 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2019C, Rev., 4.00%, 2/1/2034 | | | 295,000 | | | | 335,731 | |
| | | | | | | | |
| | |
| | | | | | | 810,485 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Bi-State Development Agency, Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2024 | | | 40,000 | | | | 47,477 | |
| | | | | | | | |
| | |
Utility — 0.1% | | | | | | | | |
| | |
County of Jackson, Harry S. Truman Sports Complex Project Rev., 5.00%, 12/1/2025 | | | 25,000 | | | | 29,622 | |
| | | | | | | | |
| | |
Water & Sewer — 0.2% | | | | | | | | |
| | |
City of Kansas, Sanitary Sewer System Series B, Rev., 5.00%, 1/1/2033 | | | 25,000 | | | | 32,081 | |
| | |
Metropolitan St. Louis Sewer District Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2027 | | | 45,000 | | | | 57,810 | |
| | | | | | | | |
| | |
| | | | | | | 89,891 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 1,760,557 | |
| | | | | | | | |
| | |
Montana — 0.4% | | | | | | | | |
| | |
General Obligation — 0.4% | | | | | | | | |
| | |
County of Missoula | | | | | | | | |
| | |
Series 2016, GO, 4.00%, 7/1/2025 | | | 50,000 | | | | 58,199 | |
| | |
Series A, GO, 5.00%, 7/1/2030 | | | 120,000 | | | | 149,281 | |
| | | | | | | | |
| | |
| | | | | | | 207,480 | |
| | | | | | | | |
| | |
Total Montana | | | | | | | 207,480 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 108 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Nebraska — 2.3% | | | | | | | | |
| | |
Education — 0.1% | | | | | | | | |
| | |
Nebraska State College Facilities Corp., CSC Rangeland Center and WSC U.S. Conn Library Projects Rev., 5.00%, 6/15/2020 | | | 25,000 | | | | 25,299 | |
| | |
University of Nebraska Facilities Corp., UNMC Global Center Project Series 2017, Rev., 5.00%, 12/15/2025 | | | 35,000 | | | | 43,290 | |
| | | | | | | | |
| | |
| | | | | | | 68,589 | |
| | | | | | | | |
| | |
Hospital — 0.5% | | | | | | | | |
| | |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Obligated Group Series 2019A, Rev., 4.00%, 1/1/2033 | | | 250,000 | | | | 284,228 | |
| | | | | | | | |
| | |
Utility — 1.6% | | | | | | | | |
| | |
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2030 | | | 320,000 | | | | 414,723 | |
| | |
City of Lincoln, Electric System | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2026 | | | 85,000 | | | | 107,024 | |
| | |
Rev., 5.00%, 9/1/2028 | | | 50,000 | | | | 63,768 | |
| | |
Omaha Public Power District, Electric System Series B, Rev., 5.00%, 2/1/2025 | | | 120,000 | | | | 141,729 | |
| | |
Series 2016A, Rev., 5.00%, 2/1/2026 | | | 40,000 | | | | 49,598 | |
| | |
Series A, Rev., 5.00%, 2/1/2027 | | | 30,000 | | | | 37,114 | |
| | | | | | | | |
| | |
| | | | | | | 813,956 | |
| | | | | | | | |
| | |
Water & Sewer — 0.1% | | | | | | | | |
| | |
City of Omaha, Sewer Rev., 5.00%, 4/1/2027 | | | 50,000 | | | | 62,153 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 1,228,926 | |
| | | | | | | | |
| | |
Nevada — 0.8% | | | | | | | | |
| | |
General Obligation — 0.4% | | | | | | | | |
| | |
Clark County School District, Limited Tax | | | | | | | | |
| | |
Series A, GO, 5.00%, 6/15/2032 | | | 95,000 | | | | 120,630 | |
| | |
Series A, GO, 4.00%, 6/15/2035 | | | 90,000 | | | | 105,520 | |
| | | | | | | | |
| | |
| | | | | | | 226,150 | |
| | | | | | | | |
| | |
Other Revenue — 0.2% | | | | | | | | |
| | |
City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 6/15/2024 (f) | | | 100,000 | | | | 102,326 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Clark County Rev., 5.00%, 7/1/2028 | | | 25,000 | | | | 31,990 | |
| | | | | | | | |
| | |
Water & Sewer — 0.1% | | | | | | | | |
| | |
Truckee Meadows Water Authority Rev., 5.00%, 7/1/2029 | | | 50,000 | | | | 63,945 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 424,411 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
New Hampshire — 0.0%(d) | | | | | | | | |
| | |
Other Revenue — 0.0%(d) | | | | | | | | |
| | |
State of New Hampshire, Grant Anticipation Rev., 5.00%, 9/1/2020 | | | 10,000 | | | | 10,201 | |
| | | | | | | | |
| | |
New Jersey — 2.7% | | | | | | | | |
| | |
General Obligation — 0.5% | | | | | | | | |
| | |
City of Elizabeth, General Improvement GO, 4.00%, 8/15/2020 | | | 100,000 | | | | 101,466 | |
| | |
City of New Brunswick Series 2015, GO, 4.00%, 3/15/2024 | | | 10,000 | | | | 11,241 | |
| | |
City of North Wildwood GO, 5.00%, 8/1/2022 | | | 10,000 | | | | 10,984 | |
| | |
City of Vineland GO, AGM, 4.00%, 6/1/2020 | | | 10,000 | | | | 10,076 | |
| | |
City of Wildwood, Water and Sewer Utility GO, 4.00%, 9/15/2020 | | | 100,000 | | | | 101,710 | |
| | |
Manalapan-Englishtown Regional Board of Education GO, 4.00%, 10/1/2020 | | | 15,000 | | | | 15,278 | |
| | | | | | | | |
| | |
| | | | | | | 250,755 | |
| | | | | | | | |
| | |
Other Revenue — 0.7% | | | | | | | | |
| | |
Passaic County Improvement Authority, City of Paterson Project Series 2017, Rev., 5.00%, 6/15/2025 | | | 10,000 | | | | 12,102 | |
| | |
Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2027 | | | 265,000 | | | | 333,476 | |
| | | | | | | | |
| | |
| | | | | | | 345,578 | |
| | | | | | | | |
| | |
Prerefunded — 0.4% | | | | | | | | |
| | |
New Jersey Economic Development Authority, School Facilities Construction Series II, Rev., 5.00%, 3/1/2027 (e) | | | 115,000 | | | | 124,561 | |
| | |
New Jersey Turnpike Authority Series A, Rev., 5.00%, 1/1/2031 (e) | | | 65,000 | | | | 70,017 | |
| | | | | | | | |
| | |
| | | | | | | 194,578 | |
| | | | | | | | |
| | |
Transportation — 1.1% | | | | | | | | |
| | |
New Jersey Transportation Trust Fund Authority Series 2019BB, Rev., 5.00%, 6/15/2032 | | | 250,000 | | | | 314,467 | |
| | |
New Jersey Transportation Trust Fund Authority, Transportation System Series A, Rev., 4.00%, 12/15/2031 | | | 250,000 | | | | 292,140 | |
| | | | | | | | |
| | |
| | | | | | | 606,607 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 1,397,518 | |
| | | | | | | | |
| | |
New Mexico — 1.9% | | | | | | | | |
| | |
Education — 0.4% | | | | | | | | |
| | |
University of New Mexico (The), Subordinated Lien System Improvement | | | | | | | | |
| | |
Series 2014C, Rev., 5.00%, 6/1/2020 | | | 10,000 | | | | 10,102 | |
| | |
Rev., 5.00%, 6/1/2028 | | | 140,000 | | | | 178,420 | |
| | | | | | | | |
| | |
| | | | | | | 188,522 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 109 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — 0.2% | | | | | | | | |
| | |
City of Albuquerque, General Purpose Series 2016A, GO, 5.00%, 7/1/2023 | | | 75,000 | | | | 85,294 | |
| | | | | | | | |
| | |
Hospital — 0.0%(d) | | | | | | | | |
| | |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2015A, Rev., 5.00%, 8/1/2025 | | | 25,000 | | | | 30,215 | |
| | | | | | | | |
| | |
Other Revenue — 1.0% | | | | | | | | |
| | |
City of Albuquerque, Gross Receipts Series 2015A, Rev., 5.00%, 7/1/2026 | | | 240,000 | | | | 291,519 | |
| | |
New Mexico Finance Authority, Senior Lien Public Project Series 2013B, Rev., 5.00%, 6/1/2020 | | | 15,000 | | | | 15,155 | |
| | |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund | | | | | | | | |
| | |
Series 2016C, Rev., 5.00%, 6/1/2022 | | | 30,000 | | | | 32,833 | |
| | |
Series 2016E, Rev., 5.00%, 6/1/2024 | | | 25,000 | | | | 29,427 | |
| | |
New Mexico Finance Authority, Subordinate Lien Public Project Series 2017B, Rev., 5.00%, 6/15/2020 | | | 10,000 | | | | 10,120 | |
| | |
State of New Mexico, Severance Tax Permanent Fund | | | | | | | | |
| | |
Series 2010A, Rev., 5.00%, 7/1/2020 | | | 45,000 | | | | 45,629 | |
| | |
Series 2016B, Rev., 4.00%, 7/1/2021 | | | 80,000 | | | | 83,461 | |
| | | | | | | | |
| | |
| | | | | | | 508,144 | |
| | | | | | | | |
| | |
Transportation — 0.3% | | | | | | | | |
| | |
New Mexico Finance Authority, State Transportation, Senior Lien Series 2010B, Rev., 5.00%, 6/15/2020 | | | 20,000 | | | | 20,240 | |
| | |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2108A, Rev., 5.00%, 6/15/2027 | | | 100,000 | | | | 128,392 | |
| | | | | | | | |
| | |
| | | | | | | 148,632 | |
| | | | | | | | |
| | |
Water & Sewer — 0.0%(d) | | | | | | | | |
| | |
Albuquerque Bernalillo County Water Utility Authority Series 2013A, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,138 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 970,945 | |
| | | | | | | | |
| | |
New York — 4.0% | | | | | | | | |
| | |
Education — 1.5% | | | | | | | | |
| | |
Monroe County IDA, School Facility, Rochester School Modernization Project Rev., 5.00%, 5/1/2030 | | | 80,000 | | | | 96,820 | |
| | |
Monroe County Industrial Development Corp., School Facilities, Rochester Schools Modernization Project Rev., 5.00%, 5/1/2020 | | | 15,000 | | | | 15,103 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Education — continued | | | | | | | | |
| | |
New York State Dormitory Authority, Columbia University Series B, Rev., 5.00%, 10/1/2038 | | | 25,000 | | | | 32,447 | |
| | |
New York State Dormitory Authority, Montefiore Obligated Group | | | | | | | | |
| | |
Series 2020A, Rev., AGM, 3.00%, 9/1/2050 | | | 150,000 | | | | 161,001 | |
| | |
Series 2020A, Rev., 4.00%, 9/1/2050 | | | 200,000 | | | | 231,764 | |
| | |
New York State Dormitory Authority, Rochester Institute of Technology Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,137 | |
| | |
New York State Dormitory Authority, School Districts Financing Program Series G, Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,081 | |
| | |
New York State Dormitory Authority, State University Dormitory Facilities Series 2011A, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,145 | |
| | |
Orange County Funding Corp., Mount Saint Mary College Project Series 2012B, Rev., 4.00%, 7/1/2023 | | | 200,000 | | | | 212,668 | |
| | | | | | | | |
| | |
| | | | | | | 795,166 | |
| | | | | | | | |
| | |
General Obligation — 1.1% | | | | | | | | |
| | |
City of New York Series I, SubseriesI-3, GO, VRDO, LOC: Bank of America NA, 1.24%, 3/2/2020 (c) | | | 300,000 | | | | 300,000 | |
| | |
City of New York, Fiscal Year 2012 Series I, GO, 5.00%, 8/1/2022 | | | 45,000 | | | | 49,517 | |
| | |
City of New York, Fiscal Year 2013 | | | | | | | | |
| | |
Series 2013J, GO, 5.00%, 8/1/2023 | | | 40,000 | | | | 45,654 | |
| | |
Series I, GO, 5.00%, 8/1/2023 | | | 25,000 | | | | 28,534 | |
| | |
City of New York, Fiscal Year 2017 Series C, GO, 4.00%, 8/1/2022 | | | 10,000 | | | | 10,765 | |
| | |
County of Clinton, Public Improvement GO, 5.00%, 7/15/2020 | | | 15,000 | | | | 15,237 | |
| | |
County of Onondaga GO, 5.00%, 3/15/2026 | | | 20,000 | | | | 23,497 | |
| | |
Farmingdale Union Free School District GO, 5.00%, 9/15/2020 | | | 10,000 | | | | 10,230 | |
| | |
Saratoga Springs City School District GO, 5.00%, 6/15/2020 | | | 15,000 | | | | 15,183 | |
| | |
Three Village Central School District Brookhaven and Smithtown GO, 4.00%, 5/1/2020 | | | 40,000 | | | | 40,212 | |
| | |
Union Free School District of The Tarrytowns GO, 5.00%, 5/1/2020 | | | 20,000 | | | | 20,138 | |
| | | | | | | | |
| | |
| | | | | | | 558,967 | |
| | | | | | | | |
| | |
Hospital — 0.0%(d) | | | | | | | | |
| | |
New York State Dormitory Authority, Memorial Sloan, Kettering Cancer Center Series2012-1, Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,351 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 110 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
Other Revenue — 0.3% | | | | | | | | |
| | |
New York City Transitional Finance Authority, Building Aid Series2018S-2, Rev., 5.00%, 7/15/2020 (e) | | | 15,000 | | | | 15,241 | |
| | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2012 Series2012S-1A, Rev., 5.00%, 7/15/2020 (e) | | | 15,000 | | | | 15,238 | |
| | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2019 SeriesS-2A, Rev., 5.00%, 7/15/2025 | | | 50,000 | | | | 61,051 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 Series C, Rev., 5.00%, 11/1/2022 | | | 25,000 | | | | 27,801 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 Series 1, Rev., 5.00%, 11/1/2026 | | | 25,000 | | | | 31,717 | |
| | |
New York Convention Center Development Corp., Hotel Unit fee Secured Rev., 5.00%, 11/15/2025 | | | 25,000 | | | | 30,714 | |
| | | | | | | | |
| | |
| | | | | | | 181,762 | |
| | | | | | | | |
| | |
Special Tax — 0.4% | | | | | | | | |
| | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose Series2017-A, Rev., 5.00%, 3/15/2028 | | | 150,000 | | | | 192,570 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Port Authority of New York and New Jersey Series 205, Rev., 5.00%, 11/15/2028 | | | 30,000 | | | | 39,250 | |
| | | | | | | | |
| | |
Water & Sewer — 0.6% | | | | | | | | |
| | |
Erie County Water Authority Rev., 5.00%, 12/1/2027 | | | 20,000 | | | | 25,443 | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal Year 2014 SubseriesAA-4, Rev., VRDO, LIQ: Bank of Montreal, 1.24%, 3/2/2020 (c) | | | 300,000 | | | | 300,000 | |
| | | | | | | | |
| | |
| | | | | | | 325,443 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 2,118,509 | |
| | | | | | | | |
| | |
North Carolina — 0.8% | | | | | | | | |
| | |
Education — 0.1% | | | | | | | | |
| | |
North Carolina Capital Facilities Finance Agency, Duke University Project Series 2016B, Rev., 5.00%, 10/1/2026 | | | 25,000 | | | | 31,606 | |
| | |
University of North Carolina at Charlotte (The) Series 2012A, Rev., 4.00%, 4/1/2020 | | | 25,000 | | | | 25,063 | |
| | | | | | | | |
| | |
| | | | | | | 56,669 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
General Obligation — 0.1% | | | | | | | | |
| | |
County of Davidson GO, 5.00%, 6/1/2027 | | | 35,000 | | | | 44,949 | |
| | |
State of North Carolina Series 2014A, GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,104 | |
| | | | | | | | |
| | |
| | | | | | | 55,053 | |
| | | | | | | | |
| | |
Other Revenue — 0.5% | | | | | | | | |
| | |
County of Onslow Rev., 5.00%, 12/1/2027 | | | 25,000 | | | | 30,089 | |
| | |
County of Wayne | | | | | | | | |
| | |
Rev., 3.00%, 6/1/2020 | | | 25,000 | | | | 25,133 | |
| | |
Rev., 5.00%, 6/1/2024 | | | 25,000 | | | | 29,279 | |
| | |
State of North Carolina | | | | | | | | |
| | |
Rev., GRAN, 5.00%, 3/1/2021 | | | 25,000 | | | | 26,028 | |
| | |
Series 2017B, Rev., 5.00%, 5/1/2028 | | | 100,000 | | | | 127,959 | |
| | |
State of North Carolina, Limited Obligation Series C, Rev., 5.00%, 5/1/2024 | | | 25,000 | | | | 29,286 | |
| | | | | | | | |
| | |
| | | | | | | 267,774 | |
| | | | | | | | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
North Carolina Turnpike Authority, Triangle Expressway Systems, Senior Lien Rev., 5.00%, 1/1/2021 | | | 20,000 | | | | 20,641 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 400,137 | |
| | | | | | | | |
| | |
North Dakota — 0.0%(d) | | | | | | | | |
| | |
Other Revenue — 0.0%(d) | | | | | | | | |
| | |
North Dakota Public Finance Authority, State Revolving Fund Program Series 2011A, Rev., 5.00%, 10/1/2021 | | | 25,000 | | | | 26,643 | |
| | | | | | | | |
| | |
Ohio — 6.4% | | | | | | | | |
| | |
Education — 1.7% | | | | | | | | |
| | |
Bowling Green State University, A State University of Ohio Series 2016A, Rev., 5.00%, 6/1/2024 | | | 25,000 | | | | 29,290 | |
| | |
Cleveland State University Rev., 5.00%, 6/1/2020 | | | 10,000 | | | | 10,101 | |
| | |
Ohio Higher Educational Facility Commission Rev., 5.00%, 3/1/2027 | | | 55,000 | | | | 65,212 | |
| | |
Ohio Higher Educational Facility Commission, Denison University Series A, Rev., 5.00%, 11/1/2025 | | | 75,000 | | | | 92,031 | |
| | |
Ohio Higher Educational Facility Commission, Tiffin University 2019 Project Rev., 5.00%, 11/1/2034 | | | 125,000 | | | | 150,752 | |
| | |
Ohio Higher Educational Facility Commission, University of Findlay 2019 Project Rev., 5.00%, 3/1/2034 | | | 160,000 | | | | 191,170 | |
| | |
University of Akron (The) Series 2019A, Rev., 5.00%, 1/1/2030 | | | 250,000 | | | | 330,490 | |
| | | | | | | | |
| | |
| | | | | | | 869,046 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 111 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
| | |
General Obligation — 0.5% | | | | | | | | |
| | |
City of Reynoldsburg GO, 5.00%, 12/1/2026 | | | 15,000 | | | | 18,951 | |
| | |
Sidney City School District GO, 4.00%, 12/1/2026 | | | 105,000 | | | | 125,288 | |
| | |
State of Ohio, Highway Capital Improvements Bonds, Full Faith and Credit/Highway User Receipts Series R, GO, 5.00%, 5/1/2021 | | | 20,000 | | | | 20,981 | |
| | |
State of Ohio, Infrastructure Improvement Bonds Series A, GO, 5.00%, 9/1/2028 | | | 25,000 | | | | 33,231 | |
| | |
State of Ohio, Natural Resources Series V, GO, 5.00%, 10/1/2027 | | | 35,000 | | | | 45,484 | |
| | | | | | | | |
| | |
| | | | | | | 243,935 | |
| | | | | | | | |
| | |
Hospital — 1.0% | | | | | | | | |
| | |
County of Warren, Otterbein Homes Series A, Rev., 4.00%, 7/1/2033 | | | 205,000 | | | | 239,104 | |
| | |
Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Series2013-B-2, Rev., VRDO, LIQ: Bank of New York Mellon, 1.26%, 3/2/2020 (c) | | | 250,000 | | | | 250,000 | |
| | |
State of Ohio, Cleveland Clinic Health System Obligated Group Series 2017A, Rev., 5.00%, 1/1/2028 | | | 25,000 | | | | 32,520 | |
| | | | | | | | |
| | |
| | | | | | | 521,624 | |
| | | | | | | | |
| | |
Housing — 0.1% | | | | | | | | |
| | |
County of Warren, Otterbein Homes Obligated Group Series 2016A, Rev., 5.00%, 7/1/2027 | | | 50,000 | | | | 61,245 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Ohio Water Development Authority, Water Pollution Control Loan Fund Series A, Rev., 5.00%, 12/1/2026 | | | 45,000 | | | | 57,258 | |
| | | | | | | | |
| | |
Other Revenue — 1.1% | | | | | | | | |
| | |
Buckeye Tobacco Settlement Financing Authority Series2020A-2, Class I, Rev., 4.00%, 6/1/2048 | | | 500,000 | | | | 572,735 | |
| | |
State of Ohio, Capital Facilities Lease-Appropriation Series 2018A, Rev., 5.00%, 6/1/2025 | | | 25,000 | | | | 30,289 | |
| | | | | | | | |
| | |
| | | | | | | 603,024 | |
| | | | | | | | |
|
Prerefunded — 0.4% | |
| | |
South-Western City School District, School Facilities Construction and Improvement Bonds GO, 5.00%, 12/1/2036 (e) | | | 160,000 | | | | 174,953 | |
| | |
State of Ohio, Highway Capital Improvements Bonds, Full Faith and Credit/Highway User Receipts Series R, GO, 5.00%, 5/1/2025 (e) | | | 25,000 | | | | 29,345 | |
| | | | | | | | |
| | |
| | | | | | | 204,298 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Transportation — 0.3% | |
| | |
Ohio Turnpike and Infrastructure Commission Series A, Rev., 5.00%, 2/15/2027 | | | 135,000 | | | | 171,511 | |
| | | | | | | | |
|
Utility — 1.1% | |
| | |
American Municipal Power, Inc., Greenup Hydro-Electric Project Series 2016A, Rev., 5.00%, 2/15/2030 | | | 25,000 | | | | 30,476 | |
| | |
Lancaster Port Authority, Gas Supply Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 2/1/2025 (c) | | | 300,000 | | | | 356,001 | |
| | |
Ohio Air Quality Development Authority, American Electric Company Project Series 2014A, Rev., 2.40%, 10/1/2029 (c) | | | 200,000 | | | | 206,712 | |
| | | | | | | | |
| | |
| | | | | | | 593,189 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Ohio Water Development Authority, Fresh Water Series 2016B, Rev., 5.00%, 6/1/2026 | | | 30,000 | | | | 37,609 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 3,362,739 | |
| | | | | | | | |
|
Oklahoma — 1.6% | |
|
Education — 0.4% | |
| | |
Cleveland County Educational Facilities Authority, Norman Public Schools Project Series 2019, Rev., 5.00%, 6/1/2025 | | | 150,000 | | | | 179,942 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Edmond Public Works Authority Rev., 4.00%, 7/1/2021 | | | 10,000 | | | | 10,421 | |
| | |
Edmond Public Works Authority, Sales Tax and Utility System Refunding Rev., 5.00%, 7/1/2020 | | | 40,000 | | | | 40,547 | |
| | |
Oklahoma Capitol Improvement Authority Series C, Rev., 5.00%, 1/1/2030 | | | 10,000 | | | | 12,698 | |
| | | | | | | | |
| | |
| | | | | | | 63,666 | |
| | | | | | | | |
|
Transportation — 0.9% | |
| | |
Grand River Dam Authority Series A, Rev., 5.00%, 6/1/2020 | | | 10,000 | | | | 10,102 | |
| | |
Oklahoma Capitol Improvement Authority, State Highway Rev., 5.00%, 7/1/2024 | | | 100,000 | | | | 117,771 | |
| | |
Oklahoma Development Finance Authority (The), Gilcrease Expressway West Project Rev., AMT, 1.63%, 7/6/2023 | | | 350,000 | | | | 352,425 | |
| | | | | | | | |
| | |
| | | | | | | 480,298 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Oklahoma Capitol Improvement Authority, Repair Project Series 2018C, Rev., 5.00%, 1/1/2036 | | | 45,000 | | | | 56,527 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 112 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Oklahoma City Water Utilities Trust, Water and Sewer System Series 2013, Rev., 5.00%, 7/1/2021 | | | 25,000 | | | | 26,397 | |
| | |
Oklahoma Water Resources Board, Clean Water Program Rev., 5.00%, 4/1/2023 | | | 35,000 | | | | 39,414 | |
| | | | | | | | |
| | |
| | | | | | | 65,811 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 846,244 | |
| | | | | | | | |
|
Oregon — 0.4% | |
|
General Obligation — 0.2% | |
| | |
City of Portland Series A, GO, 5.00%, 4/1/2025 | | | 30,000 | | | | 36,302 | |
| | |
Clackamas County School District No. 7J Lake Oswego GO, AGM, 5.25%, 6/1/2020 | | | 20,000 | | | | 20,219 | |
| | |
Metro GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,104 | |
| | |
Washington County School District No. 1 West Union, Hillsborough School District GO, 5.00%, 6/15/2028 | | | 25,000 | | | | 32,135 | |
| | | | | | | | |
| | |
| | | | | | | 98,760 | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
State of Oregon Department of Transportation Series 2015A, Rev., 4.00%, 11/15/2032 | | | 50,000 | | | | 56,417 | |
| | |
Tri-County Metropolitan Transportation District of Oregon Series A, Rev., 5.00%, 9/1/2030 | | | 45,000 | | | | 57,932 | |
| | | | | | | | |
| | |
| | | | | | | 114,349 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 213,109 | |
| | | | | | | | |
|
Pennsylvania — 11.5% | |
|
Education — 2.1% | |
| | |
Bucks County Community College Authority Series 2019A, Rev., GTD, 5.00%, 6/15/2033 | | | 35,000 | | | | 45,260 | |
| | |
Delaware County Authority, Villanova University Rev., 5.00%, 8/1/2020 | | | 30,000 | | | | 30,514 | |
| | |
Montgomery County Higher Education and Health Authority, Arcadia University | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2034 | | | 250,000 | | | | 321,218 | |
| | |
Rev., 4.00%, 4/1/2035 | | | 205,000 | | | | 238,843 | |
| | |
Northampton County General Purpose Authority, Moravian College Project | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 95,000 | | | | 97,088 | |
| | |
Series 2016, Rev., 5.00%, 10/1/2027 | | | 185,000 | | | | 221,928 | |
| | |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series2017AU-1, Rev., 5.00%, 6/15/2026 | | | 70,000 | | | | 86,308 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Education — continued | |
| | |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania, Health System Rev., 5.00%, 8/15/2020 | | | 10,000 | | | | 10,186 | |
| | |
State Public School Building Authority, Community College Project Rev., 5.00%, 10/1/2027 | | | 25,000 | | | | 31,006 | |
| | | | | | | | |
| | |
| | | | | | | 1,082,351 | |
| | | | | | | | |
|
General Obligation — 5.8% | |
| | |
Abington School District GO, 5.00%, 10/1/2020 | | | 20,000 | | | | 20,472 | |
| | |
Aliquippa School District GO, 3.88%, 12/1/2037 | | | 200,000 | | | | 226,224 | |
| | |
Central Dauphin School District Series 2016A, GO, 4.00%, 11/15/2020 | | | 10,000 | | | | 10,223 | |
| | |
County of Chester GO, 5.00%, 11/15/2027 | | | 30,000 | | | | 39,160 | |
| | |
Daniel Boone Area School District Series 2017A, GO, 4.00%, 8/15/2020 | | | 15,000 | | | | 15,210 | |
| | |
Mifflinburg Area School District Series 2020A, GO, 4.00%, 6/15/2032 (b) | | | 200,000 | | | | 237,672 | |
| | |
Pennsbury School District | | | | | | | | |
| | |
GO, 4.50%, 8/1/2020 | | | 10,000 | | | | 10,147 | |
| | |
Seneca Valley School District Series 2015C, GO, 5.00%, 3/1/2028 | | | 30,000 | | | | 35,990 | |
| | |
Springfield School District Delaware County GO, 4.00%, 3/15/2020 | | | 40,000 | | | | 40,042 | |
| | |
Township of Palmer | | | | | | | | |
| | |
Series 2020C, GO, 4.00%, 11/15/2031 (b) | | | 300,000 | | | | 359,073 | |
| | |
Series 2020C, GO, 4.00%, 11/15/2032 (b) | | | 400,000 | | | | 477,752 | |
| | |
Township of Upper St. Clair Series A, GO, 4.00%, 6/1/2025 | | | 20,000 | | | | 23,108 | |
| | |
Township of West Bradford GO, 4.00%, 12/15/2031 (b) | | | 500,000 | | | | 599,255 | |
| | |
GO, 4.00%, 12/15/2032 (b) | | | 520,000 | | | | 620,532 | |
| | |
West Mifflin School District GO, 3.00%, 4/1/2034 | | | 300,000 | | | | 323,226 | |
| | | | | | | | |
| | |
| | | | | | | 3,038,086 | |
| | | | | | | | |
|
Hospital — 1.8% | |
| | |
Berks County Industrial Development Authority, Healthcare Facilities Series 2017A, Rev., 5.00%, 5/15/2037 | | | 250,000 | | | | 295,905 | |
| | |
County of Lehigh, Health Network Hospital Series A, Rev., 4.00%, 7/1/2035 | | | 175,000 | | | | 198,989 | |
| | |
Lancaster County Hospital Authority, Saint Anne’s Retirement Community, Incorporated Project Rev., 5.00%, 3/1/2040 | | | 250,000 | | | | 291,442 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 113 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Hospital — continued | |
| | |
Montgomery County Higher Education and Health Authority, Thomas Jefferson University Series 2018A, Rev., 4.00%, 9/1/2038 | | | 135,000 | | | | 156,699 | |
| | | | | | | | |
| | |
| | | | | | | 943,035 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.4% | |
| | |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 12/1/2037 | | | 100,000 | | | | 112,937 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2038 | | | 100,000 | | | | 112,738 | |
| | | | | | | | |
| | |
| | | | | | | 225,675 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2035 | | | 225,000 | | | | 281,837 | |
| | |
Monroeville Finance Authority, UPMC Obligated Group Rev., 5.00%, 2/15/2022 | | | 60,000 | | | | 64,818 | |
| | | | | | | | |
| | |
| | | | | | | 346,655 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Pennsylvania Turnpike Commission Series B, Rev., 5.25%, 12/1/2041 (e) | | | 100,000 | | | | 107,820 | |
| | | | | | | | |
|
Transportation — 0.4% | |
| | |
Pennsylvania Turnpike Commission | | | | | | | | |
| | |
SeriesA-1, Rev., 5.00%, 12/1/2029 | | | 105,000 | | | | 135,012 | |
| | |
SeriesA-1, Rev., 5.00%, 12/1/2031 | | | 60,000 | | | | 76,581 | |
| | | | | | | | |
| | |
| | | | | | | 211,593 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Erie City Water Authority Series 2019D, Rev., 5.00%, 12/1/2027 | | | 65,000 | | | | 83,374 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 6,038,589 | |
| | | | | | | | |
|
Rhode Island — 0.2% | |
|
Education — 0.0% (d) | |
| | |
Rhode Island Health and Educational Building Corp., Brown University Issue Series A, Rev., 5.00%, 9/1/2026 | | | 10,000 | | | | 12,612 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
State of Rhode Island and Providence Plantations, Consolidated Capital Development Loan of 2014 Series 2014A, GO, 3.00%, 11/1/2020 | | | 10,000 | | | | 10,146 | |
| | |
State of Rhode Island and Providence Plantations, Consolidated Capital Development Loan of 2018 Series 2018A, GO, 5.00%, 4/1/2029 | | | 75,000 | | | | 98,351 | |
| | | | | | | | |
| | |
| | | | | | | 108,497 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 121,109 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
South Carolina — 1.4% | |
|
Education — 0.1% | |
| | |
College of Charleston, Higher Education Facilities Series 2017A, Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,078 | |
| | |
South Carolina Jobs-Economic Development Authority, Wofford College Project Rev., 5.00%, 4/1/2029 | | | 10,000 | | | | 13,087 | |
| | |
University of South Carolina Series 2017A, Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,169 | |
| | | | | | | | |
| | |
| | | | | | | 63,334 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.3% | |
| | |
South Carolina Jobs-Economic Development Authority, South Carolina Episcopal Home at Still Homes Series 2018A, Rev., 5.00%, 4/1/2033 | | | 125,000 | | | | 140,430 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
Charleston County Airport District Rev., 5.00%, 7/1/2035 | | | 250,000 | | | | 327,540 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
County of Richland, Utility System Rev., 5.00%, 3/1/2031 | | | 130,000 | | | | 175,558 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Charleston, Waterworks and Sewer System Rev., 5.00%, 1/1/2026 | | | 25,000 | | | | 31,030 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 737,892 | |
| | | | | | | | |
|
South Dakota — 0.2% | |
|
Housing — 0.1% | |
| | |
South Dakota Board of Regents, Housing and Auxiliary Facility System Rev., 5.00%, 4/1/2027 | | | 35,000 | | | | 43,479 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Rapid City, Sales Tax Rev., 5.00%, 12/1/2023 | | | 25,000 | | | | 28,803 | |
| | |
South Dakota Conservancy District, State Revolving Fund Program Series 2018, Rev., 5.00%, 8/1/2025 | | | 35,000 | | | | 42,735 | |
| | | | | | | | |
| | |
| | | | | | | 71,538 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 115,017 | |
| | | | | | | | |
|
Tennessee — 1.3% | |
|
General Obligation — 0.6% | |
| | |
City of Johnson City Series 2016A, GO, 5.00%, 6/1/2023 | | | 15,000 | | | | 17,008 | |
| | |
City of Murfreesboro GO, 4.00%, 4/1/2025 | | | 25,000 | | | | 28,221 | |
| | |
County of Blount GO, 4.00%, 6/1/2020 | | | 10,000 | | | | 10,079 | |
| | |
County of Montgomery, Public Improvements GO, 4.00%, 4/1/2020 | | | 10,000 | | | | 10,025 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 114 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
County of Robertson GO, 5.00%, 6/1/2025 | | | 25,000 | | | | 30,318 | |
| | |
County of Sullivan GO, 5.00%, 5/1/2026 | | | 30,000 | | | | 37,375 | |
| | |
County of Washington Series 2016A, GO, 4.00%, 6/1/2027 | | | 50,000 | | | | 59,248 | |
| | |
County of Williamson GO, 5.00%, 4/1/2024 | | | 20,000 | | | | 23,396 | |
| | |
County of Wilson GO, 4.00%, 4/1/2021 | | | 20,000 | | | | 20,694 | |
| | |
Metropolitan Government of Nashville and Davidson County Series 2015A, GO, 5.00%, 7/1/2025 | | | 10,000 | | | | 12,194 | |
| | |
Montgomery County, Public Improvement GO, 5.00%, 4/1/2027 | | | 25,000 | | | | 31,987 | |
| | |
State of Tennessee Series A, GO, 5.00%, 9/1/2025 | | | 25,000 | | | | 29,672 | |
| | | | | | | | |
| | |
| | | | | | | 310,217 | |
| | | | | | | | |
|
Hospital — 0.6% | |
| | |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | | | | | | | | |
| | |
Series 2019A, Rev., 5.00%, 10/1/2029 | | | 150,000 | | | | 154,663 | |
| | |
Series 2019A, Rev., 5.50%, 10/1/2034 | | | 150,000 | | | | 157,863 | |
| | | | | | | | |
| | |
| | | | | | | 312,526 | |
| | | | | | | | |
|
Prerefunded — 0.0% (d) | |
| | |
Metropolitan Government of Nashville and Davidson County GO, 5.00%, 7/1/2024 (e) | | | 20,000 | | | | 21,938 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Chattanooga, Electric System Series A, Rev., 5.00%, 9/1/2020 | | | 10,000 | | | | 10,209 | |
| | |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2014A, Rev., 5.00%, 5/15/2024 | | | 10,000 | | | | 11,726 | |
| | |
Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (c) | | | 20,000 | | | | 21,793 | |
| | | | | | | | |
| | |
| | | | | | | 43,728 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 688,409 | |
| | | | | | | | |
|
Texas — 9.5% | |
|
Education — 1.7% | |
| | |
Danbury Higher Education Authority, Inc., Golden Rule Schools, Inc. Series 2019A, Rev., 5.00%, 8/15/2039 | | | 250,000 | | | | 266,683 | |
| | |
Permanent University Fund — Texas A&M University System Series A, Rev., 5.00%, 7/1/2024 | | | 85,000 | | | | 100,026 | |
| | |
Regents of the University of Texas Series A, Rev., 5.00%, 2/15/2024 | | | 35,000 | | | | 40,538 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Education — continued | |
| | |
Stephen F Austin State University, Financing System Board of Regents Series 2019A, Rev., 5.00%, 10/15/2026 | | | 60,000 | | | | 75,104 | |
| | |
Texas A&M University, Financing System | | | | | | | | |
| | |
Series E, Rev., 5.00%, 5/15/2028 | | | 80,000 | | | | 102,730 | |
| | |
Series E, Rev., 5.00%, 5/15/2030 | | | 155,000 | | | | 197,692 | |
| | |
Texas State University, Financing System Rev., 5.00%, 3/15/2020 | | | 20,000 | | | | 20,028 | |
| | |
University of Texas (The), Board of Regents, Financing System Series 2016D, Rev., 5.00%, 8/15/2024 | | | 50,000 | | | | 59,205 | |
| | |
University of Texas System (The) Series I, Rev., 5.00%, 8/15/2022 | | | 10,000 | | | | 11,027 | |
| | | | | | | | |
| | |
| | | | | | | 873,033 | |
| | | | | | | | |
|
General Obligation — 4.4% | |
| | |
Alamo Community College District, Limited Tax GO, 5.00%, 2/15/2024 | | | 75,000 | | | | 86,994 | |
| | |
Allen Independent School District, School Building GO,PSF-GTD, 5.00%, 2/15/2032 | | | 55,000 | | | | 67,426 | |
| | |
City of Arlington GO, 5.00%, 8/15/2020 | | | 10,000 | | | | 10,190 | |
| | |
City of Bryan GO, 3.00%, 8/15/2020 | | | 10,000 | | | | 10,098 | |
| | |
City of Corpus Christi Series 2016A, GO, 4.00%, 3/1/2026 | | | 200,000 | | | | 234,408 | |
| | |
City of Denison Series 2019, GO, 5.00%, 2/15/2028 | | | 245,000 | | | | 315,335 | |
| | |
City of El Paso Series 2014A, GO, 5.00%, 8/15/2020 | | | 10,000 | | | | 10,186 | |
| | |
City of Fort Worth GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
City of Hutto GO, 5.00%, 8/1/2026 | | | 80,000 | | | | 99,587 | |
| | |
City of League City GO, 5.00%, 2/15/2027 | | | 20,000 | | | | 24,797 | |
| | |
City of Pflugerville GO, 5.00%, 8/1/2026 | | | 25,000 | | | | 31,209 | |
| | |
City of San Angelo GO, 5.00%, 2/15/2027 | | | 20,000 | | | | 25,164 | |
| | |
City of San Marcos GO, 5.00%, 8/15/2031 | | | 270,000 | | | | 341,844 | |
| | |
Clint Independent School District, Unlimited Tax Series A, GO,PSF-GTD, 5.00%, 2/15/2024 | | | 25,000 | | | | 28,977 | |
| | |
Coppell Independent School District, Unlimited Tax Series 2016D, GO, 5.00%, 8/15/2020 | | | 10,000 | | | | 10,190 | |
| | |
County of Bexar, Certificates of Obligation Series A, GO, 5.00%, 6/15/2031 | | | 110,000 | | | | 137,685 | |
| | |
County of Denton GO, 5.00%, 7/15/2020 | | | 10,000 | | | | 10,152 | |
| | |
County of Fort Bend Series 2016B, GO, 5.00%, 3/1/2022 | | | 35,000 | | | | 37,890 | |
| | |
County of Hays, Limited Tax GO, 5.00%, 2/15/2026 | | | 20,000 | | | | 24,633 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 115 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
General Obligation — continued | |
| | |
County of Montgomery, Unlimited Tax GO, 5.00%, 3/1/2025 | | | 25,000 | | | | 29,978 | |
| | |
County of Williamson, Limited Tax GO, 5.00%, 2/15/2026 | | | 40,000 | | | | 49,658 | |
| | |
Cypress-Fairbanks Independent School District, School Building Series 2015A, GO,PSF-GTD, 5.00%, 2/15/2025 | | | 20,000 | | | | 23,980 | |
| | |
Gregory-Portland Independent School District GO,PSF-GTD, 5.00%, 2/15/2033 | | | 30,000 | | | | 36,658 | |
| | |
Harris County, Unlimited Tax Series 2017A, GO, 5.00%, 10/1/2026 | | | 25,000 | | | | 31,569 | |
| | |
Laredo Independent School District, Unlimited Tax GO,PSF-GTD, 5.00%, 8/1/2024 | | | 25,000 | | | | 29,479 | |
| | |
Marion Independent School District GO,PSF-GTD, 4.00%, 8/15/2033 | | | 280,000 | | | | 329,896 | |
| | |
North East Independent School District GO,PSF-GTD, 5.00%, 8/1/2025 | | | 20,000 | | | | 24,349 | |
| | |
Northside Independent School District GO,PSF-GTD, 5.00%, 8/15/2024 | | | 65,000 | | | | 76,779 | |
| | |
Pearland Independent School District Series A, GO,PSF-GTD, 5.00%, 2/15/2023 | | | 25,000 | | | | 28,047 | |
| | |
Prosper Independent School District, Unlimited Tax School Building GO,PSF-GTD, 5.00%, 2/15/2037 | | | 25,000 | | | | 31,826 | |
| | |
Rio Grande City Consolidated Independent School District GO,PSF-GTD, 4.00%, 8/15/2020 | | | 10,000 | | | | 10,145 | |
| | |
Sherman Independent School District Series A, GO,PSF-GTD, 5.00%, 2/15/2030 | | | 25,000 | | | | 32,320 | |
| | |
State of Texas, Transportation Commission Mobility Series2015-A, GO, 5.00%, 10/1/2024 | | | 50,000 | | | | 59,390 | |
| | | | | | | | |
| | |
| | | | | | | 2,325,839 | |
| | | | | | | | |
|
Hospital — 0.0% (d) | |
| | |
Tarrant County Cultural Education Facilities Finance Corp. Scott and White Healthcare Project Series 2013A, Rev., 5.00%, 8/15/2020 | | | 25,000 | | | | 25,455 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
Metropolitan Transit Authority of Harris County Sales and Use Tax Series 2017B, Rev., 5.00%, 11/1/2020 | | | 10,000 | | | | 10,273 | |
| | |
Old Spanish Trail-Alemda Corridors Redevelopment Authority Rev.,, 5.00%, 9/1/2028 | | | 125,000 | | | | 161,904 | |
| | | | | | | | |
| | |
| | | | | | | 172,177 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Transportation — 0.2% | |
| | |
Metropolitan Transit Authority of Harris County | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 11/1/2025 | | | 45,000 | | | | 55,274 | |
| | |
Series B, Rev., 5.00%, 11/1/2029 | | | 25,000 | | | | 32,232 | |
| | | | | | | | |
| | |
| | | | | | | 87,506 | |
| | | | | | | | |
|
Utility — 1.0% | |
| | |
Brushy Creek Regional Utility Authority, Inc., Water Treatment And Distribution Project Rev., 5.00%, 8/1/2026 | | | 85,000 | | | | 105,633 | |
| | |
City of Houston, Combined Utility System, First Lien Series 2018D, Rev., 5.00%, 11/15/2030 | | | 45,000 | | | | 59,168 | |
| | |
City of San Antonio, Electric and Gas Systems Rev., 5.00%, 2/1/2028 | | | 100,000 | | | | 128,665 | |
| | |
Lower Colorado River Authority, Transmission Contract, LCRA Transmission Services Corp. Project | | | | | | | | |
| | |
Rev., 5.00%, 5/15/2020 | | | 30,000 | | | | 30,250 | |
| | |
Rev., 5.00%, 5/15/2035 | | | 155,000 | | | | 197,652 | |
| | | | | | | | |
| | |
| | | | | | | 521,368 | |
| | | | | | | | |
|
Water & Sewer — 1.9% | |
| | |
City of Amarillo, Waterworks and Sewer System Series 2015A, Rev., 4.00%, 4/1/2025 | | | 25,000 | | | | 28,941 | |
| | |
City of Dallas, Waterworks and Sewer System Rev., 5.00%, 10/1/2022 | | | 10,000 | | | | 10,657 | |
| | |
North Texas Municipal Water District Water System Rev., 5.00%, 9/1/2020 | | | 10,000 | | | | 10,209 | |
| | |
North Texas Municipal Water District, Mustang Creek Wastewater Interceptor System Rev., AGM, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,249 | |
| | |
North Texas Municipal Water District, Water System Rev., 5.00%, 6/1/2027 | | | 20,000 | | | | 25,701 | |
| | |
San Antonio Water System Series A, Rev., 5.00%, 5/15/2025 | | | 25,000 | | | | 30,316 | |
| | |
San Antonio Water System, Water System Junior Lien Series 2019C, Rev., 5.00%, 5/15/2032 | | | 250,000 | | | | 335,978 | |
| | |
Tarrant Regional Water District Rev., 5.00%, 3/1/2025 | | | 125,000 | | | | 150,229 | |
| | |
Texas Water Development Board, State Water Implementation | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 4/15/2028 | | | 40,000 | | | | 51,842 | |
| | |
Series 2018A, Rev., 5.00%, 10/15/2028 | | | 50,000 | | | | 65,643 | |
| | |
Trinity River Authority Central Regional Wastewater System Rev., 5.00%, 8/1/2034 | | | 145,000 | | | | 183,242 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 116 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — continued | |
| | |
Trinity River Authority LLC, Tarrant County Water Project Rev., 5.00%, 2/1/2026 | | | 60,000 | | | | 73,852 | |
| | | | | | | | |
| | |
| | | | | | | 991,859 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 4,997,237 | |
| | | | | | | | |
|
Utah — 2.0% | |
|
Education — 0.3% | |
| | |
Utah Charter School Finance Authority Series A, Rev., 5.00%, 4/15/2030 | | | 110,000 | | | | 142,826 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
Snyderville Basin Special Recreation District Series 2017, GO, 4.00%, 12/15/2025 | | | 100,000 | | | | 117,860 | |
| | | | | | | | |
|
Other Revenue — 0.3% | |
| | |
City of Park City Rev., 5.00%, 6/15/2022 | | | 30,000 | | | | 32,853 | |
| | |
City of South Jordan Rev., 5.00%, 8/15/2029 | | | 45,000 | | | | 60,877 | |
| | |
County of Summit, Sales Tax Rev., 5.00%, 12/15/2023 | | | 70,000 | | | | 80,928 | |
| | | | | | | | |
| | |
| | | | | | | 174,658 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Utah State Board of Regents, University of Utah (The) Series B, Rev., 5.00%, 8/1/2026 (e) | | | 25,000 | | | | 28,526 | |
| | | | | | | | |
|
Transportation — 0.8% | |
| | |
Utah Transit Authority Series A, Rev.,BHAC-CR, 5.00%, 6/15/2035 | | | 295,000 | | | | 425,033 | |
| | | | | | | | |
|
Water & Sewer — 0.3% | |
| | |
Central Utah Water Conservancy District Series 2016A, Rev., 5.00%, 10/1/2028 | | | 25,000 | | | | 31,462 | |
| | |
Jordan Valley Water Conservancy District Series 2019A, Rev., 5.00%, 10/1/2029 | | | 25,000 | | | | 31,399 | |
| | |
North Davis County Sewer District Rev., 5.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
Washington County Water Conservancy District | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 10/1/2021 | | | 10,000 | | | | 10,667 | |
| | |
Series 2012A, Rev., 4.50%, 10/1/2024 | | | 55,000 | | | | 59,127 | |
| | | | | | | | |
| | |
| | | | | | | 182,655 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 1,071,558 | |
| | | | | | | | |
|
Vermont — 1.0% | |
|
Education — 1.0% | |
| | |
Vermont Educational and Health Buildings Financing Agency, Landmark College Project Series A, Rev., VRDO, LOC: TD Bank NA, 1.26%, 3/2/2020 (c) | | | 500,000 | | | | 500,000 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Virginia — 1.8% | |
|
Education — 0.3% | |
| | |
Virginia College Building Authority, 21st Century College and Equipment Programs Series 2017B, Rev., 5.00%, 2/1/2024 | | | 75,000 | | | | 87,097 | |
| | |
Virginia College Building Authority, Public Higher Education Series 2011A, Rev., 5.00%, 9/1/2020 | | | 20,000 | | | | 20,418 | |
| | |
Virginia Public School Authority Series2015-A, Rev., 4.00%, 8/1/2020 | | | 55,000 | | | | 55,739 | |
| | | | | | | | |
| | |
| | | | | | | 163,254 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
City of Alexandria, Capital Improvement Series 2017A, GO, 5.00%, 7/15/2020 | | | 15,000 | | | | 15,234 | |
| | |
City of Richmond Series B, GO, 5.00%, 7/15/2027 | | | 175,000 | | | | 225,888 | |
| | |
Commonwealth of Virginia Series A, GO, 5.00%, 6/1/2030 | | | 25,000 | | | | 33,116 | |
| | |
County of Spotsylvania, Public Improvement GO, 5.00%, 7/15/2029 | | | 85,000 | | | | 112,704 | |
| | | | | | | | |
| | |
| | | | | | | 386,942 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Virginia Public Building Authority, Public Facilities Series A, Rev., 5.00%, 8/1/2022 | | | 25,000 | | | | 27,516 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0%(d) | |
| | |
James City County Economic Development Authority, Virginia Capital Projects Rev., 5.00%, 6/15/2020 | | | 10,000 | | | | 10,120 | |
| | | | | | | | |
|
Other Revenue — 0.0% (d) | |
| | |
Greater Richmond Convention Center Authority, Hotel Tax Refunding Rev., 5.00%, 6/15/2020 | | | 10,000 | | | | 10,119 | |
| | | | | | | | |
|
Transportation — 0.7% | |
| | |
Peninsula Ports Authority, Dominion Term Association Project Rev., 1.70%, 10/1/2022 (c) | | | 200,000 | | | | 202,430 | |
| | |
Virginia Commonwealth Transportation Board Series2013-A, Rev., GAN, 5.00%, 3/15/2023 | | | 100,000 | | | | 112,528 | |
| | |
Virginia Resources Authority, Infrastructure, Pooled Financing Program Series2013-C, Rev., 5.00%, 11/1/2023 | | | 35,000 | | | | 40,222 | |
| | | | | | | | |
| | |
| | | | | | | 355,180 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (d) | |
| | |
Hampton Roads Sanitation District, Wastewater Series 2014A, Rev., 5.00%, 7/1/2021 | | | 15,000 | | | | 15,843 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 968,974 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 117 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Washington — 4.2% | |
|
Certificate of Participation/Lease — 0.2% | |
| | |
State of Washington Series2015-C, COP, 5.00%, 1/1/2029 | | | 55,000 | | | | 67,568 | |
| | |
State of Washington, Local Agency Real and Personal Property Series 2018C, COP, 5.00%, 7/1/2020 | | | 30,000 | | | | 30,410 | |
| | | | | | | | |
| | |
| | | | | | | 97,978 | |
| | | | | | | | |
|
Education — 0.4% | |
| | |
University of Washington Rev., 5.00%, 4/1/2032 | | | 190,000 | | | | 240,112 | |
| | | | | | | | |
|
General Obligation — 2.6% | |
| | |
City of University Place, Limited Tax GO, 5.00%, 12/1/2026 | | | 85,000 | | | | 105,839 | |
| | |
Clark County School District No. 101 La Center, Unlimited Tax GO, 5.00%, 12/1/2029 | | | 50,000 | | | | 65,035 | |
| | |
County of King, Limited Tax | | | | | | | | |
| | |
Series A, GO, 5.00%, 7/1/2025 | | | 50,000 | | | | 59,857 | |
| | |
Series B, GO, 5.00%, 12/1/2025 | | | 20,000 | | | | 23,107 | |
| | |
County of Pierce, Limited Tax Series 2013A, GO, 5.00%, 7/1/2020 | | | 10,000 | | | | 10,139 | |
| | |
County of Snohomish, Limited Tax GO, 5.00%, 12/1/2025 | | | 10,000 | | | | 12,136 | |
| | |
County of Spokane Series 2019A, GO, 5.00%, 12/1/2035 | | | 175,000 | | | | 233,550 | |
| | |
King County Public Hospital District No. 2, EvergreenHealth GO, 5.00%, 12/1/2031 | | | 105,000 | | | | 123,689 | |
| | |
King County School District No. 405 Bellevue, Credit Enhancement Program | | | | | | | | |
| | |
GO, 5.00%, 12/1/2021 | | | 30,000 | | | | 32,200 | |
| | |
GO, 5.00%, 12/1/2026 | | | 20,000 | | | | 25,433 | |
| | |
King County School District No. 411 Issaquah GO, 5.00%, 12/1/2024 | | | 35,000 | | | | 41,807 | |
| | |
Mason County School District No. 309 Shelton, Unlimited Tax GO, 5.00%, 12/1/2029 | | | 45,000 | | | | 57,029 | |
| | |
Pasco School District No. 1, Franklin County, Unlimited Tax GO, 5.00%, 12/1/2030 | | | 35,000 | | | | 45,006 | |
| | |
Pierce and King Counties School District No. 417 Fife GO, 4.00%, 12/1/2020 | | | 75,000 | | | | 76,789 | |
| | |
Pierce County, White River School District No. 416 GO, 5.00%, 12/1/2025 | | | 50,000 | | | | 61,672 | |
| | |
Snohomish County School District No. 15 Edmonds | | | | | | | | |
| | |
GO, 5.00%, 12/1/2025 | | | 25,000 | | | | 30,852 | |
| | |
GO, 5.00%, 12/1/2027 | | | 25,000 | | | | 30,755 | |
| | |
Snohomish County School District No. 4 Lake Stevens GO, 5.00%, 12/1/2024 | | | 25,000 | | | | 29,773 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Spokane County, Mead School District No. 354 GO, 5.00%, 12/1/2024 | | | 20,000 | | | | 23,818 | |
| | |
State of Washington | | | | | | | | |
| | |
SeriesR-2012A, GO, 5.00%, 7/1/2020 | | | 10,000 | | | | 10,139 | |
| | |
SeriesR-2015A, GO, 5.00%, 7/1/2020 | | | 20,000 | | | | 20,278 | |
| | |
Series 2015G, GO, 5.00%, 7/1/2026 | | | 125,000 | | | | 149,694 | |
| | |
State of Washington, Motor Vehicle Fuel Tax | | | | | | | | |
| | |
Series 2019B, GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,104 | |
| | |
SeriesR-2011C, GO, 5.00%, 7/1/2020 | | | 10,000 | | | | 10,139 | |
| | |
Series 2013E, GO, 5.00%, 2/1/2025 | | | 75,000 | | | | 84,091 | |
| | | | | | | | |
| | |
| | | | | | | 1,372,931 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2028 | | | 30,000 | | | | 39,269 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Washington State Convention Center Public Facilities District Rev., 5.00%, 7/1/2032 | | | 35,000 | | | | 44,960 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
City of Seattle, Municipal Light and Power Improvement Series 2011A, Rev., 5.00%, 2/1/2022 (e) | | | 20,000 | | | | 20,774 | |
| | |
State of Washington, Various Purpose Series 2011A, GO, 5.00%, 8/1/2021 (e) | | | 25,000 | | | | 25,437 | |
| | | | | | | | |
| | |
| | | | | | | 46,211 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Central Puget Sound Regional Transit Authority, Sales Tax Series2015S-1, Rev., 5.00%, 11/1/2024 | | | 30,000 | | | | 35,749 | |
| | | | | | | | |
|
Utility — 0.5% | |
| | |
Energy Northwest, Electric Series 2017A, Rev., 5.00%, 7/1/2028 | | | 55,000 | | | | 70,558 | |
| | |
Energy Northwest, Electric Generating Station | | | | | | | | |
| | |
Series2016-A, Rev., 5.00%, 7/1/2028 | | | 25,000 | | | | 31,154 | |
| | |
Series A, Rev., 5.00%, 7/1/2029 | | | 30,000 | | | | 38,367 | |
| | |
Grant County Public Utility District No. 2, Priest Rapids Hydroelectric Project Series 2014A, Rev., 5.00%, 1/1/2023 | | | 25,000 | | | | 27,885 | |
| | |
Pend Oreille County Public Utility District No. 1 Box Canyon, Green Bonds Rev., 5.00%, 1/1/2027 | | | 65,000 | | | | 79,659 | |
| | | | | | | | |
| | |
| | | | | | | 247,623 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 118 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
City of Bonney Lake, Water & Sewer System Rev., 4.00%, 12/1/2030 | | | 10,000 | | | | 11,599 | |
| | |
City of Seattle, Drainage and Wastewater System Improvement Rev., 4.00%, 4/1/2026 | | | 20,000 | | | | 23,689 | |
| | |
City of Seattle, Wastewater System Improvement Rev., 5.00%, 8/1/2024 | | | 35,000 | | | | 41,422 | |
| | | | | | | | |
| | |
| | | | | | | 76,710 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 2,201,543 | |
| | | | | | | | |
|
Wisconsin — 3.3% | |
|
Education — 1.5% | |
| | |
Public Finance Authority, Piedmont Community Charter School Rev., 5.00%, 6/15/2039 | | | 200,000 | | | | 242,626 | |
| | |
Public Finance Authority, Ultimate Medical Academy Project Series 2019A, Rev., 5.00%, 10/1/2029 (f) | | | 150,000 | | | | 181,003 | |
| | |
Wisconsin Health and Educational Facilities Authority, Lawrence University of Wisconsin Rev., 4.00%, 2/1/2045 (b) | | | 150,000 | | | | 171,491 | |
| | |
Wisconsin Health and Educational Facilities Authority, St. Camillus Health System Series 2019A, Rev., 5.00%, 11/1/2029 | | | 150,000 | | | | 172,764 | |
| | | | | | | | |
| | |
| | | | | | | 767,884 | |
| | | | | | | | |
|
General Obligation — 0.9% | |
| | |
City of Milwaukee, Promissory Notes Series N4 & B5, GO, 5.00%, 4/1/2023 | | | 85,000 | | | | 95,775 | |
| | |
Hamilton School District, School Building Improvement GO, 5.00%, 4/1/2025 | | | 60,000 | | | | 72,537 | |
| | |
State of Wisconsin | | | | | | | | |
| | |
Series 2009C, GO, 4.50%, 5/1/2020 | | | 10,000 | | | | 10,060 | |
| | |
Series 3, GO, 5.00%, 11/1/2021 | | | 80,000 | | | | 85,602 | |
| | |
Series B, GO, 4.00%, 5/1/2023 | | | 40,000 | | | | 44,052 | |
| | |
Series 1, GO, 5.00%, 11/1/2024 | | | 40,000 | | | | 47,686 | |
| | |
Series 2, GO, 5.00%, 11/1/2026 | | | 50,000 | | | | 62,794 | |
| | |
Village of Pleasant Prairie GO, 4.00%, 8/1/2024 | | | 10,000 | | | | 11,313 | |
| | |
Village of Pleasant Prairie, Promissory Notes Series 2014A, GO, 5.00%, 9/1/2020 | | | 25,000 | | | | 25,510 | |
| | | | | | | | |
| | |
| | | | | | | 455,329 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
State of Wisconsin Environmental Improvement Fund | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/1/2025 | | | 35,000 | | | | 42,605 | |
| | |
Series A, Rev., 5.00%, 6/1/2026 | | | 20,000 | | | | 25,128 | |
| | | | | | | | |
| | |
| | | | | | | 67,733 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
State of Wisconsin Series C, GO, 4.00%, 5/1/2026 (e) | | | 25,000 | | | | 25,928 | |
| | |
State of Wisconsin, Clean Water Fund, Leveraged Loan Portfolio | | | | | | | | |
| | |
Series 1, Rev., 5.00%, 6/1/2025 (e) | | | 25,000 | | | | 28,313 | |
| | |
Rev., 5.00%, 6/1/2031 (e) | | | 65,000 | | | | 76,221 | |
| | | | | | | | |
| | |
| | | | | | | 130,462 | |
| | | | | | | | |
|
Transportation — 0.6% | |
| | |
Wisconsin Department of Transportation | | | | | | | | |
| | |
Series 1, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,138 | |
| | |
Series 2, Rev., 5.00%, 7/1/2031 | | | 180,000 | | | | 229,646 | |
| | |
Series 2, Rev., 5.00%, 7/1/2032 | | | 50,000 | | | | 63,683 | |
| | | | | | | | |
| | |
| | | | | | | 303,467 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (d) | |
| | |
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio Series 1, Rev., 4.00%, 6/1/2020 (e) | | | 15,000 | | | | 15,118 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 1,739,993 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $48,377,719) | | | | | | | 51,501,039 | |
| | | | | |
| | |
| | |
SHARES | | | | |
Short-Term Investments — 10.5% | | | | | | | | |
|
Investment Companies — 10.5% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (g) (h) (Cost $5,501,362) | | | 5,501,376 | | | | 5,501,376 | |
| | | | | | | | |
| |
Total Investments — 108.8%
(Cost $53,879,081) | | | | 57,002,415 | |
| |
Liabilities in Excess of Other Assets — (8.8)% | | | | (4,611,533) | |
| | | | | |
| |
NET ASSETS — 100.0% | | | | 52,390,882 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 119 | |
JPMorgan Municipal ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | |
Abbreviations |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| AMT | | Alternative Minimum Tax |
| BHAC | | Insured by Berkshire Hathaway Assurance Corp. |
| COP | | Certificate of Participation |
| CR | | Custodial Receipts |
| FGIC | | Insured by Financial Guaranty Insurance Co. |
| GAN | | Grant Anticipation Note |
| GO | | General Obligation |
| GRAN | | Grant Revenue Anticipation Note |
| GTD | | Guaranteed |
| IDA | | Industrial Development Authority |
| LIQ | | Liquidity Agreement |
| LOC | | Letter of Credit |
| PSF-GTD | | Permanent School Fund Guaranteed |
| Q-SBLF | | Qualified School Bond Loan Fund |
| RAN | | Revenue Anticipation Note |
| Rev. | | Revenue |
| VRDO | | Variable Rate Demand Obligation |
| | |
| |
| (a) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (b) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
| (c) | | 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 is the current rate as of February 29, 2020. |
| (d) | | Amount rounds to less than 0.1% of net assets. |
| (e) | | Security is prerefunded or escrowed to maturity. |
| (f) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (g) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (h) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 120 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Treasury Obligations — 40.1% | |
| | |
U.S. Treasury Bonds | | | | | | | | |
| | |
7.88%, 2/15/2021 | | | 3,073,000 | | | | 3,267,583 | |
| | |
8.13%, 5/15/2021 | | | 130,000 | | | | 140,979 | |
| | |
8.13%, 8/15/2021 | | | 2,852,000 | | | | 3,144,776 | |
| | |
8.00%, 11/15/2021 | | | 7,570,000 | | | | 8,465,389 | |
| | |
6.75%, 8/15/2026 | | | 1,391,000 | | | | 1,892,629 | |
| | |
6.63%, 2/15/2027 | | | 2,750,000 | | | | 3,791,562 | |
| | |
6.38%, 8/15/2027 | | | 380,000 | | | | 526,300 | |
| | |
6.13%, 11/15/2027 | | | 3,176,000 | | | | 4,377,918 | |
| | |
5.50%, 8/15/2028 | | | 160,000 | | | | 217,275 | |
| | |
5.25%, 11/15/2028 | | | 210,000 | | | | 282,647 | |
| | |
6.13%, 8/15/2029 | | | 150,000 | | | | 217,617 | |
| | |
6.25%, 5/15/2030 | | | 1,178,000 | | | | 1,759,637 | |
| | |
4.75%, 2/15/2037 | | | 1,486,000 | | | | 2,249,897 | |
| | |
5.00%, 5/15/2037 | | | 479,000 | | | | 746,267 | |
| | |
4.50%, 5/15/2038 | | | 2,074,000 | | | | 3,104,195 | |
| | |
3.50%, 2/15/2039 | | | 3,082,000 | | | | 4,131,806 | |
| | |
4.25%, 5/15/2039 | | | 822,000 | | | | 1,207,056 | |
| | |
4.50%, 8/15/2039 | | | 1,283,000 | | | | 1,943,545 | |
| | |
4.38%, 11/15/2039 | | | 356,000 | | | | 532,164 | |
| | |
4.63%, 2/15/2040 | | | 2,389,000 | | | | 3,688,019 | |
| | |
4.38%, 5/15/2040 | | | 78,000 | | | | 117,085 | |
| | |
3.13%, 11/15/2041 | | | 334,000 | | | | 428,355 | |
| | |
3.00%, 5/15/2042 | | | 145,000 | | | | 182,655 | |
| | |
2.75%, 8/15/2042 | | | 75,000 | | | | 90,902 | |
| | |
2.75%, 11/15/2042 | | | 236,000 | | | | 286,039 | |
| | |
2.50%, 2/15/2045 | | | 3,228,000 | | | | 3,763,142 | |
| | |
3.00%, 5/15/2045 | | | 2,368,000 | | | | 3,007,730 | |
| | |
3.00%, 11/15/2045 | | | 66,000 | | | | 84,088 | |
| | |
2.25%, 8/15/2046 | | | 4,598,000 | | | | 5,148,323 | |
| | |
3.00%, 2/15/2047 | | | 1,290,000 | | | | 1,661,480 | |
| | |
3.00%, 5/15/2047 | | | 21,000 | | | | 27,060 | |
| | |
2.75%, 8/15/2047 | | | 310,000 | | | | 382,947 | |
| | |
3.00%, 8/15/2048 | | | 39,000 | | | | 50,737 | |
| | |
3.38%, 11/15/2048 | | | 1,243,000 | | | | 1,729,130 | |
| | |
3.00%, 2/15/2049 | | | 2,052,000 | | | | 2,681,066 | |
| | |
2.25%, 8/15/2049 | | | 4,195,000 | | | | 4,761,980 | |
| | |
2.38%, 11/15/2049 | | | 3,562,000 | | | | 4,153,626 | |
| | |
2.00%, 2/15/2050 | | | 444,000 | | | | 478,896 | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
2.63%, 8/31/2020 | | | 400,000 | | | | 402,719 | |
| | |
1.38%, 9/15/2020 | | | 486,000 | | | | 486,437 | |
| | |
2.75%, 9/30/2020 | | | 250,000 | | | | 252,217 | |
| | |
2.88%, 10/31/2020 | | | 32,000 | | | | 32,355 | |
| | |
1.75%, 11/15/2020 | | | 1,342,000 | | | | 1,347,714 | |
| | |
1.88%, 12/15/2020 | | | 251,000 | | | | 252,481 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
2.00%, 1/15/2021 | | | 311,000 | | | | 313,381 | |
| | |
2.25%, 2/15/2021 | | | 29,000 | | | | 29,317 | |
| | |
3.63%, 2/15/2021 | | | 257,000 | | | | 263,164 | |
| | |
2.00%, 2/28/2021 | | | 1,000,000 | | | | 1,009,102 | |
| | |
2.50%, 2/28/2021 | | | 936,000 | | | | 949,163 | |
| | |
1.25%, 3/31/2021 | | | 116,000 | | | | 116,240 | |
| | |
2.25%, 3/31/2021 | | | 529,000 | | | | 535,695 | |
| | |
2.38%, 4/15/2021 | | | 400,000 | | | | 405,859 | |
| | |
1.38%, 4/30/2021 | | | 390,000 | | | | 391,356 | |
| | |
2.25%, 4/30/2021 | | | 826,000 | | | | 837,487 | |
| | |
2.00%, 5/31/2021 | | | 986,000 | | | | 997,824 | |
| | |
2.63%, 6/15/2021 | | | 600,000 | | | | 612,328 | |
| | |
1.75%, 7/31/2021 | | | 620,000 | | | | 626,636 | |
| | |
1.50%, 8/31/2021 | | | 564,000 | | | | 568,406 | |
| | |
1.13%, 9/30/2021 | | | 3,164,000 | | | | 3,172,528 | |
| | |
2.88%, 10/15/2021 | | | 4,000,000 | | | | 4,123,594 | |
| | |
1.50%, 11/30/2021 | | | 1,100,000 | | | | 1,110,957 | |
| | |
2.63%, 12/15/2021 | | | 522,000 | | | | 537,599 | |
| | |
2.13%, 12/31/2021 | | | 100,000 | | | | 102,176 | |
| | |
1.50%, 1/31/2022 | | | 6,331,000 | | | | 6,401,729 | |
| | |
1.88%, 2/28/2022 | | | 330,000 | | | | 336,291 | |
| | |
2.38%, 3/15/2022 | | | 4,000,000 | | | | 4,119,688 | |
| | |
1.88%, 3/31/2022 | | | 2,661,000 | | | | 2,714,428 | |
| | |
1.75%, 6/15/2022 | | | 4,341,000 | | | | 4,426,803 | |
| | |
1.75%, 6/30/2022 | | | 3,695,000 | | | | 3,768,611 | |
| | |
1.88%, 9/30/2022 | | | 1,385,000 | | | | 1,420,382 | |
| | |
1.38%, 10/15/2022 | | | 556,000 | | | | 563,124 | |
| | |
1.63%, 11/15/2022 | | | 25,000 | | | | 25,494 | |
| | |
1.63%, 12/15/2022 | | | 300,000 | | | | 306,164 | |
| | |
2.00%, 2/15/2023 | | | 689,000 | | | | 711,554 | |
| | |
1.63%, 4/30/2023 | | | 1,911,000 | | | | 1,955,192 | |
| | |
1.63%, 5/31/2023 | | | 600,000 | | | | 614,156 | |
| | |
1.25%, 7/31/2023 | | | 5,200,000 | | | | 5,262,969 | |
| | |
1.38%, 8/31/2023 | | | 510,000 | | | | 518,447 | |
| | |
1.38%, 9/30/2023 | | | 15,431,000 | | | | 15,692,604 | |
| | |
2.88%, 9/30/2023 | | | 700,000 | | | | 748,727 | |
| | |
2.88%, 11/30/2023 | | | 2,077,000 | | | | 2,227,582 | |
| | |
2.25%, 12/31/2023 | | | 1,859,000 | | | | 1,953,548 | |
| | |
2.63%, 12/31/2023 | | | 621,000 | | | | 661,219 | |
| | |
2.25%, 1/31/2024 | | | 653,000 | | | | 686,772 | |
| | |
2.50%, 1/31/2024 | | | 3,854,000 | | | | 4,090,058 | |
| | |
2.13%, 2/29/2024 | | | 500,000 | | | | 523,828 | |
| | |
2.38%, 2/29/2024 | | | 10,212,000 | | | | 10,799,988 | |
| | |
2.13%, 3/31/2024 | | | 1,397,000 | | | | 1,465,104 | |
| | |
2.50%, 5/15/2024 | | | 100,000 | | | | 106,547 | |
| | |
2.00%, 5/31/2024 | | | 3,850,000 | | | | 4,023,551 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 121 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Treasury Obligations — continued | |
| | |
1.75%, 6/30/2024 | | | 1,967,000 | | | | 2,036,767 | |
| | |
1.75%, 7/31/2024 | | | 410,000 | | | | 424,830 | |
| | |
1.25%, 8/31/2024 | | | 800,000 | | | | 811,750 | |
| | |
1.88%, 8/31/2024 | | | 3,961,000 | | | | 4,127,176 | |
| | |
1.50%, 9/30/2024 | | | 100,000 | | | | 102,617 | |
| | |
1.50%, 11/30/2024 | | | 1,255,000 | | | | 1,289,120 | |
| | |
1.75%, 12/31/2024 | | | 142,000 | | | | 147,569 | |
| | |
1.38%, 1/31/2025 | | | 2,010,000 | | | | 2,054,283 | |
| | |
2.50%, 1/31/2025 | | | 450,000 | | | | 484,066 | |
| | |
2.00%, 2/15/2025 | | | 530,000 | | | | 557,452 | |
| | |
2.13%, 5/15/2025 | | | 163,000 | | | | 172,755 | |
| | |
2.25%, 11/15/2025 | | | 104,000 | | | | 111,329 | |
| | |
2.63%, 12/31/2025 | | | 2,439,000 | | | | 2,665,560 | |
| | |
1.63%, 2/15/2026 | | | 4,739,000 | | | | 4,911,159 | |
| | |
2.50%, 2/28/2026 | | | 136,000 | | | | 147,932 | |
| | |
2.25%, 3/31/2026 | | | 408,000 | | | | 438,090 | |
| | |
2.13%, 5/31/2026 | | | 200,000 | | | | 213,516 | |
| | |
1.88%, 7/31/2026 | | | 383,000 | | | | 403,407 | |
| | |
1.50%, 8/15/2026 | | | 507,000 | | | | 522,170 | |
| | |
1.38%, 8/31/2026 | | | 938,000 | | | | 958,885 | |
| | |
1.63%, 9/30/2026 | | | 150,000 | | | | 155,719 | |
| | |
1.63%, 10/31/2026 | | | 7,371,000 | | | | 7,653,171 | |
| | |
1.63%, 11/30/2026 | | | 2,000,000 | | | | 2,077,187 | |
| | |
1.75%, 12/31/2026 | | | 2,300,000 | | | | 2,408,172 | |
| | |
2.25%, 2/15/2027 | | | 1,800,000 | | | | 1,946,250 | |
| | |
1.13%, 2/28/2027 | | | 1,826,000 | | | | 1,836,485 | |
| | |
2.38%, 5/15/2027 | | | 1,900,000 | | | | 2,075,750 | |
| | |
2.25%, 11/15/2027 | | | 1,056,000 | | | | 1,149,060 | |
| | |
2.75%, 2/15/2028 | | | 29,000 | | | | 32,734 | |
| | |
2.88%, 5/15/2028 | | | 400,000 | | | | 456,562 | |
| | |
2.88%, 8/15/2028 | | | 55,000 | | | | 62,949 | |
| | |
3.13%, 11/15/2028 | | | 1,060,000 | | | | 1,238,378 | |
| | |
2.63%, 2/15/2029 | | | 1,746,000 | | | | 1,972,434 | |
| | |
2.38%, 5/15/2029 | | | 734,000 | | | | 814,969 | |
| | |
1.75%, 11/15/2029 | | | 950,000 | | | | 1,004,328 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $207,056,062) | | | | | | | 217,788,378 | |
| | | | | | | | |
Mortgage-Backed Securities — 26.1% | |
| | |
FHLMC Gold Pools, 15 Year | | | | | | | | |
| | |
Pool # G14541, 2.50%, 8/1/2022 | | | 21,222 | | | | 21,782 | |
| | |
Pool # J10548, 4.00%, 8/1/2024 | | | 56,091 | | | | 59,078 | |
| | |
Pool # G14005, 4.00%, 10/1/2025 | | | 71,817 | | | | 75,664 | |
| | |
Pool # J15449, 4.00%, 5/1/2026 | | | 196,032 | | | | 206,050 | |
| | |
Pool # J17783, 3.00%, 1/1/2027 | | | 38,891 | | | | 40,316 | |
| | |
Pool # G14781, 3.50%, 3/1/2027 | | | 121,237 | | | | 127,246 | |
| | |
Pool # G15201, 4.00%, 5/1/2027 | | | 53,250 | | | | 56,086 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # J20129, 2.50%, 8/1/2027 | | | 26,653 | | | | 27,433 | |
| | |
Pool # G15438, 4.00%, 9/1/2027 | | | 37,051 | | | | 39,035 | |
| | |
Pool # G15602, 2.50%, 11/1/2027 | | | 123,561 | | | | 127,268 | |
| | |
Pool # E09028, 2.00%, 3/1/2028 | | | 175,975 | | | | 180,098 | |
| | |
Pool # J23362, 2.00%, 4/1/2028 | | | 169,651 | | | | 173,614 | |
| | |
Pool # G14865, 2.50%, 4/1/2028 | | | 107,885 | | | | 111,123 | |
| | |
Pool # G18466, 2.00%, 5/1/2028 | | | 25,677 | | | | 26,277 | |
| | |
Pool # G16762, 3.50%, 12/1/2028 | | | 55,217 | | | | 57,917 | |
| | |
Pool # G15601, 2.50%, 1/1/2029 | | | 106,738 | | | | 110,077 | |
| | |
Pool # G14957, 3.50%, 1/1/2029 | | | 228,064 | | | | 240,009 | |
| | |
Pool # G16570, 4.00%, 7/1/2029 | | | 36,839 | | | | 38,800 | |
| | |
Pool # G15164, 3.00%, 9/1/2029 | | | 22,484 | | | | 23,406 | |
| | |
Pool # G18540, 2.50%, 2/1/2030 | | | 69,249 | | | | 71,351 | |
| | |
Pool # G18556, 2.50%, 6/1/2030 | | | 82,315 | | | | 84,813 | |
| | |
Pool # V60840, 3.00%, 6/1/2030 | | | 19,518 | | | | 20,392 | |
| | |
Pool # G16622, 3.00%, 11/1/2030 | | | 79,375 | | | | 82,570 | |
| | |
Pool # G16019, 3.50%, 12/1/2030 | | | 44,106 | | | | 46,252 | |
| | |
Pool # J33545, 3.00%, 1/1/2031 | | | 193,978 | | | | 203,038 | |
| | |
Pool # G16044, 2.50%, 1/1/2032 | | | 209,276 | | | | 215,735 | |
| | |
Pool # J36524, 3.00%, 3/1/2032 | | | 233,946 | | | | 243,408 | |
| | |
Pool # J36660, 3.00%, 3/1/2032 | | | 149,758 | | | | 156,598 | |
| | |
Pool # J38270, 2.50%, 1/1/2033 | | | 749,728 | | | | 772,704 | |
| | |
Pool # G16568, 2.50%, 4/1/2033 | | | 314,650 | | | | 324,293 | |
| | |
Pool # G18685, 3.50%, 4/1/2033 | | | 84,271 | | | | 88,301 | |
| | |
Pool # G18706, 3.00%, 9/1/2033 | | | 34,676 | | | | 35,980 | |
| | |
Pool # G18730, 3.50%, 4/1/2034 | | | 153,401 | | | | 161,224 | |
| | |
Pool # G18736, 3.00%, 6/1/2034 | | | 100,319 | | | | 104,153 | |
| | |
FHLMC Gold Pools, 20 Year | | | | | | | | |
| | |
Pool # G30585, 4.00%, 2/1/2032 | | | 26,843 | | | | 28,938 | |
| | |
Pool # C91447, 3.50%, 5/1/2032 | | | 57,940 | | | | 61,305 | |
| | |
Pool # K90941, 3.50%, 8/1/2033 | | | 87,096 | | | | 92,385 | |
| | |
Pool # C91911, 2.50%, 1/1/2037 | | | 34,950 | | | | 36,156 | |
| | |
Pool # C91925, 3.50%, 4/1/2037 | | | 700,323 | | | | 738,071 | |
| | |
Pool # C91974, 4.00%, 11/1/2037 | | | 278,863 | | | | 296,343 | |
| | |
Pool # C92000, 4.00%, 6/1/2038 | | | 116,511 | | | | 123,725 | |
| | |
FHLMC Gold Pools, 30 Year | | | | | | | | |
| | |
Pool # V81680, 4.50%, 12/1/2034 | | | 145,192 | | | | 160,738 | |
| | |
Pool # A30892, 5.00%, 1/1/2035 | | | 149,510 | | | | 168,695 | |
| | |
Pool # A34212, 6.00%, 4/1/2035 | | | 23,735 | | | | 26,042 | |
| | |
Pool # A39210, 5.50%, 10/1/2035 | | | 51,825 | | | | 59,089 | |
| | |
Pool # V83754, 5.50%, 1/1/2036 | | | 68,595 | | | | 78,260 | |
| | |
Pool # A82255, 5.50%, 9/1/2036 | | | 127,305 | | | | 145,245 | |
| | |
Pool # A89760, 4.50%, 12/1/2039 | | | 52,793 | | | | 58,441 | |
| | |
Pool # A92197, 5.00%, 5/1/2040 | | | 128,328 | | | | 144,802 | |
| | |
Pool # G06856, 6.00%, 5/1/2040 | | | 19,757 | | | | 23,351 | |
| | |
Pool # A93359, 4.00%, 8/1/2040 | | | 38,225 | | | | 41,569 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 122 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # G06222, 4.00%, 1/1/2041 | | | 600,071 | | | | 652,511 | |
| | |
Pool # G07794, 5.50%, 6/1/2041 | | | 20,364 | | | | 23,212 | |
| | |
Pool # Q03514, 4.50%, 9/1/2041 | | | 136,754 | | | | 151,033 | |
| | |
Pool # Q03516, 4.50%, 9/1/2041 | | | 54,549 | | | | 60,244 | |
| | |
Pool # Q04088, 3.50%, 10/1/2041 | | | 62,062 | | | | 66,230 | |
| | |
Pool # Q04688, 4.00%, 11/1/2041 | | | 24,896 | | | | 27,076 | |
| | |
Pool # G08477, 3.50%, 2/1/2042 | | | 21,463 | | | | 22,904 | |
| | |
Pool # Q06771, 3.00%, 3/1/2042 | | | 77,995 | | | | 81,863 | |
| | |
Pool # C03858, 3.50%, 4/1/2042 | | | 179,335 | | | | 191,161 | |
| | |
Pool # Q08646, 3.50%, 6/1/2042 | | | 57,727 | | | | 61,533 | |
| | |
Pool # Q13477, 3.00%, 12/1/2042 | | | 231,223 | | | | 242,689 | |
| | |
Pool # Q14321, 3.00%, 12/1/2042 | | | 63,628 | | | | 66,783 | |
| | |
Pool # C04420, 3.00%, 1/1/2043 | | | 325,909 | | | | 342,070 | |
| | |
Pool # Q14694, 3.00%, 1/1/2043 | | | 2,180,667 | | | | 2,305,799 | |
| | |
Pool # G61723, 3.50%, 1/1/2043 | | | 138,048 | | | | 149,969 | |
| | |
Pool # Q15020, 4.00%, 1/1/2043 | | | 49,375 | | | | 53,799 | |
| | |
Pool # C09031, 2.50%, 2/1/2043 | | | 203,509 | | | | 210,741 | |
| | |
Pool # Q17370, 3.00%, 4/1/2043 | | | 245,427 | | | | 261,074 | |
| | |
Pool # V80026, 3.00%, 4/1/2043 | | | 99,562 | | | | 104,512 | |
| | |
Pool # Q17374, 4.00%, 4/1/2043 | | | 157,215 | | | | 175,171 | |
| | |
Pool # Q20542, 3.00%, 7/1/2043 | | | 89,762 | | | | 94,225 | |
| | |
Pool # C09044, 3.50%, 7/1/2043 | | | 39,696 | | | | 42,245 | |
| | |
Pool # G62033, 4.00%, 11/1/2043 | | | 277,377 | | | | 302,395 | |
| | |
Pool # G08585, 3.50%, 5/1/2044 | | | 31,808 | | | | 33,697 | |
| | |
Pool # G08599, 3.50%, 8/1/2044 | | | 143,457 | | | | 151,978 | |
| | |
Pool # Q27903, 4.00%, 8/1/2044 | | | 176,080 | | | | 189,865 | |
| | |
Pool # G08607, 4.50%, 9/1/2044 | | | 73,183 | | | | 80,611 | |
| | |
Pool # Z40090, 4.50%, 9/1/2044 | | | 75,575 | | | | 83,245 | |
| | |
Pool # G60183, 4.00%, 12/1/2044 | | | 73,838 | | | | 80,495 | |
| | |
Pool # G61617, 4.50%, 1/1/2045 | | | 41,578 | | | | 46,031 | |
| | |
Pool # Q31596, 3.50%, 2/1/2045 | | | 96,485 | | | | 102,223 | |
| | |
Pool # Q33006, 3.50%, 4/1/2045 | | | 60,788 | | | | 64,331 | |
| | |
Pool # V81760, 4.00%, 5/1/2045 | | | 46,887 | | | | 50,523 | |
| | |
Pool # Q33870, 3.50%, 6/1/2045 | | | 352,655 | | | | 373,235 | |
| | |
Pool # Q34508, 3.50%, 6/1/2045 | | | 1,230,097 | | | | 1,301,881 | |
| | |
Pool # G08651, 4.00%, 6/1/2045 | | | 286,613 | | | | 308,834 | |
| | |
Pool # G08653, 3.00%, 7/1/2045 | | | 138,081 | | | | 144,404 | |
| | |
Pool # G62035, 4.50%, 7/1/2045 | | | 125,601 | | | | 138,593 | |
| | |
Pool # G08659, 3.50%, 8/1/2045 | | | 114,665 | | | | 121,347 | |
| | |
Pool # Q35460, 3.50%, 8/1/2045 | | | 219,127 | | | | 233,439 | |
| | |
Pool # Q35223, 4.00%, 8/1/2045 | | | 33,046 | | | | 35,207 | |
| | |
Pool # G60480, 4.50%, 11/1/2045 | | | 178,787 | | | | 196,949 | |
| | |
Pool # G61796, 4.50%, 12/1/2045 | | | 164,612 | | | | 182,239 | |
| | |
Pool # G08697, 3.00%, 3/1/2046 | | | 1,190,050 | | | | 1,242,751 | |
| | |
Pool # Q39844, 3.50%, 4/1/2046 | | | 326,978 | | | | 344,442 | |
| | |
Pool # G61260, 4.50%, 4/1/2046 | | | 50,817 | | | | 56,047 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # G08710, 3.00%, 6/1/2046 | | | 36,391 | | | | 38,003 | |
| | |
Pool # Q42045, 3.50%, 7/1/2046 | | | 54,853 | | | | 58,746 | |
| | |
Pool # G08724, 2.50%, 9/1/2046 | | | 33,551 | | | | 34,667 | |
| | |
Pool # G61730, 3.00%, 9/1/2046 | | | 284,416 | | | | 298,579 | |
| | |
Pool # Q43252, 3.00%, 9/1/2046 | | | 293,754 | | | | 306,763 | |
| | |
Pool # G61537, 3.50%, 9/1/2046 | | | 132,208 | | | | 139,924 | |
| | |
Pool # Q42921, 3.50%, 9/1/2046 | | | 192,568 | | | | 206,235 | |
| | |
Pool # G61235, 4.50%, 9/1/2046 | | | 60,735 | | | | 67,212 | |
| | |
Pool # G61071, 3.00%, 10/1/2046 | | | 56,628 | | | | 59,293 | |
| | |
Pool # Q44608, 4.00%, 10/1/2046 | | | 132,680 | | | | 142,017 | |
| | |
Pool # Q43892, 4.50%, 10/1/2046 | | | 135,520 | | | | 152,310 | |
| | |
Pool # G08736, 2.50%, 12/1/2046 | | | 27,367 | | | | 28,277 | |
| | |
Pool # G08747, 3.00%, 2/1/2047 | | | 487,072 | | | | 508,642 | |
| | |
Pool # G61623, 3.00%, 4/1/2047 | | | 64,566 | | | | 67,527 | |
| | |
Pool # G60985, 3.00%, 5/1/2047 | | | 237,808 | | | | 250,583 | |
| | |
Pool # G60996, 3.50%, 5/1/2047 | | | 109,688 | | | | 116,762 | |
| | |
Pool # Q47884, 4.00%, 5/1/2047 | | | 63,243 | | | | 67,484 | |
| | |
Pool # Q49796, 3.50%, 8/1/2047 | | | 268,929 | | | | 288,280 | |
| | |
Pool # G08775, 4.00%, 8/1/2047 | | | 129,613 | | | | 138,304 | |
| | |
Pool # V83480, 3.50%, 10/1/2047 | | | 42,706 | | | | 44,940 | |
| | |
Pool # Q51779, 4.00%, 10/1/2047 | | | 175,028 | | | | 186,765 | |
| | |
Pool # G61465, 4.50%, 11/1/2047 | | | 333,475 | | | | 360,888 | |
| | |
Pool # G08791, 3.00%, 12/1/2047 | | | 195,701 | | | | 203,346 | |
| | |
Pool # G61681, 3.00%, 12/1/2047 | | | 23,554 | | | | 24,476 | |
| | |
Pool # Q52866, 3.00%, 12/1/2047 | | | 56,393 | | | | 59,623 | |
| | |
Pool # G08793, 4.00%, 12/1/2047 | | | 117,342 | | | | 125,211 | |
| | |
Pool # G08796, 3.50%, 1/1/2048 | | | 46,357 | | | | 48,778 | |
| | |
Pool # Q53751, 3.50%, 1/1/2048 | | | 483,459 | | | | 508,706 | |
| | |
Pool # Q53872, 4.00%, 1/1/2048 | | | 137,095 | | | | 147,838 | |
| | |
Pool # G08799, 3.00%, 2/1/2048 | | | 754,007 | | | | 783,462 | |
| | |
Pool # G08800, 3.50%, 2/1/2048 | | | 199,470 | | | | 209,886 | |
| | |
Pool # G08812, 3.00%, 4/1/2048 | | | 106,387 | | | | 109,810 | |
| | |
Pool # G08829, 3.00%, 7/1/2048 | | | 124,699 | | | | 128,711 | |
| | |
Pool # G08823, 3.50%, 7/1/2048 | | | 478,275 | | | | 498,795 | |
| | |
Pool # Q57420, 4.50%, 7/1/2048 | | | 103,695 | | | | 111,356 | |
| | |
Pool # G08835, 3.50%, 9/1/2048 | | | 35,301 | | | | 36,816 | |
| | |
Pool # Q58587, 3.50%, 9/1/2048 | | | 49,922 | | | | 52,064 | |
| | |
Pool # Q58632, 3.50%, 9/1/2048 | | | 32,626 | | | | 34,057 | |
| | |
Pool # G08836, 4.00%, 9/1/2048 | | | 201,220 | | | | 212,532 | |
| | |
Pool # G08837, 4.50%, 9/1/2048 | | | 19,441 | | | | 20,830 | |
| | |
Pool # G08841, 3.50%, 10/1/2048 | | | 77,532 | | | | 80,858 | |
| | |
Pool # G08842, 4.00%, 10/1/2048 | | | 449,087 | | | | 474,335 | |
| | |
Pool # G61737, 3.50%, 11/1/2048 | | | 535,159 | | | | 569,435 | |
| | |
Pool # Q59812, 4.00%, 11/1/2048 | | | 37,601 | | | | 39,712 | |
| | |
Pool # V84897, 4.00%, 11/1/2048 | | | 194,405 | | | | 205,968 | |
| | |
Pool # G61885, 4.50%, 11/1/2048 | | | 95,131 | | | | 101,617 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 123 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # Q62573, 3.50%, 12/1/2048 | | | 354,491 | | | | 369,700 | |
| | |
Pool # G08853, 4.50%, 12/1/2048 | | | 72,276 | | | | 77,441 | |
| | |
Pool # Q62234, 4.50%, 12/1/2048 | | | 292,621 | | | | 319,270 | |
| | |
Pool # G67718, 4.00%, 1/1/2049 | | | 32,012 | | | | 34,594 | |
| | |
Pool # G08862, 4.00%, 2/1/2049 | | | 126,823 | | | | 133,935 | |
| | |
Pool # G08875, 3.00%, 3/1/2049 | | | 112,171 | | | | 115,772 | |
| | |
Pool # G08872, 4.00%, 4/1/2049 | | | 60,153 | | | | 63,616 | |
| | |
Pool # G08874, 5.00%, 4/1/2049 | | | 42,330 | | | | 46,009 | |
| | |
Pool # Q63756, 3.00%, 5/1/2049 | | | 212,254 | | | | 223,473 | |
| | |
Pool # G08876, 3.50%, 5/1/2049 | | | 255,248 | | | | 265,287 | |
| | |
Pool # Q63474, 4.00%, 5/1/2049 | | | 68,335 | | | | 72,399 | |
| | |
Pool # Q63595, 4.00%, 5/1/2049 | | | 164,353 | | | | 174,127 | |
| | |
Pool # G08887, 3.00%, 6/1/2049 | | | 176,879 | | | | 182,504 | |
| | |
Pool # G08881, 3.50%, 6/1/2049 | | | 67,880 | | | | 70,550 | |
| | |
Pool # G08882, 4.00%, 6/1/2049 | | | 124,588 | | | | 131,771 | |
| | |
FHLMC UMBS, 15 Year | | | | | | | | |
| | |
Pool # ZS8368, 4.50%, 3/1/2024 | | | 152,606 | | | | 158,894 | |
| | |
Pool # ZK2080, 4.00%, 1/1/2025 | | | 130,436 | | | | 137,349 | |
| | |
Pool # ZA2587, 4.00%, 9/1/2025 | | | 27,228 | | | | 28,716 | |
| | |
Pool # ZK2723, 3.50%, 11/1/2025 | | | 47,930 | | | | 50,323 | |
| | |
Pool # ZA2599, 3.00%, 12/1/2025 | | | 33,624 | | | | 34,837 | |
| | |
Pool # ZK3540, 3.00%, 9/1/2026 | | | 200,072 | | | | 207,499 | |
| | |
Pool # ZS8460, 3.00%, 4/1/2027 | | | 45,548 | | | | 47,231 | |
| | |
Pool # SB0031, 3.50%, 10/1/2027 | | | 89,052 | | | | 93,349 | |
| | |
Pool # SB0071, 2.50%, 5/1/2030 | | | 69,587 | | | | 71,595 | |
| | |
Pool # SB0077, 3.50%, 10/1/2034 | | | 229,975 | | | | 240,895 | |
| | |
Pool # SB8031, 2.50%, 2/1/2035 | | | 449,729 | | | | 462,044 | |
| | |
FHLMC UMBS, 20 Year | | | | | | | | |
| | |
Pool # ZS9058, 5.00%, 11/1/2031 | | | 46,256 | | | | 50,509 | |
| | |
Pool # ZA2277, 3.00%, 9/1/2032 | | | 157,694 | | | | 164,972 | |
| | |
Pool # ZJ9491, 3.50%, 12/1/2032 | | | 31,979 | | | | 33,926 | |
| | |
Pool # RB5001, 3.50%, 7/1/2039 | | | 79,639 | | | | 83,500 | |
| | |
Pool # SC0014, 3.00%, 10/1/2039 | | | 30,770 | | | | 31,996 | |
| | |
Pool # RB5026, 2.50%, 11/1/2039 | | | 148,101 | | | | 152,192 | |
| | |
FHLMC UMBS, 30 Year | | | | | | | | |
| | |
Pool # ZI3765, 5.50%, 11/1/2035 | | | 49,454 | | | | 56,358 | |
| | |
Pool # ZS2546, 5.00%, 2/1/2039 | | | 39,235 | | | | 44,171 | |
| | |
Pool # ZI9396, 5.50%, 11/1/2039 | | | 72,676 | | | | 82,784 | |
| | |
Pool # ZJ0449, 4.00%, 9/1/2040 | | | 49,881 | | | | 54,215 | |
| | |
Pool # ZL3548, 3.50%, 8/1/2042 | | | 228,908 | | | | 243,889 | |
| | |
Pool # ZA6807, 4.50%, 8/1/2042 | | | 117,910 | | | | 130,365 | |
| | |
Pool # ZS4077, 3.50%, 1/1/2044 | | | 39,605 | | | | 42,654 | |
| | |
Pool # ZL8869, 3.50%, 12/1/2044 | | | 59,040 | | | | 62,859 | |
| | |
Pool # ZS4596, 3.50%, 12/1/2044 | | | 25,889 | | | | 27,414 | |
| | |
Pool # ZL9010, 3.50%, 1/1/2045 | | | 28,794 | | | | 30,656 | |
| | |
Pool # ZS4609, 3.00%, 4/1/2045 | | | 117,871 | | | | 123,213 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # ZM0037, 3.50%, 8/1/2045 | | | 463,286 | | | | 490,055 | |
| | |
Pool # ZS9809, 4.50%, 9/1/2045 | | | 52,264 | | | | 57,542 | |
| | |
Pool # ZA4628, 4.00%, 3/1/2046 | | | 89,420 | | | | 97,437 | |
| | |
Pool # SD0073, 4.50%, 6/1/2046 | | | 155,159 | | | | 171,012 | |
| | |
Pool # ZM1621, 4.50%, 9/1/2046 | | | 215,686 | | | | 244,971 | |
| | |
Pool # ZM1819, 4.00%, 10/1/2046 | | | 137,005 | | | | 146,459 | |
| | |
Pool # SD0146, 3.00%, 11/1/2046 | | | 424,688 | | | | 443,298 | |
| | |
Pool # ZM2209, 3.50%, 12/1/2046 | | | 424,430 | | | | 446,853 | |
| | |
Pool # ZA4816, 4.00%, 2/1/2047 | | | 68,347 | | | | 73,931 | |
| | |
Pool # ZM3134, 3.50%, 5/1/2047 | | | 269,874 | | | | 287,004 | |
| | |
Pool # ZT0132, 4.00%, 5/1/2047 | | | 212,094 | | | | 226,892 | |
| | |
Pool # SD0225, 3.00%, 12/1/2047 | | | 1,220,295 | | | | 1,275,293 | |
| | |
Pool # ZS4750, 3.00%, 1/1/2048 | | | 92,184 | | | | 95,741 | |
| | |
Pool # ZM6887, 3.00%, 5/1/2048 | | | 221,683 | | | | 228,694 | |
| | |
Pool # ZS4777, 3.50%, 7/1/2048 | | | 26,831 | | | | 27,969 | |
| | |
Pool # ZA5677, 4.00%, 9/1/2048 | | | 116,754 | | | | 123,629 | |
| | |
Pool # ZT1597, 3.00%, 12/1/2048 | | | 79,928 | | | | 82,456 | |
| | |
Pool # ZA6286, 4.00%, 2/1/2049 | | | 671,201 | | | | 719,490 | |
| | |
Pool # ZT1776, 3.50%, 3/1/2049 | | | 150,030 | | | | 155,856 | |
| | |
Pool # ZN5087, 4.00%, 4/1/2049 | | | 400,324 | | | | 427,018 | |
| | |
Pool # ZT1864, 4.00%, 4/1/2049 | | | 20,316 | | | | 21,475 | |
| | |
Pool # ZT1951, 3.50%, 5/1/2049 | | | 50,898 | | | | 52,874 | |
| | |
Pool # ZT1952, 4.00%, 5/1/2049 | | | 309,378 | | | | 327,031 | |
| | |
Pool # QA4907, 3.00%, 6/1/2049 | | | 349,994 | | | | 363,522 | |
| | |
Pool # ZT2086, 3.50%, 6/1/2049 | | | 271,520 | | | | 282,063 | |
| | |
Pool # ZT2087, 4.00%, 6/1/2049 | | | 120,766 | | | | 127,657 | |
| | |
Pool # SD0040, 3.00%, 7/1/2049 | | | 152,753 | | | | 157,598 | |
| | |
Pool # SD7502, 3.50%, 7/1/2049 | | | 403,353 | | | | 427,820 | |
| | |
Pool # SD8001, 3.50%, 7/1/2049 | | | 93,651 | | | | 97,312 | |
| | |
Pool # SD7501, 4.00%, 7/1/2049 | | | 215,053 | | | | 233,848 | |
| | |
Pool # QA1790, 3.00%, 8/1/2049 | | | 243,604 | | | | 251,331 | |
| | |
Pool # QA1997, 3.00%, 8/1/2049 | | | 72,546 | | | | 74,848 | |
| | |
Pool # SD8005, 3.50%, 8/1/2049 | | | 335,223 | | | | 348,329 | |
| | |
Pool # SD8006, 4.00%, 8/1/2049 | | | 179,769 | | | | 190,114 | |
| | |
Pool # SD8014, 5.00%, 8/1/2049 | | | 499,828 | | | | 542,875 | |
| | |
Pool # SD8016, 3.00%, 10/1/2049 | | | 85,946 | | | | 88,673 | |
| | |
Pool # SD8023, 2.50%, 11/1/2049 | | | 26,651 | | | | 27,192 | |
| | |
Pool # SD8025, 3.50%, 11/1/2049 | | | 812,764 | | | | 844,541 | |
| | |
Pool # SD8029, 2.50%, 12/1/2049 | | | 350,269 | | | | 357,382 | |
| | |
FNMA UMBS, 15 Year | | | | | | | | |
| | |
Pool # AC3256, 4.50%, 9/1/2024 | | | 52,859 | | | | 55,337 | |
| | |
Pool # AC8711, 4.00%, 12/1/2024 | | | 63,539 | | | | 66,898 | |
| | |
Pool # AC7007, 4.50%, 1/1/2025 | | | 70,594 | | | | 74,122 | |
| | |
Pool # AL9580, 4.00%, 3/1/2025 | | | 46,906 | | | | 49,386 | |
| | |
Pool # 932724, 4.00%, 4/1/2025 | | | 19,233 | | | | 20,255 | |
| | |
Pool # AE0971, 4.00%, 5/1/2025 | | | 93,818 | | | | 98,777 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 124 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # AH4450, 3.00%, 1/1/2026 | | | 48,778 | | | | 50,540 | |
| | |
Pool # AE0939, 3.50%, 2/1/2026 | | | 106,987 | | | | 112,329 | |
| | |
Pool # AL3042, 4.50%, 3/1/2026 | | | 27,013 | | | | 28,253 | |
| | |
Pool # BM5713, 4.50%, 1/1/2027 | | | 329,692 | | | | 343,997 | |
| | |
Pool # AK4047, 3.00%, 2/1/2027 | | | 45,897 | | | | 47,559 | |
| | |
Pool # AL4586, 4.00%, 2/1/2027 | | | 111,591 | | | | 117,525 | |
| | |
Pool # AB5095, 3.00%, 5/1/2027 | | | 40,511 | | | | 42,096 | |
| | |
Pool # AO0527, 3.00%, 5/1/2027 | | | 57,082 | | | | 59,258 | |
| | |
Pool # AO4400, 2.50%, 7/1/2027 | | | 133,581 | | | | 137,439 | |
| | |
Pool # AB5823, 3.50%, 8/1/2027 | | | 202,453 | | | | 212,867 | |
| | |
Pool # AL8138, 4.00%, 9/1/2027 | | | 64,058 | | | | 67,465 | |
| | |
Pool # AB6811, 2.50%, 10/1/2027 | | | 32,155 | | | | 33,083 | |
| | |
Pool # AQ9442, 2.00%, 12/1/2027 | | | 60,584 | | | | 62,050 | |
| | |
Pool # AB8447, 2.50%, 2/1/2028 | | | 56,622 | | | | 58,256 | |
| | |
Pool # AR4180, 2.50%, 2/1/2028 | | | 26,953 | | | | 27,766 | |
| | |
Pool # AL3802, 3.00%, 2/1/2028 | | | 179,905 | | | | 186,557 | |
| | |
Pool # AP6059, 2.00%, 6/1/2028 | | | 26,142 | | | | 26,742 | |
| | |
Pool # BM5381, 3.00%, 6/1/2028 | | | 189,522 | | | | 196,530 | |
| | |
Pool # BM1892, 2.50%, 9/1/2028 | | | 56,980 | | | | 58,639 | |
| | |
Pool # AU6682, 3.00%, 9/1/2028 | | | 33,069 | | | | 34,354 | |
| | |
Pool # AS0761, 3.00%, 10/1/2028 | | | 71,825 | | | | 74,617 | |
| | |
Pool # AU6961, 3.00%, 10/1/2028 | | | 130,789 | | | | 135,874 | |
| | |
Pool # AL6132, 4.50%, 3/1/2029 | | | 51,074 | | | | 53,661 | |
| | |
Pool # FM1105, 2.50%, 6/1/2029 | | | 113,549 | | | | 116,826 | |
| | |
Pool # AS3345, 2.00%, 7/1/2029 | | | 19,346 | | | | 19,791 | |
| | |
Pool # MA2061, 3.00%, 10/1/2029 | | | 144,208 | | | | 149,843 | |
| | |
Pool # AL7205, 3.50%, 12/1/2029 | | | 274,708 | | | | 288,679 | |
| | |
Pool # BM4202, 3.50%, 12/1/2029 | | | 166,041 | | | | 174,486 | |
| | |
Pool # FM1465, 3.00%, 5/1/2030 | | | 322,953 | | | | 336,379 | |
| | |
Pool # 890666, 2.00%, 6/1/2030 | | | 66,658 | | | | 68,190 | |
| | |
Pool # MA2684, 3.00%, 7/1/2031 | | | 247,815 | | | | 257,682 | |
| | |
Pool # AL9418, 3.50%, 8/1/2031 | | | 93,073 | | | | 98,463 | |
| | |
Pool # BD5647, 2.00%, 11/1/2031 | | | 32,768 | | | | 33,471 | |
| | |
Pool # 890776, 3.50%, 11/1/2031 | | | 70,477 | | | | 74,013 | |
| | |
Pool # BM5490, 3.50%, 11/1/2031 | | | 48,534 | | | | 50,968 | |
| | |
Pool # BM4993, 3.50%, 3/1/2032 | | | 111,969 | | | | 117,523 | |
| | |
Pool # BM4741, 3.00%, 4/1/2032 | | | 35,500 | | | | 36,880 | |
| | |
Pool # BE8694, 3.50%, 7/1/2032 | | | 86,869 | | | | 91,953 | |
| | |
Pool # MA3124, 2.50%, 9/1/2032 | | | 108,121 | | | | 111,386 | |
| | |
Pool # CA0775, 2.50%, 11/1/2032 | | | 62,823 | | | | 64,810 | |
| | |
Pool # MA3188, 3.00%, 11/1/2032 | | | 61,958 | | | | 64,440 | |
| | |
Pool # BH7081, 2.50%, 12/1/2032 | | | 114,013 | | | | 117,456 | |
| | |
Pool # BH8720, 3.50%, 12/1/2032 | | | 68,602 | | | | 72,758 | |
| | |
Pool # FM1161, 2.50%, 1/1/2033 | | | 91,844 | | | | 94,824 | |
| | |
Pool # FM1691, 2.50%, 1/1/2033 | | | 39,249 | | | | 40,417 | |
| | |
Pool # MA3353, 4.00%, 4/1/2033 | | | 55,542 | | | | 58,424 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # BM5716, 4.00%, 6/1/2033 | | | 221,519 | | | | 234,737 | |
| | |
Pool # MA3393, 4.00%, 6/1/2033 | | | 357,973 | | | | 376,631 | |
| | |
Pool # FM1123, 4.00%, 9/1/2033 | | | 365,514 | | | | 388,336 | |
| | |
Pool # FM2153, 4.00%, 11/1/2033 | | | 356,352 | | | | 375,190 | |
| | |
Pool # MA3547, 3.00%, 12/1/2033 | | | 26,519 | | | | 27,503 | |
| | |
Pool # BD9105, 4.00%, 1/1/2034 | | | 133,632 | | | | 141,767 | |
| | |
Pool # BM5306, 4.00%, 1/1/2034 | | | 17,936 | | | | 19,108 | |
| | |
Pool # FM1842, 3.50%, 6/1/2034 | | | 628,654 | | | | 660,033 | |
| | |
Pool # MA3764, 2.50%, 9/1/2034 | | | 37,573 | | | | 38,602 | |
| | |
Pool # MA3910, 2.00%, 1/1/2035 | | | 54,390 | | | | 55,182 | |
| | |
FNMA UMBS, 20 Year | | | | | | | | |
| | |
Pool # AE6799, 4.50%, 11/1/2030 | | | 99,936 | | | | 108,075 | |
| | |
Pool # AL4165, 4.50%, 1/1/2031 | | | 24,243 | | | | 26,218 | |
| | |
Pool # MA0885, 3.50%, 10/1/2031 | | | 70,236 | | | | 74,319 | |
| | |
Pool # AL6159, 4.50%, 1/1/2032 | | | 104,677 | | | | 113,203 | |
| | |
Pool # AB4853, 3.00%, 4/1/2032 | | | 69,364 | | | | 72,566 | |
| | |
Pool # MA1058, 3.00%, 5/1/2032 | | | 28,781 | | | | 30,110 | |
| | |
Pool # MA1314, 2.50%, 1/1/2033 | | | 38,471 | | | | 39,630 | |
| | |
Pool # AL5145, 4.00%, 10/1/2033 | | | 100,472 | | | | 108,438 | |
| | |
Pool # AS0901, 4.00%, 11/1/2033 | | | 28,198 | | | | 30,434 | |
| | |
Pool # MA2079, 4.00%, 11/1/2034 | | | 33,779 | | | | 36,425 | |
| | |
Pool # AL8620, 3.00%, 2/1/2035 | | | 47,364 | | | | 49,560 | |
| | |
Pool # AS4442, 3.00%, 2/1/2035 | | | 147,661 | | | | 154,508 | |
| | |
Pool # MA2287, 3.00%, 6/1/2035 | | | 90,161 | | | | 94,359 | |
| | |
Pool # AL6970, 3.50%, 7/1/2035 | | | 64,058 | | | | 67,708 | |
| | |
Pool # AL7654, 3.00%, 9/1/2035 | | | 157,785 | | | | 165,132 | |
| | |
Pool # MA2508, 4.00%, 1/1/2036 | | | 123,243 | | | | 132,814 | |
| | |
Pool # FM1133, 4.00%, 6/1/2036 | | | 73,036 | | | | 78,758 | |
| | |
Pool # MA3099, 4.00%, 8/1/2037 | | | 269,342 | | | | 286,108 | |
| | |
Pool # BM5330, 2.50%, 12/1/2037 | | | 119,489 | | | | 123,547 | |
| | |
Pool # MA3215, 3.50%, 12/1/2037 | | | 22,878 | | | | 24,097 | |
| | |
Pool # MA3519, 4.00%, 11/1/2038 | | | 51,917 | | | | 55,115 | |
| | |
Pool # MA3660, 3.50%, 5/1/2039 | | | 31,414 | | | | 32,934 | |
| | |
Pool # MA3702, 3.00%, 6/1/2039 | | | 16,904 | | | | 17,565 | |
| | |
Pool # MA3683, 3.50%, 6/1/2039 | | | 117,697 | | | | 123,398 | |
| | |
Pool # FM1295, 3.50%, 8/1/2039 | | | 73,067 | | | | 76,669 | |
| | |
Pool # MA3800, 3.00%, 10/1/2039 | | | 122,417 | | | | 127,202 | |
| | |
FNMA UMBS, 30 Year | | | | | | | | |
| | |
Pool # 254447, 6.00%, 9/1/2032 | | | 42,803 | | | | 49,642 | |
| | |
Pool # 711215, 5.50%, 6/1/2033 | | | 29,629 | | | | 33,780 | |
| | |
Pool # AA1005, 5.00%, 12/1/2033 | | | 23,852 | | | | 26,728 | |
| | |
Pool # 725232, 5.00%, 3/1/2034 | | | 20,254 | | | | 22,696 | |
| | |
Pool # 790003, 6.00%, 8/1/2034 | | | 23,748 | | | | 28,012 | |
| | |
Pool # 735503, 6.00%, 4/1/2035 | | | 70,518 | | | | 82,773 | |
| | |
Pool # 190360, 5.00%, 8/1/2035 | | | 57,351 | | | | 64,666 | |
| | |
Pool # 904601, 6.00%, 11/1/2036 | | | 68,823 | | | | 81,790 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 125 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # 888538, 5.50%, 1/1/2037 | | | 40,217 | | | | 45,832 | |
| | |
Pool # AB0284, 6.00%, 2/1/2037 | | | 78,446 | | | | 92,835 | |
| | |
Pool # AL2627, 5.00%, 7/1/2037 | | | 37,567 | | | | 42,096 | |
| | |
Pool # 956965, 6.50%, 12/1/2037 | | | 21,991 | | | | 24,679 | |
| | |
Pool # BH7907, 6.50%, 12/1/2037 | | | 30,053 | | | | 36,202 | |
| | |
Pool # 961793, 5.00%, 3/1/2038 | | | 150,000 | | | | 168,858 | |
| | |
Pool # 985661, 5.50%, 6/1/2038 | | | 24,850 | | | | 28,308 | |
| | |
Pool # AU7519, 3.50%, 9/1/2038 | | | 70,394 | | | | 74,883 | |
| | |
Pool # AA7402, 4.50%, 6/1/2039 | | | 224,301 | | | | 248,209 | |
| | |
Pool # BC1637, 5.00%, 6/1/2039 | | | 86,560 | | | | 97,420 | |
| | |
Pool # AL0100, 6.00%, 10/1/2039 | | | 97,678 | | | | 115,501 | |
| | |
Pool # AC4886, 5.00%, 11/1/2039 | | | 54,265 | | | | 61,126 | |
| | |
Pool # 190399, 5.50%, 11/1/2039 | | | 167,857 | | | | 191,213 | |
| | |
Pool # AD0700, 5.50%, 1/1/2040 | | | 93,102 | | | | 106,044 | |
| | |
Pool # AS4787, 3.00%, 4/1/2040 | | | 373,495 | | | | 390,427 | |
| | |
Pool # AB1143, 4.50%, 6/1/2040 | | | 160,840 | | | | 177,392 | |
| | |
Pool # AD6938, 4.50%, 6/1/2040 | | | 218,676 | | | | 241,181 | |
| | |
Pool # AD5479, 5.00%, 6/1/2040 | | | 60,693 | | | | 68,431 | |
| | |
Pool # AB1259, 5.00%, 7/1/2040 | | | 79,055 | | | | 89,133 | |
| | |
Pool # AB1292, 5.00%, 8/1/2040 | | | 44,501 | | | | 50,174 | |
| | |
Pool # AB1421, 5.00%, 9/1/2040 | | | 75,259 | | | | 84,854 | |
| | |
Pool # AE4142, 5.00%, 9/1/2040 | | | 59,293 | | | | 66,852 | |
| | |
Pool # MA0622, 3.50%, 1/1/2041 | | | 68,553 | | | | 73,108 | |
| | |
Pool # AH2312, 5.00%, 1/1/2041 | | | 128,796 | | | | 145,215 | |
| | |
Pool # AE0828, 3.50%, 2/1/2041 | | | 47,311 | | | | 50,455 | |
| | |
Pool # BM3090, 3.50%, 2/1/2041 | | | 387,783 | | | | 410,194 | |
| | |
Pool # AH3804, 4.00%, 2/1/2041 | | | 49,087 | | | | 53,354 | |
| | |
Pool # AB2676, 3.50%, 4/1/2041 | | | 184,410 | | | | 196,700 | |
| | |
Pool # AL0241, 4.00%, 4/1/2041 | | | 121,542 | | | | 132,107 | |
| | |
Pool # BM3118, 6.00%, 7/1/2041 | | | 149,954 | | | | 177,782 | |
| | |
Pool # AJ2293, 4.00%, 9/1/2041 | | | 49,427 | | | | 53,723 | |
| | |
Pool # AW8154, 3.50%, 1/1/2042 | | | 44,856 | | | | 47,845 | |
| | |
Pool # BD4480, 4.50%, 1/1/2042 | | | 509,806 | | | | 562,736 | |
| | |
Pool # AK2386, 3.50%, 2/1/2042 | | | 75,380 | | | | 80,404 | |
| | |
Pool # AK7028, 4.00%, 4/1/2042 | | | 156,901 | | | | 170,885 | |
| | |
Pool # AO4134, 3.50%, 6/1/2042 | | | 26,320 | | | | 28,042 | |
| | |
Pool # AO9140, 3.50%, 7/1/2042 | | | 108,722 | | | | 115,836 | |
| | |
Pool # AL4244, 4.00%, 7/1/2042 | | | 49,075 | | | | 53,953 | |
| | |
Pool # AO8694, 4.50%, 7/1/2042 | | | 39,008 | | | | 42,270 | |
| | |
Pool # AO9798, 3.50%, 8/1/2042 | | | 61,592 | | | | 65,622 | |
| | |
Pool # AP3958, 3.00%, 9/1/2042 | | | 677,117 | | | | 710,362 | |
| | |
Pool # AP6347, 4.00%, 9/1/2042 | | | 117,748 | | | | 130,819 | |
| | |
Pool # AB6632, 3.50%, 10/1/2042 | | | 307,580 | | | | 327,707 | |
| | |
Pool # AB6633, 3.50%, 10/1/2042 | | | 59,344 | | | | 63,227 | |
| | |
Pool # AB6828, 3.50%, 11/1/2042 | | | 246,026 | | | | 262,125 | |
| | |
Pool # AL3182, 3.50%, 12/1/2042 | | | 33,520 | | | | 36,075 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # AB7580, 3.00%, 1/1/2043 | | | 341,418 | | | | 358,181 | |
| | |
Pool # AQ1104, 3.00%, 1/1/2043 | | | 62,436 | | | | 65,511 | |
| | |
Pool # AR4239, 3.00%, 2/1/2043 | | | 71,354 | | | | 74,865 | |
| | |
Pool # AB7964, 3.50%, 2/1/2043 | | | 118,502 | | | | 128,661 | |
| | |
Pool # AR2315, 3.50%, 2/1/2043 | | | 105,214 | | | | 111,059 | |
| | |
Pool # BM4751, 3.50%, 3/1/2043 | | | 69,523 | | | | 74,072 | |
| | |
Pool # AB8742, 4.00%, 3/1/2043 | | | 27,938 | | | | 31,114 | |
| | |
Pool # AR6770, 4.00%, 3/1/2043 | | | 29,904 | | | | 32,585 | |
| | |
Pool # AT2015, 3.00%, 4/1/2043 | | | 79,261 | | | | 83,161 | |
| | |
Pool # AT2016, 3.00%, 4/1/2043 | | | 1,219,383 | | | | 1,279,392 | |
| | |
Pool # AR8293, 3.00%, 5/1/2043 | | | 549,428 | | | | 576,467 | |
| | |
Pool # AT2723, 3.00%, 5/1/2043 | | | 125,411 | | | | 131,583 | |
| | |
Pool # AB9194, 3.50%, 5/1/2043 | | | 238,132 | | | | 253,592 | |
| | |
Pool # AT8912, 3.00%, 7/1/2043 | | | 91,894 | | | | 96,416 | |
| | |
Pool # AU1629, 3.00%, 7/1/2043 | | | 185,344 | | | | 194,466 | |
| | |
Pool # BM3785, 3.50%, 7/1/2043 | | | 233,408 | | | | 250,121 | |
| | |
Pool # AS0201, 3.00%, 8/1/2043 | | | 139,102 | | | | 147,190 | |
| | |
Pool # AU3735, 3.00%, 8/1/2043 | | | 262,160 | | | | 275,061 | |
| | |
Pool # BM3704, 3.00%, 9/1/2043 | | | 78,750 | | | | 82,625 | |
| | |
Pool # AT2612, 3.50%, 9/1/2043 | | | 175,121 | | | | 186,286 | |
| | |
Pool # AU4256, 3.50%, 9/1/2043 | | | 60,237 | | | | 64,148 | |
| | |
Pool # AU4283, 3.50%, 9/1/2043 | | | 38,263 | | | | 41,065 | |
| | |
Pool # AL4062, 4.00%, 9/1/2043 | | | 56,747 | | | | 62,599 | |
| | |
Pool # AS0560, 4.50%, 9/1/2043 | | | 38,469 | | | | 42,399 | |
| | |
Pool # BM4635, 2.50%, 10/1/2043 | | | 306,755 | | | | 316,754 | |
| | |
Pool # 890565, 3.00%, 11/1/2043 | | | 281,689 | | | | 295,519 | |
| | |
Pool # AS1121, 4.00%, 11/1/2043 | | | 109,419 | | | | 118,674 | |
| | |
Pool # AL7696, 3.00%, 12/1/2043 | | | 123,493 | | | | 129,571 | |
| | |
Pool # AS1557, 4.00%, 1/1/2044 | | | 110,225 | | | | 119,549 | |
| | |
Pool # BC1737, 4.00%, 1/1/2044 | | | 198,944 | | | | 216,236 | |
| | |
Pool # BM5365, 4.00%, 3/1/2044 | | | 164,539 | | | | 178,841 | |
| | |
Pool # FM1744, 3.50%, 5/1/2044 | | | 54,244 | | | | 58,895 | |
| | |
Pool # AS2700, 4.00%, 6/1/2044 | | | 100,526 | | | | 109,531 | |
| | |
Pool # AS2947, 4.00%, 7/1/2044 | | | 99,305 | | | | 107,500 | |
| | |
Pool # AL9072, 5.00%, 7/1/2044 | | | 151,128 | | | | 170,388 | |
| | |
Pool # AS3133, 3.50%, 8/1/2044 | | | 46,678 | | | | 50,084 | |
| | |
Pool # AL9569, 5.00%, 8/1/2044 | | | 351,368 | | | | 396,147 | |
| | |
Pool # AX0152, 4.50%, 9/1/2044 | | | 48,786 | | | | 53,097 | |
| | |
Pool # BM4620, 3.00%, 10/1/2044 | | | 195,306 | | | | 204,895 | |
| | |
Pool # AS3611, 3.50%, 10/1/2044 | | | 30,006 | | | | 32,196 | |
| | |
Pool # AX3072, 3.50%, 10/1/2044 | | | 78,376 | | | | 83,445 | |
| | |
Pool # AS3470, 4.00%, 10/1/2044 | | | 57,044 | | | | 61,482 | |
| | |
Pool # AX2491, 4.00%, 10/1/2044 | | | 21,023 | | | | 22,659 | |
| | |
Pool # AS3710, 4.00%, 11/1/2044 | | | 65,669 | | | | 71,088 | |
| | |
Pool # AS3867, 4.00%, 11/1/2044 | | | 28,807 | | | | 31,184 | |
| | |
Pool # AX4855, 4.00%, 11/1/2044 | | | 174,980 | | | | 188,592 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 126 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # AS3992, 3.00%, 12/1/2044 | | | 23,454 | | | | 24,717 | |
| | |
Pool # AS3935, 3.50%, 12/1/2044 | | | 1,001,931 | | | | 1,075,044 | |
| | |
Pool # AS4012, 3.50%, 12/1/2044 | | | 134,873 | | | | 144,178 | |
| | |
Pool # FM1746, 3.50%, 1/1/2045 | | | 182,146 | | | | 196,949 | |
| | |
Pool # BM5171, 4.00%, 1/1/2045 | | | 113,337 | | | | 123,186 | |
| | |
Pool # AS4402, 3.50%, 2/1/2045 | | | 128,347 | | | | 138,197 | |
| | |
Pool # AS4457, 3.50%, 2/1/2045 | | | 339,276 | | | | 359,258 | |
| | |
Pool # AX7699, 3.50%, 2/1/2045 | | | 102,063 | | | | 108,074 | |
| | |
Pool # AY3671, 3.50%, 2/1/2045 | | | 109,626 | | | | 119,245 | |
| | |
Pool # FM0015, 4.00%, 2/1/2045 | | | 189,585 | | | | 208,722 | |
| | |
Pool # MA2193, 4.50%, 2/1/2045 | | | 48,463 | | | | 53,363 | |
| | |
Pool # AS4541, 3.00%, 3/1/2045 | | | 147,752 | | | | 155,704 | |
| | |
Pool # AZ1682, 3.50%, 4/1/2045 | | | 59,719 | | | | 63,171 | |
| | |
Pool # BM3398, 3.50%, 4/1/2045 | | | 26,277 | | | | 28,013 | |
| | |
Pool # AY8617, 3.00%, 5/1/2045 | | | 30,134 | | | | 31,500 | |
| | |
Pool # BM5471, 3.50%, 6/1/2045 | | | 633,749 | | | | 680,171 | |
| | |
Pool # AZ5985, 3.00%, 7/1/2045 | | | 178,158 | | | | 188,506 | |
| | |
Pool # AZ1803, 4.50%, 7/1/2045 | | | 148,747 | | | | 163,274 | |
| | |
Pool # AS5570, 3.50%, 8/1/2045 | | | 134,726 | | | | 142,512 | |
| | |
Pool # AS5806, 3.00%, 9/1/2045 | | | 346,202 | | | | 361,897 | |
| | |
Pool # AS5778, 3.50%, 9/1/2045 | | | 46,911 | | | | 49,622 | |
| | |
Pool # AZ2947, 4.00%, 9/1/2045 | | | 51,428 | | | | 55,383 | |
| | |
Pool # AS5851, 4.50%, 9/1/2045 | | | 40,441 | | | | 44,391 | |
| | |
Pool # AY8859, 4.00%, 10/1/2045 | | | 517,357 | | | | 557,146 | |
| | |
Pool # BM5753, 4.00%, 10/1/2045 | | | 157,755 | | | | 174,006 | |
| | |
Pool # AS6184, 3.50%, 11/1/2045 | | | 274,935 | | | | 297,804 | |
| | |
Pool # AS6196, 3.50%, 11/1/2045 | | | 62,300 | | | | 65,901 | |
| | |
Pool # FM1869, 4.00%, 11/1/2045 | | | 168,886 | | | | 182,024 | |
| | |
Pool # FM1708, 3.00%, 12/1/2045 | | | 71,813 | | | | 75,601 | |
| | |
Pool # BA3077, 3.50%, 12/1/2045 | | | 49,961 | | | | 53,196 | |
| | |
Pool # BC0066, 3.50%, 12/1/2045 | | | 49,647 | | | | 52,516 | |
| | |
Pool # BC0676, 3.50%, 12/1/2045 | | | 99,803 | | | | 105,571 | |
| | |
Pool # FM1923, 3.50%, 1/1/2046 | | | 114,241 | | | | 120,843 | |
| | |
Pool # MA2512, 4.00%, 1/1/2046 | | | 46,676 | | | | 50,266 | |
| | |
Pool # AS6654, 3.50%, 2/1/2046 | | | 44,801 | | | | 47,390 | |
| | |
Pool # AS6613, 4.00%, 2/1/2046 | | | 108,343 | | | | 116,675 | |
| | |
Pool # AL9128, 4.50%, 2/1/2046 | | | 48,907 | | | | 53,985 | |
| | |
Pool # AS6811, 3.00%, 3/1/2046 | | | 97,074 | | | | 101,328 | |
| | |
Pool # BM4834, 3.00%, 3/1/2046 | | | 50,417 | | | | 53,213 | |
| | |
Pool # BA4101, 3.50%, 3/1/2046 | | | 239,747 | | | | 255,099 | |
| | |
Pool # AS6795, 4.00%, 3/1/2046 | | | 76,275 | | | | 81,591 | |
| | |
Pool # BC2042, 4.00%, 3/1/2046 | | | 69,328 | | | | 74,160 | |
| | |
Pool # FM1782, 4.00%, 3/1/2046 | | | 28,450 | | | | 30,798 | |
| | |
Pool # FM2195, 4.00%, 3/1/2046 | | | 79,869 | | | | 86,810 | |
| | |
Pool # AS7003, 3.00%, 4/1/2046 | | | 117,054 | | | | 122,183 | |
| | |
Pool # FM1224, 3.50%, 4/1/2046 | | | 306,384 | | | | 322,599 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # BC1863, 2.50%, 5/1/2046 | | | 148,797 | | | | 153,661 | |
| | |
Pool # AS7182, 4.00%, 5/1/2046 | | | 164,265 | | | | 177,672 | |
| | |
Pool # AL8936, 4.50%, 5/1/2046 | | | 37,667 | | | | 41,476 | |
| | |
Pool # AS7198, 4.50%, 5/1/2046 | | | 278,678 | | | | 306,250 | |
| | |
Pool # BD0166, 2.50%, 6/1/2046 | | | 337,627 | | | | 348,666 | |
| | |
Pool # BM5168, 2.50%, 6/1/2046 | | | 48,902 | | | | 50,614 | |
| | |
Pool # AS7343, 3.00%, 6/1/2046 | | | 389,667 | | | | 406,742 | |
| | |
Pool # AS7376, 3.00%, 6/1/2046 | | | 633,147 | | | | 660,891 | |
| | |
Pool # AS7386, 3.50%, 6/1/2046 | | | 41,085 | | | | 43,259 | |
| | |
Pool # BM5587, 4.00%, 6/1/2046 | | | 116,239 | | | | 126,071 | |
| | |
Pool # AL9385, 3.00%, 11/1/2046 | | | 105,193 | | | | 110,414 | |
| | |
Pool # MA2806, 3.00%, 11/1/2046 | | | 461,843 | | | | 482,081 | |
| | |
Pool # BM3288, 3.50%, 12/1/2046 | | | 49,760 | | | | 52,946 | |
| | |
Pool # BM4990, 2.50%, 1/1/2047 | | | 23,054 | | | | 23,805 | |
| | |
Pool # 890856, 3.50%, 1/1/2047 | | | 263,620 | | | | 282,253 | |
| | |
Pool # AS8695, 4.00%, 1/1/2047 | | | 77,366 | | | | 84,814 | |
| | |
Pool # BM4031, 3.50%, 2/1/2047 | | | 162,919 | | | | 173,496 | |
| | |
Pool # AS8823, 4.00%, 2/1/2047 | | | 167,009 | | | | 178,649 | |
| | |
Pool # BM5955, 4.00%, 2/1/2047 | | | 87,200 | | | | 94,396 | |
| | |
Pool # BM5270, 4.50%, 2/1/2047 | | | 42,403 | | | | 46,805 | |
| | |
Pool # MA2920, 3.00%, 3/1/2047 | | | 19,526 | | | | 20,382 | |
| | |
Pool # AS8966, 4.00%, 3/1/2047 | | | 170,794 | | | | 182,167 | |
| | |
Pool # AS9313, 4.00%, 3/1/2047 | | | 45,902 | | | | 49,614 | |
| | |
Pool # FM1511, 3.00%, 4/1/2047 | | | 239,434 | | | | 250,288 | |
| | |
Pool # AS9480, 4.50%, 4/1/2047 | | | 90,883 | | | | 100,306 | |
| | |
Pool # BM5220, 3.50%, 5/1/2047 | | | 78,983 | | | | 83,163 | |
| | |
Pool # FM1772, 4.50%, 5/1/2047 | | | 38,813 | | | | 42,843 | |
| | |
Pool # AS9946, 3.50%, 7/1/2047 | | | 120,660 | | | | 128,321 | |
| | |
Pool # BM1568, 3.50%, 7/1/2047 | | | 119,880 | | | | 130,411 | |
| | |
Pool # AS9988, 4.50%, 7/1/2047 | | | 81,058 | | | | 87,682 | |
| | |
Pool # BH7375, 3.50%, 8/1/2047 | | | 199,238 | | | | 209,546 | |
| | |
Pool # CA0110, 3.50%, 8/1/2047 | | | 52,308 | | | | 55,014 | |
| | |
Pool # BM1785, 4.00%, 8/1/2047 | | | 129,997 | | | | 141,634 | |
| | |
Pool # CA0553, 4.00%, 8/1/2047 | | | 261,158 | | | | 278,548 | |
| | |
Pool # CA0148, 4.50%, 8/1/2047 | | | 67,865 | | | | 73,411 | |
| | |
Pool # CA0850, 3.00%, 9/1/2047 | | | 134,831 | | | | 140,042 | |
| | |
Pool # MA3147, 3.00%, 10/1/2047 | | | 148,710 | | | | 154,458 | |
| | |
Pool # BH9394, 3.50%, 10/1/2047 | | | 259,087 | | | | 273,123 | |
| | |
Pool # BH9392, 3.50%, 11/1/2047 | | | 67,700 | | | | 70,892 | |
| | |
Pool # CA0681, 3.50%, 11/1/2047 | | | 829,619 | | | | 896,850 | |
| | |
Pool # FM0028, 3.00%, 12/1/2047 | | | 86,401 | | | | 91,052 | |
| | |
Pool # MA3209, 3.00%, 12/1/2047 | | | 940,313 | | | | 976,659 | |
| | |
Pool # FM1420, 3.50%, 12/1/2047 | | | 490,223 | | | | 526,037 | |
| | |
Pool # MA3210, 3.50%, 12/1/2047 | | | 432,278 | | | | 454,643 | |
| | |
Pool # BJ5376, 4.50%, 12/1/2047 | | | 112,626 | | | | 122,506 | |
| | |
Pool # CA4015, 3.00%, 1/1/2048 | | | 27,713 | | | | 28,784 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 127 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # MA3237, 3.00%, 1/1/2048 | | | 786,979 | | | | 817,397 | |
| | |
Pool # MA3238, 3.50%, 1/1/2048 | | | 111,506 | | | | 117,275 | |
| | |
Pool # BM3475, 4.00%, 1/1/2048 | | | 59,783 | | | | 65,781 | |
| | |
Pool # FM1022, 3.00%, 2/1/2048 | | | 161,813 | | | | 168,903 | |
| | |
Pool # BJ5910, 3.50%, 2/1/2048 | | | 289,688 | | | | 314,452 | |
| | |
Pool # CA4155, 3.50%, 2/1/2048 | | | 57,986 | | | | 60,986 | |
| | |
Pool # MA3276, 3.50%, 2/1/2048 | | | 208,803 | | | | 219,605 | |
| | |
Pool # CA1194, 4.00%, 2/1/2048 | | | 262,150 | | | | 287,108 | |
| | |
Pool # MA3304, 3.00%, 3/1/2048 | | | 146,110 | | | | 151,757 | |
| | |
Pool # BM3990, 4.00%, 3/1/2048 | | | 57,746 | | | | 61,591 | |
| | |
Pool # FM1936, 4.00%, 4/1/2048 | | | 159,087 | | | | 169,680 | |
| | |
Pool # CA2687, 3.00%, 5/1/2048 | | | 44,479 | | | | 46,825 | |
| | |
Pool # FM2177, 3.50%, 5/1/2048 | | | 1,399,622 | | | | 1,489,242 | |
| | |
Pool # BM4054, 4.00%, 5/1/2048 | | | 207,940 | | | | 224,594 | |
| | |
Pool # MA3425, 3.00%, 6/1/2048 | | | 113,751 | | | | 117,349 | |
| | |
Pool # BM4757, 3.50%, 7/1/2048 | | | 136,418 | | | | 143,637 | |
| | |
Pool # FM1911, 3.50%, 7/1/2048 | | | 271,101 | | | | 286,769 | |
| | |
Pool # MA3415, 4.00%, 7/1/2048 | | | 108,378 | | | | 114,403 | |
| | |
Pool # MA3443, 4.00%, 8/1/2048 | | | 74,555 | | | | 78,700 | |
| | |
Pool # BK4769, 5.00%, 8/1/2048 | | | 38,674 | | | | 42,014 | |
| | |
Pool # FM1572, 3.00%, 9/1/2048 | | | 268,362 | | | | 280,122 | |
| | |
Pool # BM2007, 4.00%, 9/1/2048 | | | 24,306 | | | | 25,657 | |
| | |
Pool # CA2368, 4.00%, 9/1/2048 | | | 122,983 | | | | 132,712 | |
| | |
Pool # FM1247, 4.00%, 9/1/2048 | | | 73,394 | | | | 78,281 | |
| | |
Pool # MA3472, 5.00%, 9/1/2048 | | | 43,148 | | | | 46,716 | |
| | |
Pool # CA4655, 3.50%, 10/1/2048 | | | 202,938 | | | | 215,822 | |
| | |
Pool # MA3495, 4.00%, 10/1/2048 | | | 179,072 | | | | 189,052 | |
| | |
Pool # BM4678, 4.00%, 11/1/2048 | | | 428,844 | | | | 462,769 | |
| | |
Pool # MA3521, 4.00%, 11/1/2048 | | | 353,030 | | | | 372,706 | |
| | |
Pool # FM1248, 4.50%, 11/1/2048 | | | 85,281 | | | | 92,250 | |
| | |
Pool # FM2275, 4.50%, 11/1/2048 | | | 74,472 | | | | 81,841 | |
| | |
Pool # MA3536, 4.00%, 12/1/2048 | | | 237,871 | | | | 251,095 | |
| | |
Pool # MA3577, 3.00%, 1/1/2049 | | | 67,386 | | | | 69,517 | |
| | |
Pool # BN3943, 4.00%, 1/1/2049 | | | 484,693 | | | | 526,729 | |
| | |
Pool # FM0030, 3.00%, 2/1/2049 | | | 135,808 | | | | 141,759 | |
| | |
Pool # FM1527, 3.00%, 2/1/2049 | | | 228,486 | | | | 238,499 | |
| | |
Pool # MA3603, 3.00%, 2/1/2049 | | | 31,257 | | | | 32,245 | |
| | |
Pool # BM5446, 3.50%, 2/1/2049 | | | 46,275 | | | | 48,236 | |
| | |
Pool # MA3592, 4.00%, 2/1/2049 | | | 14,083 | | | | 14,866 | |
| | |
Pool # MA3593, 4.50%, 2/1/2049 | | | 284,638 | | | | 304,828 | |
| | |
Pool # BN4380, 3.00%, 3/1/2049 | | | 44,496 | | | | 45,908 | |
| | |
Pool # MA3614, 3.50%, 3/1/2049 | | | 27,462 | | | | 28,536 | |
| | |
Pool # FM0017, 4.00%, 3/1/2049 | | | 192,994 | | | | 203,723 | |
| | |
Pool # MA3637, 3.50%, 4/1/2049 | | | 121,455 | | | | 126,203 | |
| | |
Pool # MA3638, 4.00%, 4/1/2049 | | | 99,761 | | | | 105,502 | |
| | |
Pool # BN5418, 4.50%, 4/1/2049 | | | 55,202 | | | | 60,618 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # MA3639, 4.50%, 4/1/2049 | | | 21,707 | | | | 23,169 | |
| | |
Pool # MA3664, 4.00%, 5/1/2049 | | | 53,060 | | | | 56,113 | |
| | |
Pool # MA3665, 4.50%, 5/1/2049 | | | 68,178 | | | | 72,770 | |
| | |
Pool # CA3528, 5.00%, 5/1/2049 | | | 43,172 | | | | 47,117 | |
| | |
Pool # MA3686, 3.50%, 6/1/2049 | | | 690,041 | | | | 717,020 | |
| | |
Pool # MA3687, 4.00%, 6/1/2049 | | | 563,561 | | | | 595,990 | |
| | |
Pool # FM1389, 4.50%, 6/1/2049 | | | 34,864 | | | | 37,220 | |
| | |
Pool # MA3688, 4.50%, 6/1/2049 | | | 19,212 | | | | 20,506 | |
| | |
Pool # FM1198, 3.00%, 7/1/2049 | | | 96,863 | | | | 100,752 | |
| | |
Pool # BO1169, 3.50%, 7/1/2049 | | | 215,119 | | | | 223,529 | |
| | |
Pool # CA4358, 3.50%, 7/1/2049 | | | 80,196 | | | | 83,332 | |
| | |
Pool # MA3692, 3.50%, 7/1/2049 | | | 174,166 | | | | 180,976 | |
| | |
Pool # BO1766, 4.50%, 7/1/2049 | | | 258,391 | | | | 275,795 | |
| | |
Pool # FM1672, 4.50%, 7/1/2049 | | | 253,363 | | | | 279,668 | |
| | |
Pool # FM1241, 3.50%, 8/1/2049 | | | 161,532 | | | | 171,330 | |
| | |
Pool # BN7677, 4.00%, 8/1/2049 | | | 216,626 | | | | 229,091 | |
| | |
Pool # MA3746, 4.00%, 8/1/2049 | | | 72,935 | | | | 77,131 | |
| | |
Pool # MA3747, 4.50%, 8/1/2049 | | | 40,960 | | | | 43,719 | |
| | |
Pool # BO4012, 3.00%, 9/1/2049 | | | 166,293 | | | | 174,500 | |
| | |
Pool # MA3774, 3.00%, 9/1/2049 | | | 1,477,429 | | | | 1,524,295 | |
| | |
Pool # BO2200, 3.50%, 9/1/2049 | | | 632,194 | | | | 656,912 | |
| | |
Pool # MA3775, 3.50%, 9/1/2049 | | | 47,770 | | | | 49,638 | |
| | |
Pool # MA3803, 3.50%, 10/1/2049 | | | 223,299 | | | | 232,029 | |
| | |
Pool # MA3818, 5.00%, 10/1/2049 | | | 56,045 | | | | 60,871 | |
| | |
Pool # MA3833, 2.50%, 11/1/2049 | | | 427,500 | | | | 436,181 | |
| | |
Pool # BO5325, 3.00%, 11/1/2049 | | | 190,354 | | | | 196,281 | |
| | |
Pool # MA3905, 3.00%, 1/1/2050 | | | 3,394,323 | | | | 3,501,994 | |
| | |
Pool # MA3936, 2.50%, 2/1/2050 | | | 449,899 | | | | 459,034 | |
| |
GNMA I, 30 Year | | | | | |
| | |
Pool # 726769, 5.00%, 9/15/2039 | | | 33,726 | | | | 36,750 | |
| | |
Pool # 721340, 5.00%, 12/15/2039 | | | 51,997 | | | | 55,595 | |
| | |
Pool # 754439, 3.50%, 12/15/2041 | | | 231,335 | | | | 246,136 | |
| | |
Pool # 711674, 3.00%, 9/15/2042 | | | 66,250 | | | | 69,574 | |
| | |
Pool # AD7257, 3.50%, 3/15/2043 | | | 209,372 | | | | 225,666 | |
| | |
Pool # 783748, 3.50%, 4/15/2043 | | | 121,583 | | | | 129,390 | |
| | |
Pool # 784660, 4.00%, 4/15/2043 | | | 12,628 | | | | 13,563 | |
| | |
Pool # AC2224, 3.50%, 6/15/2043 | | | 112,349 | | | | 119,280 | |
| | |
Pool # AL2280, 3.00%, 3/15/2045 | | | 55,159 | | | | 57,604 | |
| | |
Pool # AL9314, 3.00%, 3/15/2045 | | | 121,197 | | | | 126,570 | |
| | |
Pool # 784664, 4.00%, 4/15/2045 | | | 53,561 | | | | 57,527 | |
| | |
Pool # 670030, 3.00%, 7/15/2045 | | | 96,796 | | | | 101,086 | |
| | |
Pool # AM8960, 4.00%, 7/15/2045 | | | 38,608 | | | | 41,328 | |
| | |
Pool # AO0544, 3.00%, 8/15/2045 | | | 57,651 | | | | 60,206 | |
| | |
Pool # 627030, 3.00%, 12/15/2045 | | | 29,201 | | | | 30,909 | |
| | |
Pool # 784429, 3.00%, 8/15/2046 | | | 177,741 | | | | 186,281 | |
| | |
Pool # BB3198, 4.50%, 7/15/2047 | | | 145,894 | | | | 156,203 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 128 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # 784393, 4.50%, 11/15/2047 | | | 87,826 | | | | 97,379 | |
| | |
Pool # BE0135, 4.50%, 1/15/2048 | | | 187,251 | | | | 200,481 | |
| | |
Pool # BE6231, 3.50%, 2/15/2048 | | | 88,575 | | | | 93,077 | |
| | |
Pool # BF1292, 4.00%, 3/15/2048 | | | 73,692 | | | | 78,253 | |
| | |
Pool # AF8266, 3.50%, 10/15/2048 | | | 98,613 | | | | 107,066 | |
| |
GNMA II, 15 Year | | | | | |
| | |
Pool # MA0513, 2.50%, 11/20/2027 | | | 270,110 | | | | 280,167 | |
| | |
Pool # MA0909, 3.00%, 4/20/2028 | | | 43,233 | | | | 44,906 | |
| | |
Pool # MA4625, 3.50%, 8/20/2032 | | | 59,959 | | | | 62,871 | |
| |
GNMA II, 30 Year | | | | | |
| | |
Pool # 3330, 4.50%, 12/20/2032 | | | 152 | | | | 163 | |
| | |
Pool # 711773, 3.50%, 6/20/2033 | | | 77,002 | | | | 83,568 | |
| | |
Pool # 3459, 5.50%, 10/20/2033 | | | 91,279 | | | | 104,375 | |
| | |
Pool # AQ5932, 3.50%, 1/20/2036 | | | 242,808 | | | | 255,363 | |
| | |
Pool # 4222, 6.00%, 8/20/2038 | | | 21,835 | | | | 25,450 | |
| | |
Pool # 709148, 4.50%, 2/20/2039 | | | 58,288 | | | | 63,849 | |
| | |
Pool # 4446, 4.50%, 5/20/2039 | | | 6,349 | | | | 6,955 | |
| | |
Pool # 4467, 4.00%, 6/20/2039 | | | 28,688 | | | | 30,759 | |
| | |
Pool # 4468, 4.50%, 6/20/2039 | | | 5,918 | | | | 6,482 | |
| | |
Pool # 4494, 4.00%, 7/20/2039 | | | 32,585 | | | | 34,937 | |
| | |
Pool # 4495, 4.50%, 7/20/2039 | | | 25,036 | | | | 27,425 | |
| | |
Pool # 4519, 4.50%, 8/20/2039 | | | 9,457 | | | | 10,359 | |
| | |
Pool # 4558, 4.50%, 10/20/2039 | | | 7,609 | | | | 8,335 | |
| | |
Pool # 4576, 4.00%, 11/20/2039 | | | 13,970 | | | | 14,978 | |
| | |
Pool # 4598, 4.50%, 12/20/2039 | | | 15,186 | | | | 16,635 | |
| | |
Pool # 4617, 4.50%, 1/20/2040 | | | 8,456 | | | | 9,263 | |
| | |
Pool # 4636, 4.50%, 2/20/2040 | | | 11,703 | | | | 12,819 | |
| | |
Pool # 4656, 4.00%, 3/20/2040 | | | 22,506 | | | | 24,404 | |
| | |
Pool # 4677, 4.00%, 4/20/2040 | | | 59,021 | | | | 63,997 | |
| | |
Pool # 4678, 4.50%, 4/20/2040 | | | 2,890 | | | | 3,176 | |
| | |
Pool # 4695, 4.00%, 5/20/2040 | | | 7,210 | | | | 7,817 | |
| | |
Pool # 4696, 4.50%, 5/20/2040 | | | 3,009 | | | | 3,306 | |
| | |
Pool # 4712, 4.00%, 6/20/2040 | | | 10,785 | | | | 11,694 | |
| | |
Pool # 4800, 4.00%, 9/20/2040 | | | 12,334 | | | | 13,374 | |
| | |
Pool # 737727, 4.00%, 12/20/2040 | | | 78,904 | | | | 85,555 | |
| | |
Pool # 4945, 4.00%, 2/20/2041 | | | 24,837 | | | | 26,930 | |
| | |
Pool # 4950, 5.50%, 2/20/2041 | | | 39,370 | | | | 45,638 | |
| | |
Pool # 4976, 3.50%, 3/20/2041 | | | 26,133 | | | | 27,838 | |
| | |
Pool # 4977, 4.00%, 3/20/2041 | | | 45,035 | | | | 48,850 | |
| | |
Pool # 5016, 4.00%, 4/20/2041 | | | 17,202 | | | | 18,660 | |
| | |
Pool # 5054, 4.00%, 5/20/2041 | | | 26,857 | | | | 29,132 | |
| | |
Pool # 5114, 4.00%, 7/20/2041 | | | 3,673 | | | | 3,984 | |
| | |
Pool # 779497, 3.50%, 10/20/2041 | | | 26,097 | | | | 27,800 | |
| | |
Pool # 5233, 4.00%, 11/20/2041 | | | 4,290 | | | | 4,653 | |
| | |
Pool # 5258, 3.50%, 12/20/2041 | | | 261,121 | | | | 278,161 | |
| | |
Pool # 5259, 4.00%, 12/20/2041 | | | 16,368 | | | | 17,755 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # 5279, 3.50%, 1/20/2042 | | | 49,179 | | | | 52,388 | |
| | |
Pool # 5330, 3.00%, 3/20/2042 | | | 31,065 | | | | 32,558 | |
| | |
Pool # MA0220, 3.50%, 7/20/2042 | | | 21,185 | | | | 22,580 | |
| | |
Pool # 796468, 4.00%, 9/20/2042 | | | 49,563 | | | | 53,637 | |
| | |
Pool # AA6040, 3.00%, 1/20/2043 | | | 122,872 | | | | 128,777 | |
| | |
Pool # AD1584, 3.00%, 1/20/2043 | | | 356,169 | | | | 373,285 | |
| | |
Pool # AA6054, 3.00%, 2/20/2043 | | | 334,990 | | | | 351,088 | |
| | |
Pool # AD1744, 3.00%, 2/20/2043 | | | 28,850 | | | | 30,236 | |
| | |
Pool # 783755, 3.00%, 4/20/2043 | | | 290,101 | | | | 304,111 | |
| | |
Pool # 783976, 3.50%, 4/20/2043 | | | 47,564 | | | | 50,696 | |
| | |
Pool # AF1040, 3.00%, 7/20/2043 | | | 159,687 | | | | 167,398 | |
| | |
Pool # MA1157, 3.50%, 7/20/2043 | | | 47,067 | | | | 49,981 | |
| | |
Pool # AE7804, 3.00%, 8/20/2043 | | | 22,909 | | | | 24,016 | |
| | |
Pool # MA1284, 3.00%, 9/20/2043 | | | 38,218 | | | | 40,063 | |
| | |
Pool # MA1376, 4.00%, 10/20/2043 | | | 258,668 | | | | 279,166 | |
| | |
Pool # MA1995, 3.50%, 6/20/2044 | | | 200,095 | | | | 211,933 | |
| | |
Pool # AI7106, 4.00%, 6/20/2044 | | | 130,139 | | | | 140,429 | |
| | |
Pool # MA2223, 3.50%, 9/20/2044 | | | 157,352 | | | | 166,661 | |
| | |
Pool # MA2444, 3.00%, 12/20/2044 | | | 43,521 | | | | 45,636 | |
| | |
Pool # 784026, 3.50%, 12/20/2044 | | | 264,247 | | | | 283,799 | |
| | |
Pool # AK6860, 3.00%, 1/20/2045 | | | 79,573 | | | | 83,441 | |
| | |
Pool # MA2677, 3.00%, 3/20/2045 | | | 62,616 | | | | 65,613 | |
| | |
Pool # MA2678, 3.50%, 3/20/2045 | | | 399,341 | | | | 421,206 | |
| | |
Pool # MA2754, 3.50%, 4/20/2045 | | | 19,310 | | | | 20,367 | |
| | |
Pool # 626942, 3.00%, 5/20/2045 | | | 471,899 | | | | 499,464 | |
| | |
Pool # MA2825, 3.00%, 5/20/2045 | | | 481,086 | | | | 504,113 | |
| | |
Pool # MA2829, 5.00%, 5/20/2045 | | | 56,044 | | | | 62,888 | |
| | |
Pool # 784800, 3.00%, 6/20/2045 | | | 58,545 | | | | 61,373 | |
| | |
Pool # AM9881, 3.00%, 6/20/2045 | | | 27,419 | | | | 28,731 | |
| | |
Pool # MA2891, 3.00%, 6/20/2045 | | | 22,170 | | | | 23,231 | |
| | |
Pool # AN2972, 4.00%, 9/20/2045 | | | 142,320 | | | | 153,658 | |
| | |
Pool # 784623, 3.50%, 10/20/2045 | | | 122,685 | | | | 130,279 | |
| | |
Pool # AO8403, 3.50%, 10/20/2045 | | | 67,827 | | | | 71,541 | |
| | |
Pool # MA3247, 5.00%, 11/20/2045 | | | 54,203 | | | | 60,822 | |
| | |
Pool # AO9442, 3.50%, 12/20/2045 | | | 35,391 | | | | 37,627 | |
| | |
Pool # AQ6659, 3.50%, 12/20/2045 | | | 325,672 | | | | 347,270 | |
| | |
Pool # MA3375, 3.00%, 1/20/2046 | | | 120,866 | | | | 126,651 | |
| | |
Pool # 784119, 3.00%, 2/20/2046 | | | 442,629 | | | | 463,816 | |
| | |
Pool # MA3458, 5.50%, 2/20/2046 | | | 71,927 | | | | 82,468 | |
| | |
Pool # AS2837, 3.50%, 3/20/2046 | | | 375,555 | | | | 394,617 | |
| | |
Pool # MA3523, 4.50%, 3/20/2046 | | | 27,062 | | | | 29,593 | |
| | |
Pool # MA3596, 3.00%, 4/20/2046 | | | 925,880 | | | | 966,323 | |
| | |
Pool # MA3597, 3.50%, 4/20/2046 | | | 336,267 | | | | 353,334 | |
| | |
Pool # MA3662, 3.00%, 5/20/2046 | | | 288,231 | | | | 300,821 | |
| | |
Pool # MA3735, 3.00%, 6/20/2046 | | | 920,851 | | | | 961,074 | |
| | |
Pool # AS5902, 3.50%, 6/20/2046 | | | 97,347 | | | | 102,672 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 129 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Mortgage-Backed Securities — continued | |
| | |
Pool # AT7138, 3.50%, 6/20/2046 | | | 52,566 | | | | 56,045 | |
| | |
Pool # MA3736, 3.50%, 6/20/2046 | | | 273,218 | | | | 287,085 | |
| | |
Pool # MA3935, 2.50%, 9/20/2046 | | | 229,254 | | | | 236,577 | |
| | |
Pool # 784768, 3.00%, 9/20/2046 | | | 166,818 | | | | 174,105 | |
| | |
Pool # MA4002, 2.50%, 10/20/2046 | | | 125,821 | | | | 129,840 | |
| | |
Pool # AV8383, 3.00%, 10/20/2046 | | | 61,004 | | | | 63,668 | |
| | |
Pool # AW0199, 3.00%, 10/20/2046 | | | 100,049 | | | | 104,419 | |
| | |
Pool # MA4003, 3.00%, 10/20/2046 | | | 422,478 | | | | 440,932 | |
| | |
Pool # MA4068, 3.00%, 11/20/2046 | | | 37,754 | | | | 39,403 | |
| | |
Pool # MA4072, 5.00%, 11/20/2046 | | | 58,049 | | | | 65,219 | |
| | |
Pool # MA4125, 2.50%, 12/20/2046 | | | 980,204 | | | | 1,011,513 | |
| | |
Pool # MA4126, 3.00%, 12/20/2046 | | | 70,106 | | | | 73,169 | |
| | |
Pool # MA4127, 3.50%, 12/20/2046 | | | 77,376 | | | | 81,304 | |
| | |
Pool # MA4260, 2.50%, 2/20/2047 | | | 145,777 | | | | 150,433 | |
| | |
Pool # AZ3119, 3.50%, 3/20/2047 | | | 43,732 | | | | 45,695 | |
| | |
Pool # 675725, 3.50%, 6/20/2047 | | | 15,636 | | | | 16,170 | |
| | |
Pool # 784801, 3.50%, 6/20/2047 | | | 132,218 | | | | 140,403 | |
| | |
Pool # BA5041, 5.00%, 6/20/2047 | | | 181,796 | | | | 194,250 | |
| | |
Pool # MA4584, 2.50%, 7/20/2047 | | | 159,796 | | | | 164,900 | |
| | |
Pool # MA4718, 3.00%, 9/20/2047 | | | 25,940 | | | | 27,005 | |
| | |
Pool # MA4721, 4.50%, 9/20/2047 | | | 120,879 | | | | 128,126 | |
| | |
Pool # MA4836, 3.00%, 11/20/2047 | | | 38,232 | | | | 39,803 | |
| | |
Pool # BD5420, 3.50%, 12/20/2047 | | | 133,005 | | | | 143,267 | |
| | |
Pool # BD6940, 3.50%, 12/20/2047 | | | 905 | | | | 950 | |
| | |
Pool # MA4900, 3.50%, 12/20/2047 | | | 347,816 | | | | 364,969 | |
| | |
Pool # MA4961, 3.00%, 1/20/2048 | | | 168,230 | | | | 175,143 | |
| | |
Pool # MA4962, 3.50%, 1/20/2048 | | | 179,888 | | | | 188,760 | |
| | |
Pool # 784446, 3.00%, 2/20/2048 | | | 356,819 | | | | 371,481 | |
| | |
Pool # 784474, 3.50%, 2/20/2048 | | | 265,501 | | | | 284,230 | |
| | |
Pool # MA5019, 3.50%, 2/20/2048 | | | 403,075 | | | | 422,953 | |
| | |
Pool # BF6382, 3.00%, 3/20/2048 | | | 149,818 | | | | 155,036 | |
| | |
Pool # MA5077, 3.50%, 3/20/2048 | | | 213,422 | | | | 222,758 | |
| | |
Pool # MA5138, 4.50%, 4/20/2048 | | | 65,372 | | | | 69,291 | |
| | |
Pool # MA5191, 3.50%, 5/20/2048 | | | 90,060 | | | | 94,000 | |
| | |
Pool # MA5264, 4.00%, 6/20/2048 | | | 119,501 | | | | 125,688 | |
| | |
Pool # MA5329, 3.50%, 7/20/2048 | | | 32,769 | | | | 34,203 | |
| | |
Pool # MA5330, 4.00%, 7/20/2048 | | | 99,926 | | | | 105,099 | |
| | |
Pool # MA5468, 5.00%, 9/20/2048 | | | 30,489 | | | | 32,513 | |
| | |
Pool # MA5528, 4.00%, 10/20/2048 | | | 73,403 | | | | 77,204 | |
| | |
Pool # MA5531, 5.50%, 10/20/2048 | | | 103,487 | | | | 112,244 | |
| | |
Pool # MA5594, 3.50%, 11/20/2048 | | | 33,181 | | | | 34,633 | |
| | |
Pool # MA5595, 4.00%, 11/20/2048 | | | 177,888 | | | | 187,098 | |
| | |
Pool # BJ6759, 4.50%, 11/20/2048 | | | 1,189,070 | | | | 1,264,235 | |
| | |
Pool # MA5650, 3.50%, 12/20/2048 | | | 51,520 | | | | 53,774 | |
| | |
Pool # MA5651, 4.00%, 12/20/2048 | | | 839,531 | | | | 883,001 | |
| | |
Pool # MA5709, 3.50%, 1/20/2049 | | | 321,997 | | | | 337,877 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Pool # BI6473, 4.00%, 1/20/2049 | | | 1,978,412 | | | | 2,080,850 | |
| | |
Pool # BJ9901, 3.00%, 2/20/2049 | | | 60,164 | | | | 63,653 | |
| | |
Pool # MA5762, 3.50%, 2/20/2049 | | | 448,096 | | | | 467,699 | |
| | |
Pool # MA5763, 4.00%, 2/20/2049 | | | 60,232 | | | | 63,350 | |
| | |
Pool # MA5815, 3.00%, 3/20/2049 | | | 300,454 | | | | 310,920 | |
| | |
Pool # MA5816, 3.50%, 3/20/2049 | | | 540,824 | | | | 564,484 | |
| | |
Pool # MA5820, 5.50%, 3/20/2049 | | | 35,483 | | | | 38,334 | |
| | |
Pool # MA5876, 4.00%, 4/20/2049 | | | 100,170 | | | | 104,387 | |
| | |
Pool # MA5930, 3.50%, 5/20/2049 | | | 63,088 | | | | 65,698 | |
| | |
Pool # MA5931, 4.00%, 5/20/2049 | | | 488,265 | | | | 508,823 | |
| | |
Pool # MA5985, 3.50%, 6/20/2049 | | | 169,790 | | | | 176,814 | |
| | |
Pool # MA5986, 4.00%, 6/20/2049 | | | 161,392 | | | | 168,187 | |
| | |
Pool # MA5987, 4.50%, 6/20/2049 | | | 205,235 | | | | 215,804 | |
| | |
Pool # MA5988, 5.00%, 6/20/2049 | | | 49,856 | | | | 53,166 | |
| | |
Pool # MA6039, 3.50%, 7/20/2049 | | | 450,415 | | | | 469,047 | |
| | |
Pool # MA6040, 4.00%, 7/20/2049 | | | 99,961 | | | | 104,170 | |
| | |
Pool # BM5450, 4.50%, 7/20/2049 | | | 219,073 | | | | 236,560 | |
| | |
Pool # MA6089, 3.00%, 8/20/2049 | | | 96,111 | | | | 99,420 | |
| | |
Pool # MA6090, 3.50%, 8/20/2049 | | | 227,915 | | | | 237,343 | |
| | |
Pool # BP8717, 3.50%, 9/20/2049 | | | 297,456 | | | | 317,816 | |
| | |
Pool # MA6154, 3.50%, 9/20/2049 | | | 123,941 | | | | 129,068 | |
| | |
Pool # MA6155, 4.00%, 9/20/2049 | | | 1,199,736 | | | | 1,250,252 | |
| | |
Pool # BP6121, 4.50%, 9/20/2049 | | | 146,407 | | | | 153,946 | |
| | |
Pool # MA6217, 2.50%, 10/20/2049 | | | 173,234 | | | | 177,965 | |
| | |
Pool # MA6219, 3.50%, 10/20/2049 | | | 676,262 | | | | 704,238 | |
| | |
Pool # MA6220, 4.00%, 10/20/2049 | | | 570,107 | | | | 594,111 | |
| | |
Pool # BR4627, 3.00%, 11/20/2049 | | | 718,090 | | | | 750,027 | |
| | |
Pool # MA6283, 3.00%, 11/20/2049 | | | 645,196 | | | | 667,403 | |
| | |
Pool # BR2295, 3.50%, 11/20/2049 | | | 74,647 | | | | 77,555 | |
| | |
Pool # MA6284, 3.50%, 11/20/2049 | | | 650,326 | | | | 677,228 | |
| | |
Pool # MA6337, 2.50%, 12/20/2049 | | | 517,709 | | | | 531,850 | |
| | |
Pool # BR2455, 3.00%, 12/20/2049 | | | 992,273 | | | | 1,017,388 | |
| | |
Pool # MA6338, 3.00%, 12/20/2049 | | | 59,732 | | | | 61,787 | |
| | |
Pool # MA6339, 3.50%, 12/20/2049 | | | 503,583 | | | | 524,415 | |
| | |
Pool # BS1714, 4.00%, 12/20/2049 | | | 437,790 | | | | 456,223 | |
| | |
Pool # MA6341, 4.50%, 12/20/2049 | | | 770,371 | | | | 810,046 | |
| | |
Pool # MA6410, 3.50%, 1/20/2050 | | | 423,954 | | | | 441,491 | |
| |
GNMA II, 30 Year, Single Family | | | | | |
| | |
Pool # MA1012, 3.50%, 5/20/2043 | | | 45,042 | | | | 47,830 | |
| | |
Pool # MA5194, 5.00%, 5/20/2048 | | | 377,413 | | | | 403,268 | |
| | | | | | | | |
| |
Total Mortgage-Backed Securities
(Cost $138,929,153) | | | | 141,500,484 | |
| | | | | |
Corporate Bonds — 25.3% | |
|
Aerospace & Defense — 0.4% | |
| | |
Boeing Co. (The) | | | | | | | | |
| | |
3.55%, 3/1/2038 | | | 105,000 | | | | 113,454 | |
| | |
3.50%, 3/1/2039 | | | 210,000 | | | | 225,314 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 130 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Aerospace & Defense — continued | |
| | |
6.88%, 3/15/2039 | | | 30,000 | | | | 44,283 | |
| | |
5.88%, 2/15/2040 | | | 40,000 | | | | 54,155 | |
| | |
3.38%, 6/15/2046 | | | 128,000 | | | | 130,726 | |
| | |
3.65%, 3/1/2047 | | | 40,000 | | | | 42,574 | |
| | |
Hexcel Corp. 3.95%, 2/15/2027 | | | 170,000 | | | | 184,580 | |
| | |
Huntington Ingalls Industries, Inc. 3.48%, 12/1/2027 | | | 200,000 | | | | 218,952 | |
| | |
L3Harris Technologies, Inc. | | | | | | | | |
| | |
4.95%, 2/15/2021 (a) | | | 327,000 | | | | 333,948 | |
| | |
3.85%, 6/15/2023 (a) | | | 294,000 | | | | 314,644 | |
| | |
3.83%, 4/27/2025 | | | 40,000 | | | | 43,831 | |
| | |
2.90%, 12/15/2029 | | | 347,000 | | | | 368,957 | |
| | |
4.85%, 4/27/2035 | | | 30,000 | | | | 38,306 | |
| | |
5.05%, 4/27/2045 | | | 25,000 | | | | 32,840 | |
| | |
Lockheed Martin Corp. 3.60%, 3/1/2035 | | | 71,000 | | | | 82,681 | |
| | | | | | | | |
| | |
| | | | | | | 2,229,245 | |
| | | | | | | | |
|
Auto Components — 0.1% | |
| | |
Lear Corp. | | | | | | | | |
| | |
5.25%, 1/15/2025 | | | 160,000 | | | | 164,341 | |
| | |
3.80%, 9/15/2027 | | | 135,000 | | | | 140,842 | |
| | |
4.25%, 5/15/2029 | | | 205,000 | | | | 220,355 | |
| | |
5.25%, 5/15/2049 | | | 131,000 | | | | 137,752 | |
| | | | | | | | |
| | |
| | | | | | | 663,290 | |
| | | | | | | | |
|
Banks — 2.6% | |
| | |
Bancolombia SA (Colombia) 3.00%, 1/29/2025 | | | 980,000 | | | | 981,512 | |
| | |
Bank of Nova Scotia (The) (Canada) 1.88%, 4/26/2021 | | | 189,000 | | | | 190,323 | |
| | |
BankUnited, Inc. 4.88%, 11/17/2025 | | | 25,000 | | | | 28,118 | |
| | |
Canadian Imperial Bank of Commerce (Canada) | | | | | | | | |
| | |
2.70%, 2/2/2021 | | | 201,000 | | | | 203,204 | |
| | |
2.55%, 6/16/2022 | | | 250,000 | | | | 256,295 | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 2.61%, 7/22/2023 (b) | | | 280,000 | | | | 285,670 | |
| | |
3.50%, 9/13/2023 | | | 454,000 | | | | 486,722 | |
| | |
3.10%, 4/2/2024 | | | 370,000 | | | | 390,480 | |
| | |
Capital One NA | | | | | | | | |
| | |
2.95%, 7/23/2021 | | | 200,000 | | | | 203,831 | |
| | |
2.25%, 9/13/2021 | | | 200,000 | | | | 201,857 | |
| | |
2.65%, 8/8/2022 | | | 30,000 | | | | 30,755 | |
| | |
Comerica Bank 2.50%, 7/23/2024 | | | 100,000 | | | | 103,908 | |
| | |
Comerica, Inc. | | | | | | | | |
| | |
3.70%, 7/31/2023 | | | 275,000 | | | | 294,548 | |
| | |
4.00%, 2/1/2029 | | | 80,000 | | | | 90,885 | |
| | |
Discover Bank | | | | | | | | |
| | |
3.20%, 8/9/2021 | | | 366,000 | | | | 373,824 | |
| | |
4.20%, 8/8/2023 | | | 250,000 | | | | 269,559 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
4.25%, 3/13/2026 | | | 336,000 | | | | 373,248 | |
| | |
3.45%, 7/27/2026 | | | 90,000 | | | | 96,571 | |
| | |
4.65%, 9/13/2028 | | | 190,000 | | | | 220,698 | |
| | |
Huntington Bancshares, Inc. | | | | | | | | |
| | |
2.30%, 1/14/2022 | | | 59,000 | | | | 59,566 | |
| | |
4.00%, 5/15/2025 | | | 300,000 | | | | 333,794 | |
| | |
2.55%, 2/4/2030 | | | 25,000 | | | | 25,570 | |
| | |
Huntington National Bank (The) | | | | | | | | |
| | |
2.50%, 8/7/2022 | | | 140,000 | | | | 143,625 | |
| | |
3.55%, 10/6/2023 | | | 110,000 | | | | 117,722 | |
| | |
Intesa Sanpaolo SpA (Italy) 5.25%, 1/12/2024 | | | 200,000 | | | | 219,208 | |
| | |
Kreditanstalt fuer Wiederaufbau (Germany) | | | | | | | | |
| | |
2.63%, 4/12/2021 | | | 145,000 | | | | 147,515 | |
| | |
1.50%, 6/15/2021 | | | 300,000 | | | | 301,850 | |
| | |
1.75%, 9/15/2021 | | | 30,000 | | | | 30,347 | |
| | |
2.63%, 1/25/2022 | | | 231,000 | | | | 238,169 | |
| | |
2.50%, 2/15/2022 | | | 50,000 | | | | 51,480 | |
| | |
2.13%, 3/7/2022 | | | 125,000 | | | | 127,866 | |
| | |
2.13%, 6/15/2022 | | | 158,000 | | | | 162,143 | |
| | |
2.38%, 12/29/2022 | | | 90,000 | | | | 93,577 | |
| | |
2.63%, 2/28/2024 | | | 36,000 | | | | 38,324 | |
| | |
2.50%, 11/20/2024 | | | 60,000 | | | | 64,136 | |
| | |
2.00%, 5/2/2025 | | | 183,000 | | | | 192,051 | |
| | |
2.88%, 4/3/2028 | | | 118,000 | | | | 133,682 | |
| | |
1.75%, 9/14/2029 | | | 30,000 | | | | 31,491 | |
| | |
Zero Coupon, 4/18/2036 | | | 91,000 | | | | 69,627 | |
| | |
Zero Coupon, 6/29/2037 | | | 350,000 | | | | 262,797 | |
| | |
Landesbank Baden-Wuerttemberg (Germany) 7.63%, 2/1/2023 | | | 25,000 | | | | 29,352 | |
| | |
Landwirtschaftliche Rentenbank (Germany) | | | | | | | | |
| | |
Series 36, 2.00%, 12/6/2021 | | | 100,000 | | | | 101,756 | |
| | |
3.13%, 11/14/2023 | | | 31,000 | | | | 33,433 | |
| | |
2.00%, 1/13/2025 | | | 25,000 | | | | 26,162 | |
| | |
2.38%, 6/10/2025 | | | 75,000 | | | | 80,118 | |
| | |
Lloyds Bank plc (United Kingdom) 3.50%, 5/14/2025 | | | 300,000 | | | | 327,206 | |
| | |
Lloyds Banking Group plc (United Kingdom) | | | | | | | | |
| | |
4.45%, 5/8/2025 | | | 250,000 | | | | 278,957 | |
| | |
3.75%, 1/11/2027 | | | 727,000 | | | | 788,280 | |
| | |
4.38%, 3/22/2028 | | | 300,000 | | | | 340,590 | |
| | |
4.55%, 8/16/2028 | | | 240,000 | | | | 276,569 | |
| | |
(ICE LIBOR USD 3 Month + 1.21%), 3.57%, 11/7/2028 (b) | | | 300,000 | | | | 321,227 | |
| | |
National Bank of Canada (Canada) 2.10%, 2/1/2023 | | | 397,000 | | | | 401,443 | |
| | |
Oesterreichische Kontrollbank AG (Austria) | | | | | | | | |
| | |
2.88%, 9/7/2021 | | | 60,000 | | | | 61,643 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 131 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
2.38%, 10/1/2021 | | | 25,000 | | | | 25,519 | |
| | |
2.63%, 1/31/2022 | | | 25,000 | | | | 25,758 | |
| | |
2.88%, 3/13/2023 | | | 80,000 | | | | 84,499 | |
| | |
RBC USA Holdco Corp. 5.25%, 9/15/2020 | | | 25,000 | | | | 25,526 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
2.10%, 10/14/2020 | | | 27,000 | | | | 27,125 | |
| | |
2.15%, 10/26/2020 | | | 25,000 | | | | 25,087 | |
| | |
3.20%, 4/30/2021 | | | 300,000 | | | | 306,635 | |
| | |
2.75%, 2/1/2022 | | | 270,000 | | | | 277,875 | |
| | |
2.80%, 4/29/2022 | | | 210,000 | | | | 216,189 | |
| | |
1.95%, 1/17/2023 | | | 275,000 | | | | 278,882 | |
| | |
3.70%, 10/5/2023 | | | 274,000 | | | | 294,575 | |
| | |
2.55%, 7/16/2024 | | | 229,000 | | | | 238,641 | |
| | |
2.25%, 11/1/2024 | | | 430,000 | | | | 441,379 | |
| | |
SVB Financial Group 3.50%, 1/29/2025 | | | 541,000 | | | | 581,919 | |
| | |
Synovus Financial Corp. 3.13%, 11/1/2022 | | | 376,000 | | | | 385,882 | |
| | | | | | | | |
| | |
| | | | | | | 14,228,775 | |
| | | | | | | | |
|
Beverages — 0.1% | |
| | |
Brown-Forman Corp. | | | | | | | | |
| | |
4.00%, 4/15/2038 | | | 25,000 | | | | 30,193 | |
| | |
4.50%, 7/15/2045 | | | 269,000 | | | | 363,813 | |
| | |
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043 | | | 124,000 | | | | 150,228 | |
| | | | | | | | |
| | |
| | | | | | | 544,234 | |
| | | | | | | | |
|
Building Products — 0.0%(c) | |
| | |
Allegion plc 3.50%, 10/1/2029 | | | 100,000 | | | | 106,138 | |
| | |
Lennox International, Inc. 3.00%, 11/15/2023 | | | 70,000 | | | | 72,377 | |
| | | | | | | | |
| | |
| | | | | | | 178,515 | |
| | | | | | | | |
|
Capital Markets — 3.1% | |
| | |
Affiliated Managers Group, Inc. | | | | | | | | |
| | |
4.25%, 2/15/2024 | | | 120,000 | | | | 130,670 | |
| | |
3.50%, 8/1/2025 | | | 100,000 | | | | 108,645 | |
| | |
Ameriprise Financial, Inc. | | | | | | | | |
| | |
3.00%, 3/22/2022 | | | 190,000 | | | | 195,794 | |
| | |
4.00%, 10/15/2023 | | | 331,000 | | | | 358,781 | |
| | |
3.70%, 10/15/2024 | | | 55,000 | | | | 60,300 | |
| | |
2.88%, 9/15/2026 | | | 366,000 | | | | 388,371 | |
| | |
Apollo Investment Corp. 5.25%, 3/3/2025 | | | 75,000 | | | | 78,619 | |
| | |
BGC Partners, Inc. | | | | | | | | |
| | |
5.38%, 7/24/2023 | | | 90,000 | | | | 98,483 | |
| | |
3.75%, 10/1/2024 | | | 164,000 | | | | 169,537 | |
| | |
BlackRock, Inc. | | | | | | | | |
| | |
4.25%, 5/24/2021 | | | 89,000 | | | | 92,277 | |
| | |
3.38%, 6/1/2022 | | | 500,000 | | | | 522,595 | |
| | |
3.50%, 3/18/2024 | | | 149,000 | | | | 160,809 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Capital Markets — continued | |
| | |
3.20%, 3/15/2027 | | | 568,000 | | | | 624,566 | |
| | |
3.25%, 4/30/2029 | | | 379,000 | | | | 417,624 | |
| | |
2.40%, 4/30/2030 | | | 738,000 | | | | 764,330 | |
| | |
Brookfield Finance, Inc. (Canada) | | | | | | | | |
| | |
3.90%, 1/25/2028 | | | 53,000 | | | | 58,468 | |
| | |
4.85%, 3/29/2029 | | | 70,000 | | | | 83,248 | |
| | |
4.70%, 9/20/2047 | | | 1,177,000 | | | | 1,421,121 | |
| | |
Cboe Global Markets, Inc. 3.65%, 1/12/2027 | | | 288,000 | | | | 320,200 | |
| | |
CME Group, Inc. | | | | | | | | |
| | |
3.00%, 9/15/2022 | | | 70,000 | | | | 73,096 | |
| | |
3.75%, 6/15/2028 | | | 190,000 | | | | 214,314 | |
| | |
5.30%, 9/15/2043 | | | 187,000 | | | | 270,063 | |
| | |
4.15%, 6/15/2048 | | | 523,000 | | | | 671,719 | |
| | |
E*TRADE Financial Corp. | | | | | | | | |
| | |
2.95%, 8/24/2022 | | | 392,000 | | | | 404,694 | |
| | |
4.50%, 6/20/2028 | | | 45,000 | | | | 52,404 | |
| | |
Eaton Vance Corp. | | | | | | | | |
| | |
3.63%, 6/15/2023 | | | 145,000 | | | | 154,629 | |
| | |
3.50%, 4/6/2027 | | | 142,000 | | | | 157,143 | |
| | |
Franklin Resources, Inc. | | | | | | | | |
| | |
2.80%, 9/15/2022 | | | 25,000 | | | | 25,914 | |
| | |
2.85%, 3/30/2025 | | | 100,000 | | | | 106,124 | |
| | |
Intercontinental Exchange, Inc. | | | | | | | | |
| | |
2.75%, 12/1/2020 | | | 181,000 | | | | 182,417 | |
| | |
2.35%, 9/15/2022 | | | 343,000 | | | | 349,910 | |
| | |
3.45%, 9/21/2023 | | | 139,000 | | | | 148,543 | |
| | |
4.00%, 10/15/2023 | | | 125,000 | | | | 135,344 | |
| | |
3.10%, 9/15/2027 | | | 75,000 | | | | 80,399 | |
| | |
3.75%, 9/21/2028 | | | 555,000 | | | | 622,732 | |
| | |
4.25%, 9/21/2048 | | | 541,000 | | | | 661,483 | |
| | |
Janus Capital Group, Inc. (United Kingdom) 4.88%, 8/1/2025 | | | 190,000 | | | | 214,615 | |
| | |
Jefferies Group LLC | | | | | | | | |
| | |
5.13%, 1/20/2023 | | | 171,000 | | | | 186,640 | |
| | |
6.25%, 1/15/2036 | | | 30,000 | | | | 37,346 | |
| | |
6.50%, 1/20/2043 | | | 294,000 | | | | 370,940 | |
| | |
Lazard Group LLC | | | | | | | | |
| | |
3.75%, 2/13/2025 | | | 899,000 | | | | 982,696 | |
| | |
3.63%, 3/1/2027 | | | 335,000 | | | | 360,415 | |
| | |
4.50%, 9/19/2028 | | | 226,000 | | | | 259,594 | |
| | |
4.38%, 3/11/2029 | | | 196,000 | | | | 222,502 | |
| | |
Legg Mason, Inc. 5.63%, 1/15/2044 | | | 200,000 | | | | 275,024 | |
| | |
Nasdaq, Inc. | | | | | | | | |
| | |
4.25%, 6/1/2024 | | | 405,000 | | | | 442,146 | |
| | |
3.85%, 6/30/2026 | | | 302,000 | | | | 330,741 | |
| | |
Raymond James Financial, Inc. | | | | | | | | |
| | |
3.63%, 9/15/2026 | | | 290,000 | | | | 317,423 | |
| | |
4.95%, 7/15/2046 | | | 110,000 | | | | 137,262 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 132 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Capital Markets — continued | |
| | |
S&P Global, Inc. | | | | | | | | |
| | |
2.95%, 1/22/2027 | | | 325,000 | | | | 346,873 | |
| | |
2.50%, 12/1/2029 | | | 77,000 | | | | 80,405 | |
| | |
4.50%, 5/15/2048 | | | 360,000 | | | | 477,599 | |
| | |
3.25%, 12/1/2049 | | | 549,000 | | | | 594,590 | |
| | |
Stifel Financial Corp. | | | | | | | | |
| | |
3.50%, 12/1/2020 | | | 75,000 | | | | 75,582 | |
| | |
4.25%, 7/18/2024 | | | 85,000 | | | | 93,552 | |
| | |
TD Ameritrade Holding Corp. | | | | | | | | |
| | |
2.95%, 4/1/2022 | | | 203,000 | | | | 207,805 | |
| | |
3.75%, 4/1/2024 | | | 144,000 | | | | 156,204 | |
| | |
3.63%, 4/1/2025 | | | 110,000 | | | | 120,311 | |
| | |
3.30%, 4/1/2027 | | | 55,000 | | | | 59,394 | |
| | |
2.75%, 10/1/2029 | | | 80,000 | | | | 83,498 | |
| | | | | | | | |
| | |
| | | | | | | 16,798,523 | |
| | | | | | | | |
|
Chemicals — 0.8% | |
| | |
Ecolab, Inc. | | | | | | | | |
| | |
4.35%, 12/8/2021 | | | 50,000 | | | | 52,327 | |
| | |
2.38%, 8/10/2022 | | | 50,000 | | | | 51,045 | |
| | |
3.25%, 1/14/2023 | | | 53,000 | | | | 55,585 | |
| | |
2.70%, 11/1/2026 | | | 110,000 | | | | 116,925 | |
| | |
3.25%, 12/1/2027 | | | 155,000 | | | | 170,516 | |
| | |
5.50%, 12/8/2041 | | | 60,000 | | | | 84,529 | |
| | |
3.95%, 12/1/2047 | | | 824,000 | | | | 1,001,900 | |
| | |
LYB International Finance BV | | | | | | | | |
| | |
4.00%, 7/15/2023 | | | 665,000 | | | | 712,982 | |
| | |
5.25%, 7/15/2043 | | | 140,000 | | | | 167,948 | |
| | |
4.88%, 3/15/2044 | | | 200,000 | | | | 232,508 | |
| | |
LYB International Finance II BV 3.50%, 3/2/2027 | | | 270,000 | | | | 290,149 | |
| | |
LYB International Finance III LLC 4.20%, 10/15/2049 | | | 350,000 | | | | 368,343 | |
| | |
LyondellBasell Industries NV | | | | | | | | |
| | |
6.00%, 11/15/2021 | | | 200,000 | | | | 212,530 | |
| | |
5.75%, 4/15/2024 | | | 100,000 | | | | 114,541 | |
| | |
4.63%, 2/26/2055 | | | 300,000 | | | | 330,143 | |
| | |
NewMarket Corp. 4.10%, 12/15/2022 | | | 142,000 | | | | 151,507 | |
| | | | | | | | |
| | |
| | | | | | | 4,113,478 | |
| | | | | | | | |
|
Communications Equipment — 0.2% | |
| | |
Motorola Solutions, Inc. | | | | | | | | |
| | |
3.75%, 5/15/2022 | | | 194,000 | | | | 202,270 | |
| | |
3.50%, 3/1/2023 | | | 517,000 | | | | 542,257 | |
| | |
4.00%, 9/1/2024 | | | 171,000 | | | | 184,790 | |
| | |
4.60%, 2/23/2028 | | | 70,000 | | | | 79,137 | |
| | |
4.60%, 5/23/2029 | | | 100,000 | | | | 114,834 | |
| | |
5.50%, 9/1/2044 | | | 119,000 | | | | 140,591 | |
| | | | | | | | |
| | |
| | | | | | | 1,263,879 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Consumer Finance — 2.0% | |
| | |
Ally Financial, Inc. | | | | | | | | |
| | |
4.25%, 4/15/2021 | | | 110,000 | | | | 112,491 | |
| | |
4.13%, 2/13/2022 | | | 463,000 | | | | 483,214 | |
| | |
4.63%, 5/19/2022 | | | 305,000 | | | | 320,249 | |
| | |
3.88%, 5/21/2024 | | | 250,000 | | | | 262,250 | |
| | |
5.13%, 9/30/2024 | | | 80,000 | | | | 88,626 | |
| | |
4.63%, 3/30/2025 | | | 160,000 | | | | 175,458 | |
| | |
8.00%, 11/1/2031 | | | 555,000 | | | | 770,241 | |
| | |
American Express Co. | | | | | | | | |
| | |
3.00%, 2/22/2021 | | | 200,000 | | | | 202,582 | |
| | |
3.38%, 5/17/2021 | | | 300,000 | | | | 306,234 | |
| | |
3.70%, 11/5/2021 | | | 110,000 | | | | 114,140 | |
| | |
2.75%, 5/20/2022 | | | 120,000 | | | | 122,946 | |
| | |
2.50%, 8/1/2022 | | | 40,000 | | | | 40,919 | |
| | |
2.65%, 12/2/2022 | | | 82,000 | | | | 84,481 | |
| | |
3.40%, 2/27/2023 | | | 40,000 | | | | 42,086 | |
| | |
3.70%, 8/3/2023 | | | 300,000 | | | | 321,131 | |
| | |
3.40%, 2/22/2024 | | | 70,000 | | | | 74,951 | |
| | |
3.00%, 10/30/2024 | | | 28,000 | | | | 29,644 | |
| | |
4.20%, 11/6/2025 | | | 100,000 | | | | 113,019 | |
| | |
3.13%, 5/20/2026 | | | 40,000 | | | | 43,283 | |
| | |
4.05%, 12/3/2042 | | | 563,000 | | | | 708,370 | |
| | |
American Express Credit Corp. | | | | | | | | |
| | |
2.25%, 5/5/2021 | | | 50,000 | | | | 50,361 | |
| | |
2.70%, 3/3/2022 | | | 95,000 | | | | 97,439 | |
| | |
3.30%, 5/3/2027 | | | 300,000 | | | | 329,063 | |
| | |
Capital One Financial Corp. | | | | | | | | |
| | |
2.40%, 10/30/2020 | | | 385,000 | | | | 386,484 | |
| | |
3.45%, 4/30/2021 | | | 80,000 | | | | 81,601 | |
| | |
4.75%, 7/15/2021 | | | 30,000 | | | | 31,332 | |
| | |
3.05%, 3/9/2022 | | | 193,000 | | | | 198,376 | |
| | |
3.20%, 1/30/2023 | | | 401,000 | | | | 416,251 | |
| | |
3.50%, 6/15/2023 | | | 98,000 | | | | 103,585 | |
| | |
3.90%, 1/29/2024 | | | 50,000 | | | | 53,745 | |
| | |
3.75%, 4/24/2024 | | | 58,000 | | | | 62,697 | |
| | |
3.30%, 10/30/2024 | | | 125,000 | | | | 133,327 | |
| | |
3.20%, 2/5/2025 | | | 240,000 | | | | 253,908 | |
| | |
4.25%, 4/30/2025 | | | 95,000 | | | | 105,856 | |
| | |
3.75%, 3/9/2027 | | | 60,000 | | | | 65,567 | |
| | |
3.80%, 1/31/2028 | | | 305,000 | | | | 334,432 | |
| | |
Discover Financial Services | | | | | | | | |
| | |
5.20%, 4/27/2022 | | | 438,000 | | | | 472,126 | |
| | |
3.85%, 11/21/2022 | | | 609,000 | | | | 646,575 | |
| | |
3.95%, 11/6/2024 | | | 82,000 | | | | 89,032 | |
| | |
3.75%, 3/4/2025 | | | 104,000 | | | | 111,950 | |
| | |
4.50%, 1/30/2026 | | | 20,000 | | | | 22,422 | |
| | |
4.10%, 2/9/2027 | | | 90,000 | | | | 98,344 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 133 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Consumer Finance — continued | |
| | |
Synchrony Financial | | | | | | | | |
| | |
3.75%, 8/15/2021 | | | 610,000 | | | | 625,278 | |
| | |
2.85%, 7/25/2022 | | | 667,000 | | | | 682,350 | |
| | |
4.38%, 3/19/2024 | | | 283,000 | | | | 306,767 | |
| | |
4.25%, 8/15/2024 | | | 50,000 | | | | 54,272 | |
| | |
4.50%, 7/23/2025 | | | 25,000 | | | | 27,637 | |
| | |
3.70%, 8/4/2026 | | | 200,000 | | | | 212,506 | |
| | |
3.95%, 12/1/2027 | | | 130,000 | | | | 139,385 | |
| | |
5.15%, 3/19/2029 | | | 230,000 | | | | 268,146 | |
| | | | | | | | |
| | |
| | | | | | | 10,877,129 | |
| | | | | | | | |
|
Containers & Packaging — 0.1% | |
| | |
Avery Dennison Corp. 4.88%, 12/6/2028 | | | 137,000 | | | | 164,078 | |
| | |
Sonoco Products Co. 5.75%, 11/1/2040 | | | 170,000 | | | | 225,399 | |
| | | | | | | | |
| | |
| | | | | | | 389,477 | |
| | | | | | | | |
|
Diversified Financial Services — 0.1% | |
| | |
Private Export Funding Corp. Series BB, 4.30%, 12/15/2021 | | | 27,000 | | | | 28,491 | |
| | |
Synchrony Bank 3.00%, 6/15/2022 | | | 450,000 | | | | 462,364 | |
| | | | | | | | |
| | |
| | | | | | | 490,855 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 0.7% | |
| | |
Bell Canada, Inc. (Canada) | | | | | | | | |
| | |
4.46%, 4/1/2048 | | | 411,000 | | | | 510,379 | |
| | |
4.30%, 7/29/2049 | | | 116,000 | | | | 140,278 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
2.95%, 3/15/2022 | | | 199,000 | | | | 205,291 | |
| | |
3.13%, 3/16/2022 | | | 25,000 | | | | 25,908 | |
| | |
2.45%, 11/1/2022 | | | 259,000 | | | | 265,826 | |
| | |
3.50%, 11/1/2024 | | | 202,000 | | | | 218,549 | |
| | |
3.38%, 2/15/2025 | | | 50,000 | | | | 54,080 | |
| | |
2.63%, 8/15/2026 | | | 85,000 | | | | 89,205 | |
| | |
4.33%, 9/21/2028 | | | 50,000 | | | | 58,653 | |
| | |
3.88%, 2/8/2029 | | | 411,000 | | | | 470,751 | |
| | |
4.02%, 12/3/2029 | | | 334,000 | | | | 388,017 | |
| | |
7.75%, 12/1/2030 | | | 80,000 | | | | 119,609 | |
| | |
4.50%, 8/10/2033 | | | 70,000 | | | | 85,770 | |
| | |
4.40%, 11/1/2034 | | | 137,000 | | | | 167,372 | |
| | |
4.27%, 1/15/2036 | | | 180,000 | | | | 215,913 | |
| | |
4.81%, 3/15/2039 | | | 50,000 | | | | 64,344 | |
| | |
3.85%, 11/1/2042 | | | 387,000 | | | | 442,471 | |
| | |
5.01%, 4/15/2049 | | | 84,000 | | | | 115,625 | |
| | |
4.67%, 3/15/2055 | | | 26,000 | | | | 34,891 | |
| | | | | | | | |
| | |
| | | | | | | 3,672,932 | |
| | | | | | | | |
|
Electric Utilities — 1.5% | |
| | |
AEP Texas, Inc. 3.95%, 6/1/2028 | | | 100,000 | | | | 113,014 | |
| | |
American Electric Power Co., Inc. | | | | | | | | |
| | |
Series F, 2.95%, 12/15/2022 | | | 163,000 | | | | 169,063 | |
| | |
Series J, 4.30%, 12/1/2028 | | | 85,000 | | | | 98,205 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Electric Utilities — continued | |
| | |
Appalachian Power Co. | | | | | | | | |
| | |
4.60%, 3/30/2021 | | | 46,000 | | | | 47,171 | |
| | |
7.00%, 4/1/2038 | | | 49,000 | | | | 72,962 | |
| | |
Avangrid, Inc. | | | | | | | | |
| | |
3.15%, 12/1/2024 | | | 279,000 | | | | 297,657 | |
| | |
3.80%, 6/1/2029 | | | 155,000 | | | | 173,934 | |
| | |
Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036 | | | 146,000 | | | | 194,778 | |
| | |
DTE Electric Co. 4.30%, 7/1/2044 | | | 74,000 | | | | 93,333 | |
| | |
Enel Americas SA (Chile) 4.00%, 10/25/2026 | | | 182,000 | | | | 196,385 | |
| | |
Enel Chile SA (Chile) 4.88%, 6/12/2028 | | | 300,000 | | | | 340,804 | |
| | |
FirstEnergy Corp. | | | | | | | | |
| | |
Series A, 2.85%, 7/15/2022 | | | 148,000 | | | | 152,516 | |
| | |
Series B, 4.25%, 3/15/2023 | | | 1,100,000 | | | | 1,179,535 | |
| | |
Series B, 3.90%, 7/15/2027 | | | 300,000 | | | | 332,416 | |
| | |
Gulf Power Co. Series A, 3.30%, 5/30/2027 | | | 369,000 | | | | 401,442 | |
| | |
Hydro-Quebec (Canada) | | | | | | | | |
| | |
Series IO, 8.05%, 7/7/2024 | | | 35,000 | | | | 44,991 | |
| | |
8.50%, 12/1/2029 | | | 50,000 | | | | 80,449 | |
| | |
Iberdrola International BV (Spain) | | | | | | | | |
| | |
5.81%, 3/15/2025 | | | 30,000 | | | | 35,168 | |
| | |
6.75%, 7/15/2036 | | | 175,000 | | | | 266,428 | |
| | |
Indiana Michigan Power Co. | | | | | | | | |
| | |
6.05%, 3/15/2037 | | | 60,000 | | | | 84,907 | |
| | |
Series K, 4.55%, 3/15/2046 | | | 150,000 | | | | 191,622 | |
| | |
NextEra Energy Capital Holdings, Inc. | | | | | | | | |
| | |
4.50%, 6/1/2021 | | | 74,000 | | | | 76,238 | |
| | |
3.20%, 2/25/2022 | | | 148,000 | | | | 153,055 | |
| | |
2.90%, 4/1/2022 | | | 124,000 | | | | 127,656 | |
| | |
3.30%, 8/15/2022 | | | 53,000 | | | | 55,209 | |
| | |
2.80%, 1/15/2023 | | | 247,000 | | | | 256,477 | |
| | |
3.15%, 4/1/2024 | | | 100,000 | | | | 106,547 | |
| | |
3.25%, 4/1/2026 | | | 247,000 | | | | 265,827 | |
| | |
3.55%, 5/1/2027 | | | 156,000 | | | | 171,328 | |
| | |
3.50%, 4/1/2029 | | | 150,000 | | | | 165,810 | |
| | |
2.75%, 11/1/2029 | | | 830,000 | | | | 868,761 | |
| | |
Oklahoma Gas & Electric Co. | | | | | | | | |
| | |
3.80%, 8/15/2028 | | | 80,000 | | | | 90,683 | |
| | |
3.30%, 3/15/2030 | | | 260,000 | | | | 287,255 | |
| | |
4.15%, 4/1/2047 | | | 27,000 | | | | 32,306 | |
| | |
Southwestern Electric Power Co. | | | | | | | | |
| | |
6.20%, 3/15/2040 | | | 190,000 | | | | 268,621 | |
| | |
Series J, 3.90%, 4/1/2045 | | | 65,000 | | | | 71,868 | |
| | |
Toledo Edison Co. (The) 6.15%, 5/15/2037 | | | 200,000 | | | | 292,642 | |
| | |
Union Electric Co. 3.90%, 9/15/2042 | | | 131,000 | | | | 157,093 | |
| | | | | | | | |
| | |
| | | | | | | 8,014,156 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 134 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Electrical Equipment — 0.1% | |
| | |
Legrand France SA (France) 8.50%, 2/15/2025 | | | 154,000 | | | | 205,387 | |
| | |
Rockwell Automation, Inc. 4.20%, 3/1/2049 | | | 125,000 | | | | 159,919 | |
| | | | | | | | |
| | |
| | | | | | | 365,306 | |
| | | | | | | | |
|
Electronic Equipment, Instruments & Components — 0.1% | |
| | |
Allegion US Holding Co., Inc. | | | | | | | | |
| | |
3.20%, 10/1/2024 | | | 115,000 | | | | 121,849 | |
| | |
3.55%, 10/1/2027 | | | 126,000 | | | | 137,561 | |
| | |
FLIR Systems, Inc. 3.13%, 6/15/2021 | | | 60,000 | | | | 61,127 | |
| | | | | | | | |
| | |
| | | | | | | 320,537 | |
| | | | | | | | |
|
Energy Equipment & Services — 0.0%(c) | |
| | |
Helmerich & Payne, Inc. | | | | | | | | |
| | |
4.65%, 3/15/2025 | | | 55,000 | | | | 61,390 | |
| | |
4.65%, 3/15/2025 (a) | | | 30,000 | | | | 33,486 | |
| | | | | | | | |
| | |
| | | | | | | 94,876 | |
| | | | | | | | |
|
Entertainment — 0.2% | |
| | |
Activision Blizzard, Inc. | | | | | | | | |
| | |
2.30%, 9/15/2021 | | | 87,000 | | | | 88,177 | |
| | |
2.60%, 6/15/2022 | | | 222,000 | | | | 227,127 | |
| | |
3.40%, 9/15/2026 | | | 141,000 | | | | 152,772 | |
| | |
3.40%, 6/15/2027 | | | 200,000 | | | | 217,385 | |
| | |
4.50%, 6/15/2047 | | | 117,000 | | | | 147,566 | |
| | |
Electronic Arts, Inc. | | | | | | | | |
| | |
3.70%, 3/1/2021 | | | 40,000 | | | | 40,800 | |
| | |
4.80%, 3/1/2026 | | | 250,000 | | | | 289,459 | |
| | | | | | | | |
| | |
| | | | | | | 1,163,286 | |
| | | | | | | | |
|
Equity Real Estate Investment Trusts (REITs) — 0.1% | |
| | |
American Tower Corp. | | | | | | | | |
| | |
2.25%, 1/15/2022 | | | 25,000 | | | | 25,332 | |
| | |
4.70%, 3/15/2022 | | | 150,000 | | | | 159,535 | |
| | |
3.50%, 1/31/2023 | | | 30,000 | | | | 31,632 | |
| | |
3.38%, 5/15/2024 | | | 120,000 | | | | 127,469 | |
| | |
3.80%, 8/15/2029 | | | 68,000 | | | | 74,987 | |
| | |
3.70%, 10/15/2049 | | | 113,000 | | | | 121,874 | |
| | | | | | | | |
| | |
| | | | | | | 540,829 | |
| | | | | | | | |
|
Food & Staples Retailing — 0.5% | |
| | |
Ahold Finance USA LLC (Netherlands) 6.88%, 5/1/2029 | | | 94,000 | | | | 128,743 | |
| | |
Koninklijke Ahold Delhaize NV (Netherlands) 5.70%, 10/1/2040 | | | 281,000 | | | | 375,987 | |
| | |
Sysco Corp. | | | | | | | | |
| | |
2.60%, 6/12/2022 | | | 246,000 | | | | 252,666 | |
| | |
3.55%, 3/15/2025 | | | 30,000 | | | | 32,686 | |
| | |
3.75%, 10/1/2025 | | | 298,000 | | | | 329,191 | |
| | |
3.30%, 7/15/2026 | | | 317,000 | | | | 344,819 | |
| | |
3.25%, 7/15/2027 | | | 614,000 | | | | 664,253 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Food & Staples Retailing — continued | |
| | |
2.40%, 2/15/2030 | | | 95,000 | | | | 96,929 | |
| | |
5.38%, 9/21/2035 | | | 180,000 | | | | 244,281 | |
| | |
4.85%, 10/1/2045 | | | 125,000 | | | | 158,089 | |
| | |
4.50%, 4/1/2046 | | | 25,000 | | | | 30,200 | |
| | |
4.45%, 3/15/2048 | | | 50,000 | | | | 60,700 | |
| | | | | | | | |
| | |
| | | | | | | 2,718,544 | |
| | | | | | | | |
|
Food Products — 0.0%(c) | |
| | |
Flowers Foods, Inc. | | | | | | | | |
| | |
4.38%, 4/1/2022 | | | 36,000 | | | | 37,800 | |
| | |
3.50%, 10/1/2026 | | | 114,000 | | | | 121,646 | |
| | | | | | | | |
| | |
| | | | | | | 159,446 | |
| | | | | | | | |
|
Gas Utilities — 0.2% | |
| | |
Dominion Energy Gas Holdings LLC | | | | | | | | |
| | |
3.55%, 11/1/2023 | | | 48,000 | | | | 50,950 | |
| | |
3.60%, 12/15/2024 | | | 115,000 | | | | 124,113 | |
| | |
Series B, 3.00%, 11/15/2029 | | | 25,000 | | | | 26,226 | |
| | |
4.80%, 11/1/2043 | | | 20,000 | | | | 24,733 | |
| | |
4.60%, 12/15/2044 | | | 88,000 | | | | 103,401 | |
| | |
Series C, 3.90%, 11/15/2049 | | | 111,000 | | | | 120,507 | |
| | |
National Fuel Gas Co. | | | | | | | | |
| | |
4.90%, 12/1/2021 | | | 200,000 | | | | 209,255 | |
| | |
3.75%, 3/1/2023 | | | 165,000 | | | | 173,066 | |
| | |
5.20%, 7/15/2025 | | | 50,000 | | | | 56,245 | |
| | |
3.95%, 9/15/2027 | | | 150,000 | | | | 159,093 | |
| | |
4.75%, 9/1/2028 | | | 40,000 | | | | 44,381 | |
| | | | | | | | |
| | |
| | | | | | | 1,091,970 | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.6% | |
| | |
Baxter International, Inc. | | | | | | | | |
| | |
1.70%, 8/15/2021 | | | 54,000 | | | | 54,268 | |
| | |
2.60%, 8/15/2026 | | | 360,000 | | | | 374,455 | |
| | |
3.50%, 8/15/2046 | | | 75,000 | | | | 77,980 | |
| | |
Danaher Corp. | | | | | | | | |
| | |
3.35%, 9/15/2025 | | | 50,000 | | | | 54,569 | |
| | |
4.38%, 9/15/2045 | | | 49,000 | | | | 61,869 | |
| | |
DH Europe Finance II SARL | | | | | | | | |
| | |
2.05%, 11/15/2022 | | | 70,000 | | | | 71,288 | |
| | |
2.60%, 11/15/2029 | | | 150,000 | | | | 156,466 | |
| | |
Edwards Lifesciences Corp. 4.30%, 6/15/2028 | | | 274,000 | | | | 316,603 | |
| | |
Koninklijke Philips NV (Netherlands) | | | | | | | | |
| | |
6.88%, 3/11/2038 | | | 69,000 | | | | 105,884 | |
| | |
5.00%, 3/15/2042 | | | 634,000 | | | | 848,331 | |
| | |
Stryker Corp. | | | | | | | | |
| | |
3.38%, 5/15/2024 | | | 126,000 | | | | 134,245 | |
| | |
3.65%, 3/7/2028 | | | 962,000 | | | | 1,075,986 | |
| | | | | | | | |
| | |
| | | | | | | 3,331,944 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 135 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Health Care Providers & Services — 0.2% | |
| | |
AmerisourceBergen Corp. | | | | | | | | |
| | |
3.50%, 11/15/2021 | | | 330,000 | | | | 338,949 | |
| | |
3.40%, 5/15/2024 | | | 70,000 | | | | 74,247 | |
| | |
3.25%, 3/1/2025 | | | 55,000 | | | | 58,475 | |
| | |
3.45%, 12/15/2027 | | | 429,000 | | | | 465,407 | |
| | |
4.25%, 3/1/2045 | | | 43,000 | | | | 48,822 | |
| | |
4.30%, 12/15/2047 | | | 25,000 | | | | 28,328 | |
| | | | | | | | |
| | |
| | | | | | | 1,014,228 | |
| | | | | | | | |
|
Hotels, Restaurants & Leisure — 0.6% | |
| | |
Choice Hotels International, Inc. | | | | | | | | |
| | |
5.75%, 7/1/2022 | | | 160,000 | | | | 173,125 | |
| | |
3.70%, 12/1/2029 | | | 100,000 | | | | 106,305 | |
| | |
Darden Restaurants, Inc. | | | | | | | | |
| | |
3.85%, 5/1/2027 | | | 255,000 | | | | 277,414 | |
| | |
4.55%, 2/15/2048 | | | 29,000 | | | | 31,553 | |
| | |
Starbucks Corp. | | | | | | | | |
| | |
2.10%, 2/4/2021 | | | 152,000 | | | | 152,687 | |
| | |
2.70%, 6/15/2022 | | | 468,000 | | | | 480,140 | |
| | |
3.10%, 3/1/2023 | | | 248,000 | | | | 259,513 | |
| | |
3.85%, 10/1/2023 | | | 41,000 | | | | 44,173 | |
| | |
2.45%, 6/15/2026 | | | 25,000 | | | | 26,136 | |
| | |
3.50%, 3/1/2028 | | | 50,000 | | | | 55,317 | |
| | |
4.00%, 11/15/2028 | | | 55,000 | | | | 63,391 | |
| | |
3.55%, 8/15/2029 | | | 1,149,000 | | | | 1,288,398 | |
| | |
4.30%, 6/15/2045 | | | 175,000 | | | | 201,786 | |
| | |
3.75%, 12/1/2047 | | | 101,000 | | | | 108,640 | |
| | |
4.50%, 11/15/2048 | | | 20,000 | | | | 24,084 | |
| | | | | | | | |
| | |
| | | | | | | 3,292,662 | |
| | | | | | | | |
|
Household Durables — 0.1% | |
| | |
Harman International Industries, Inc. 4.15%, 5/15/2025 | | | 75,000 | | | | 82,695 | |
| | |
NVR, Inc. 3.95%, 9/15/2022 | | | 230,000 | | | | 243,050 | |
| | | | | | | | |
| | |
| | | | | | | 325,745 | |
| | | | | | | | |
|
Household Products — 0.1% | |
| | |
Church & Dwight Co., Inc. | | | | | | | | |
| | |
2.45%, 8/1/2022 | | | 109,000 | | | | 111,109 | |
| | |
2.88%, 10/1/2022 | | | 34,000 | | | | 35,209 | |
| | |
3.15%, 8/1/2027 | | | 89,000 | | | | 95,329 | |
| | |
3.95%, 8/1/2047 | | | 122,000 | | | | 144,772 | |
| | | | | | | | |
| | |
| | | | | | | 386,419 | |
| | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.0%(c) | |
| | |
Enel Generacion Chile SA (Chile) 4.25%, 4/15/2024 | | | 159,000 | | | | 168,261 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Industrial Conglomerates — 0.4% | |
| | |
Carlisle Cos., Inc. | | | | | | | | |
| | |
3.75%, 11/15/2022 | | | 217,000 | | | | 227,583 | |
| | |
3.50%, 12/1/2024 | | | 100,000 | | | | 107,559 | |
| | |
3.75%, 12/1/2027 | | | 265,000 | | | | 292,115 | |
| | |
Ingersoll-Rand Global Holding Co. Ltd. | | | | | | | | |
| | |
2.90%, 2/21/2021 | | | 759,000 | | | | 768,018 | |
| | |
4.25%, 6/15/2023 | | | 367,000 | | | | 400,455 | |
| | |
3.75%, 8/21/2028 | | | 100,000 | | | | 112,119 | |
| | |
5.75%, 6/15/2043 | | | 100,000 | | | | 140,193 | |
| | |
Ingersoll-Rand Luxembourg Finance SA | | | | | | | | |
| | |
3.80%, 3/21/2029 | | | 50,000 | | | | 56,109 | |
| | |
4.65%, 11/1/2044 | | | 25,000 | | | | 30,848 | |
| | |
4.50%, 3/21/2049 | | | 30,000 | | | | 37,369 | |
| | | | | | | | |
| | |
| | | | | | | 2,172,368 | |
| | | | | | | | |
|
Insurance — 0.1% | |
| | |
Loews Corp. | | | | | | | | |
| | |
2.63%, 5/15/2023 | | | 326,000 | | | | 336,421 | |
| | |
3.75%, 4/1/2026 | | | 230,000 | | | | 256,360 | |
| | |
6.00%, 2/1/2035 | | | 30,000 | | | | 42,409 | |
| | |
4.13%, 5/15/2043 | | | 61,000 | | | | 73,969 | |
| | | | | | | | |
| | |
| | | | | | | 709,159 | |
| | | | | | | | |
|
Interactive Media & Services — 0.2% | |
| | |
Alphabet, Inc. | | | | | | | | |
| | |
3.63%, 5/19/2021 | | | 135,000 | | | | 138,746 | |
| | |
3.38%, 2/25/2024 | | | 190,000 | | | | 205,468 | |
| | |
2.00%, 8/15/2026 | | | 851,000 | | | | 880,870 | |
| | | | | | | | |
| | |
| | | | | | | 1,225,084 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.1% | |
| | |
Booking Holdings, Inc. | | | | | | | | |
| | |
2.75%, 3/15/2023 | | | 360,000 | | | | 372,114 | |
| | |
3.65%, 3/15/2025 | | | 64,000 | | | | 69,093 | |
| | |
3.60%, 6/1/2026 | | | 59,000 | | | | 64,512 | |
| | |
3.55%, 3/15/2028 | | | 110,000 | | | | 120,373 | |
| | | | | | | | |
| | |
| | | | | | | 626,092 | |
| | | | | | | | |
|
IT Services — 0.5% | |
| | |
Broadridge Financial Solutions, Inc. 3.40%, 6/27/2026 | | | 310,000 | | | | 335,557 | |
| | |
Fiserv, Inc. | | | | | | | | |
| | |
4.75%, 6/15/2021 | | | 30,000 | | | | 31,257 | |
| | |
3.80%, 10/1/2023 | | | 33,000 | | | | 35,286 | |
| | |
3.50%, 7/1/2029 | | | 88,000 | | | | 96,135 | |
| | |
Genpact Luxembourg SARL | | | | | | | | |
| | |
3.70%, 4/1/2022 (d) | | | 200,000 | | | | 206,853 | |
| | |
3.38%, 12/1/2024 | | | 50,000 | | | | 52,392 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 136 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
IT Services — continued | |
| | |
Mastercard, Inc. | | | | | | | | |
| | |
2.00%, 11/21/2021 | | | 100,000 | | | | 101,321 | |
| | |
3.38%, 4/1/2024 | | | 60,000 | | | | 64,792 | |
| | |
2.95%, 11/21/2026 | | | 75,000 | | | | 80,999 | |
| | |
3.50%, 2/26/2028 | | | 110,000 | | | | 123,252 | |
| | |
2.95%, 6/1/2029 | | | 108,000 | | | | 117,400 | |
| | |
3.80%, 11/21/2046 | | | 582,000 | | | | 706,624 | |
| | |
3.95%, 2/26/2048 | | | 121,000 | | | | 151,073 | |
| | |
3.65%, 6/1/2049 | | | 189,000 | | | | 227,480 | |
| | |
Western Union Co. (The) | | | | | | | | |
| | |
3.60%, 3/15/2022 | | | 38,000 | | | | 39,427 | |
| | |
4.25%, 6/9/2023 | | | 41,000 | | | | 43,992 | |
| | |
2.85%, 1/10/2025 | | | 50,000 | | | | 51,400 | |
| | |
6.20%, 11/17/2036 | | | 72,000 | | | | 85,750 | |
| | | | | | | | |
| | |
| | | | | | | 2,550,990 | |
| | | | | | | | |
|
Leisure Products — 0.1% | |
| | |
Hasbro, Inc. | | | | | | | | |
| | |
3.15%, 5/15/2021 | | | 50,000 | | | | 50,835 | |
| | |
3.55%, 11/19/2026 | | | 60,000 | | | | 63,131 | |
| | |
3.50%, 9/15/2027 | | | 80,000 | | | | 82,942 | |
| | |
3.90%, 11/19/2029 | | | 30,000 | | | | 31,598 | |
| | |
6.35%, 3/15/2040 | | | 221,000 | | | | 271,417 | |
| | |
5.10%, 5/15/2044 | | | 135,000 | | | | 144,610 | |
| | | | | | | | |
| | |
| | | | | | | 644,533 | |
| | | | | | | | |
|
Life Sciences Tools & Services — 0.1% | |
| | |
Agilent Technologies, Inc. | | | | | | | | |
| | |
3.20%, 10/1/2022 | | | 118,000 | | | | 122,416 | |
| | |
3.88%, 7/15/2023 | | | 170,000 | | | | 180,951 | |
| | |
3.05%, 9/22/2026 | | | 40,000 | | | | 42,452 | |
| | |
2.75%, 9/15/2029 | | | 200,000 | | | | 208,542 | |
| | | | | | | | |
| | |
| | | | | | | 554,361 | |
| | | | | | | | |
|
Machinery — 0.0%(c) | |
| | |
IDEX Corp. 4.20%, 12/15/2021 | | | 50,000 | | | | 51,758 | |
| | |
Oshkosh Corp. 4.60%, 5/15/2028 | | | 130,000 | | | | 147,556 | |
| | | | | | | | |
| | |
| | | | | | | 199,314 | |
| | | | | | | | |
|
Metals & Mining — 2.1% | |
| | |
Barrick Gold Corp. (Canada) | | | | | | | | |
| | |
6.45%, 10/15/2035 | | | 26,000 | | | | 36,362 | |
| | |
5.25%, 4/1/2042 | | | 102,000 | | | | 131,967 | |
| | |
Barrick North America Finance LLC (Canada) | | | | | | | | |
| | |
5.70%, 5/30/2041 | | | 90,000 | | | | 123,642 | |
| | |
5.75%, 5/1/2043 | | | 672,000 | | | | 920,768 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Metals & Mining — continued | |
| | |
Barrick PD Australia Finance Pty. Ltd. (Canada) 5.95%, 10/15/2039 | | | 150,000 | | | | 204,619 | |
| | |
Kinross Gold Corp. (Canada) | | | | | | | | |
| | |
5.13%, 9/1/2021 | | | 40,000 | | | | 41,422 | |
| | |
5.95%, 3/15/2024 | | | 75,000 | | | | 83,522 | |
| | |
4.50%, 7/15/2027 | | | 320,000 | | | | 348,108 | |
| | |
Newmont Corp. | | | | | | | | |
| | |
3.63%, 6/9/2021 | | | 188,000 | | | | 192,526 | |
| | |
3.50%, 3/15/2022 | | | 425,000 | | | | 436,094 | |
| | |
3.70%, 3/15/2023 | | | 970,000 | | | | 1,028,687 | |
| | |
2.80%, 10/1/2029 | | | 290,000 | | | | 302,099 | |
| | |
5.88%, 4/1/2035 | | | 30,000 | | | | 41,727 | |
| | |
6.25%, 10/1/2039 | | | 25,000 | | | | 35,366 | |
| | |
4.88%, 3/15/2042 | | | 50,000 | | | | 62,775 | |
| | |
Rio Tinto Alcan, Inc. (Canada) | | | | | | | | |
| | |
7.25%, 3/15/2031 | | | 70,000 | | | | 102,709 | |
| | |
6.13%, 12/15/2033 | | | 90,000 | | | | 129,939 | |
| | |
5.75%, 6/1/2035 | | | 71,000 | | | | 97,961 | |
| | |
Rio Tinto Finance USA Ltd. (Australia) | | | | | | | | |
| | |
7.13%, 7/15/2028 | | | 249,000 | | | | 344,939 | |
| | |
5.20%, 11/2/2040 | | | 110,000 | | | | 150,264 | |
| | |
Rio Tinto Finance USA plc (Australia) | | | | | | | | |
| | |
4.75%, 3/22/2042 | | | 90,000 | | | | 116,538 | |
| | |
4.13%, 8/21/2042 | | | 1,168,000 | | | | 1,410,832 | |
| | |
Southern Copper Corp. (Peru) | | | | | | | | |
| | |
3.50%, 11/8/2022 | | | 25,000 | | | | 25,844 | |
| | |
3.88%, 4/23/2025 | | | 25,000 | | | | 26,780 | |
| | |
7.50%, 7/27/2035 | | | 100,000 | | | | 141,828 | |
| | |
5.25%, 11/8/2042 | | | 450,000 | | | | 534,168 | |
| | |
5.88%, 4/23/2045 | | | 1,030,000 | | | | 1,318,094 | |
| | |
Vale Overseas Ltd. (Brazil) | | | | | | | | |
| | |
6.25%, 8/10/2026 | | | 570,000 | | | | 668,825 | |
| | |
8.25%, 1/17/2034 | | | 180,000 | | | | 252,475 | |
| | |
6.88%, 11/21/2036 | | | 90,000 | | | | 118,504 | |
| | |
6.88%, 11/10/2039 | | | 114,000 | | | | 151,642 | |
| | |
Vale SA (Brazil) 5.63%, 9/11/2042 | | | 1,498,000 | | | | 1,764,599 | |
| | | | | | | | |
| | |
| | | | | | | 11,345,625 | |
| | | | | | | | |
|
Multiline Retail — 0.2% | |
| | |
Dollar General Corp. | | | | | | | | |
| | |
3.25%, 4/15/2023 | | | 391,000 | | | | 408,994 | |
| | |
4.15%, 11/1/2025 | | | 162,000 | | | | 180,498 | |
| | |
3.88%, 4/15/2027 | | | 120,000 | | | | 133,869 | |
| | |
4.13%, 5/1/2028 | | | 105,000 | | | | 120,240 | |
| | | | | | | | |
| | |
| | | | | | | 843,601 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 137 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Multi-Utilities — 0.2% | |
| | |
Dominion Energy, Inc. | | | | | | | | |
| | |
Series C, 2.00%, 8/15/2021 | | | 120,000 | | | | 120,885 | |
| | |
Series B, 2.75%, 9/15/2022 | | | 300,000 | | | | 307,103 | |
| | |
3.90%, 10/1/2025 | | | 100,000 | | | | 110,355 | |
| | |
Series D, 2.85%, 8/15/2026 | | | 55,000 | | | | 58,055 | |
| | |
4.25%, 6/1/2028 | | | 25,000 | | | | 28,555 | |
| | |
Series E, 6.30%, 3/15/2033 | | | 100,000 | | | | 137,656 | |
| | |
Series F, 5.25%, 8/1/2033 | | | 25,000 | | | | 31,871 | |
| | |
Series B, 5.95%, 6/15/2035 | | | 50,000 | | | | 68,335 | |
| | |
Series A, 4.60%, 3/15/2049 | | | 25,000 | | | | 31,625 | |
| | | | | | | | |
| | |
| | | | | | | 894,440 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 3.4% | |
| | |
Boardwalk Pipelines LP | | | | | | | | |
| | |
3.38%, 2/1/2023 | | | 456,000 | | | | 472,704 | |
| | |
4.95%, 12/15/2024 | | | 293,000 | | | | 322,952 | |
| | |
5.95%, 6/1/2026 | | | 66,000 | | | | 76,119 | |
| | |
4.45%, 7/15/2027 | | | 25,000 | | | | 26,330 | |
| | |
4.80%, 5/3/2029 | | | 40,000 | | | | 42,283 | |
| | |
Burlington Resources LLC | | | | | | | | |
| | |
7.20%, 8/15/2031 | | | 39,000 | | | | 57,430 | |
| | |
5.95%, 10/15/2036 | | | 153,000 | | | | 214,722 | |
| | |
Cimarex Energy Co. | | | | | | | | |
| | |
4.38%, 6/1/2024 | | | 342,000 | | | | 364,094 | |
| | |
3.90%, 5/15/2027 | | | 230,000 | | | | 237,366 | |
| | |
4.38%, 3/15/2029 | | | 40,000 | | | | 42,382 | |
| | |
Conoco Funding Co. 7.25%, 10/15/2031 | | | 15,000 | | | | 22,152 | |
| | |
ConocoPhillips 5.90%, 10/15/2032 | | | 41,000 | | | | 55,065 | |
| | |
ConocoPhillips Co. | | | | | | | | |
| | |
2.40%, 12/15/2022 | | | 510,000 | | | | 522,460 | |
| | |
3.35%, 11/15/2024 | | | 124,000 | | | | 133,310 | |
| | |
4.95%, 3/15/2026 | | | 152,000 | | | | 178,466 | |
| | |
4.30%, 11/15/2044 | | | 1,047,000 | | | | 1,256,753 | |
| | |
ConocoPhillips Holding Co. 6.95%, 4/15/2029 | | | 207,000 | | | | 282,159 | |
| | |
Ecopetrol SA (Colombia) | | | | | | | | |
| | |
5.88%, 9/18/2023 | | | 55,000 | | | | 61,025 | |
| | |
4.13%, 1/16/2025 | | | 80,000 | | | | 84,443 | |
| | |
7.38%, 9/18/2043 | | | 98,000 | | | | 134,549 | |
| | |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | | | 208,000 | | | | 276,548 | |
| | |
Equinor ASA (Norway) | | | | | | | | |
| | |
3.15%, 1/23/2022 | | | 60,000 | | | | 62,039 | |
| | |
2.45%, 1/17/2023 | | | 150,000 | | | | 154,431 | |
| | |
2.65%, 1/15/2024 | | | 30,000 | | | | 31,371 | |
| | |
3.70%, 3/1/2024 | | | 40,000 | | | | 43,401 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
3.63%, 9/10/2028 | | | 40,000 | | | | 45,098 | |
| | |
HollyFrontier Corp. 5.88%, 4/1/2026 | | | 335,000 | | | | 382,258 | |
| | |
Magellan Midstream Partners LP | | | | | | | | |
| | |
4.25%, 2/1/2021 | | | 611,000 | | | | 624,132 | |
| | |
5.00%, 3/1/2026 | | | 480,000 | | | | 559,891 | |
| | |
5.15%, 10/15/2043 | | | 55,000 | | | | 67,049 | |
| | |
4.25%, 9/15/2046 | | | 100,000 | | | | 109,983 | |
| | |
4.20%, 10/3/2047 | | | 50,000 | | | | 54,633 | |
| | |
3.95%, 3/1/2050 | | | 110,000 | | | | 117,089 | |
| | |
Nexen, Inc. (China) | | | | | | | | |
| | |
7.88%, 3/15/2032 | | | 135,000 | | | | 207,407 | |
| | |
5.88%, 3/10/2035 | | | 29,000 | | | | 39,981 | |
| | |
7.50%, 7/30/2039 | | | 40,000 | | | | 67,537 | |
| | |
Petroleos Mexicanos (Mexico) | | | | | | | | |
| | |
4.88%, 1/18/2024 | | | 30,000 | | | | 31,261 | |
| | |
4.50%, 1/23/2026 | | | 25,000 | | | | 24,488 | |
| | |
6.88%, 8/4/2026 | | | 100,000 | | | | 108,940 | |
| | |
6.50%, 3/13/2027 | | | 40,000 | | | | 41,945 | |
| | |
6.50%, 1/23/2029 | | | 120,000 | | | | 123,746 | |
| | |
5.95%, 1/28/2031 (a) | | | 33,000 | | | | 32,049 | |
| | |
6.63%, 6/15/2038 | | | 163,000 | | | | 159,743 | |
| | |
6.35%, 2/12/2048 | | | 78,000 | | | | 72,479 | |
| | |
7.69%, 1/23/2050 (a) | | | 683,000 | | | | 709,671 | |
| | |
6.95%, 1/28/2060 (a) | | | 21,000 | | | | 20,184 | |
| | |
Phillips 66 | | | | | | | | |
| | |
4.30%, 4/1/2022 | | | 663,000 | | | | 697,403 | |
| | |
3.90%, 3/15/2028 | | | 1,111,000 | | | | 1,235,664 | |
| | |
4.65%, 11/15/2034 | | | 440,000 | | | | 529,386 | |
| | |
5.88%, 5/1/2042 | | | 191,000 | | | | 266,257 | |
| | |
4.88%, 11/15/2044 | | | 240,000 | | | | 288,990 | |
| | |
Phillips 66 Partners LP | | | | | | | | |
| | |
2.45%, 12/15/2024 | | | 30,000 | | | | 30,460 | |
| | |
3.61%, 2/15/2025 | | | 71,000 | | | | 75,949 | |
| | |
3.55%, 10/1/2026 | | | 314,000 | | | | 334,943 | |
| | |
3.75%, 3/1/2028 | | | 30,000 | | | | 32,349 | |
| | |
3.15%, 12/15/2029 | | | 115,000 | | | | 116,660 | |
| | |
4.68%, 2/15/2045 | | | 435,000 | | | | 489,834 | |
| | |
Suncor Energy, Inc. (Canada) | | | | | | | | |
| | |
3.60%, 12/1/2024 | | | 200,000 | | | | 216,026 | |
| | |
7.15%, 2/1/2032 | | | 190,000 | | | | 272,906 | |
| | |
5.95%, 5/15/2035 | | | 35,000 | | | | 47,512 | |
| | |
6.85%, 6/1/2039 | | | 117,000 | | | | 176,019 | |
| | |
4.00%, 11/15/2047 | | | 1,766,000 | | | | 1,940,262 | |
| | |
Valero Energy Corp. | | | | | | | | |
| | |
3.65%, 3/15/2025 | | | 464,000 | | | | 504,201 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 138 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
3.40%, 9/15/2026 | | | 905,000 | | | | 970,011 | |
| | |
4.35%, 6/1/2028 | | | 199,000 | | | | 223,830 | |
| | |
4.00%, 4/1/2029 | | | 100,000 | | | | 108,177 | |
| | |
7.50%, 4/15/2032 | | | 147,000 | | | | 205,675 | |
| | |
6.63%, 6/15/2037 | | | 175,000 | | | | 236,002 | |
| | |
4.90%, 3/15/2045 | | | 231,000 | | | | 264,638 | |
| | |
Valero Energy Partners LP | | | | | | | | |
| | |
4.38%, 12/15/2026 | | | 123,000 | | | | 138,616 | |
| | |
4.50%, 3/15/2028 | | | 248,000 | | | | 277,762 | |
| | | | | | | | |
| | |
| | | | | | | 18,433,650 | |
| | | | | | | | |
|
Personal Products — 0.2% | |
| | |
Estee Lauder Cos., Inc. (The) | | | | | | | | |
| | |
2.00%, 12/1/2024 | | | 50,000 | | | | 51,259 | |
| | |
3.15%, 3/15/2027 | | | 60,000 | | | | 65,429 | |
| | |
2.38%, 12/1/2029 | | | 27,000 | | | | 28,055 | |
| | |
6.00%, 5/15/2037 | | | 130,000 | | | | 187,672 | |
| | |
4.38%, 6/15/2045 | | | 166,000 | | | | 210,398 | |
| | |
4.15%, 3/15/2047 | | | 125,000 | | | | 155,407 | |
| | |
3.13%, 12/1/2049 | | | 250,000 | | | | 267,696 | |
| | | | | | | | |
| | |
| | | | | | | 965,916 | |
| | | | | | | | |
|
Pharmaceuticals — 1.4% | |
| | |
Bristol-Myers Squibb Co. | | | | | | | | |
| | |
2.75%, 2/15/2023 (a) | | | 464,000 | | | | 481,850 | |
| | |
3.40%, 7/26/2029 (a) | | | 639,000 | | | | 716,524 | |
| | |
4.13%, 6/15/2039 (a) | | | 350,000 | | | | 425,789 | |
| | |
3.25%, 8/1/2042 | | | 360,000 | | | | 390,983 | |
| | |
4.55%, 2/20/2048 (a) | | | 69,000 | | | | 90,454 | |
| | |
4.25%, 10/26/2049 (a) | | | 486,000 | | | | 623,007 | |
| | |
Johnson & Johnson | | | | | | | | |
| | |
2.25%, 3/3/2022 | | | 111,000 | | | | 113,040 | |
| | |
2.63%, 1/15/2025 | | | 50,000 | | | | 53,007 | |
| | |
2.45%, 3/1/2026 | | | 29,000 | | | | 30,619 | |
| | |
2.90%, 1/15/2028 | | | 60,000 | | | | 65,397 | |
| | |
6.95%, 9/1/2029 | | | 50,000 | | | | 72,208 | |
| | |
4.38%, 12/5/2033 | | | 60,000 | | | | 75,375 | |
| | |
3.55%, 3/1/2036 | | | 92,000 | | | | 105,801 | |
| | |
3.63%, 3/3/2037 | | | 51,000 | | | | 59,703 | |
| | |
5.95%, 8/15/2037 | | | 25,000 | | | | 37,728 | |
| | |
3.40%, 1/15/2038 | | | 286,000 | | | | 325,285 | |
| | |
4.50%, 9/1/2040 | | | 40,000 | | | | 51,863 | |
| | |
4.50%, 12/5/2043 | | | 25,000 | | | | 33,281 | |
| | |
3.70%, 3/1/2046 | | | 699,000 | | | | 847,405 | |
| | |
3.75%, 3/3/2047 | | | 56,000 | | | | 68,597 | |
| | |
3.50%, 1/15/2048 | | | 727,000 | | | | 867,605 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Pharmaceuticals — continued | |
| | |
Zoetis, Inc. 3.25%, 8/20/2021 | | | 314,000 | | | | 322,512 | |
| | |
3.25%, 2/1/2023 | | | 288,000 | | | | 302,127 | |
| | |
4.50%, 11/13/2025 | | | 45,000 | | | | 51,407 | |
| | |
3.00%, 9/12/2027 | | | 594,000 | | | | 637,801 | |
| | |
3.90%, 8/20/2028 | | | 353,000 | | | | 403,078 | |
| | |
4.70%, 2/1/2043 | | | 102,000 | | | | 134,074 | |
| | |
3.95%, 9/12/2047 | | | 154,000 | | | | 184,820 | |
| | |
4.45%, 8/20/2048 | | | 80,000 | | | | 103,374 | |
| | | | | | | | |
| | |
| | | | | | | 7,674,714 | |
| | | | | | | | |
|
Professional Services — 0.5% | |
| | |
Thomson Reuters Corp. (Canada) | | | | | | | | |
| | |
3.35%, 5/15/2026 | | | 130,000 | | | | 139,436 | |
| | |
5.85%, 4/15/2040 | | | 259,000 | | | | 339,279 | |
| | |
5.65%, 11/23/2043 | | | 1,047,000 | | | | 1,369,162 | |
| | |
Verisk Analytics, Inc. | | | | | | | | |
| | |
5.80%, 5/1/2021 | | | 260,000 | | | | 272,486 | |
| | |
4.13%, 9/12/2022 | | | 100,000 | | | | 106,347 | |
| | |
4.00%, 6/15/2025 | | | 250,000 | | | | 278,188 | |
| | |
4.13%, 3/15/2029 | | | 130,000 | | | | 148,993 | |
| | |
5.50%, 6/15/2045 | | | 35,000 | | | | 47,472 | |
| | | | | | | | |
| | |
| | | | | | | 2,701,363 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.6% | |
| | |
Maxim Integrated Products, Inc. | | | | | | | | |
| | |
3.38%, 3/15/2023 | | | 98,000 | | | | 103,106 | |
| | |
3.45%, 6/15/2027 | | | 100,000 | | | | 106,228 | |
| | |
Micron Technology, Inc. | | | | | | | | |
| | |
4.64%, 2/6/2024 | | | 421,000 | | | | 458,842 | |
| | |
4.98%, 2/6/2026 | | | 493,000 | | | | 550,096 | |
| | |
5.33%, 2/6/2029 | | | 25,000 | | | | 28,986 | |
| | |
4.66%, 2/15/2030 | | | 90,000 | | | | 99,315 | |
| | |
Texas Instruments, Inc. | | | | | | | | |
| | |
2.75%, 3/12/2021 | | | 119,000 | | | | 120,570 | |
| | |
2.25%, 5/1/2023 | | | 65,000 | | | | 66,923 | |
| | |
2.63%, 5/15/2024 | | | 40,000 | | | | 41,954 | |
| | |
2.90%, 11/3/2027 | | | 230,000 | | | | 247,466 | |
| | |
2.25%, 9/4/2029 | | | 25,000 | | | | 25,584 | |
| | |
3.88%, 3/15/2039 | | | 596,000 | | | | 713,850 | |
| | |
4.15%, 5/15/2048 | | | 389,000 | | | | 492,691 | |
| | | | | | | | |
| | |
| | | | | | | 3,055,611 | |
| | | | | | | | |
|
Software — 0.1% | |
| | |
Cadence Design Systems, Inc. 4.38%, 10/15/2024 | | | 194,000 | | | | 216,565 | |
| | |
Citrix Systems, Inc. 4.50%, 12/1/2027 | | | 385,000 | | | | 426,280 | |
| | | | | | | | |
| | |
| | | | | | | 642,845 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 139 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Specialty Retail — 0.2% | |
| | |
Best Buy Co., Inc. | | | | | | | | |
| | |
5.50%, 3/15/2021 | | | 264,000 | | | | 271,878 | |
| | |
4.45%, 10/1/2028 | | | 168,000 | | | | 191,479 | |
| | |
TJX Cos., Inc. (The) | | | | | | | | |
| | |
2.75%, 6/15/2021 | | | 120,000 | | | | 122,022 | |
| | |
2.50%, 5/15/2023 | | | 305,000 | | | | 314,326 | |
| | |
2.25%, 9/15/2026 | | | 410,000 | | | | 423,186 | |
| | | | | | | | |
| | |
| | | | | | | 1,322,891 | |
| | | | | | | | |
|
Technology Hardware, Storage & Peripherals — 0.2% | |
| | |
Seagate HDD Cayman | | | | | | | | |
| | |
4.25%, 3/1/2022 | | | 137,000 | | | | 140,382 | |
| | |
4.75%, 6/1/2023 | | | 430,000 | | | | 452,405 | |
| | |
4.88%, 3/1/2024 | | | 185,000 | | | | 195,470 | |
| | |
4.75%, 1/1/2025 | | | 107,000 | | | | 111,824 | |
| | |
4.88%, 6/1/2027 | | | 50,000 | | | | 52,972 | |
| | |
5.75%, 12/1/2034 | | | 152,000 | | | | 157,510 | |
| | | | | | | | |
| | |
| | | | | | | 1,110,563 | |
| | | | | | | | |
|
Textiles, Apparel & Luxury Goods — 0.2% | |
| | |
NIKE, Inc. | | | | | | | | |
| | |
2.25%, 5/1/2023 | | | 72,000 | | | | 74,228 | |
| | |
2.38%, 11/1/2026 | | | 125,000 | | | | 131,547 | |
| | |
3.63%, 5/1/2043 | | | 306,000 | | | | 358,712 | |
| | |
3.88%, 11/1/2045 | | | 80,000 | | | | 98,386 | |
| | |
3.38%, 11/1/2046 | | | 418,000 | | | | 480,817 | |
| | | | | | | | |
| | |
| | | | | | | 1,143,690 | |
| | | | | | | | |
| | |
Total Corporate Bonds
(Cost $132,015,051) | | | | | | | 137,255,351 | |
| | | | | |
Commercial Mortgage-Backed Securities — 2.1% | |
| | |
Banc of America Commercial Mortgage Trust Series 2017-BNK3, Class A4, 3.57%, 2/15/2050 | | | 20,000 | | | | 22,240 | |
| |
BANK | | | | | |
| | |
Series 2017-BNK4, Class ASB, 3.42%, 5/15/2050 | | | 30,000 | | | | 32,286 | |
| | |
Series 2019-BN16, Class A4, 4.01%, 2/15/2052 | | | 60,000 | | | | 69,967 | |
| | |
Series 2019-BN21, Class A5, 2.85%, 10/17/2052 | | | 60,000 | | | | 64,622 | |
| | |
Series 2018-BN10, Class A5, 3.69%, 2/15/2061 | | | 20,000 | | | | 22,553 | |
| | |
Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | | | 100,000 | | | | 110,553 | |
| | |
Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | | | 260,000 | | | | 283,137 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
BBCMS Mortgage Trust Series2018-C2, Class A5, 4.31%, 12/15/2051 | | | 40,000 | | | | 47,342 | |
| | |
Benchmark Mortgage Trust | | | | | | | | |
| | |
Series2018-B1, Class A5, 3.67%, 1/15/2051 (e) | | | 50,000 | | | | 56,213 | |
| | |
Series2018-B2, Class B, 4.20%, 2/15/2051 ‡ (e) | | | 20,000 | | | | 23,023 | |
| | |
Series2018-B6, Class A2, 4.20%, 10/10/2051 | | | 50,000 | | | | 54,204 | |
| | |
BENCHMARK Mortgage Trust | | | | | | | | |
| | |
Series2018-B5, Class A4, 4.21%, 7/15/2051 | | | 110,000 | | | | 128,654 | |
| | |
Series2018-B8, Class A5, 4.23%, 1/15/2052 | | | 40,000 | | | | 47,091 | |
| | |
Cantor Commercial Real Estate Lending Series2019-CF2, Class AS, 3.12%, 11/15/2052 | | | 75,000 | | | | 80,408 | |
| | |
CD Mortgage Trust | | | | | | | | |
| | |
Series2017-CD3, Class A4, 3.63%, 2/10/2050 | | | 50,000 | | | | 55,825 | |
| | |
Series2017-CD6, Class ASB, 3.33%, 11/13/2050 | | | 20,000 | | | | 21,611 | |
| | |
Series2017-CD6, Class AM, 3.71%, 11/13/2050 (e) | | | 30,000 | | | | 33,336 | |
| | |
CFCRE Commercial Mortgage Trust | | | | | | | | |
| | |
Series2017-C8, Class A4, REIT, 3.57%, 6/15/2050 | | | 30,000 | | | | 33,214 | |
| | |
Series2016-C7, Class ASB, 3.64%, 12/10/2054 | | | 20,000 | | | | 21,615 | |
| | |
Citigroup Commercial Mortgage Trust | | | | | | | | |
| | |
Series 2014-GC21, Class AAB, 3.48%, 5/10/2047 | | | 17,219 | | | | 17,966 | |
| | |
Series 2014-GC23, Class B, 4.17%, 7/10/2047 ‡ (e) | | | 30,000 | | | | 32,276 | |
| | |
Series 2014-GC25, Class AAB, 3.37%, 10/10/2047 | | | 27,215 | | | | 28,219 | |
| | |
Series 2015-GC29, Class C, 4.13%, 4/10/2048 ‡ (e) | | | 40,000 | | | | 43,246 | |
| | |
Series2016-C1, Class AAB, 3.00%, 5/10/2049 | | | 100,000 | | | | 104,877 | |
| | |
Series2016-P4, Class A2, 2.45%, 7/10/2049 | | | 41,000 | | | | 41,313 | |
| | |
Series2016-P5, Class A2, 2.40%, 10/10/2049 | | | 50,000 | | | | 50,521 | |
| | |
Series2017-P7, Class A2, 3.21%, 4/14/2050 | | | 407,000 | | | | 417,597 | |
| | |
Commercial Mortgage Trust | | | | | | | | |
| | |
Series2013-CR9, Class A4, 4.22%, 7/10/2045 (e) | | | 120,000 | | | | 129,786 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 140 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
| | |
Series2012-CR3, Class ASB, 2.37%, 10/15/2045 | | | 20,412 | | | | 20,619 | |
| | |
Series2012-CR4, Class ASB, 2.44%, 10/15/2045 | | | 10,985 | | | | 11,125 | |
| | |
Series2012-CR3, Class A3, 2.82%, 10/15/2045 | | | 24,447 | | | | 25,111 | |
| | |
Series2012-CR4, Class A3, 2.85%, 10/15/2045 | | | 24,848 | | | | 25,603 | |
| | |
Series2013-CR6, Class A4, 3.10%, 3/10/2046 | | | 20,000 | | | | 20,852 | |
| | |
Series2013-CR7, Class A4, 3.21%, 3/10/2046 | | | 48,255 | | | | 50,605 | |
| | |
Series 2013-CR12, Class C, 5.08%, 10/10/2046 ‡ (e) | | | 10,000 | | | | 10,422 | |
| | |
Series 2014-CR14, Class C, 4.63%, 2/10/2047 ‡ (e) | | | 30,000 | | | | 31,881 | |
| | |
Series 2014-UBS5, Class AM, 4.19%, 9/10/2047 (e) | | | 40,000 | | | | 43,593 | |
| | |
Series 2014-CR20, Class A3, 3.33%, 11/10/2047 | | | 45,000 | | | | 48,273 | |
| | |
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | | | 140,000 | | | | 150,221 | |
| | |
Series 2015-LC21, Class AM, 4.04%, 7/10/2048 (e) | | | 30,000 | | | | 33,152 | |
| | |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | | | 30,000 | | | | 33,130 | |
| | |
Series 2015-LC23, Class A2, 3.22%, 10/10/2048 | | | 26,000 | | | | 26,177 | |
| | |
CSAIL Commercial Mortgage Trust | | | | | | | | |
| | |
Series2015-C3, Class A4, 3.72%, 8/15/2048 | | | 30,000 | | | | 33,041 | |
| | |
Series2015-C3, Class B, 4.10%, 8/15/2048 ‡ (e) | | | 70,000 | | | | 76,222 | |
| | |
Series2015-C4, Class A2, 3.16%, 11/15/2048 | | | 560,000 | | | | 562,014 | |
| | |
Series2016-C5, Class A5, 3.76%, 11/15/2048 | | | 27,000 | | | | 29,925 | |
| | |
Series2019-C15, Class A4, 4.05%, 3/15/2052 | | | 30,000 | | | | 34,907 | |
| | |
DBGS Mortgage Trust Series2018-C1, Class A4, 4.47%, 10/15/2051 | | | 20,000 | | | | 23,754 | |
| | |
DBJPM Mortgage Trust Series2017-C6, Class A5, 3.33%, 6/10/2050 | | | 20,000 | | | | 21,962 | |
| | |
FHLMC, Multi-Family Structured Pass-Through Certificates | | | | | | | | |
| | |
Series K019, Class A2, 2.27%, 3/25/2022 | | | 19,835 | | | | 20,100 | |
| | |
Series K023, Class A1, 1.58%, 4/25/2022 | | | 16,389 | | | | 16,392 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Series K027, Class A2, 2.64%, 1/25/2023 | | | 267,000 | | | | 276,370 | |
| | |
Series K028, Class A2, 3.11%, 2/25/2023 | | | 100,000 | | | | 104,828 | |
| | |
Series K029, Class A2, 3.32%, 2/25/2023 | | | 150,000 | | | | 158,222 | |
| | |
Series K033, Class A2, 3.06%, 7/25/2023 (e) | | | 220,000 | | | | 232,017 | |
| | |
Series K036, Class A2, 3.53%, 10/25/2023 (e) | | | 162,000 | | | | 173,903 | |
| | |
Series K725, Class AM, 3.10%, 2/25/2024 (e) | | | 50,000 | | | | 53,185 | |
| | |
Series K728, Class A2, 3.06%, 8/25/2024 (e) | | | 50,000 | | | | 53,370 | |
| | |
Series K040, Class A2, 3.24%, 9/25/2024 | | | 70,000 | | | | 75,553 | |
| | |
Series K048, Class A1, 2.69%, 12/25/2024 | | | 39,361 | | | | 40,686 | |
| | |
Series K731, Class A2, 3.60%, 2/25/2025 (e) | | | 50,000 | | | | 55,071 | |
| | |
Series K051, Class A2, 3.31%, 9/25/2025 | | | 40,000 | | | | 43,888 | |
| | |
Series K734, Class A2, 3.21%, 2/25/2026 | | | 225,000 | | | | 245,742 | |
| | |
Series K735, Class A2, 2.86%, 5/25/2026 | | | 50,000 | | | | 53,954 | |
| | |
Series K057, Class A2, 2.57%, 7/25/2026 | | | 63,000 | | | | 67,212 | |
| | |
Series K063, Class A1, 3.05%, 8/25/2026 | | | 46,207 | | | | 49,110 | |
| | |
Series K084, Class A2, 3.78%, 10/25/2028 (e) | | | 500,000 | | | | 580,382 | |
| | |
Series K085, Class A2, 4.06%, 10/25/2028 (e) | | | 120,000 | | | | 141,845 | |
| | |
Series K100, Class A2, 2.67%, 9/25/2029 | | | 400,000 | | | | 436,523 | |
| | |
SeriesK-1512, Class A2, 2.99%, 5/25/2031 | | | 75,000 | | | | 84,314 | |
| | |
Series K156, Class A3, 3.70%, 6/25/2033 (e) | | | 91,000 | | | | 109,227 | |
| |
FNMA ACES | | | | | |
| | |
Series2012-M1, Class A2, 2.73%, 10/25/2021 | | | 35,463 | | | | 35,895 | |
| | |
Series2014-M1, Class A2, 3.21%, 7/25/2023 (e) | | | 44,430 | | | | 47,002 | |
| | |
Series2014-M2, Class A2, 3.51%, 12/25/2023 (e) | | | 39,195 | | | | 42,159 | |
| | |
Series2014-M3, Class A2, 3.48%, 1/25/2024 (e) | | | 38,590 | | | | 41,518 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 141 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
| | |
Series2017-M10, Class AV2, 2.56%, 7/25/2024 (e) | | | 50,000 | | | | 52,448 | |
| | |
Series2016-M6, Class A1, 2.14%, 5/25/2026 | | | 46,302 | | | | 47,532 | |
| | |
Series2016-M11, Class A1, 2.08%, 7/25/2026 | | | 50,677 | | | | 51,929 | |
| | |
Series2017-M1, Class A2, 2.42%, 10/25/2026 (e) | | | 76,000 | | | | 80,740 | |
| | |
Series2017-M7, Class A2, 2.96%, 2/25/2027 (e) | | | 200,000 | | | | 219,150 | |
| | |
Series2017-M12, Class A1, 2.75%, 6/25/2027 | | | 33,118 | | | | 34,566 | |
| | |
Series2017-M12, Class A2, 3.08%, 6/25/2027 (e) | | | 202,756 | | | | 224,600 | |
| | |
Series2018-M10, Class A2, 3.38%, 7/25/2028 (e) | | | 40,000 | | | | 45,471 | |
| | |
Series2019-M1, Class A2, 3.56%, 9/25/2028 (e) | | | 85,000 | | | | 97,921 | |
| | |
Series2018-M13, Class A1, 3.70%, 3/25/2030 (e) | | | 34,667 | | | | 39,508 | |
| | |
GS Mortgage Securities Corp. II Series 2013-GC10, Class AAB, 2.56%, 2/10/2046 | | | 11,659 | | | | 11,847 | |
| | |
GS Mortgage Securities Trust | | | | | | | | |
| | |
Series2011-GC5, Class A4, 3.71%, 8/10/2044 | | | 60,000 | | | | 61,464 | |
| | |
Series 2012-GCJ9, Class A3, 2.77%, 11/10/2045 | | | 78,277 | | | | 80,647 | |
| | |
Series 2014-GC18, Class C, 4.99%, 1/10/2047 (e) | | | 120,000 | | | | 121,758 | |
| | |
Series 2014-GC24, Class AAB, 3.65%, 9/10/2047 | | | 22,650 | | | | 23,762 | |
| | |
Series 2014-GC24, Class AS, 4.16%, 9/10/2047 (e) | | | 170,000 | | | | 185,789 | |
| | |
Series 2015-GC28, Class A4, 3.14%, 2/10/2048 | | | 40,000 | | | | 42,607 | |
| | |
Series2016-GS4, Class A2, 2.91%, 11/10/2049 | | | 500,000 | | | | 509,458 | |
| | |
Series 2015-GC30, Class A4, 3.38%, 5/10/2050 | | | 25,000 | | | | 27,095 | |
| | |
Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | | | 260,000 | | | | 282,548 | |
| | |
JP Morgan Chase Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series2012-C8, Class A3, 2.83%, 10/15/2045 | | | 7,260 | | | | 7,486 | |
| | |
Series2013-C16, Class ASB, 3.67%, 12/15/2046 | | | 17,998 | | | | 18,706 | |
| | |
Series2012-LC9, Class A5, 2.84%, 12/15/2047 | | | 19,879 | | | | 20,472 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
JPMBB Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series2014-C19, Class A3, 3.67%, 4/15/2047 | | | 40,000 | | | | 40,892 | |
| | |
Series2015-C29, Class B, 4.12%, 5/15/2048 ‡ (e) | | | 40,000 | | | | 43,205 | |
| | |
Series2015-C31, Class A3, 3.80%, 8/15/2048 | | | 40,000 | | | | 44,241 | |
| | |
JPMDB Commercial Mortgage Securities Trust | | | | | | | | |
| | |
Series2016-C2, Class B, 3.99%, 6/15/2049 (e) | | | 20,000 | | | | 21,888 | |
| | |
Series2017-C5, Class B, 4.01%, 3/15/2050 ‡ (e) | | | 20,000 | | | | 22,022 | |
| | |
Morgan Stanley Bank of America Merrill Lynch Trust | | | | | | | | |
| | |
Series2012-C5, Class A4, 3.18%, 8/15/2045 | | | 20,000 | | | | 20,683 | |
| | |
Series2013-C9, Class A4, 3.10%, 5/15/2046 | | | 30,000 | | | | 31,380 | |
| | |
Series2013-C11, Class AS, 4.35%, 8/15/2046 (e) | | | 120,000 | | | | 128,941 | |
| | |
Series2014-C14, Class A3, 3.67%, 2/15/2047 | | | 21,139 | | | | 21,482 | |
| | |
Series2014-C17, Class A3, 3.53%, 8/15/2047 | | | 29,000 | | | | 29,656 | |
| | |
Series2015-C22, Class AS, 3.56%, 4/15/2048 ‡ | | | 40,000 | | | | 42,799 | |
| | |
Series2015-C25, Class ASB, 3.38%, 10/15/2048 | | | 50,000 | | | | 52,748 | |
| | |
Series2015-C25, Class A5, 3.64%, 10/15/2048 | | | 40,000 | | | | 44,056 | |
| | |
Series2016-C32, Class A4, 3.72%, 12/15/2049 | | | 25,000 | | | | 28,002 | |
| |
Morgan Stanley Capital I Trust | | | | | |
| | |
Series2012-C4, Class A4, 3.24%, 3/15/2045 | | | 38,000 | | | | 39,061 | |
| | |
Series2017-H1, Class C, 4.28%, 6/15/2050 ‡ (e) | | | 50,000 | | | | 54,559 | |
| | |
Series2019-L2, Class A4, 4.07%, 3/15/2052 | | | 50,000 | | | | 58,416 | |
| |
UBS Commercial Mortgage Trust | | | | | |
| | |
Series2012-C1, Class A3, 3.40%, 5/10/2045 | | | 27,118 | | | | 27,943 | |
| | |
Series2017-C1, Class A2, 2.98%, 6/15/2050 | | | 30,000 | | | | 30,649 | |
| | |
Series2017-C4, Class ASB, 3.37%, 10/15/2050 | | | 40,000 | | | | 42,965 | |
| | |
Series2017-C5, Class AS, 3.78%, 11/15/2050 (e) | | | 70,000 | | | | 78,230 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 142 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-Backed Securities — continued | |
| | |
Series2017-C7, Class AS, 4.06%, 12/15/2050 (e) | | | 50,000 | | | | 56,401 | |
| |
UBS-Barclays Commercial Mortgage Trust | | | | | |
| | |
Series2013-C5, Class A4, 3.18%, 3/10/2046 | | | 40,000 | | | | 41,781 | |
| | |
Series2012-C2, Class A4, 3.53%, 5/10/2063 | | | 20,000 | | | | 20,833 | |
| |
Wells Fargo Commercial Mortgage Trust | | | | | |
| | |
Series2012-LC5, Class A3, 2.92%, 10/15/2045 | | | 72,342 | | | | 74,587 | |
| | |
Series2015-C27, Class A4, 3.19%, 2/15/2048 | | | 42,549 | | | | 45,210 | |
| | |
Series2015-C28, Class A4, 3.54%, 5/15/2048 | | | 20,000 | | | | 21,803 | |
| | |
Series 2015-NXS1, Class D, 4.16%, 5/15/2048 (e) | | | 150,000 | | | | 158,129 | |
| | |
Series2015-C29, Class A4, 3.64%, 6/15/2048 | | | 120,000 | | | | 131,628 | |
| | |
Series2015-C29, Class D, 4.22%, 6/15/2048 (e) | | | 20,000 | | | | 18,752 | |
| | |
Series2018-C45, Class A3, 3.92%, 6/15/2051 | | | 45,000 | | | | 51,588 | |
| | |
Series2019-C53, Class A4, 3.04%, 10/15/2052 | | | 125,000 | | | | 136,208 | |
| | |
Series 2015-NXS3, Class A2, 2.85%, 9/15/2057 | | | 35,038 | | | | 35,124 | |
| |
WFRBS Commercial Mortgage Trust | | | | | |
| | |
Series2011-C5, Class A4, 3.67%, 11/15/2044 | | | 149,826 | | | | 153,891 | |
| | |
Series2012-C9, Class AS, 3.39%, 11/15/2045 | | | 60,000 | | | | 62,540 | |
| | |
Series2012-C10, Class A3, 2.88%, 12/15/2045 | | | 40,000 | | | | 41,340 | |
| | |
Series2013-C15, Class AS, 4.36%, 8/15/2046 (e) | | | 190,000 | | | | 203,341 | |
| | |
Series2013-C15, Class C, 4.49%, 8/15/2046 (e) | | | 400,000 | | | | 404,945 | |
| | |
Series2014-C20, Class A3, 3.64%, 5/15/2047 | | | 21 | | | | 21 | |
| | |
Series2013-C12, Class ASB, 2.84%, 3/15/2048 | | | 5,721 | | | | 5,838 | |
| | |
Series2014-C22, Class A4, 3.49%, 9/15/2057 | | | 40,000 | | | | 43,077 | |
| | |
Series2014-C22, Class A5, 3.75%, 9/15/2057 | | | 25,000 | | | | 27,224 | |
| | | | | | | | |
| | |
Total Commercial Mortgage-Backed Securities
(Cost $11,199,971) | | | | | | | 11,550,335 | |
| | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — 1.7% | |
| | |
Canada Government Bond (Canada) | | | | | | | | |
| | |
2.63%, 1/25/2022 | | | 230,000 | | | | 237,197 | |
| | |
2.00%, 11/15/2022 | | | 25,000 | | | | 25,719 | |
| | |
Export Development Canada (Canada) | | | | | | | | |
| | |
2.00%, 11/30/2020 | | | 30,000 | | | | 30,178 | |
| | |
2.00%, 5/17/2022 | | | 25,000 | | | | 25,559 | |
| | |
1.75%, 7/18/2022 | | | 60,000 | | | | 61,127 | |
| | |
2.50%, 1/24/2023 | | | 120,000 | | | | 125,316 | |
| | |
2.63%, 2/21/2024 | | | 55,000 | | | | 58,517 | |
| | |
Export-Import Bank of Korea (South Korea) 2.63%, 12/30/2020 | | | 200,000 | | | | 202,276 | |
| | |
FMS Wertmanagement AoeR (Germany) 2.75%, 1/30/2024 | | | 200,000 | | | | 213,612 | |
| | |
Hungary Government Bond (Hungary) | | | | | | | | |
| | |
6.38%, 3/29/2021 | | | 40,000 | | | | 41,915 | |
| | |
5.38%, 2/21/2023 | | | 100,000 | | | | 109,822 | |
| | |
5.75%, 11/22/2023 | | | 50,000 | | | | 56,839 | |
| | |
5.38%, 3/25/2024 | | | 26,000 | | | | 29,545 | |
| | |
Italian Republic Government Bond (Italy) | | | | | | | | |
| | |
6.88%, 9/27/2023 | | | 160,000 | | | | 187,066 | |
| | |
5.38%, 6/15/2033 | | | 163,000 | | | | 199,247 | |
| | |
Japan Bank for International Cooperation (Japan) | | | | | | | | |
| | |
1.50%, 7/21/2021 | | | 202,000 | | | | 202,960 | |
| | |
1.63%, 10/17/2022 | | | 200,000 | | | | 202,501 | |
| | |
1.75%, 1/23/2023 | | | 200,000 | | | | 203,599 | |
| | |
2.88%, 7/21/2027 | | | 218,000 | | | | 241,427 | |
| | |
Korea Development Bank (The) (South Korea) 2.75%, 3/19/2023 | | | 200,000 | | | | 208,353 | |
| | |
Oriental Republic of Uruguay (Uruguay) | | | | | | | | |
| | |
8.00%, 11/18/2022 | | | 136,000 | | | | 151,284 | |
| | |
4.50%, 8/14/2024 | | | 29,000 | | | | 31,640 | |
| | |
4.38%, 10/27/2027 | | | 80,000 | | | | 89,999 | |
| | |
5.10%, 6/18/2050 | | | 76,000 | | | | 95,726 | |
| | |
4.98%, 4/20/2055 | | | 30,000 | | | | 37,189 | |
| | |
Province of Alberta (Canada) | | | | | | | | |
| | |
2.20%, 7/26/2022 | | | 90,000 | | | | 92,422 | |
| | |
3.35%, 11/1/2023 | | | 100,000 | | | | 108,120 | |
| | |
2.95%, 1/23/2024 | | | 50,000 | | | | 53,448 | |
| | |
3.30%, 3/15/2028 | | | 25,000 | | | | 28,685 | |
| | |
Province of British Columbia (Canada) | | | | | | | | |
| | |
2.65%, 9/22/2021 | | | 202,000 | | | | 206,976 | |
| | |
1.75%, 9/27/2024 | | | 49,000 | | | | 50,543 | |
| | |
2.25%, 6/2/2026 | | | 49,000 | | | | 52,118 | |
| | |
Province of Manitoba (Canada) 8.88%, 9/15/2021 | | | 58,000 | | | | 64,739 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 143 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — continued | |
| | |
Province of Ontario (Canada) | | | | | | | | |
| | |
2.50%, 9/10/2021 | | | 120,000 | | | | 122,583 | |
| | |
2.55%, 4/25/2022 | | | 45,000 | | | | 46,428 | |
| | |
1.75%, 1/24/2023 | | | 150,000 | | | | 153,057 | |
| | |
3.40%, 10/17/2023 | | | 95,000 | | | | 102,850 | |
| | |
3.05%, 1/29/2024 | | | 55,000 | | | | 59,113 | |
| | |
2.50%, 4/27/2026 | | | 30,000 | | | | 32,229 | |
| | |
2.30%, 6/15/2026 | | | 30,000 | | | | 31,918 | |
| | |
2.00%, 10/2/2029 | | | 25,000 | | | | 26,380 | |
| | |
Province of Quebec (Canada) | | | | | | | | |
| | |
2.75%, 8/25/2021 | | | 110,000 | | | | 112,727 | |
| | |
2.38%, 1/31/2022 | | | 235,000 | | | | 240,835 | |
| | |
2.50%, 4/20/2026 | | | 55,000 | | | | 59,240 | |
| | |
Republic of Chile (Chile) | | | | | | | | |
| | |
3.25%, 9/14/2021 | | | 102,000 | | | | 104,098 | |
| | |
2.55%, 1/27/2032 | | | 150,000 | | | | 152,962 | |
| | |
Republic of Colombia (Colombia) | | | | | | | | |
| | |
8.13%, 5/21/2024 | | | 55,000 | | | | 67,885 | |
| | |
4.50%, 1/28/2026 | | | 200,000 | | | | 220,527 | |
| | |
4.50%, 3/15/2029 | | | 90,000 | | | | 101,706 | |
| | |
10.38%, 1/28/2033 | | | 76,000 | | | | 125,845 | |
| | |
5.00%, 6/15/2045 | | | 200,000 | | | | 241,787 | |
| | |
Republic of Indonesia (Indonesia) 5.35%, 2/11/2049 | | | 200,000 | | | | 263,116 | |
| | |
Republic of Korea (South Korea) 5.63%, 11/3/2025 | | | 100,000 | | | | 122,733 | |
| | |
Republic of Panama (Panama) | | | | | | | | |
| | |
7.13%, 1/29/2026 | | | 100,000 | | | | 126,824 | |
| | |
8.88%, 9/30/2027 | | | 25,000 | | | | 36,045 | |
| | |
9.38%, 4/1/2029 | | | 80,000 | | | | 123,649 | |
| | |
6.70%, 1/26/2036 | | | 65,000 | | | | 94,433 | |
| | |
Republic of Peru (Peru) | | | | | | | | |
| | |
7.35%, 7/21/2025 | | | 80,000 | | | | 102,042 | |
| | |
4.13%, 8/25/2027 | | | 25,000 | | | | 28,595 | |
| | |
8.75%, 11/21/2033 | | | 75,000 | | | | 127,469 | |
| | |
6.55%, 3/14/2037 | | | 25,000 | | | | 37,934 | |
| | |
Republic of Philippines (Philippines) | | | | | | | | |
| | |
4.00%, 1/15/2021 | | | 100,000 | | | | 101,846 | |
| | |
9.50%, 10/21/2024 | | | 125,000 | | | | 167,076 | |
| | |
10.63%, 3/16/2025 | | | 150,000 | | | | 212,030 | |
| | |
9.50%, 2/2/2030 | | | 47,000 | | | | 76,990 | |
| | |
Republic of Poland (Poland) | | | | | | | | |
| | |
5.13%, 4/21/2021 | | | 95,000 | | | | 98,803 | |
| | |
3.25%, 4/6/2026 | | | 85,000 | | | | 92,145 | |
| | |
Republic of Tunisia (Tunisia) 1.42%, 8/5/2021 | | | 205,000 | | | | 206,016 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
State of Israel Government Bond (Israel) 2.88%, 3/16/2026 | | | 200,000 | | | | 212,429 | |
| | |
Svensk Exportkredit AB (Sweden) 1.63%, 9/12/2021 | | | 200,000 | | | | 201,726 | |
| | |
United Mexican States (Mexico) | | | | | | | | |
| | |
3.63%, 3/15/2022 | | | 50,000 | | | | 51,834 | |
| | |
8.00%, 9/24/2022 | | | 51,000 | | | | 59,892 | |
| | |
4.00%, 10/2/2023 | | | 118,000 | | | | 125,973 | |
| | |
6.75%, 9/27/2034 | | | 25,000 | | | | 36,387 | |
| | |
5.55%, 1/21/2045 | | | 200,000 | | | | 257,268 | |
| | |
4.60%, 1/23/2046 | | | 200,000 | | | | 226,717 | |
| | |
5.75%, 10/12/2110 | | | 368,000 | | | | 463,733 | |
| | | | | | | | |
| | |
Total Foreign Government Securities
(Cost $9,104,517) | | | | | | | 9,381,539 | |
| | | | | | | | |
Supranational — 1.3% | |
| | |
African Development Bank (Supranational) | | | | | | | | |
| | |
2.63%, 3/22/2021 | | | 225,000 | | | | 228,538 | |
| | |
3.00%, 9/20/2023 | | | 50,000 | | | | 53,533 | |
| | |
Asian Development Bank (Supranational) | | | | | | | | |
| | |
2.88%, 11/27/2020 | | | 84,000 | | | | 85,028 | |
| | |
1.88%, 2/18/2022 | | | 47,000 | | | | 47,834 | |
| | |
1.75%, 9/13/2022 | | | 200,000 | | | | 204,062 | |
| | |
1.63%, 1/24/2023 | | | 100,000 | | | | 101,928 | |
| | |
2.75%, 3/17/2023 | | | 25,000 | | | | 26,349 | |
| | |
2.63%, 1/30/2024 | | | 150,000 | | | | 159,557 | |
| | |
1.50%, 10/18/2024 | | | 60,000 | | | | 61,371 | |
| | |
2.00%, 1/22/2025 | | | 100,000 | | | | 104,772 | |
| | |
2.50%, 11/2/2027 | | | 80,000 | | | | 88,025 | |
| | |
2.75%, 1/19/2028 | | | 100,000 | | | | 112,189 | |
| | |
3.13%, 9/26/2028 | | | 80,000 | | | | 92,726 | |
| | |
Asian Infrastructure Investment Bank (The) (Supranational) 2.25%, 5/16/2024 | | | 30,000 | | | | 31,549 | |
| | |
Corp. Andina de Fomento (Supranational) | | | | | | | | |
| | |
2.13%, 9/27/2021 | | | 60,000 | | | | 60,586 | |
| | |
4.38%, 6/15/2022 | | | 105,000 | | | | 111,603 | |
| | |
3.75%, 11/23/2023 | | | 25,000 | | | | 26,937 | |
| | |
Council of Europe Development Bank (Supranational) | | | | | | | | |
| | |
2.63%, 2/13/2023 | | | 50,000 | | | | 52,410 | |
| | |
2.50%, 2/27/2024 | | | 50,000 | | | | 52,980 | |
| | |
European Bank for Reconstruction & Development (Supranational) | | | | | | | | |
| | |
2.00%, 2/1/2021 | | | 125,000 | | | | 125,998 | |
| | |
1.50%, 11/2/2021 | | | 65,000 | | | | 65,551 | |
| | |
2.13%, 3/7/2022 | | | 25,000 | | | | 25,574 | |
| | |
European Investment Bank (Supranational) | | | | | | | | |
| | |
1.63%, 12/15/2020 | | | 80,000 | | | | 80,257 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 144 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Supranational — continued | |
| | |
2.00%, 3/15/2021 | | | 25,000 | | | | 25,236 | |
| | |
2.38%, 5/13/2021 | | | 70,000 | | | | 71,117 | |
| | |
2.88%, 12/15/2021 | | | 30,000 | | | | 31,003 | |
| | |
2.25%, 3/15/2022 | | | 30,000 | | | | 30,782 | |
| | |
2.63%, 5/20/2022 | | | 26,000 | | | | 26,956 | |
| | |
2.38%, 6/15/2022 | | | 67,000 | | | | 69,144 | |
| | |
1.38%, 9/6/2022 | | | 85,000 | | | | 85,879 | |
| | |
2.00%, 12/15/2022 | | | 200,000 | | | | 205,762 | |
| | |
2.50%, 3/15/2023 | | | 295,000 | | | | 308,600 | |
| | |
3.25%, 1/29/2024 | | | 450,000 | | | | 489,424 | |
| | |
2.63%, 3/15/2024 | | | 40,000 | | | | 42,631 | |
| | |
1.88%, 2/10/2025 | | | 200,000 | | | | 208,294 | |
| | |
2.38%, 5/24/2027 | | | 41,000 | | | | 44,610 | |
| | |
1.63%, 10/9/2029 | | | 105,000 | | | | 109,123 | |
| | |
Inter-American Development Bank (Supranational) | | | | | | | | |
| | |
7.00%, 6/15/2025 | | | 91,000 | | | | 116,708 | |
| | |
3.13%, 9/18/2028 | | | 109,000 | | | | 126,102 | |
| | |
2.25%, 6/18/2029 | | | 95,000 | | | | 103,674 | |
| | |
3.20%, 8/7/2042 | | | 207,000 | | | | 259,850 | |
| | |
4.38%, 1/24/2044 | | | 375,000 | | | | 558,822 | |
| | |
International Bank for Reconstruction & Development (Supranational) | | | | | | | | |
| | |
1.63%, 9/4/2020 | | | 73,000 | | | | 73,149 | |
| | |
1.63%, 3/9/2021 | | | 114,000 | | | | 114,588 | |
| | |
1.38%, 5/24/2021 | | | 130,000 | | | | 130,527 | |
| | |
2.75%, 7/23/2021 | | | 30,000 | | | | 30,723 | |
| | |
2.13%, 12/13/2021 | | | 30,000 | | | | 30,617 | |
| | |
2.00%, 1/26/2022 | | | 440,000 | | | | 448,500 | |
| | |
2.13%, 2/13/2023 | | | 25,000 | | | | 25,860 | |
| | |
2.50%, 3/19/2024 | | | 110,000 | | | | 116,740 | |
| | |
2.50%, 11/25/2024 | | | 50,000 | | | | 53,470 | |
| | |
1.63%, 1/15/2025 | | | 100,000 | | | | 102,906 | |
| | |
2.50%, 7/29/2025 | | | 270,000 | | | | 290,950 | |
| | |
3.13%, 11/20/2025 | | | 70,000 | | | | 78,146 | |
| | |
1.88%, 10/27/2026 | | | 89,000 | | | | 93,435 | |
| | |
2.50%, 11/22/2027 | | | 30,000 | | | | 33,075 | |
| | |
1.75%, 10/23/2029 | | | 175,000 | | | | 183,400 | |
| | |
4.75%, 2/15/2035 | | | 100,000 | | | | 142,333 | |
| | |
International Finance Corp. (Supranational) | | | | | | | | |
| | |
2.25%, 1/25/2021 | | | 25,000 | | | | 25,257 | |
| | |
1.13%, 7/20/2021 | | | 63,000 | | | | 63,092 | |
| | |
2.00%, 10/24/2022 | | | 60,000 | | | | 61,661 | |
| | |
Nordic Investment Bank (Supranational) 2.13%, 2/1/2022 | | | 200,000 | | | | 204,341 | |
| | | | | | | | |
| | |
Total Supranational
(Cost $6,897,997) | | | | | | | 7,215,844 | |
| | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Government Agency Securities — 1.2% | |
| | |
FFCB | | | | | | | | |
| | |
1.68%, 10/13/2020 | | | 50,000 | | | | 50,119 | |
| | |
1.75%, 10/26/2020 | | | 75,000 | | | | 75,108 | |
| | |
1.67%, 3/2/2021 | | | 120,000 | | | | 119,907 | |
| | |
2.55%, 3/11/2021 | | | 100,000 | | | | 101,519 | |
| | |
1.95%, 11/2/2021 | | | 44,000 | | | | 44,628 | |
| | |
1.63%, 12/27/2021 | | | 240,000 | | | | 242,851 | |
| | |
1.85%, 8/5/2022 | | | 34,000 | | | | 34,685 | |
| | |
FHLB | | | | | | | | |
| | |
1.38%, 2/18/2021 | | | 55,000 | | | | 55,121 | |
| | |
3.00%, 10/12/2021 | | | 30,000 | | | | 30,979 | |
| | |
1.63%, 11/19/2021 | | | 25,000 | | | | 25,287 | |
| | |
1.88%, 11/29/2021 | | | 80,000 | | | | 81,266 | |
| | |
2.63%, 12/10/2021 | | | 190,000 | | | | 195,444 | |
| | |
2.38%, 6/10/2022 | | | 25,000 | | | | 25,801 | |
| | |
2.00%, 10/3/2022 | | | 25,000 | | | | 25,008 | |
| | |
3.00%, 12/9/2022 | | | 70,000 | | | | 73,848 | |
| | |
3.38%, 12/8/2023 | | | 100,000 | | | | 108,806 | |
| | |
2.50%, 2/13/2024 | | | 30,000 | | | | 31,748 | |
| | |
2.88%, 9/13/2024 | | | 130,000 | | | | 140,715 | |
| | |
2.75%, 12/13/2024 | | | 100,000 | | | | 108,070 | |
| | |
3.25%, 11/16/2028 | | | 700,000 | | | | 809,477 | |
| | |
2.13%, 9/14/2029 | | | 100,000 | | | | 106,607 | |
| | |
5.63%, 3/14/2036 | | | 50,000 | | | | 75,971 | |
| | |
5.50%, 7/15/2036 | | | 110,000 | | | | 167,782 | |
| | |
FHLMC | | | | | | | | |
| | |
2.38%, 2/16/2021 | | | 148,000 | | | | 149,725 | |
| | |
1.13%, 8/12/2021 | | | 60,000 | | | | 60,140 | |
| | |
2.38%, 1/13/2022 | | | 330,000 | | | | 338,511 | |
| | |
2.75%, 6/19/2023 | | | 282,000 | | | | 298,578 | |
| | |
2.52%, 12/14/2029 (f) | | | 80,000 | | | | 67,999 | |
| | |
6.25%, 7/15/2032 | | | 40,000 | | | | 61,661 | |
| | |
FNMA | | | | | | | | |
| | |
2.88%, 10/30/2020 | | | 30,000 | | | | 30,298 | |
| | |
2.50%, 4/13/2021 | | | 84,000 | | | | 85,403 | |
| | |
1.25%, 5/6/2021 | | | 34,000 | | | | 34,091 | |
| | |
1.25%, 8/17/2021 | | | 36,000 | | | | 36,137 | |
| | |
2.00%, 1/5/2022 | | | 310,000 | | | | 315,919 | |
| | |
2.25%, 4/12/2022 | | | 68,000 | | | | 69,875 | |
| | |
1.38%, 9/6/2022 | | | 62,000 | | | | 62,675 | |
| | |
2.38%, 1/19/2023 | | | 121,000 | | | | 125,980 | |
| | |
2.88%, 9/12/2023 | | | 400,000 | | | | 427,071 | |
| | |
2.50%, 2/5/2024 | | | 161,000 | | | | 170,528 | |
| | |
2.63%, 9/6/2024 | | | 55,000 | | | | 58,922 | |
| | |
2.13%, 4/24/2026 | | | 165,000 | | | | 174,586 | |
| | |
1.88%, 9/24/2026 | | | 50,000 | | | | 52,259 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 145 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
U.S. Government Agency Securities — continued | |
| | |
6.25%, 5/15/2029 | | | 50,000 | | | | 71,258 | |
| | |
7.13%, 1/15/2030 | | | 31,000 | | | | 47,355 | |
| | |
6.63%, 11/15/2030 | | | 50,000 | | | | 75,518 | |
| | |
6.21%, 8/6/2038 | | | 45,000 | | | | 75,356 | |
| | |
Israel Government AID Bond (Israel) 5.50%, 12/4/2023 | | | 145,000 | | | | 168,231 | |
| | |
Tennessee Valley Authority | | | | | | | | |
| | |
3.88%, 2/15/2021 | | | 20,000 | | | | 20,516 | |
| | |
1.88%, 8/15/2022 | | | 129,000 | | | | 131,781 | |
| | |
7.13%, 5/1/2030 | | | 166,000 | | | | 253,281 | |
| | |
6.15%, 1/15/2038 | | | 35,000 | | | | 56,516 | |
| | |
3.50%, 12/15/2042 | | | 50,000 | | | | 62,563 | |
| | |
5.38%, 4/1/2056 | | | 30,000 | | | | 52,393 | |
| | |
4.25%, 9/15/2065 | | | 10,000 | | | | 15,372 | |
| | | | | | | | |
| | |
Total U.S. Government Agency Securities
(Cost $6,156,394) | | | | | | | 6,381,245 | |
| | | | | |
Municipal Bonds — 0.6%(g) | | | | | | | | |
| | |
California — 0.2% | | | | | | | | |
|
Education — 0.0%(c) | |
| | |
California State University, Systemwide Series 2018B, Rev., 3.27%, 11/1/2024 | | | 40,000 | | | | 43,843 | |
| | |
Regents of the University of California Medical Center Pooled Series H, Rev., 6.55%, 5/15/2048 | | | 40,000 | | | | 64,390 | |
| | |
University of California Series 2017AX, Rev., 3.06%, 7/1/2025 | | | 55,000 | | | | 59,829 | |
| | | | | | | | |
| | |
| | | | | | | 168,062 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Los Angeles Unified School District, Build America Bonds | | | | | | | | |
| | |
GO, 5.75%, 7/1/2034 | | | 20,000 | | | | 27,383 | |
| | |
Series 2010RY, GO, 6.76%, 7/1/2034 | | | 5,000 | | | | 7,425 | |
| | |
State of California Series 2018, GO, 2.80%, 4/1/2021 | | | 35,000 | | | | 35,532 | |
| | |
State of California, Various Purpose | | | | | | | | |
| | |
GO, 5.70%, 11/1/2021 | | | 50,000 | | | | 53,279 | |
| | |
GO, 7.50%, 4/1/2034 | | | 25,000 | | | | 40,744 | |
| | |
GO, 7.55%, 4/1/2039 | | | 200,000 | | | | 342,362 | |
| | |
GO, 7.60%, 11/1/2040 | | | 25,000 | | | | 44,856 | |
| | | | | | | | |
| | |
| | | | | | | 551,581 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Bay Area Toll Authority, Toll Bridge, San Francisco Bay Area Series2010S-1, Rev., 6.92%, 4/1/2040 | | | 40,000 | | | | 63,579 | |
| | |
Santa Clara Valley Transportation Authority Rev., 5.88%, 4/1/2032 | | | 215,000 | | | | 275,492 | |
| | | | | | | | |
| | |
| | | | | | | 339,071 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Utility — 0.0%(c) | |
| | |
State of California Department of Water Resources Power Supply Series 2016P, Rev., 2.00%, 5/1/2022 | | | 35,000 | | | | 35,722 | |
| | | | | | | | |
| | |
Total California | | | | | | | 1,094,436 | |
| | | | | | | | |
|
Connecticut — 0.0%(c) | |
|
General Obligation — 0.0%(c) | |
| | |
State of Connecticut Series A, GO, 5.85%, 3/15/2032 | | | 75,000 | | | | 103,205 | |
| | | | | | | | |
|
Florida — 0.0%(c) | |
|
Other Revenue — 0.0%(c) | |
| | |
State Board of Administration Finance Corp. | | | | | | | | |
| | |
Series 2013A, Rev., 3.00%, 7/1/2020 | | | 45,000 | | | | 45,214 | |
| | |
Series 2016A, Rev., 2.64%, 7/1/2021 | | | 100,000 | | | | 101,810 | |
| | | | | | | | |
| | |
| | | | | | | 147,024 | |
| | | | | | | | |
| | |
Total Florida | | | | | | | 147,024 | |
| | | | | | | | |
|
Illinois — 0.1% | |
|
General Obligation — 0.1% | |
| | |
Metropolitan Water Reclamation District of Greater Chicago, Build America Bonds GO, 5.72%, 12/1/2038 | | | 55,000 | | | | 78,669 | |
| | |
State of Illinois GO, 5.10%, 6/1/2033 | | | 160,000 | | | | 188,037 | |
| | |
State of Illinois, Taxable Pension Series 2003, GO, 4.95%, 6/1/2023 | | | 65,455 | | | | 68,711 | |
| | | | | | | | |
| | |
| | | | | | | 335,417 | |
| | | | | | | | |
|
Other Revenue — 0.0%(c) | |
| | |
Sales Tax Securitization Corp. Series 2019A, Rev., 4.64%, 1/1/2040 | | | 60,000 | | | | 73,986 | |
| | | | | | | | |
|
Transportation — 0.0%(c) | |
| | |
Chicago O’Hare International Airport, General Airport, Senior Lien Series 2018C, Rev., 4.47%, 1/1/2049 | | | 25,000 | | | | 33,897 | |
| | | | | | | | |
| | |
Total Illinois | | | | | | | 443,300 | |
| | | | | | | | |
|
Massachusetts — 0.0%(c) | |
|
General Obligation — 0.0%(c) | |
| | |
Commonwealth of Massachusetts, Consolidated Loan of 2010, Build America Bonds | | | | | | | | |
| | |
Series 2010E, GO, 4.20%, 12/1/2021 | | | 40,000 | | | | 41,412 | |
| | |
Series A, GO, 4.91%, 5/1/2029 | | | 15,000 | | | | 18,583 | |
| | | | | | | | |
| | |
| | | | | | | 59,995 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 59,995 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 146 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | | | | | | | | |
|
Missouri — 0.0%(c) | |
|
Hospital — 0.0%(c) | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Educational Facilities, The Washington University Series 2017A, Rev., 3.65%, 8/15/2057 | | | 45,000 | | | | 57,657 | |
| | | | | | | | |
|
Nebraska — 0.0%(c) | |
|
Education — 0.0%(c) | |
| | |
University of Nebraska Facilities Corp. Series 2019A, Rev., 3.04%, 10/1/2049 | | | 50,000 | | | | 54,548 | |
| | | | | | | | |
|
New Jersey — 0.1% | |
|
Other Revenue — 0.0%(c) | |
| | |
New Jersey Economic Development Authority, Pension Funding | | | | | | | | |
| | |
Series 1997B, Rev., AGM, Zero Coupon, 2/15/2023 | | | 40,000 | | | | 38,295 | |
| | |
Series 1997A, Rev.,NATL-RE, 7.43%, 2/15/2029 | | | 35,000 | | | | 46,620 | |
| | | | | | | | |
| | |
| | | | | | | 84,915 | |
| | | | | | | | |
|
Prerefunded — 0.0%(c) | |
| | |
New Jersey Transportation Trust Fund Authority, Build America Bonds Series C, Rev., 6.10%, 12/15/2028 (h) | | | 145,000 | | | | 150,288 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
New Jersey Transportation Trust Fund Authority, Build America Bonds Series 2010C, Rev., 5.75%, 12/15/2028 | | | 155,000 | | | | 185,902 | |
| | |
New Jersey Turnpike Authority, Build America Bonds Series F, Rev., 7.41%, 1/1/2040 | | | 10,000 | | | | 17,304 | |
| | | | | | | | |
| | |
| | | | | | | 203,206 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 438,409 | |
| | | | | | | | |
|
New York — 0.1% | |
|
General Obligation — 0.0%(c) | |
| | |
City of New York, Build America Bonds SeriesH-1, GO, 6.25%, 6/1/2035 | | | 25,000 | | | | 25,300 | |
| | |
City of New York, Fiscal Year 2010, Build America Bonds SubseriesA-2, GO, 5.21%, 10/1/2031 | | | 25,000 | | | | 31,548 | |
| | | | | | | | |
| | |
| | | | | | | 56,848 | |
| | | | | | | | |
|
Special Tax — 0.0%(c) | |
| | |
New York State Urban Development Corp., State Personal Income Tax, Build America Bonds Series 2009E, Rev., 5.77%, 3/15/2039 | | | 25,000 | | | | 32,182 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Port Authority of New York and New Jersey | | | | | | | | |
| | |
Series 182, Rev., 5.31%, 8/1/2046 | | | 60,000 | | | | 68,555 | |
| | |
Rev., 4.81%, 10/15/2065 | | | 120,000 | | | | 175,671 | |
| | |
Port Authority of New York and New Jersey, Consolidated Series 174, Rev., 4.46%, 10/1/2062 | | | 30,000 | | | | 41,619 | |
| | | | | | | | |
| | |
| | | | | | | 285,845 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(c) | |
| | |
New York City Water and Sewer System, Second General Resolution Series GG, Rev., 5.72%, 6/15/2042 | | | 40,000 | | | | 62,452 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 437,327 | |
| | | | | | | | |
|
Ohio — 0.0%(c) | |
|
Utility — 0.0%(c) | |
| | |
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2010B, Rev., 7.83%, 2/15/2041 | | | 25,000 | | | | 43,021 | |
| | | | | | | | |
|
Oregon — 0.0%(c) | |
|
General Obligation — 0.0%(c) | |
| | |
State of Oregon GO, 5.76%, 6/1/2023 | | | 33,809 | | | | 36,505 | |
| | | | | | | | |
|
Texas — 0.1% | |
|
Education — 0.0%(c) | |
| | |
Permanent University Fund — Texas A&M University System Series B, Rev., 3.66%, 7/1/2047 | | | 20,000 | | | | 22,018 | |
| | | | | | | | |
|
General Obligation — 0.0%(c) | |
| | |
City of Houston GO, 3.96%, 3/1/2047 | | | 40,000 | | | | 50,345 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Texas Transportation Commission State Highway Fund, First Tier Rev., 5.18%, 4/1/2030 | | | 125,000 | | | | 158,211 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 230,574 | |
| | | | | | | | |
|
Virginia — 0.0%(c) | |
|
Education — 0.0%(c) | |
| | |
University of Virginia, Federally Taxable Series 2019A, Rev., 3.23%, 9/1/2119 | | | 25,000 | | | | 28,964 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $2,977,176) | | | | | | | 3,174,965 | |
| | | | | | | | |
Asset-Backed Securities — 0.4% | |
| | |
Ally Auto Receivables Trust Series2018-2, Class A3, 2.92%, 11/15/2022 26,384 | | | | | | | 26,651 | |
| | |
Ally Master Owner Trust Series2018-1, Class A2, 2.70%, 1/17/2023 30,000 | | | | | | | 30,358 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 147 | |
JPMorgan U.S. Aggregate Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
American Express Credit Account Master Trust Series2018-6, Class A, 3.06%, 2/15/2024 | | | 100,000 | | | | 102,588 | |
| | |
AmeriCredit Automobile Receivables Trust | | | | | | | | |
| | |
Series2018-1, Class A3, 3.07%, 12/19/2022 | | | 17,114 | | | | 17,264 | |
| | |
Series2019-1, Class A3, 2.97%, 11/20/2023 | | | 70,000 | | | | 71,382 | |
| | |
Series2018-1, Class C, 3.50%, 1/18/2024 | | | 15,000 | | | | 15,604 | |
| | |
BA Credit Card Trust | | | | | | | | |
| | |
Series2018-A1, Class A1, 2.70%, 7/17/2023 | | | 40,000 | | | | 40,560 | |
| | |
Series2018-A3, Class A3, 3.10%, 12/15/2023 | | | 70,000 | | | | 71,770 | |
| | |
Capital One Multi-Asset Execution Trust | | | | | | | | |
| | |
Series2015-A8, Class A8, 2.05%, 8/15/2023 | | | 20,000 | | | | 20,095 | |
| | |
Series2016-A5, Class A5, 1.66%, 6/17/2024 | | | 20,000 | | | | 20,127 | |
| | |
Series2019-A1, Class A1, 2.84%, 12/15/2024 | | | 50,000 | | | | 51,682 | |
| | |
Series2017-A6, Class A6, 2.29%, 7/15/2025 | | | 10,000 | | | | 10,294 | |
| | |
Series2019-A3, Class A3, 2.06%, 8/15/2028 | | | 400,000 | | | | 412,650 | |
| | |
CarMax Auto Owner Trust | | | | | | | | |
| | |
Series2016-4, Class A4, 1.60%, 6/15/2022 | | | 20,000 | | | | 20,051 | |
| | |
Series2016-1, Class D, 3.11%, 8/15/2022 | | | 26,000 | | | | 26,040 | |
| | |
Series2019-4, Class A2A, 2.01%, 3/15/2023 | | | 35,000 | | | | 35,250 | |
| | |
Series2018-1, Class A4, 2.64%, 6/15/2023 | | | 25,000 | | | | 25,617 | |
| | |
Series2018-1, Class D, 3.37%, 7/15/2024 | | | 50,000 | | | | 51,452 | |
| | |
Citibank Credit Card Issuance Trust | | | | | | | | |
| | |
Series2018-A1, Class A1, 2.49%, 1/20/2023 | | | 70,000 | | | | 70,678 | |
| | |
Series2018-A6, Class A6, 3.21%, 12/7/2024 | | | 50,000 | | | | 52,773 | |
| | |
Series2018-A7, Class A7, 3.96%, 10/13/2030 | | | 100,000 | | | | 118,446 | |
| | |
Discover Card Execution Note Trust | | | | | | | | |
| | |
Series2018-A4, Class A4, 3.11%, 1/16/2024 | | | 40,000 | | | | 41,043 | |
| | |
Series2018-A1, Class A1, 3.03%, 8/15/2025 | | | 18,000 | | | | 18,969 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Drive Auto Receivables Trust | | | | | | | | |
| | |
Series2018-1, Class D, 3.81%, 5/15/2024 | | | 46,000 | | | | 46,955 | |
| | |
Ford Credit Auto Owner Trust | | | | | | | | |
| | |
Series2018-A, Class A3, 3.03%, 11/15/2022 | | | 42,515 | | | | 43,070 | |
| | |
Ford Credit Floorplan Master Owner Trust A | | | | | | | | |
| | |
Series2017-2, Class A1, 2.16%, 9/15/2022 | | | 20,000 | | | | 20,088 | |
| | |
Series2018-1, Class A1, 2.95%, 5/15/2023 | | | 30,000 | | | | 30,553 | |
| | |
Series2019-3, Class A1, 2.23%, 9/15/2024 | | | 75,000 | | | | 76,830 | |
| | |
GM Financial Automobile Leasing Trust Series2019-1, Class A3, 2.98%, 12/20/2021 | | | 25,000 | | | | 25,302 | |
| | |
GM Financial Consumer Automobile Receivables Trust | | | | | | | | |
| | |
Series2018-3, Class A3, 3.02%, 5/16/2023 | | | 25,000 | | | | 25,408 | |
| | |
Series2018-4, Class A3, 3.21%, 10/16/2023 | | | 20,000 | | | | 20,465 | |
| | |
Honda Auto Receivables Owner Trust | | | | | | | | |
| | |
Series2018-1, Class A3, 2.64%, 2/15/2022 | | | 13,919 | | | | 14,027 | |
| | |
Series2016-4, Class A4, 1.36%, 1/18/2023 | | | 67,000 | | | | 66,996 | |
| | |
Hyundai Auto Receivables Trust Series2016-B, Class C, 2.19%, 11/15/2022 | | | 20,000 | | | | 20,176 | |
| | |
Nissan Auto Lease Trust Series2019-B, Class A3, 2.27%, 7/15/2022 | | | 25,000 | | | | 25,338 | |
| | |
Nissan Auto Receivables Owner Trust | | | | | | | | |
| | |
Series2018-C, Class A3, 3.22%, 6/15/2023 | | | 35,000 | | | | 35,876 | |
| | |
Series2019-A, Class A3, 2.90%, 10/16/2023 | | | 25,000 | | | | 25,601 | |
| | |
Santander Drive Auto Receivables Trust | | | | | | | | |
| | |
Series2018-3, Class C, 3.51%, 8/15/2023 | | | 25,000 | | | | 25,345 | |
| | |
Series2019-1, Class C, 3.42%, 4/15/2025 | | | 20,000 | | | | 20,444 | |
| | |
Synchrony Credit Card Master Note Trust Series2018-2, Class A, 3.47%, 5/15/2026 | | | 50,000 | | | | 53,364 | |
| | |
Toyota Auto Receivables Owner Trust | | | | | | | | |
| | |
Series2018-C, Class A3, 3.02%, 12/15/2022 | | | 70,000 | | | | 71,389 | |
| | |
Series2019-D, Class A3, 1.92%, 1/16/2024 | | | 50,000 | | | | 50,826 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 148 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
World Omni Auto Receivables Trust Series2018-D, Class A3, 3.33%, 4/15/2024 | | | 70,000 | | | | 72,072 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities
(Cost $2,086,921) | | | | | | | 2,121,469 | |
| | | | | | | | |
| | |
| | |
SHARES | | | | |
Short-Term Investments — 0.2% | | | | | | | | |
|
Investment Companies — 0.2% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (i) (j)
(Cost $1,208,867) | | | 1,208,867 | | | | 1,208,867 | |
| | | | | | | | |
| |
Total Investments — 99.0%
(Cost $517,632,109) | | | | 537,578,477 | |
| |
Other Assets Less Liabilities — 1.0% | | | | 5,492,469 | |
| | | | | | | | |
| |
NET ASSETS — 100.0% | | | | 543,070,946 | |
| | | | | | | | |
Percentages indicated are based on net assets.
| | |
Abbreviations |
| |
| ACES | | Alternative Credit Enhancement Securities |
| AGM | | Insured by Assured Guaranty Municipal Corp. |
| FFCB | | Federal Farm Credit Bank |
| FHLB | | Federal Home Loan Bank |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| GNMA | | Government National Mortgage Association |
| GO | | General Obligation |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| NATL | | Insured by National Public Finance Guarantee Corp. |
| RE | | Reinsured |
| REIT | | Real Estate Investment Trust |
| Rev. | | Revenue |
| USD | | United States Dollar |
| |
| (a) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (b) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (c) | | Amount rounds to less than 0.1% of net assets. |
| (d) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| (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 is the current rate as of February 29, 2020. |
| (f) | | The rate shown is the effective yield as of February 29, 2020. |
| (g) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
| (h) | | Security is prerefunded or escrowed to maturity. |
| (i) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (j) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 149 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — 60.8% | |
|
Aerospace & Defense — 0.1% | |
| | |
General Dynamics Corp. (ICE LIBOR USD 3 Month + 0.29%), 2.02%, 5/11/2020 (a) | | | 834,000 | | | | 834,419 | |
| | |
United Technologies Corp. (ICE LIBOR USD 3 Month + 0.65%), 2.34%, 8/16/2021 (a) | | | 6,881,000 | | | | 6,881,069 | |
| | | | | | | | |
| | |
| | | | | | | 7,715,488 | |
| | | | | | | | |
|
Automobiles — 2.1% | |
| | |
BMW US Capital LLC (Germany) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.38%), 2.25%, 4/6/2020 (a) (b) | | | 15,489,000 | | | | 15,499,285 | |
| | |
(ICE LIBOR USD 3 Month + 0.41%), 2.26%, 4/12/2021 (a) (b) | | | 12,300,000 | | | | 12,345,653 | |
| | |
3.10%, 4/12/2021 (b) | | | 6,383,000 | | | | 6,504,415 | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.21%, 8/13/2021 (a) (b) | | | 979,000 | | | | 984,176 | |
| | |
(ICE LIBOR USD 3 Month + 0.64%), 2.54%, 4/6/2022 (a) (b) | | | 10,500,000 | | | | 10,574,061 | |
| | |
Daimler Finance North America LLC (Germany) | | | | | | | | |
| | |
2.25%, 3/2/2020 (b) | | | 19,324,000 | | | | 19,324,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.39%), 2.14%, 5/4/2020 (a) (b) | | | 6,242,000 | | | | 6,244,559 | |
| | |
3.10%, 5/4/2020 (b) | | | 6,874,000 | | | | 6,889,705 | |
| | |
2.20%, 5/5/2020 (b) | | | 2,405,000 | | | | 2,406,513 | |
| | |
(ICE LIBOR USD 3 Month + 0.53%), 2.27%, 5/5/2020 (a) (b) | | | 3,745,000 | | | | 3,749,557 | |
| | |
2.70%, 8/3/2020 (b) | | | 5,567,000 | | | | 5,588,856 | |
| | |
(ICE LIBOR USD 3 Month + 0.43%), 2.14%, 2/12/2021 (a) (b) | | | 3,400,000 | | | | 3,402,414 | |
| | |
(ICE LIBOR USD 3 Month + 0.45%), 2.13%, 2/22/2021 (a) (b) | | | 2,600,000 | | | | 2,606,192 | |
| | |
(ICE LIBOR USD 3 Month + 0.90%), 2.59%, 2/15/2022 (a) (b) | | | 24,697,000 | | | | 24,923,575 | |
| | |
(ICE LIBOR USD 3 Month + 0.88%), 2.56%, 2/22/2022 (a) (b) | | | 28,500,000 | | | | 28,634,149 | |
| | |
3.40%, 2/22/2022 (b) | | | 15,649,000 | | | | 16,115,282 | |
| | |
2.55%, 8/15/2022 (b) | | | 3,106,000 | | | | 3,159,565 | |
| | |
Hyundai Capital America | | | | | | | | |
| | |
3.00%, 10/30/2020 (b) | | | 7,778,000 | | | | 7,863,072 | |
| | |
3.45%, 3/12/2021 (b) | | | 14,976,000 | | | | 15,247,440 | |
| | |
3.00%, 3/18/2021 (b) | | | 5,245,000 | | | | 5,307,928 | |
| | |
Nissan Motor Acceptance Corp. | | | | | | | | |
| | |
2.13%, 3/3/2020 (b) | | | 4,651,000 | | | | 4,651,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.39%), 2.35%, 9/28/2020 (a) (b) | | | 5,350,000 | | | | 5,357,953 | |
| | |
1.90%, 9/14/2021 (b) | | | 1,150,000 | | | | 1,151,575 | |
| | |
3.65%, 9/21/2021 (b) | | | 3,382,000 | | | | 3,480,801 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Automobiles — continued | |
| | |
Volkswagen Group of America Finance LLC (Germany) | | | | | | | | |
| | |
2.40%, 5/22/2020 (b) | | | 1,700,000 | | | | 1,703,255 | |
| | |
(ICE LIBOR USD 3 Month + 0.86%), 2.79%, 9/24/2021 (a) (b) | | | 20,466,000 | | | | 20,658,016 | |
| | |
(ICE LIBOR USD 3 Month + 0.94%), 2.65%, 11/12/2021 (a) (b) | | | 5,700,000 | | | | 5,756,833 | |
| | | | | | | | |
| | |
| | | | | | | 240,129,830 | |
| | | | | | | | |
|
Banks — 27.6% | |
| | |
ABN AMRO Bank NV (Netherlands) | | | | | | | | |
| | |
2.45%, 6/4/2020 (b) | | | 27,049,000 | | | | 27,108,724 | |
| | |
(ICE LIBOR USD 3 Month + 0.41%), 2.23%, 1/19/2021 (a) (b) | | | 4,400,000 | | | | 4,408,563 | |
| | |
2.65%, 1/19/2021 (b) | | | 5,318,000 | | | | 5,374,371 | |
| | |
(ICE LIBOR USD 3 Month + 0.57%), 2.21%, 8/27/2021 (a) (b) | | | 22,178,000 | | | | 22,285,785 | |
| | |
3.40%, 8/27/2021 (b) | | | 30,790,000 | | | | 31,678,188 | |
| | |
ANZ New Zealand Int’l Ltd. (New Zealand) | | | | | | | | |
| | |
2.20%, 7/17/2020 (b) | | | 17,556,000 | | | | 17,603,091 | |
| | |
2.85%, 8/6/2020 (b) | | | 2,900,000 | | | | 2,917,371 | |
| | |
2.75%, 1/22/2021 (b) (c) | | | 7,761,000 | | | | 7,863,635 | |
| | |
2.75%, 2/3/2021 (b) | | | 1,635,000 | | | | 1,652,158 | |
| | |
(ICE LIBOR USD 3 Month + 1.01%), 2.81%, 7/28/2021 (a) (b) | | | 13,356,000 | | | | 13,512,664 | |
| | |
2.88%, 1/25/2022 (b) | | | 225,000 | | | | 230,841 | |
| | |
Australia & New Zealand Banking Group Ltd. (Australia) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.23%, 7/2/2020 (a) (b) | | | 3,000,000 | | | | 3,004,440 | |
| | |
2.13%, 8/19/2020 | | | 24,223,000 | | | | 24,299,681 | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.05%, 11/9/2020 (a) (b) | | | 4,341,000 | | | | 4,347,294 | |
| | |
2.25%, 11/9/2020 | | | 14,135,000 | | | | 14,197,695 | |
| | |
(ICE LIBOR USD 3 Month + 0.46%), 2.15%, 5/17/2021 (a) (b) | | | 2,300,000 | | | | 2,309,949 | |
| | |
(ICE LIBOR USD 3 Month + 0.99%), 2.90%, 6/1/2021 (a) (b) | | | 2,100,000 | | | | 2,123,436 | |
| | |
(ICE LIBOR USD 3 Month + 0.87%), 2.55%, 11/23/2021 (a) (b) | | | 1,470,000 | | | | 1,487,214 | |
| | |
Bank of America Corp. | | | | | | | | |
| | |
Series L, 2.25%, 4/21/2020 | | | 11,965,000 | | | | 11,973,344 | |
| | |
5.00%, 5/13/2021 | | | 2,060,000 | | | | 2,144,849 | |
| | |
(ICE LIBOR USD 3 Month + 0.63%), 2.33%, 10/1/2021 (a) | | | 20,659,000 | | | | 20,739,650 | |
| | |
(ICE LIBOR USD 3 Month + 0.37%), 2.74%, 1/23/2022 (a) | | | 3,191,000 | | | | 3,222,346 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 150 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.60%, 6/25/2022 (a) | | | 10,680,000 | | | | 10,730,452 | |
| | |
(ICE LIBOR USD 3 Month + 1.18%), 3.00%, 10/21/2022 (a) | | | 18,504,000 | | | | 18,810,369 | |
| | |
Bank of America NA | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.35%), 2.03%, 5/24/2021 (a) | | | 35,876,000 | | | | 35,897,770 | |
| | |
Bank of Montreal (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.20%, 1/22/2021 (a) | | | 69,769,000 | | | | 69,927,413 | |
| | |
Series D, (ICE LIBOR USD 3 Month + 0.46%), 2.31%, 4/13/2021 (a) | | | 1,819,000 | | | | 1,820,928 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.29%, 9/10/2021 (a) | | | 42,000,000 | | | | 42,151,269 | |
| | |
(ICE LIBOR USD 3 Month + 0.57%), 2.52%, 3/26/2022 (a) | | | 30,500,000 | | | | 30,704,003 | |
| | |
Bank of Nova Scotia (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.42%), 2.21%, 1/25/2021 (a) | | | 52,500,000 | | | | 52,616,290 | |
| | |
(ICE LIBOR USD 3 Month + 0.64%), 2.53%, 3/7/2022 (a) | | | 10,098,000 | | | | 10,132,464 | |
| | |
Banque Federative du Credit Mutuel SA (France) 2.20%, 7/20/2020 (b) | | | 13,530,000 | | | | 13,561,971 | |
| | |
(ICE LIBOR USD 3 Month + 0.49%), 2.31%, 7/20/2020 (a) (b) | | | 750,000 | | | | 751,588 | |
| | |
2.75%, 10/15/2020 (b) | | | 33,626,000 | | | | 33,857,276 | |
| | |
1.96%, 7/21/2021 (b) | | | 54,200,000 | | | | 54,654,426 | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.55%, 7/20/2022 (a) (b) | | | 30,361,000 | | | | 30,690,952 | |
| | |
2.70%, 7/20/2022 (b) | | | 6,896,000 | | | | 7,112,822 | |
| | |
2.13%, 11/21/2022 (b) | | | 3,950,000 | | | | 4,015,418 | |
| | |
Barclays Bank plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.39%, 8/7/2020 (a) | | | 1,886,000 | | | | 1,890,419 | |
| | |
2.65%, 1/11/2021 | | | 2,375,000 | | | | 2,394,802 | |
| | |
Barclays plc (United Kingdom) 3.20%, 8/10/2021 | | | 1,450,000 | | | | 1,475,528 | |
| | |
(ICE LIBOR USD 3 Month + 2.11%), 3.84%, 8/10/2021 (a) | | | 20,800,000 | | | | 21,257,600 | |
| | |
BBVA USA | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.62%, 6/11/2021 (a) | | | 9,511,000 | | | | 9,554,174 | |
| | |
BNP Paribas SA (France) | | | | | | | | |
| | |
2.38%, 5/21/2020 | | | 13,894,000 | | | | 13,916,800 | |
| | |
5.00%, 1/15/2021 | | | 12,156,000 | | | | 12,505,158 | |
| | |
(ICE LIBOR USD 3 Month + 0.39%), 2.13%, 8/7/2021 (a) (b) | | | 55,000,000 | | | | 55,201,145 | |
| | |
2.95%, 5/23/2022 (b) | | | 4,385,000 | | | | 4,522,737 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
BNZ International Funding Ltd. (New Zealand) 2.10%, 9/14/2021 (b) | | | 6,954,000 | | | | 7,029,962 | |
| | |
(ICE LIBOR USD 3 Month + 0.98%), 2.87%, 9/14/2021 (a) (b) | | | 21,969,000 | | | | 22,229,624 | |
| | |
Canadian Imperial Bank of Commerce (Canada) 2.70%, 2/2/2021 | | | 2,470,000 | | | | 2,495,330 | |
| | |
Capital One NA | | | | | | | | |
| | |
2.95%, 7/23/2021 | | | 4,410,000 | | | | 4,492,164 | |
| | |
2.25%, 9/13/2021 | | | 4,212,000 | | | | 4,254,162 | |
| | |
(ICE LIBOR USD 3 Month + 0.82%),
2.55%, 8/8/2022 (a) | | | 17,800,000 | | | | 18,004,631 | |
| | |
2.15%, 9/6/2022 | | | 15,900,000 | | | | 16,059,481 | |
| | |
Citibank NA | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.39%, 6/12/2020 (a) | | | 1,690,000 | | | | 1,691,521 | |
| | |
2.13%, 10/20/2020 | | | 2,100,000 | | | | 2,109,224 | |
| | |
2.85%, 2/12/2021 | | | 12,322,000 | | | | 12,439,589 | |
| | |
(ICE LIBOR USD 3 Month + 0.57%), 2.38%, 7/23/2021 (a) | | | 9,059,000 | | | | 9,100,309 | |
| | |
3.40%, 7/23/2021 | | | 850,000 | | | | 870,210 | |
| | |
(ICE LIBOR USD 3 Month + 0.53%), 2.22%, 2/19/2022 (a) | | | 31,435,000 | | | | 31,540,850 | |
| | |
(ICE LIBOR USD 3 Month + 0.53%), 3.16%, 2/19/2022 (a) | | | 22,000,000 | | | | 22,322,050 | |
| | |
Citigroup, Inc. 2.70%, 3/30/2021 | | | 3,754,000 | | | | 3,793,853 | |
| | |
(ICE LIBOR USD 3 Month + 1.38%), 3.34%, 3/30/2021 (a) | | | 9,373,000 | | | | 9,497,911 | |
| | |
(ICE LIBOR USD 3 Month + 1.19%), 2.95%, 8/2/2021 (a) | | | 7,950,000 | | | | 8,067,340 | |
| | |
2.90%, 12/8/2021 | | | 4,511,000 | | | | 4,603,446 | |
| | |
(ICE LIBOR USD 3 Month + 1.07%), 2.95%, 12/8/2021 (a) | | | 6,850,000 | | | | 6,925,788 | |
| | |
2.75%, 4/25/2022 | | | 7,335,000 | | | | 7,502,664 | |
| | |
(SOFR + 0.87%), 2.31%, 11/4/2022 (a) | | | 6,152,000 | | | | 6,206,397 | |
| | |
Citizens Bank NA 2.25%, 3/2/2020 | | | 34,000,000 | | | | 34,000,000 | |
| | |
(ICE LIBOR USD 3 Month + 0.54%), 2.45%, 3/2/2020 (a) | | | 10,400,000 | | | | 10,400,000 | |
| | |
2.20%, 5/26/2020 | | | 6,668,000 | | | | 6,673,652 | |
| | |
(ICE LIBOR USD 3 Month + 0.57%), 2.22%, 5/26/2020 (a) | | | 3,900,000 | | | | 3,903,960 | |
| | |
2.25%, 10/30/2020 | | | 28,030,000 | | | | 28,097,269 | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 2.42%, 2/14/2022 (a) | | | 13,543,000 | | | | 13,633,811 | |
| | |
Comerica Bank 2.50%, 6/2/2020 | | | 20,077,000 | | | | 20,113,405 | |
| | |
Commonwealth Bank of Australia (Australia) 2.25%, 3/10/2020 (b) | | | 11,042,000 | | | | 11,043,563 | |
| | |
(ICE LIBOR USD 3 Month + 0.45%), 2.34%, 3/10/2020 (a) (b) | | | 1,180,000 | | | | 1,180,214 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 151 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
2.30%, 3/12/2020 | | | 3,150,000 | | | | 3,150,504 | |
| | |
(ICE LIBOR USD 3 Month + 0.68%), 2.58%, 9/18/2022 (a) (b) | | | 20,500,000 | | | | 20,620,253 | |
| | |
Cooperatieve Rabobank UA (Netherlands) 2.50%, 1/19/2021 | | | 74,670,000 | | | | 75,408,395 | |
| | |
(ICE LIBOR USD 3 Month + 0.43%), 2.22%, 4/26/2021 (a) | | | 4,750,000 | | | | 4,771,268 | |
| | |
3.13%, 4/26/2021 | | | 12,586,000 | | | | 12,852,136 | |
| | |
(ICE LIBOR USD 3 Month + 0.83%), 2.66%, 1/10/2022 (a) | | | 3,700,000 | | | | 3,738,572 | |
| | |
2.75%, 1/10/2022 | | | 420,000 | | | | 429,709 | |
| | |
3.88%, 2/8/2022 | | | 5,000,000 | | | | 5,234,867 | |
| | |
Credit Agricole Corporate & Investment Bank SA (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.63%), 2.53%, 10/3/2021 (a) | | | 32,889,000 | | | | 32,979,145 | |
| | |
Credit Agricole SA (France) 2.75%, 6/10/2020 (b) | | | 25,670,000 | | | | 25,768,317 | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 2.86%, 6/10/2020 (a) (b) | | | 3,549,000 | | | | 3,556,843 | |
| | |
2.38%, 7/1/2021 (b) | | | 497,000 | | | | 504,258 | |
| | |
(ICE LIBOR USD 3 Month + 1.18%), 3.09%, 7/1/2021 (a) (b) | | | 6,523,000 | | | | 6,616,688 | |
| | |
Credit Suisse Group Funding Guernsey Ltd. (Switzerland) 3.13%, 12/10/2020 | | | 51,883,000 | | | | 52,413,404 | |
| | |
3.45%, 4/16/2021 | | | 17,850,000 | | | | 18,204,983 | |
| | |
(ICE LIBOR USD 3 Month + 2.29%), 4.11%, 4/16/2021 (a) | | | 6,956,000 | | | | 7,125,161 | |
| | |
DBS Group Holdings Ltd. (Singapore) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.49%), 2.37%, 6/8/2020 (a) (b) | | | 9,339,000 | | | | 9,342,970 | |
| | |
2.85%, 4/16/2022 (b) | | | 18,777,000 | | | | 19,305,103 | |
| | |
DNB Bank ASA (Norway) 2.13%, 10/2/2020 (b) | | | 8,133,000 | | | | 8,173,181 | |
| | |
(ICE LIBOR USD 3 Month + 0.37%), 2.28%, 10/2/2020 (a) (b) | | | 7,500,000 | | | | 7,507,320 | |
| | |
2.38%, 6/2/2021 (b) | | | 30,879,000 | | | | 31,263,984 | |
| | |
2.15%, 12/2/2022 (b) | | | 56,880,000 | | | | 57,773,961 | |
| | |
Federation des Caisses Desjardins du Quebec (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.33%), 2.10%, 10/30/2020 (a) (b) | | | 700,000 | | | | 701,541 | |
| | |
2.25%, 10/30/2020 (b) | | | 85,437,000 | | | | 85,830,076 | |
| | |
Fifth Third Bancorp 2.88%, 7/27/2020 | | | 46,641,000 | | | | 46,824,115 | |
| | |
Fifth Third Bank | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.25%), 2.02%, 10/30/2020 (a) | | | 9,905,000 | | | | 9,917,428 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
2.20%, 10/30/2020 | | | 9,340,000 | | | | 9,367,996 | |
| | |
(ICE LIBOR USD 3 Month + 0.44%), 2.23%, 7/26/2021 (a) | | | 1,300,000 | | | | 1,304,264 | |
| | |
HSBC Holdings plc (United Kingdom) 3.40%, 3/8/2021 | | | 21,737,000 | | | | 22,117,973 | |
| | |
(ICE LIBOR USD 3 Month + 2.24%), 4.12%, 3/8/2021 (a) | | | 14,423,000 | | | | 14,724,425 | |
| | |
5.10%, 4/5/2021 | | | 6,849,000 | | | | 7,102,339 | |
| | |
(ICE LIBOR USD 3 Month + 0.60%), 2.29%, 5/18/2021 (a) | | | 9,982,000 | | | | 9,990,553 | |
| | |
2.95%, 5/25/2021 | | | 23,518,000 | | | | 23,889,834 | |
| | |
(ICE LIBOR USD 3 Month + 1.66%), 3.34%, 5/25/2021 (a) | | | 31,245,000 | | | | 31,766,950 | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.54%, 9/11/2021 (a) | | | 27,495,000 | | | | 27,520,323 | |
| | |
2.65%, 1/5/2022 | | | 542,000 | | | | 551,810 | |
| | |
(ICE LIBOR USD 3 Month + 1.50%), 3.40%, 1/5/2022 (a) | | | 21,565,000 | | | | 22,043,286 | |
| | |
4.88%, 1/14/2022 | | | 1,095,000 | | | | 1,159,379 | |
| | |
HSBC USA, Inc. 5.00%, 9/27/2020 | | | 2,661,000 | | | | 2,709,847 | |
| | |
Huntington Bancshares, Inc. 3.15%, 3/14/2021 | | | 5,019,000 | | | | 5,084,396 | |
| | |
Huntington National Bank (The) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.51%), 2.40%, 3/10/2020 (a) | | | 1,257,000 | | | | 1,257,075 | |
| | |
2.40%, 4/1/2020 | | | 3,086,000 | | | | 3,087,801 | |
| | |
(ICE LIBOR USD 3 Month + 0.55%), 2.29%, 2/5/2021 (a) | | | 22,116,000 | | | | 22,186,629 | |
| | |
ING Groep NV (Netherlands) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 1.15%), 3.11%, 3/29/2022 (a) | | | 19,625,000 | | | | 19,945,673 | |
| | |
KeyBank NA 2.25%, 3/16/2020 | | | 10,776,000 | | | | 10,777,677 | |
| | |
KeyCorp 2.90%, 9/15/2020 | | | 19,166,000 | | | | 19,311,128 | |
| | |
Lloyds Bank plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.49%), 2.23%, 5/7/2021 (a) | | | 2,101,000 | | | | 2,111,041 | |
| | |
3.30%, 5/7/2021 | | | 9,555,000 | | | | 9,779,236 | |
| | |
Lloyds Banking Group plc (United Kingdom) 3.00%, 1/11/2022 | | | 1,500,000 | | | | 1,534,356 | |
| | |
Mitsubishi UFJ Financial Group, Inc. (Japan) | | | | | | | | |
| | |
2.95%, 3/1/2021 | | | 5,500,000 | | | | 5,567,908 | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.44%, 7/26/2021 (a) | | | 9,060,000 | | | | 9,113,250 | |
| | |
2.19%, 9/13/2021 | | | 3,400,000 | | | | 3,440,365 | |
| | |
(ICE LIBOR USD 3 Month + 1.06%), 2.95%, 9/13/2021 (a) | | | 7,076,000 | | | | 7,163,315 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 152 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.92%), 2.60%, 2/22/2022 (a) | | | 4,689,000 | | | | 4,746,911 | |
| | |
(ICE LIBOR USD 3 Month + 0.79%), 2.58%, 7/25/2022 (a) | | | 20,592,000 | | | | 20,731,799 | |
| | |
Mizuho Financial Group, Inc. (Japan) 2.63%, 4/12/2021 (b) | | | 69,166,000 | | | | 70,007,036 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 3.03%, 9/13/2021 (a) | | | 14,870,000 | | | | 15,054,507 | |
| | |
(ICE LIBOR USD 3 Month + 0.94%), 2.55%, 2/28/2022 (a) | | | 6,525,000 | | | | 6,601,069 | |
| | |
(ICE LIBOR USD 3 Month + 0.88%), 2.77%, 9/11/2022 (a) | | | 7,800,000 | | | | 7,884,241 | |
| | |
MUFG Americas Holdings Corp. 3.50%, 6/18/2022 | | | 9,413,000 | | | | 9,814,870 | |
| | |
MUFG Bank Ltd. (Japan) 2.30%, 3/5/2020 (b) | | | 15,997,000 | | | | 15,997,827 | |
| | |
MUFG Union Bank NA | | | | | | | | |
| | |
(SOFR + 0.71%), 2.26%, 12/9/2022 (a) | | | 24,750,000 | | | | 24,870,758 | |
| | |
National Australia Bank Ltd. (Australia) 2.13%, 5/22/2020 | | | 2,985,000 | | | | 2,989,779 | |
| | |
(ICE LIBOR USD 3 Month + 0.35%), 2.20%, 1/12/2021 (a) (b) | | | 7,670,000 | | | | 7,690,852 | |
| | |
(ICE LIBOR USD 3 Month + 1.00%), 2.85%, 7/12/2021 (a) (b) | | | 4,750,000 | | | | 4,809,040 | |
| | |
(ICE LIBOR USD 3 Month + 0.71%), 2.46%, 11/4/2021 (a) (b) | | | 17,000,000 | | | | 17,158,324 | |
| | |
3.70%, 11/4/2021 | | | 250,000 | | | | 258,972 | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 2.40%, 5/22/2022 (a) (b) | | | 10,500,000 | | | | 10,568,953 | |
| | |
National Bank of Canada (Canada) 2.20%, 11/2/2020 | | | 3,148,000 | | | | 3,164,735 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.33%, 3/21/2021 (a) (b) | | | 60,000,000 | | | | 60,037,747 | |
| | |
2.15%, 10/7/2022 (b) | | | 13,125,000 | | | | 13,305,215 | |
| | |
Nordea Bank Abp (Finland) 2.13%, 5/29/2020 (b) | | | 18,219,000 | | | | 18,236,638 | |
| | |
2.50%, 9/17/2020 (b) | | | 4,505,000 | | | | 4,529,108 | |
| | |
4.88%, 1/14/2021 (b) | | | 4,908,000 | | | | 5,049,275 | |
| | |
2.25%, 5/27/2021 (b) | | | 51,449,000 | | | | 51,964,912 | |
| | |
PNC Bank NA 2.30%, 6/1/2020 | | | 4,368,000 | | | | 4,374,581 | |
| | |
(ICE LIBOR USD 3 Month + 0.25%), 2.05%, 1/22/2021 (a) | | | 1,500,000 | | | | 1,502,776 | |
| | |
2.50%, 1/22/2021 | | | 7,672,000 | | | | 7,728,384 | |
| | |
2.15%, 4/29/2021 | | | 22,347,000 | | | | 22,545,678 | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.29%, 7/27/2022 (a) | | | 2,165,000 | | | | 2,179,752 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
Regions Bank | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.38%), 2.29%, 4/1/2021 (a) | | | 6,425,000 | | | | 6,433,944 | |
| | |
2.75%, 4/1/2021 | | | 7,000,000 | | | | 7,081,961 | |
| | |
Royal Bank of Canada (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.30%), 2.10%, 7/22/2020 (a) | | | 6,368,000 | | | | 6,375,622 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.19%, 1/25/2021 (a) | | | 26,500,000 | | | | 26,549,763 | |
| | |
(ICE LIBOR USD 3 Month + 0.39%), 2.16%, 4/30/2021 (a) | | | 7,500,000 | | | | 7,525,945 | |
| | |
3.20%, 4/30/2021 | | | 12,321,000 | | | | 12,584,602 | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.49%, 2/1/2022 (a) | | | 1,255,000 | | | | 1,265,961 | |
| | |
Santander UK Group Holdings plc (United Kingdom)
2.88%, 10/16/2020 | | | 9,770,000 | | | | 9,852,263 | |
| | |
3.13%, 1/8/2021 | | | 53,236,000 | | | | 53,877,759 | |
| | |
Santander UK plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.62%), 2.53%, 6/1/2021 (a) | | | 2,800,000 | | | | 2,812,865 | |
| | |
3.40%, 6/1/2021 | | | 3,350,000 | | | | 3,435,278 | |
| | |
(ICE LIBOR USD 3 Month + 0.66%), 2.35%, 11/15/2021 (a) | | | 6,288,000 | | | | 6,331,707 | |
| | |
Skandinaviska Enskilda Banken AB (Sweden)
2.30%, 3/11/2020 | | | 4,055,000 | | | | 4,055,429 | |
| | |
2.45%, 5/27/2020 (b) | | | 12,711,000 | | | | 12,740,032 | |
| | |
2.63%, 11/17/2020 (b) | | | 40,436,000 | | | | 40,735,631 | |
| | |
2.63%, 3/15/2021 | | | 12,198,000 | | | | 12,308,398 | |
| | |
(ICE LIBOR USD 3 Month + 0.43%), 2.12%, 5/17/2021 (a) (b) | | | 7,500,000 | | | | 7,520,008 | |
| | |
1.88%, 9/13/2021 | | | 22,200,000 | | | | 22,351,759 | |
| | |
2.80%, 3/11/2022 | | | 7,280,000 | | | | 7,463,326 | |
| | |
Societe Generale SA (France) 2.63%, 9/16/2020 (b) | | | 6,562,000 | | | | 6,610,546 | |
| | |
2.50%, 4/8/2021 (b) | | | 13,400,000 | | | | 13,531,945 | |
| | |
(ICE LIBOR USD 3 Month + 1.33%), 3.20%, 4/8/2021 (a) (b) | | | 5,150,000 | | | | 5,218,394 | |
| | |
5.20%, 4/15/2021 (b) | | | 35,758,000 | | | | 37,263,155 | |
| | |
Standard Chartered plc (United Kingdom)
2.25%, 4/17/2020 (b) | | | 19,055,000 | | | | 19,065,290 | |
| | |
3.05%, 1/15/2021 (b) | | | 34,873,000 | | | | 35,228,570 | |
| | |
(ICE LIBOR USD 3 Month + 1.15%), 4.25%, 1/20/2023 (a) (b) | | | 12,157,000 | | | | 12,639,922 | |
| | |
Sumitomo Mitsui Financial Group, Inc. (Japan) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 1.11%), 2.95%, 7/14/2021 (a) | | | 5,404,000 | | | | 5,469,768 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 153 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Banks — continued | |
| | |
2.44%, 10/19/2021 | | | 29,688,000 | | | | 30,144,293 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 2.96%, 10/19/2021 (a) | | | 5,067,000 | | | | 5,137,472 | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 2.81%, 1/11/2022 (a) | | | 19,000,000 | | | | 19,220,420 | |
| | |
(ICE LIBOR USD 3 Month + 0.74%), 2.56%, 10/18/2022 (a) | | | 1,890,000 | | | | 1,905,485 | |
| | |
Svenska Handelsbanken AB (Sweden) 5.13%, 3/30/2020 (b) | | | 18,279,000 | | | | 18,324,418 | |
| | |
1.95%, 9/8/2020 | | | 11,736,000 | | | | 11,770,333 | |
| | |
2.40%, 10/1/2020 | | | 18,697,000 | | | | 18,799,926 | |
| | |
2.45%, 3/30/2021 | | | 8,784,000 | | | | 8,887,007 | |
| | |
(ICE LIBOR USD 3 Month + 0.47%), 2.15%, 5/24/2021 (a) | | | 28,555,000 | | | | 28,667,782 | |
| | |
1.88%, 9/7/2021 | | | 3,907,000 | | | | 3,937,315 | |
| | |
Toronto-Dominion Bank (The) (Canada) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.28%), 2.17%, 6/11/2020 (a) | | | 8,731,000 | | | | 8,737,365 | |
| | |
(SOFR + 0.48%), 2.01%, 1/27/2023 (a) | | | 29,380,000 | | | | 29,377,492 | |
| | |
Truist Bank | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.22%), 2.13%, 6/1/2020 (a) | | | 7,322,000 | | | | 7,323,036 | |
| | |
2.85%, 4/1/2021 | | | 4,492,000 | | | | 4,556,320 | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.29%, 10/26/2021 (a) | | | 1,940,000 | | | | 1,945,173 | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 3.53%, 10/26/2021 (a) | | | 28,327,000 | | | | 28,720,531 | |
| | |
Truist Financial Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.57%), 2.46%, 6/15/2020 (a) | | | 24,141,000 | | | | 24,153,553 | |
| | |
(ICE LIBOR USD 3 Month + 0.22%), 1.98%, 2/1/2021 (a) | | | 10,007,000 | | | | 10,022,021 | |
| | |
2.15%, 2/1/2021 | | | 1,000,000 | | | | 1,004,606 | |
| | |
2.90%, 3/3/2021 | | | 8,319,000 | | | | 8,408,772 | |
| | |
3.20%, 9/3/2021 | | | 1,300,000 | | | | 1,334,389 | |
| | |
2.70%, 1/27/2022 | | | 271,000 | | | | 276,950 | |
| | |
3.05%, 6/20/2022 | | | 17,689,000 | | | | 18,286,078 | |
| | |
US Bank NA | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.31%), 2.06%, 2/4/2021 (a) | | | 21,496,000 | | | | 21,515,045 | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.11%, 4/26/2021 (a) | | | 1,831,000 | | | | 1,835,662 | |
| | |
1.80%, 1/21/2022 | | | 500,000 | | | | 504,092 | |
| | |
(ICE LIBOR USD 3 Month + 0.18%), 2.00%, 1/21/2022 (a) | | | 82,771,000 | | | | 82,777,138 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Banks — continued | |
| | |
Wells Fargo & Co.
2.55%, 12/7/2020 | | | 2,712,000 | | | | 2,730,971 | |
| | |
4.60%, 4/1/2021 | | | 3,948,000 | | | | 4,079,026 | |
| | |
2.10%, 7/26/2021 | | | 9,698,000 | | | | 9,786,390 | |
| | |
2.63%, 7/22/2022 | | | 2,418,000 | | | | 2,478,690 | |
| | |
Westpac Banking Corp. (Australia) 2.15%, 3/6/2020 | | | 6,612,000 | | | | 6,612,428 | |
| | |
(ICE LIBOR USD 3 Month + 0.28%), 1.97%, 5/15/2020 (a) | | | 1,783,000 | | | | 1,784,017 | |
| | |
3.05%, 5/15/2020 | | | 5,500,000 | | | | 5,517,436 | |
| | |
(ICE LIBOR USD 3 Month + 0.36%), 2.27%, 9/1/2020 (a) (b) | | | 950,000 | | | | 951,324 | |
| | |
2.60%, 11/23/2020 | | | 8,727,000 | | | | 8,785,098 | |
| | |
2.65%, 1/25/2021 | | | 12,651,000 | | | | 12,774,215 | |
| | |
(ICE LIBOR USD 3 Month + 0.85%), 2.70%, 1/11/2022 (a) | | | 1,674,000 | | | | 1,694,830 | |
| | | | | | | | |
| | |
| | | | | | | 3,194,445,135 | |
| | | | | | | | |
|
Beverages — 0.2% | |
| | |
Constellation Brands, Inc. 2.25%, 11/6/2020 | | | 8,000,000 | | | | 8,023,688 | |
| | |
(ICE LIBOR USD 3 Month + 0.70%), 2.39%, 11/15/2021 (a) | | | 14,460,000 | | | | 14,462,259 | |
| | |
Diageo Capital plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.24%), 1.93%, 5/18/2020 (a) | | | 2,215,000 | | | | 2,216,107 | |
| | | | | | | | |
| | |
| | | | | | | 24,702,054 | |
| | | | | | | | |
|
Biotechnology — 0.5% | |
| | |
AbbVie, Inc.
2.50%, 5/14/2020 | | | 5,502,000 | | | | 5,506,211 | |
| | |
2.30%, 5/14/2021 | | | 10,248,000 | | | | 10,298,435 | |
| | |
2.15%, 11/19/2021 (b) | | | 32,890,000 | | | | 33,199,464 | |
| | |
Gilead Sciences, Inc. 2.55%, 9/1/2020 | | | 3,590,000 | | | | 3,605,362 | |
| | | | | | | | |
| | |
| | | | | | | 52,609,472 | |
| | | | | | | | |
|
Capital Markets — 4.7% | |
| | |
Bank of New York Mellon Corp. (The) 4.15%, 2/1/2021 | | | 2,340,000 | | | | 2,391,712 | |
| | |
Charles Schwab Corp. (The) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.02%, 5/21/2021 (a) | | | 11,076,000 | | | | 11,098,679 | |
| | |
Credit Suisse AG (Switzerland) 3.00%, 10/29/2021 | | | 3,480,000 | | | | 3,561,645 | |
| | |
2.10%, 11/12/2021 | | | 16,524,000 | | | | 16,688,528 | |
| | |
Goldman Sachs Bank USA 3.20%, 6/5/2020 | | | 1,305,000 | | | | 1,310,491 | |
| | |
(SOFR + 0.60%), 2.18%, 5/24/2021 (a) | | | 15,914,000 | | | | 15,924,530 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 154 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Capital Markets — continued | |
| | |
Goldman Sachs Group, Inc. (The) 5.38%, 3/15/2020 | | | 7,594,000 | | | | 7,603,389 | |
| | |
(ICE LIBOR USD 3 Month + 1.16%), 2.97%, 4/23/2020 (a) | | | 7,445,000 | | | | 7,448,722 | |
| | |
Series D, 6.00%, 6/15/2020 | | | 3,000,000 | | | | 3,036,541 | |
| | |
(ICE LIBOR USD 3 Month + 1.20%), 3.09%, 9/15/2020 (a) | | | 5,049,000 | | | | 5,070,711 | |
| | |
2.60%, 12/27/2020 | | | 19,729,000 | | | | 19,777,367 | |
| | |
(ICE LIBOR USD 3 Month + 1.77%), 3.45%, 2/25/2021 (a) | | | 5,144,000 | | | | 5,218,830 | |
| | |
(ICE LIBOR USD 3 Month + 1.36%), 3.15%, 4/23/2021 (a) | | | 2,981,000 | | | | 3,011,822 | |
| | |
2.63%, 4/25/2021 | | | 1,673,000 | | | | 1,692,133 | |
| | |
5.25%, 7/27/2021 | | | 2,850,000 | | | | 2,991,353 | |
| | |
(ICE LIBOR USD 3 Month + 1.17%), 2.86%, 11/15/2021 (a) | | | 9,455,000 | | | | 9,524,022 | |
| | |
5.75%, 1/24/2022 | | | 21,568,000 | | | | 23,211,184 | |
| | |
(ICE LIBOR USD 3 Month + 0.82%), 2.88%, 10/31/2022 (a) | | | 4,870,000 | | | | 4,966,423 | |
| | |
ING Bank NV (Netherlands) 2.45%, 3/16/2020 (b) | | | 27,206,000 | | | | 27,213,593 | |
| | |
(ICE LIBOR USD 3 Month + 0.97%), 2.66%, 8/17/2020 (a) (b) | | | 6,025,000 | | | | 6,053,996 | |
| | |
2.75%, 3/22/2021 (b) | | | 18,171,000 | | | | 18,375,102 | |
| | |
5.00%, 6/9/2021 (b) | | | 14,483,000 | | | | 15,172,866 | |
| | |
Macquarie Bank Ltd. (Australia) 2.85%, 1/15/2021 (b) | | | 16,688,000 | | | | 16,918,674 | |
| | |
(ICE LIBOR USD 3 Month + 0.45%), 2.19%, 8/6/2021 (a) (b) | | | 66,780,000 | | | | 66,760,634 | |
| | |
(ICE LIBOR USD 3 Month + 0.45%), 2.13%, 11/24/2021 (a) (b) | | | 42,321,000 | | | | 42,499,115 | |
| | |
Macquarie Group Ltd. (Australia) 6.25%, 1/14/2021 (b) | | | 4,010,000 | | | | 4,168,762 | |
| | |
Morgan Stanley
5.50%, 7/24/2020 | | | 4,030,000 | | | | 4,089,284 | |
| | |
5.75%, 1/25/2021 | | | 11,152,000 | | | | 11,549,997 | |
| | |
2.50%, 4/21/2021 | | | 5,500,000 | | | | 5,561,269 | |
| | |
(ICE LIBOR USD 3 Month + 1.40%), 3.22%, 4/21/2021 (a) | | | 5,904,000 | | | | 5,976,749 | |
| | |
5.50%, 7/28/2021 | | | 7,295,000 | | | | 7,690,338 | |
| | |
2.63%, 11/17/2021 | | | 2,875,000 | | | | 2,926,767 | |
| | |
(ICE LIBOR USD 3 Month + 1.18%), 3.00%, 1/20/2022 (a) | | | 5,085,000 | | | | 5,120,176 | |
| | |
2.75%, 5/19/2022 | | | 8,482,000 | | | | 8,714,606 | |
| | |
3.13%, 1/23/2023 | | | 18,075,000 | | | | 18,859,895 | |
| | |
Nomura Holdings, Inc. (Japan) 6.70%, 3/4/2020 | | | 26,732,000 | | | | 26,735,942 | |
| | |
UBS AG (Switzerland) 2.20%, 6/8/2020 (b) | | | 6,737,000 | | | | 6,742,338 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Capital Markets — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.58%), 2.46%, 6/8/2020 (a) (b) | | | 3,000,000 | | | | 3,002,673 | |
| | |
(ICE LIBOR USD 3 Month + 0.48%), 2.39%, 12/1/2020 (a) (b) | | | 10,162,000 | | | | 10,185,759 | |
| | |
2.45%, 12/1/2020 (b) | | | 26,063,000 | | | | 26,219,666 | |
| | |
UBS Group AG (Switzerland) 2.95%, 9/24/2020 (b) | | | 16,113,000 | | | | 16,222,832 | |
| | |
(ICE LIBOR USD 3 Month + 1.44%), 3.37%, 9/24/2020 (a) (b) | | | 17,549,000 | | | | 17,682,197 | |
| | |
(ICE LIBOR USD 3 Month + 1.78%), 3.62%, 4/14/2021 (a) (b) | | | 1,400,000 | | | | 1,425,305 | |
| | |
3.00%, 4/15/2021 (b) | | | 12,720,000 | | | | 12,941,403 | |
| | |
(ICE LIBOR USD 3 Month + 1.53%), 3.29%, 2/1/2022 (a) (b) | | | 15,805,000 | | | | 16,206,640 | |
| | | | | | | | |
| | |
| | | | | | | 549,544,660 | |
| | | | | | | | |
|
Chemicals — 0.6% | |
| | |
Air Liquide Finance SA (France) 1.75%, 9/27/2021 (b) | | | 20,860,000 | | | | 20,981,103 | |
| | |
Chevron Phillips Chemical Co. LLC 2.45%, 5/1/2020 (b) | | | 2,922,000 | | | | 2,923,461 | |
| | |
DuPont de Nemours, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.71%), 2.40%, 11/15/2020 (a) | | | 7,099,000 | | | | 7,128,616 | |
| | |
3.77%, 11/15/2020 | | | 33,830,000 | | | | 34,231,509 | |
| | | | | | | | |
| | |
| | | | | | | 65,264,689 | |
| | | | | | | | |
|
Commercial Services & Supplies — 0.1% | |
| | |
Republic Services, Inc. 5.00%, 3/1/2020 | | | 17,167,000 | | | | 17,167,000 | |
| | | | | | | | |
|
Construction Materials — 0.1% | |
| | |
Martin Marietta Materials, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.33%, 5/22/2020 (a) | | | 6,127,000 | | | | 6,133,371 | |
| | | | | | | | |
|
Consumer Finance — 3.2% | |
| | |
AerCap Ireland Capital DAC (Ireland) 5.00%, 10/1/2021 | | | 816,000 | | | | 854,883 | |
| | |
American Express Co.
2.20%, 10/30/2020 | | | 35,282,000 | | | | 35,385,363 | |
| | |
3.00%, 2/22/2021 | | | 15,608,000 | | | | 15,805,823 | |
| | |
(ICE LIBOR USD 3 Month + 0.53%), 2.22%, 5/17/2021 (a) | | | 3,354,000 | | | | 3,368,167 | |
| | |
(ICE LIBOR USD 3 Month + 0.60%), 2.34%, 11/5/2021 (a) | | | 9,975,000 | | | | 10,041,892 | |
| | |
(ICE LIBOR USD 3 Month + 0.62%), 2.31%, 5/20/2022 (a) | | | 15,171,000 | | | | 15,223,751 | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.29%, 2/27/2023 (a) | | | 5,921,000 | | | | 5,947,684 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 155 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Consumer Finance — continued | |
| | |
American Express Credit Corp. 2.38%, 5/26/2020 | | | 6,488,000 | | | | 6,494,360 | |
| | |
Avolon Holdings Funding Ltd. (Ireland) 3.63%, 5/1/2022 (b) | | | 26,415,000 | | | | 27,039,995 | |
| | |
Capital One Financial Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.76%), 2.47%, 5/12/2020 (a) | | | 8,250,000 | | | | 8,256,912 | |
| | |
2.50%, 5/12/2020 | | | 15,484,000 | | | | 15,495,458 | |
| | |
2.40%, 10/30/2020 | | | 4,224,000 | | | | 4,240,759 | |
| | |
3.45%, 4/30/2021 | | | 3,639,000 | | | | 3,713,359 | |
| | |
(ICE LIBOR USD 3 Month + 0.95%), 2.84%, 3/9/2022 (a) | | | 8,214,000 | | | | 8,286,489 | |
| | |
Caterpillar Financial Services Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.18%), 1.87%, 5/15/2020 (a) | | | 7,353,000 | | | | 7,356,241 | |
| | |
(ICE LIBOR USD 3 Month + 0.30%), 2.18%, 3/8/2021 (a) | | | 31,035,000 | | | | 31,090,232 | |
| | |
(ICE LIBOR USD 3 Month + 0.23%), 2.12%, 3/15/2021 (a) | | | 30,000,000 | | | | 30,030,671 | |
| | |
(ICE LIBOR USD 3 Month + 0.28%), 2.17%, 9/7/2021 (a) | | | 5,263,000 | | | | 5,274,813 | |
| | |
John Deere Capital Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.42%), 2.25%, 7/10/2020 (a) | | | 26,235,000 | | | | 26,273,354 | |
| | |
3.15%, 10/15/2021 | | | 7,600,000 | | | | 7,833,444 | |
| | |
PACCAR Financial Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.20%), 1.91%, 11/13/2020 (a) | | | 11,340,000 | | | | 11,346,836 | |
| | |
(ICE LIBOR USD 3 Month + 0.26%), 1.99%, 5/10/2021 (a) | | | 1,099,000 | | | | 1,100,416 | |
| | |
Toyota Motor Credit Corp. | | | | | | | | |
| | |
(SOFR + 0.40%), 1.98%, 10/23/2020 (a) | | | 70,818,000 | | | | 70,886,432 | |
| | |
(ICE LIBOR USD 3 Month + 0.13%), 1.83%, 8/13/2021 (a) | | | 14,319,000 | | | | 14,308,776 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.09%, 5/17/2022 (a) | | | 10,900,000 | | | | 10,940,261 | |
| | | | | | | | |
| | |
| | | | | | | 376,596,371 | |
| | | | | | | | |
|
Diversified Financial Services — 1.0% | |
| | |
AIG Global Funding 2.15%, 7/2/2020 (b) | | | 4,470,000 | | | | 4,478,775 | |
| | |
(ICE LIBOR USD 3 Month + 0.48%), 2.39%, 7/2/2020 (a) (b) | | | 3,956,000 | | | | 3,959,817 | |
| | |
(ICE LIBOR USD 3 Month + 0.65%), 2.45%, 1/22/2021 (a) (b) | | | 48,025,000 | | | | 48,084,512 | |
| | |
2.70%, 12/15/2021 (b) | | | 412,000 | | | | 419,429 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Diversified Financial Services — continued | |
| | |
CK Hutchison International II Ltd. (United Kingdom) 2.25%, 9/29/2020 (b) | | | 12,136,000 | | | | 12,181,510 | |
| | |
CK Hutchison International Ltd. (United Kingdom) 1.88%, 10/3/2021 (b) | | | 32,875,000 | | | | 33,018,828 | |
| | |
National Rural Utilities Cooperative Finance Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.38%), 2.34%, 6/30/2021 (a) | | | 7,659,000 | | | | 7,684,862 | |
| | |
Siemens Financieringsmaatschappij NV (Germany) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.34%), 2.23%, 3/16/2020 (a) (b) | | | 4,536,000 | | | | 4,537,136 | |
| | |
1.70%, 9/15/2021 (b) | | | 5,331,000 | | | | 5,356,488 | |
| | | | | | | | |
| | |
| | | | | | | 119,721,357 | |
| | | | | | | | |
|
Diversified Telecommunication Services — 0.5% | |
| | |
AT&T, Inc.
4.45%, 5/15/2021 | | | 5,733,000 | | | | 5,920,789 | |
| | |
Deutsche Telekom International Finance BV (Germany) 1.95%, 9/19/2021 (b) | | | 15,582,000 | | | | 15,663,631 | |
| | |
Verizon Communications, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.55%), 2.23%, 5/22/2020 (a) | | | 14,024,000 | | | | 14,033,256 | |
| | |
(ICE LIBOR USD 3 Month + 1.00%), 2.89%, 3/16/2022 (a) | | | 25,699,000 | | | | 26,039,768 | |
| | | | | | | | |
| | |
| | | | | | | 61,657,444 | |
| | | | | | | | |
|
Electric Utilities — 1.8% | |
| | |
American Electric Power Co., Inc. 2.15%, 11/13/2020 | | | 49,378,000 | | | | 49,586,761 | |
| | |
Duke Energy Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.20%, 5/14/2021 (a) (b) | | | 14,791,000 | | | | 14,849,798 | |
| | |
Entergy Corp. 5.13%, 9/15/2020 | | | 2,346,000 | | | | 2,367,376 | |
| | |
Exelon Corp. | | | | | | | | |
| | |
2.85%, 6/15/2020 | | | 3,500,000 | | | | 3,508,319 | |
| | |
5.15%, 12/1/2020 | | | 3,434,000 | | | | 3,492,261 | |
| | |
LG&E & KU Energy LLC 3.75%, 11/15/2020 | | | 17,583,000 | | | | 17,751,963 | |
| | |
Mississippi Power Co. (ICE LIBOR USD 3 Month + 0.65%), 2.60%, 3/27/2020 (a) | | | 2,612,000 | | | | 2,613,264 | |
| | |
NextEra Energy Capital Holdings, Inc. 2.40%, 9/1/2021 | | | 25,763,000 | | | | 26,156,490 | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 2.40%, 2/25/2022 (a) | | | 42,944,000 | | | | 43,253,228 | |
| | |
PECO Energy Co. 1.70%, 9/15/2021 | | | 1,250,000 | | | | 1,253,818 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 156 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Electric Utilities — continued | |
| | |
Southern Co. (The) | | | | | | | | |
| | |
2.75%, 6/15/2020 | | | 13,785,000 | | | | 13,805,239 | |
| | |
2.35%, 7/1/2021 | | | 3,813,000 | | | | 3,839,364 | |
| | |
State Grid Overseas Investment Ltd. (China) 2.25%, 5/4/2020 (b) | | | 19,393,000 | | | | 19,413,493 | |
| | |
Tampa Electric Co. 5.40%, 5/15/2021 | | | 5,014,000 | | | | 5,254,124 | |
| | |
Wisconsin Power & Light Co. 4.60%, 6/15/2020 | | | 1,368,000 | | | | 1,378,091 | |
| | | | | | | | |
| | |
| | | | | | | 208,523,589 | |
| | | | | | | | |
|
Energy Equipment & Services — 0.1% | |
| | |
Schlumberger Investment SA 3.30%, 9/14/2021 (b) | | | 7,324,000 | | | | 7,540,540 | |
| | | | | | | | |
|
Entertainment — 0.4% | |
| | |
NBCUniversal Enterprise, Inc. (ICE LIBOR USD 3 Month + 0.40%), 2.31%, 4/1/2021 (a) (b) | | | 40,262,000 | | | | 40,369,272 | |
| | |
Walt Disney Co. (The) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.25%), 2.16%, 9/1/2021 (a) | | | 6,678,000 | | | | 6,691,255 | |
| | | | | | | | |
| | |
| | | | | | | 47,060,527 | |
| | | | | | | | |
|
Equity Real Estate Investment Trusts (REITs) — 0.6% | |
| | |
Scentre Group Trust 1 (Australia) 2.38%, 4/28/2021 (b) | | | 7,774,000 | | | | 7,847,797 | |
| | |
WEA Finance LLC (France)
3.25%, 10/5/2020 (b) | | | 63,945,000 | | | | 64,416,123 | |
| | | | | | | | |
| | |
| | | | | | | 72,263,920 | |
| | | | | | | | |
|
Food Products — 0.5% | |
| | |
General Mills, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.54%), 2.38%, 4/16/2021 (a) | | | 18,608,000 | | | | 18,674,365 | |
| | |
3.20%, 4/16/2021 | | | 4,000,000 | | | | 4,092,695 | |
| | |
Mondelez International Holdings Netherlands BV 2.13%, 9/19/2022 (b) | | | 12,169,000 | | | | 12,397,250 | |
| | |
Mondelez International, Inc. 3.00%, 5/7/2020 | | | 14,496,000 | | | | 14,525,137 | |
| | |
Tyson Foods, Inc. (ICE LIBOR USD 3 Month + 0.55%), 2.46%,
6/2/2020 (a) | | | 1,372,000 | | | | 1,373,448 | |
| | |
Unilever Capital Corp. (United Kingdom) 4.25%, 2/10/2021 | | | 7,445,000 | | | | 7,634,848 | |
| | | | | | | | |
| | |
| | | | | | | 58,697,743 | |
| | | | | | | | |
|
Gas Utilities — 0.0%(d) | |
| | |
Dominion Energy Gas Holdings LLC 2.80%, 11/15/2020 | | | 1,385,000 | | | | 1,392,183 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Health Care Equipment & Supplies — 0.0%(d) | |
| | |
Zimmer Biomet Holdings, Inc. (ICE LIBOR USD 3 Month + 0.75%), 2.65%, 3/19/2021 (a) | | | 1,510,000 | | | | 1,510,294 | |
| | | | | | | | |
|
Health Care Providers & Services — 1.1% | |
| | |
Cigna Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.35%), 2.25%, 3/17/2020 (a) | | | 23,200,000 | | | | 23,203,671 | |
| | |
3.20%, 9/17/2020 | | | 40,031,000 | | | | 40,331,429 | |
| | |
CVS Health Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.63%), 2.52%, 3/9/2020 (a) | | | 1,743,000 | | | | 1,743,192 | |
| | |
2.80%, 7/20/2020 | | | 31,415,000 | | | | 31,506,193 | |
| | |
(ICE LIBOR USD 3 Month + 0.72%), 2.61%, 3/9/2021 (a) | | | 1,191,000 | | | | 1,194,335 | |
| | |
3.35%, 3/9/2021 | | | 3,501,000 | | | | 3,558,026 | |
| | |
2.13%, 6/1/2021 | | | 5,633,000 | | | | 5,665,643 | |
| | |
Express Scripts Holding Co.
2.60%, 11/30/2020 | | | 18,314,000 | | | | 18,468,623 | |
| | |
(ICE LIBOR USD 3 Month + 0.75%), 2.66%, 11/30/2020 (a) | | | 3,400,000 | | | | 3,400,670 | |
| | |
McKesson Corp. 3.65%, 11/30/2020 | | | 1,560,000 | | | | 1,584,593 | |
| | |
UnitedHealth Group, Inc. 3.38%, 11/15/2021 | | | 1,051,000 | | | | 1,080,927 | |
| | | | | | | | |
| | |
| | | | | | | 131,737,302 | |
| | | | | | | | |
|
Independent Power and Renewable Electricity Producers — 0.2% | |
| | |
Exelon Generation Co. LLC 4.00%, 10/1/2020 | | | 21,915,000 | | | | 22,102,849 | |
| | | | | | | | |
|
Industrial Conglomerates — 0.0%(d) | |
| | |
Ingersoll-Rand Global Holding Co. Ltd. 2.90%, 2/21/2021 | | | 2,150,000 | | | | 2,175,771 | |
| | | | | | | | |
|
Insurance — 4.9% | |
| | |
AIA Group Ltd. (Hong Kong) (ICE LIBOR USD 3 Month + 0.52%), 2.43%, 9/20/2021 (a) (b) | | | 10,683,000 | | | | 10,671,432 | |
| | |
American International Group, Inc. | | | | | | | | |
| | |
6.40%, 12/15/2020 | | | 5,739,000 | | | | 5,959,531 | |
| | |
3.30%, 3/1/2021 | | | 10,954,000 | | | | 11,112,092 | |
| | |
Athene Global Funding
2.75%, 4/20/2020 (b) | | | 18,827,000 | | | | 18,852,109 | |
| | |
(ICE LIBOR USD 3 Month + 1.14%), 2.96%, 4/20/2020 (a) (b) | | | 7,295,000 | | | | 7,307,662 | |
| | |
4.00%, 1/25/2022 (b) | | | 21,796,000 | | | | 22,840,148 | |
| | |
(ICE LIBOR USD 3 Month + 1.23%), 3.14%, 7/1/2022 (a) (b) | | | 26,740,000 | | | | 27,220,929 | |
| | |
Chubb INA Holdings, Inc.
2.30%, 11/3/2020 | | | 463,000 | | | | 464,899 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 157 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Insurance — continued | |
| | |
Guardian Life Global Funding
2.50%, 5/8/2022 (b) | | | 5,994,000 | | | | 6,133,488 | |
| | |
Jackson National Life Global Funding | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.30%), 2.13%, 10/15/2020 (a) (b) | | | 17,176,000 | | | | 17,210,875 | |
| | |
(ICE LIBOR USD 3 Month + 0.31%), 2.20%, 3/16/2021 (a) (b) | | | 60,180,000 | | | | 60,218,217 | |
| | |
2.25%, 4/29/2021 (b) | | | 18,748,000 | | | | 18,933,941 | |
| | |
(ICE LIBOR USD 3 Month + 0.48%), 2.37%, 6/11/2021 (a) (b) | | | 3,446,000 | | | | 3,463,258 | |
| | |
3.30%, 2/1/2022 (b) | | | 2,750,000 | | | | 2,842,754 | |
| | |
(ICE LIBOR USD 3 Month + 0.73%), 2.68%, 6/27/2022 (a) (b) | | | 7,250,000 | | | | 7,334,245 | |
| | |
(SOFR + 0.60%), 2.15%, 1/6/2023 (a) (b) | | | 19,908,000 | | | | 19,977,484 | |
| | |
Marsh & McLennan Cos., Inc.
2.35%, 3/6/2020 | | | 7,619,000 | | | | 7,619,152 | |
| | |
3.50%, 12/29/2020 | | | 135,000 | | | | 137,016 | |
| | |
MassMutual Global Funding II 2.00%, 4/15/2021 (b) | | | 18,002,000 | | | | 18,169,379 | |
| | |
Metropolitan Life Global Funding I 2.00%, 4/14/2020 (b) | | | 1,125,000 | | | | 1,125,645 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.29%, 6/12/2020 (a) (b) | | | 2,631,000 | | | | 2,634,047 | |
| | |
(SOFR + 0.57%), 2.17%, 9/7/2020 (a) (b) | | | 12,500,000 | | | | 12,521,887 | |
| | |
(ICE LIBOR USD 3 Month + 0.23%), 2.10%, 1/8/2021 (a) (b) | | | 12,450,000 | | | | 12,462,632 | |
| | |
2.40%, 1/8/2021 (b) | | | 31,466,000 | | | | 31,727,745 | |
| | |
(SOFR + 0.50%), 2.08%, 5/28/2021 (a) (b) | | | 1,460,000 | | | | 1,462,889 | |
| | |
1.95%, 9/15/2021 (b) | | | 1,500,000 | | | | 1,515,362 | |
| | |
3.45%, 10/9/2021 (b) | | | 4,366,000 | | | | 4,518,328 | |
| | |
3.38%, 1/11/2022 (b) | | | 850,000 | | | | 880,611 | |
| | |
New York Life Global Funding | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.06%, 8/6/2021 (a) (b) | | | 2,017,000 | | | | 2,024,671 | |
| | |
(ICE LIBOR USD 3 Month + 0.28%), 2.10%, 1/21/2022 (a) (b) | | | 19,500,000 | | | | 19,564,181 | |
| | |
Principal Life Global Funding II | | | | | | | | |
| | |
2.63%, 11/19/2020 (b) | | | 294,000 | | | | 295,964 | |
| | |
(ICE LIBOR USD 3 Month + 0.33%), 2.24%, 3/2/2021 (a) (b) | | | 20,233,000 | | | | 20,269,148 | |
| | |
(ICE LIBOR USD 3 Month + 0.40%), 2.30%, 10/6/2021 (a) (b) | | | 40,392,000 | | | | 40,352,107 | |
| | |
2.38%, 11/21/2021 (b) | | | 485,000 | | | | 493,413 | |
| | |
Protective Life Global Funding | | | | | | | | |
| | |
2.26%, 4/8/2020 (b) | | | 15,779,000 | | | | 15,791,075 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Insurance — continued | |
| | |
(ICE LIBOR USD 3 Month + 0.37%), 2.22%, 7/13/2020 (a) (b) | | | 10,380,000 | | | | 10,383,637 | |
| | |
2.16%, 9/25/2020 (b) | | | 2,458,000 | | | | 2,467,023 | |
| | |
2.70%, 11/25/2020 (b) | | | 7,952,000 | | | | 8,018,256 | |
| | |
(ICE LIBOR USD 3 Month + 0.52%), 2.48%, 6/28/2021 (a) (b) | | | 3,390,000 | | | | 3,407,659 | |
| | |
Prudential Financial, Inc. 4.50%, 11/15/2020 | | | 725,000 | | | | 737,487 | |
| | |
Reliance Standard Life Global Funding II | | | | | | | | |
| | |
2.38%, 5/4/2020 (b) | | | 54,986,000 | | | | 55,027,240 | |
| | |
3.05%, 1/20/2021 (b) | | | 9,470,000 | | | | 9,606,467 | |
| | |
2.15%, 1/21/2023 (b) | | | 9,976,000 | | | | 10,161,743 | |
| | |
Suncorp-Metway Ltd. (Australia) 2.38%, 11/9/2020 (b) | | | 2,476,000 | | | | 2,493,827 | |
| | |
Swiss Re Treasury U.S. Corp. (Switzerland) 2.88%, 12/6/2022 (b) | | | 35,796,000 | | | | 36,935,351 | |
| | | | | | | | |
| | |
| | | | | | | 573,347,006 | |
| | | | | | | | |
|
Internet & Direct Marketing Retail — 0.0%(d) | |
| | |
Alibaba Group Holding Ltd. (China) 3.13%, 11/28/2021 | | | 2,039,000 | | | | 2,087,997 | |
| | | | | | | | |
|
IT Services — 0.6% | |
| | |
International Business Machines Corp. (ICE LIBOR USD 3 Month + 0.40%), | | | | | | | | |
| | |
2.11%, 5/13/2021 (a) | | | 35,040,000 | | | | 35,138,325 | |
| | |
2.80%, 5/13/2021 | | | 30,461,000 | | | | 31,045,041 | |
| | | | | | | | |
| | |
| | | | | | | 66,183,366 | |
| | | | | | | | |
|
Machinery — 0.1% | |
| | |
Otis Worldwide Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.45%), 2.07%, 4/5/2023 (a) (b) | | | 15,000,000 | | | | 14,992,275 | |
| | | | | | | | |
| | |
| | | | | | | | |
|
Media — 0.8% | |
|
Comcast Corp. | |
| | |
(ICE LIBOR USD 3 Month + 0.33%), 2.24%, 10/1/2020 (a) | | | 13,434,000 | | | | 13,460,204 | |
| | |
Omnicom Group, Inc. 4.45%, 8/15/2020 | | | 7,680,000 | | | | 7,782,222 | |
| | |
ViacomCBS, Inc. | | | | | | | | |
| | |
4.50%, 3/1/2021 | | | 6,615,000 | | | | 6,802,476 | |
| | |
3.88%, 12/15/2021 | | | 6,529,000 | | | | 6,804,659 | |
| | |
3.88%, 4/1/2024 | | | 50,000,000 | | | | 53,767,103 | |
| | | | | | | | |
| | |
| | | | | | | 88,616,664 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 158 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Metals & Mining — 0.2% | |
| | |
Newmont Corp. | | | | | | | | |
| | |
3.63%, 6/9/2021 | | | 16,929,000 | | | | 17,387,293 | |
| | |
3.50%, 3/15/2022 | | | 3,118,000 | | | | 3,217,728 | |
| | | | | | | | |
| | |
| | | | | | | 20,605,021 | |
| | | | | | | | |
|
Multiline Retail — 0.0% (d) | |
| | |
Dollar Tree, Inc. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.70%), 2.54%, 4/17/2020 (a) | | | 4,769,000 | | | | 4,769,544 | |
| | | | | | | | |
|
Multi-Utilities — 0.8% | |
| | |
CenterPoint Energy, Inc. 3.60%, 11/1/2021 | | | 9,921,000 | | | | 10,281,851 | |
| | |
Consolidated Edison Co. of New York, Inc. | | | | | | | | |
| | |
Series C, (ICE LIBOR USD 3 Month + 0.40%), 2.35%, 6/25/2021 (a) | | | 2,631,000 | | | | 2,642,054 | |
| | |
Dominion Energy, Inc. 2.72%, 8/15/2021 (e) | | | 20,166,000 | | | | 20,488,092 | |
| | |
Integrys Holding, Inc. 4.17%, 11/1/2020 | | | 6,785,000 | | | | 6,893,852 | |
| | |
Sempra Energy 2.85%, 11/15/2020 | | | 545,000 | | | | 549,702 | |
| | |
TECO Finance, Inc. 5.15%, 3/15/2020 | | | 31,096,000 | | | | 31,126,785 | |
| | |
WEC Energy Group, Inc. 2.45%, 6/15/2020 | | | 16,090,000 | | | | 16,121,127 | |
| | | | | | | | |
| | |
| | | | | | | 88,103,463 | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — 2.5% | |
| | |
BG Energy Capital plc (United Kingdom) 4.00%, 12/9/2020 (b) | | | 6,673,000 | | | | 6,793,555 | |
| | |
BP Capital Markets America, Inc. 4.50%, 10/1/2020 | | | 4,183,000 | | | | 4,253,044 | |
| | |
BP Capital Markets plc (United Kingdom) (ICE LIBOR USD 3 Month + 0.25%), 1.93%, 11/24/2020 (a) | | | 31,151,000 | | | | 31,174,007 | |
| | |
Columbia Pipeline Group, Inc. 3.30%, 6/1/2020 | | | 28,254,000 | | | | 28,326,059 | |
| | |
Enbridge Energy Partners LP 4.20%, 9/15/2021 | | | 2,363,000 | | | | 2,432,539 | |
| | |
Enterprise Products Operating LLC | | | | | | | | |
| | |
5.20%, 9/1/2020 | | | 23,600,000 | | | | 23,997,779 | |
| | |
2.80%, 2/15/2021 | | | 2,554,000 | | | | 2,580,258 | |
| | |
EOG Resources, Inc. | | | | | | | | |
| | |
2.45%, 4/1/2020 | | | 7,091,000 | | | | 7,094,344 | |
| | |
4.10%, 2/1/2021 | | | 1,630,000 | | | | 1,666,347 | |
| | |
Exxon Mobil Corp. 1.90%, 8/16/2022 | | | 10,747,000 | | | | 10,912,625 | |
| | |
Marathon Petroleum Corp. | | | | | | | | |
| | |
3.40%, 12/15/2020 | | | 16,241,000 | | | | 16,392,109 | |
| | |
5.13%, 3/1/2021 | | | 2,704,000 | | | | 2,780,873 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Oil, Gas & Consumable Fuels — continued | |
| | |
MPLX LP | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.90%), 2.79%, 9/9/2021 (a) | | | 12,857,000 | | | | 12,893,932 | |
| | |
Occidental Petroleum Corp. | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.95%), 2.68%, 2/8/2021 (a) | | | 23,830,000 | | | | 23,972,909 | |
| | |
2.60%, 8/13/2021 | | | 45,296,000 | | | | 45,873,204 | |
| | |
Phillips 66 | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.75%), 2.58%, 4/15/2020 (a) (b) | | | 410,000 | | | | 410,171 | |
| | |
(ICE LIBOR USD 3 Month + 0.60%), 2.25%, 2/26/2021 (a) | | | 1,115,000 | | | | 1,115,104 | |
| | |
Spectra Energy Partners LP (ICE LIBOR USD 3 Month + 0.70%), 2.59%, 6/5/2020 (a) | | | 4,042,000 | | | | 4,047,416 | |
| | |
4.60%, 6/15/2021 | | | 2,700,000 | | | | 2,772,319 | |
| | |
Total Capital International SA (France) 2.22%, 7/12/2021 | | | 16,284,000 | | | | 16,492,223 | |
| | |
Total Capital SA (France) 4.45%, 6/24/2020 | | | 204,000 | | | | 205,670 | |
| | |
TransCanada PipeLines Ltd. (Canada) 3.80%, 10/1/2020 | | | 28,655,000 | | | | 29,027,408 | |
| | |
9.88%, 1/1/2021 | | | 911,000 | | | | 973,532 | |
| | |
Williams Cos., Inc. (The) 4.13%, 11/15/2020 | | | 16,890,000 | | | | 17,062,356 | |
| | | | | | | | |
| | |
| | | | | | | 293,249,783 | |
| | | | | | | | |
|
Pharmaceuticals — 0.9% | |
| | |
AstraZeneca plc (United Kingdom) 2.38%, 11/16/2020 | | | 1,278,000 | | | | 1,285,892 | |
| | |
Bristol-Myers Squibb Co. 2.88%, 8/15/2020 (b) | | | 774,000 | | | | 778,534 | |
| | |
(ICE LIBOR USD 3 Month + 0.20%), 1.89%, 11/16/2020 (a) (b) | | | 13,848,000 | | | | 13,860,367 | |
| | |
2.88%, 2/19/2021 (b) | | | 1,136,000 | | | | 1,150,682 | |
| | |
2.25%, 8/15/2021 (b) | | | 1,530,000 | | | | 1,549,377 | |
| | |
(ICE LIBOR USD 3 Month + 0.38%), 2.07%, 5/16/2022 (a) (b) | | | 14,789,000 | | | | 14,861,435 | |
| | |
EMD Finance LLC (Germany) 2.40%, 3/19/2020 (b) | | | 12,240,000 | | | | 12,243,060 | |
| | |
GlaxoSmithKline Capital plc (United Kingdom) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.35%), 2.05%, 5/14/2021 (a) | | | 3,393,000 | | | | 3,403,400 | |
| | |
Shire Acquisitions Investments Ireland DAC 2.40%, 9/23/2021 | | | 30,170,000 | | | | 30,557,986 | |
| | |
Zoetis, Inc. 3.45%, 11/13/2020 | | | 5,772,000 | | | | 5,842,752 | |
| | |
(ICE LIBOR USD 3 Month + 0.44%), 2.13%, 8/20/2021 (a) | | | 22,847,000 | | | | 22,865,720 | |
| | | | | | | | |
| | |
| | | | | | | 108,399,205 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 159 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
Road & Rail — 0.4% | |
| | |
ERAC USA Finance LLC | | | | | | | | |
| | |
5.25%, 10/1/2020 (b) | | | 1,125,000 | | | | 1,147,494 | |
| | |
4.50%, 8/16/2021 (b) | | | 250,000 | | | | 260,610 | |
| | |
2.60%, 12/1/2021 (b) | | | 2,225,000 | | | | 2,266,587 | |
| | |
Penske Truck Leasing Co. LP | | | | | | | | |
| | |
3.20%, 7/15/2020 (b) | | | 3,572,000 | | | | 3,588,891 | |
| | |
3.30%, 4/1/2021 (b) | | | 2,160,000 | | | | 2,188,738 | |
| | |
3.65%, 7/29/2021 (b) | | | 15,088,000 | | | | 15,499,112 | |
| | |
Ryder System, Inc. | | | | | | | | |
| | |
2.88%, 9/1/2020 | | | 13,115,000 | | | | 13,176,472 | |
| | |
2.88%, 6/1/2022 | | | 6,291,000 | | | | 6,479,932 | |
| | | | | | | | |
| | |
| | | | | | | 44,607,836 | |
| | | | | | | | |
|
Semiconductors & Semiconductor Equipment — 0.2% | |
| | |
Analog Devices, Inc. 2.95%, 1/12/2021 | | | 18,692,000 | | | | 18,895,323 | |
| | | | | | | | |
|
Software — 0.1% | |
| | |
Oracle Corp.
1.90%, 9/15/2021 | | | 10,463,000 | | | | 10,553,806 | |
| | | | | | | | |
|
Thrifts & Mortgage Finance — 1.7% | |
| | |
BPCE SA (France) | | | | | | | | |
| | |
3.15%, 7/31/2020 (b) (c) | | | 25,000,000 | | | | 25,180,042 | |
| | |
2.65%, 2/3/2021 | | | 10,768,000 | | | | 10,876,541 | |
| | |
2.75%, 12/2/2021 | | | 10,782,000 | | | | 11,014,007 | |
| | |
(ICE LIBOR USD 3 Month + 0.30%), 2.14%, 1/14/2022 (a) (b) | | | 75,926,000 | | | | 76,017,286 | |
| | |
(SOFR + 0.44%), 2.02%, 2/17/2022 (a) (b) | | | 53,697,000 | | | | 53,697,362 | |
| | |
(ICE LIBOR USD 3 Month + 1.22%), 2.90%, 5/22/2022 (a) (b) | | | 16,733,000 | | | | 16,986,935 | |
| | |
(ICE LIBOR USD 3 Month + 0.88%), 2.79%, 5/31/2022 (a) | | | 1,500,000 | | | | 1,517,220 | |
| | |
Nationwide Building Society (United Kingdom) 2.45%, 7/27/2021 (b) | | | 4,000,000 | | | | 4,052,471 | |
| | | | | | | | |
| | |
| | | | | | | 199,341,864 | |
| | | | | | | | |
|
Tobacco — 0.6% | |
| | |
Altria Group, Inc. 4.75%, 5/5/2021 | | | 53,175,000 | | | | 55,126,358 | |
| | |
BAT Capital Corp. (United Kingdom) (ICE LIBOR USD 3 Month + 0.59%), 2.29%, 8/14/2020 (a) | | | 2,300,000 | | | | 2,303,082 | |
| | |
Philip Morris International, Inc. 1.88%, 2/25/2021 | | | 2,069,000 | | | | 2,072,762 | |
| | |
Reynolds American, Inc. (United Kingdom) 6.88%, 5/1/2020 | | | 12,100,000 | | | | 12,197,450 | |
| | | | | | | | |
| | |
| | | | | | | 71,699,652 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Trading Companies & Distributors — 1.4% | |
| | |
Air Lease Corp. | | | | | | | | |
| | |
4.75%, 3/1/2020 | | | 2,593,000 | | | | 2,593,000 | |
| | |
2.50%, 3/1/2021 | | | 5,577,000 | | | | 5,605,086 | |
| | |
3.38%, 6/1/2021 | | | 239,000 | | | | 244,033 | |
| | |
(ICE LIBOR USD 3 Month + 0.67%), 2.58%, 6/3/2021 (a) | | | 59,617,000 | | | | 59,879,022 | |
| | |
Aviation Capital Group LLC | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.95%), 2.86%, 6/1/2021 (a) (b) | | | 15,273,000 | | | | 15,372,021 | |
| | |
(ICE LIBOR USD 3 Month + 0.67%), 2.44%, 7/30/2021 (a) (b) | | | 6,254,000 | | | | 6,276,365 | |
| | |
2.88%, 1/20/2022 (b) | | | 2,986,000 | | | | 3,041,210 | |
| | |
BOC Aviation Ltd. (Singapore)
3.00%, 3/30/2020 (b) | | | 1,420,000 | | | | 1,421,217 | |
| | |
(ICE LIBOR USD 3 Month + 1.05%), 2.81%, 5/2/2021 (a) (b) | | | 5,737,000 | | | | 5,760,952 | |
| | |
2.38%, 9/15/2021 (b) | | | 6,200,000 | | | | 6,238,750 | |
| | |
International Lease Finance Corp. 8.25%, 12/15/2020 | | | 48,800,000 | | | | 51,147,097 | |
| | | | | | | | |
| | |
| | | | | | | 157,578,753 | |
| | | | | | | | |
|
Transportation Infrastructure — 0.1% | |
| | |
HPHT Finance Ltd. (Hong Kong) 2.88%, 3/17/2020 (b) | | | 8,993,000 | | | | 8,996,629 | |
| | | | | | | | |
|
Wireless Telecommunication Services — 0.1% | |
| | |
America Movil SAB de CV (Mexico) 5.00%, 3/30/2020 | | | 8,824,000 | | | | 8,846,060 | |
| | | | | | | | |
| | |
Total Corporate Bonds
(Cost $7,014,691,106) | | | | | | | 7,049,565,836 | |
| | | | | |
Asset-Backed Securities — 10.3% | |
| | |
Allegro CLOII-S Ltd. (Cayman Islands) Series2014-1RA, Class X, 2.47%, 10/21/2028 (b) (f) | | | 600,000 | | | | 600,000 | |
| | |
Ally Auto Receivables Trust | | | | | | | | |
| | |
Series2019-1, Class A2, 2.85%, 3/15/2022 | | | 5,828,747 | | | | 5,848,918 | |
| | |
Series2018-1, Class A3, 2.35%, 6/15/2022 | | | 26,255,634 | | | | 26,370,340 | |
| | |
American Express Credit Account Master Trust Series2017-3, Class A, 1.77%, 11/15/2022 | | | 25,000,000 | | | | 25,008,455 | |
| | |
AmeriCredit Automobile Receivables Trust Series2018-2, Class A2A, 2.86%, 11/18/2021 | | | 1,031,449 | | | | 1,032,521 | |
| | |
Series2017-2, Class A3, 1.98%, 12/20/2021 | | | 421,094 | | | | 421,205 | |
| | |
Series2018-3, Class A2A, 3.11%, 1/18/2022 | | | 2,256,954 | | | | 2,262,484 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 160 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
Apidos CLO XXI (Cayman Islands) Series2015-21A, Class A1R, 2.75%, 7/18/2027 (b) (f) | | | 40,100,000 | | | | 40,095,990 | |
| | |
ARES XLVI CLO Ltd. Series2017-46A, Class X, 2.43%, 1/15/2030 ‡ (b) (f) | | | 31,250 | | | | 31,248 | |
| | |
Ares XXXVR CLO Ltd. Series 2015-35RA, Class X, 2.48%, 7/15/2030 (b) (f) | | | 350,000 | | | | 349,983 | |
| | |
Atrium XV (Cayman Islands) Series 15A, Class X, 2.48%, 1/23/2031 (b) (f) | | | 1,486,667 | | | | 1,486,667 | |
| | |
Avery Point III CLO Ltd. (Cayman Islands) Series2013-3A, Class AR, 2.94%, 1/18/2025 (b) (f) | | | 1,718,961 | | | | 1,718,445 | |
| | |
Avery Point VI CLO Ltd. (Cayman Islands) Series2015-6A, Class AR, 2.79%, 8/5/2027 (b) (f) | | | 46,056,000 | | | | 46,079,028 | |
| | |
Battalion CLO VII Ltd. (Cayman Islands) Series2014-7A, Class XRR, 2.74%, 7/17/2028 ‡ (b) (f) | | | 3,500,000 | | | | 3,499,825 | |
| | |
Benefit Street Partners CLO II Ltd. (Cayman Islands) Series2013-IIA, Class X, 3.53%, 7/15/2029 ‡ (b) (f) | | | 103,125 | | | | 103,073 | |
| | |
BlueMountain CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2012-2A, Class AR2, 2.74%, 11/20/2028 (b) (f) | | | 35,861,000 | | | | 35,843,069 | |
| | |
Series2013-1A, Class A1R2, 3.05%, 1/20/2029 (b) (f) | | | 13,200,000 | | | | 13,202,640 | |
| | |
Series2014-2A, Class X, 2.42%, 10/20/2030 (b) (f) | | | 1,285,714 | | | | 1,285,714 | |
| | |
Series2016-3A, Class X, 2.31%, 11/15/2030 (b) (f) | | | 1,350,000 | | | | 1,349,933 | |
| | |
BMW Vehicle Lease Trust Series2019-1, Class A3, 2.84%, 11/22/2021 | | | 12,336,000 | | | | 12,474,981 | |
| | |
Capital Auto Receivables Asset Trust Series2018-2, Class A2, 3.02%, 2/22/2021 (b) | | | 1,242,218 | | | | 1,243,796 | |
| | |
Capital One Multi-Asset Execution Trust Series2018-A1, Class A1, 3.01%, 2/15/2024 | | | 20,900,000 | | | | 21,326,494 | |
| | |
Carlyle Global Market Strategies CLO Ltd. Series2012-4A, Class XRR, 2.55%, 4/22/2032 (b) (f) | | | 975,000 | | | | 974,951 | |
| | |
CarMax Auto Owner Trust | | | | | | | | |
| | |
Series2018-3, Class A2A, 2.88%, 10/15/2021 | | | 1,353,385 | | | | 1,355,870 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Series2020-1, Class A2, 1.87%, 4/17/2023 | | | 7,264,000 | | | | 7,313,756 | |
| | |
CBAM Ltd. (Cayman Islands) Series2017-3A, Class X, 2.54%, 10/17/2029 (b) (f) | | | 2,235,000 | | | | 2,235,000 | |
| | |
CIFC Funding Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2012-2RA, Class A1, 2.62%, 1/20/2028 (b) (f) | | | 5,130,000 | | | | 5,106,915 | |
| | |
Series2017-1A, Class AR, 2.83%, 4/23/2029 (b) (f) | | | 20,000,000 | | | | 19,914,000 | |
| | |
Series2013-1A, Class X, 2.69%, 7/16/2030 (b) (f) | | | 254,661 | | | | 254,648 | |
| | |
Series2013-3RA, Class X, 2.45%, 4/24/2031 (b) (f) | | | 1,000,000 | | | | 999,500 | |
| | |
Clear Creek CLO (Cayman Islands) Series2015-1A, Class X, 2.82%, 10/20/2030 ‡ (b) (f) | | | 120,313 | | | | 120,252 | |
| | |
Cloud Pass-Through Trust Series2019-1A, Class CLOU, 3.55%, 12/5/2022 (b) (f) | | | 25,968,130 | | | | 26,381,114 | |
| | |
Cole Park CLO Ltd. (Cayman Islands) Series2015-1A, Class AR, 2.87%, 10/20/2028 (b) (f) | | | 11,565,000 | | | | 11,559,218 | |
| | |
Columbia Cent CLO 27 Ltd. (Cayman Islands) Series2018-27A, Class X, 2.49%, 10/25/2028 (b) (f) | | | 1,074,998 | | | | 1,074,998 | |
| | |
Dell Equipment Finance Trust Series2019-1, Class A2, 2.78%, 8/23/2021 (b) | | | 23,268,440 | | | | 23,415,359 | |
| |
Drive Auto Receivables Trust | | | | | |
| | |
Series2020-1, Class A2, 1.99%, 12/15/2022 | | | 4,120,000 | | | | 4,131,373 | |
| | |
Series2019-2, Class A3, 3.04%, 3/15/2023 | | | 25,569,000 | | | | 25,709,926 | |
| | |
Dryden CLO Ltd. (Cayman Islands) Series2018-61A, Class X, 2.54%, 1/17/2032 (b) (f) | | | 3,000,000 | | | | 2,999,850 | |
| | |
Dryden Senior Loan Fund (Cayman Islands) | | | | | | | | |
| | |
Series2012-25A, Class ARR, 2.73%, 10/15/2027 (b) (f) | | | 57,120,888 | | | | 57,075,192 | |
| | |
Series2014-36A, Class XR2, 2.48%, 4/15/2029 ‡ (b) (f) | | | 1,000,000 | | | | 1,000,181 | |
| | |
Series2017-50A, Class X, 2.63%, 7/15/2030 ‡ (b) (f) | | | 60,000 | | | | 59,970 | |
| | |
Ford Credit Auto Lease Trust Series2020-A, Class A2, 1.80%, 7/15/2022 | | | 20,194,000 | | | | 20,300,400 | |
| | |
Ford Credit Auto Owner Trust | | | | | | | | |
| | |
Series2015-2, Class A, 2.44%, 1/15/2027 (b) | | | 6,712,000 | | | | 6,734,980 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 161 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
Series2016-1, Class A, 2.31%, 8/15/2027 (b) | | | 6,444,000 | | | | 6,503,672 | |
| | |
Galaxy XVIII CLO Ltd. (Cayman Islands) Series2018-28A, Class X, 2.48%, 7/15/2031 (b) (f) | | | 2,871,000 | | | | 2,870,856 | |
| | |
GM Financial Consumer Automobile Receivables Trust Series2020-1, Class A2, 1.83%, 1/17/2023 | | | 12,000,000 | | | | 12,055,297 | |
| | |
GoldentTree Loan Management US CLO Ltd. (Cayman Islands) Series2017-1A, Class AR, 2.64%, 4/20/2029 (b) (f) | | | 20,750,000 | | | | 20,750,000 | |
| | |
GT Loan Financing I Ltd. (Cayman Islands) Series2013-1A, Class XR, 2.45%, 7/28/2031 (b) (f) | | | 642,856 | | | | 642,856 | |
| | |
Honda Auto Receivables Owner Trust Series2018-3, Class A2, 2.67%, 12/22/2020 | | | 505,684 | | | | 505,962 | |
| | |
Hyundai Auto Receivables Trust Series2019-B, Class A2, 1.93%, 7/15/2022 | | | 8,652,000 | | | | 8,696,775 | |
| | |
KKR CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series 13, Class A1R, 2.64%, 1/16/2028 (b) (f) | | | 12,260,000 | | | | 12,210,960 | |
| | |
Series 17, Class A, 3.17%, 4/15/2029 (b) (f) | | | 17,970,000 | | | | 17,966,406 | |
| | |
KREF Ltd. Series2018-FL1, Class A, 2.76%, 6/15/2036 (b) (f) | | | 5,000,000 | | | | 4,999,985 | |
| | |
KVK CLO Ltd. (Cayman Islands) Series2013-1A, Class X, 2.49%, 1/14/2028 ‡ (b) (f) | | | 580,000 | | | | 580,000 | |
| | |
LCM XVI LP (Cayman Islands) Series 16A, Class XR, 2.53%, 10/15/2031 (b) (f) | | | 4,470,000 | | | | 4,470,000 | |
| | |
LCM XVII LP (Cayman Islands) Series 17A, Class XR, 2.43%, 10/15/2031 (b) (f) | | | 810,000 | | | | 810,000 | |
| | |
LCM XX LP (Cayman Islands) Series 20A, Class AR, 2.86%, 10/20/2027 (b) (f) | | | 14,852,000 | | | | 14,844,574 | |
| | |
Magnetite Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2015-16A, Class AR, 2.62%, 1/18/2028 (b) (f) | | | 9,015,000 | | | | 9,002,379 | |
| | |
Series2019-21A, Class X, 2.47%, 4/20/2030 (b) (f) | | | 3,571,429 | | | | 3,575,239 | |
| | |
Mercedes-Benz Auto Lease Trust | | | | | | | | |
| | |
Series2019-A, Class A2, 3.01%, 2/16/2021 | | | 4,499,479 | | | | 4,508,137 | |
| | |
Series2019-B, Class A3, 2.00%, 10/17/2022 | | | 23,289,000 | | | | 23,520,087 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Neuberger Berman CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2015-19A, Class A1R2, 2.63%, 7/15/2027 (b) (f) | | | 4,007,541 | | | | 3,995,919 | |
| | |
Series 2017-16SA, Class A, 2.68%, 1/15/2028 (b) (f) | | | 18,250,000 | | | | 18,182,475 | |
| | |
Newark BSL CLO Ltd. (Cayman Islands) Series2016-1A, Class A1R, 2.80%, 12/21/2029 (b) (f) | | | 20,000,000 | | | | 20,000,000 | |
| | |
Nissan Auto Lease Trust Series2019-B, Class A2A, 2.27%, 1/15/2021 | | | 16,667,520 | | | | 16,743,858 | |
| | |
Nissan Auto Receivables Owner Trust Series2019-A, Class A2A, 2.82%, 1/18/2022 | | | 6,180,500 | | | | 6,205,582 | |
| | |
Oak Hill Credit Partners Ltd. (Cayman Islands) Series 2014-10RA, Class X, 2.46%, 12/12/2030 (b) (f) | | | 2,075,000 | | | | 2,075,000 | |
| | |
OCP CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2015-8A, Class A1R, 2.69%, 4/17/2027 (b) (f) | | | 26,689,714 | | | | 26,652,349 | |
| | |
Series2015-9A, Class A1R, 2.63%, 7/15/2027 (b) (f) | | | 34,437,507 | | | | 34,368,632 | |
| | |
Series2016-12A, Class A1R, 2.94%, 10/18/2028 (b) (f) | | | 10,420,000 | | | | 10,415,832 | |
| | |
Octagon Investment Partners 25 Ltd. (Cayman Islands) Series2015-1A, Class AR, 2.62%, 10/20/2026 (b) (f) | | | 56,240,000 | | | | 56,166,888 | |
| | |
Octagon Investment Partners 28 Ltd. (Cayman Islands) Series2016-1A, Class XR, 2.45%, 10/24/2030 (b) (f) | | | 476,666 | | | | 476,666 | |
| | |
OHA Credit Funding Ltd. (Cayman Islands) Series2018-1A, Class X, 2.47%, 10/20/2030 (b) (f) | | | 1,000,000 | | | | 1,000,000 | |
| | |
OHA Credit Partners Ltd. Series2015-12A, Class XR, 2.46%, 7/23/2030 (b) (f) | | | 1,550,000 | | | | 1,550,000 | |
| | |
Palmer Square Loan Funding Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2019-2A, Class A1, 2.79%, 4/20/2027 (b) (f) | | | 26,511,678 | | | | 26,506,375 | |
| | |
Series2019-3A, Class A1, 2.54%, 8/20/2027 (b) (f) | | | 27,322,798 | | | | 27,259,956 | |
| | |
Series2019-4A, Class A1, 2.70%, 10/24/2027 (b) (f) | | | 36,874,371 | | | | 36,844,871 | |
| | |
Regatta XIII Funding Ltd. (Cayman Islands) Series2018-2A, Class X, 2.48%, 7/15/2031 (b) (f) | | | 1,614,285 | | | | 1,614,204 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 162 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Asset-Backed Securities — continued | |
| | |
Regatta XV Funding Ltd. (Cayman Islands) Series2018-4A, Class X, 2.44%, 10/25/2031 (b) (f) | | | 2,271,428 | | | | 2,271,428 | |
| | |
Santander Retail Auto Lease Trust Series2019-A, Class A2, 2.72%, 12/20/2021 (b) | | | 2,874,430 | | | | 2,896,783 | |
| | |
Shackleton CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2015-8A, Class A1R, 2.75%, 10/20/2027 (b) (f) | | | 19,604,434 | | | | 19,584,829 | |
| | |
Series2015-8A, Class A2R, 2.75%, 10/20/2027 (b) (f) | | | 8,711,312 | | | | 8,706,085 | |
| | |
Series2014-6RA, Class A, 2.86%, 7/17/2028 (b) (f) | | | 30,925,000 | | | | 30,902,765 | |
| | |
Series2014-5RA, Class X, 2.34%, 5/7/2031 ‡ (b) (f) | | | 142,857 | | | | 142,850 | |
| | |
Symphony CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2014-14A, Class AR, 2.79%, 7/14/2026 (b) (f) | | | 37,750,509 | | | | 37,746,734 | |
| | |
Series2014-15A, Class XR2, 2.54%, 1/17/2032 (b) (f) | | | 4,000,000 | | | | 4,000,000 | |
| | |
THL Credit Wind River CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2012-1A, Class AR2, 2.71%, 1/15/2026 (b) (f) | | | 14,094,223 | | | | 14,082,947 | |
| | |
Series2017-1A, Class AR, 2.96%, 4/18/2029 (b) (f) | | | 45,850,000 | | | | 45,813,320 | |
| | |
Series2014-2A, Class X, 2.48%, 1/15/2031‡ (b) (f) | | | 125,000 | | | | 124,937 | |
| | |
Series2014-1A, Class X, 2.42%, 7/18/2031‡ (b) (f) | | | 375,000 | | | | 374,997 | |
| | |
Toyota Auto Receivables Owner Trust Series2018-C, Class A2A, 2.77%, 8/16/2021 | | | 2,629,064 | | | | 2,635,974 | |
| | |
Treman Park CLO Ltd. (Cayman Islands) Series2015-1A, Class ARR, 2.89%, 10/20/2028 (b) (f) | | | 19,002,000 | | | | 18,996,299 | |
| | |
Verizon Owner Trust | | | | | | | | |
| | |
Series2017-3A, Class A1B, 1.92%, 4/20/2022 (b) (f) | | | 260,904 | | | | 260,998 | |
| | |
Series2017-3A, Class A1A, 2.06%, 4/20/2022 (b) | | | 20,385,524 | | | | 20,420,179 | |
| | |
Series2018-1A, Class A1A, 2.82%, 9/20/2022 (b) | | | 42,732,000 | | | | 43,068,502 | |
| | |
Volvo Financial Equipment LLC Series2019-1A, Class A2, 2.90%, 11/15/2021 (b) | | | 4,335,220 | | | | 4,357,621 | |
| | |
Voya CLO Ltd. (Cayman Islands) | | | | | | | | |
| | |
Series2014-3A, Class A1R, 2.51%, 7/25/2026 (b) (f) | | | 1,954,753 | | | | 1,952,212 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Series2015-2A, Class AR, 2.78%, 7/23/2027 (b) (f) | | | 23,350,000 | | | | 23,342,995 | |
| | |
Series2019-1A, Class A, 3.00%, 4/15/2029 (b) (f) | | | 11,411,000 | | | | 11,411,000 | |
| | |
Series2014-4A, Class XR, 2.54%, 7/14/2031 (b) (f) | | | 285,714 | | | | 285,700 | |
| | |
Series2016-3A, Class XR, 2.52%, 10/18/2031 (b) (f) | | | 431,250 | | | | 431,250 | |
| | |
Series2015-3A, Class X, 2.52%, 10/20/2031 (b) (f) | | | 2,324,000 | | | | 2,323,884 | |
| | |
Westlake Automobile Receivables Trust Series2019-1A, Class A2A, 3.06%, 5/16/2022 (b) | | | 4,488,484 | | | | 4,509,067 | |
| | | | | | | | |
| | |
Total Asset-Backed Securities
(Cost $1,197,628,825) | | | | | | | 1,199,567,410 | |
| | | | | |
|
U.S. Treasury Obligations — 5.6% | |
| | |
U.S. Treasury Notes | | | | | | | | |
| | |
1.50%, 4/15/2020 | | | 125,000,000 | | | | 125,007,770 | |
| | |
1.38%, 9/30/2020 | | | 40,000,000 | | | | 40,026,562 | |
| | |
1.63%, 10/15/2020 | | | 83,000,000 | | | | 83,197,773 | |
| | |
1.38%, 10/31/2020 | | | 50,000,000 | | | | 50,056,641 | |
| | |
2.50%, 2/28/2021 | | | 170,500,000 | | | | 172,877,675 | |
| | |
1.63%, 6/30/2021 | | | 115,440,400 | | | | 116,360,316 | |
| | |
1.75%, 7/31/2021 | | | 58,880,000 | | | | 59,498,700 | |
| | | | | | | | |
| | |
Total U.S. Treasury Obligations
(Cost $643,305,165) | | | | | | | 647,025,437 | |
| | | | | |
Certificates of Deposit — 2.2% | |
| | |
Credit Agricole Corporate and Investment Bank (France) | | | | | | | | |
| | |
(ICE LIBOR USD 3 Month + 0.21%), 1.95%, 8/9/2021 (a) | | | 36,098,000 | | | | 36,108,188 | |
| | |
(ICE LIBOR USD 3 Month + 0.48%), 2.38%, 9/17/2021 (a) | | | 54,800,000 | | | | 55,015,852 | |
| | |
Nordea Bank Abp (Finland) (ICE LIBOR USD 3 Month + 0.32%), 2.06%, 5/5/2021 (a) | | | 71,600,000 | | | | 71,741,257 | |
| | |
Sumitomo Mitsui Banking Corp. (Japan) (ICE LIBOR USD 3 Month + 0.36%), 2.26%, 4/6/2021 (a) | | | 44,363,000 | | | | 44,456,555 | |
| | |
(ICE LIBOR USD 3 Month + 0.32%), 2.01%, 11/22/2021 (a) | | | 47,564,000 | | | | 47,563,935 | |
| | | | | | | | |
| | |
Total Certificates of Deposit
(Cost $254,447,509) | | | | | | | 254,885,787 | |
| | | | | |
Commercial Mortgage-backed Securities — 0.8% | |
| | |
BX Commercial Mortgage Trust
Series 2020-BXLP, Class A,
2.46%, 12/15/2029 (b) (f) | | | 22,990,000 | | | | 23,000,626 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 163 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Commercial Mortgage-backed Securities — continued | |
| | |
Series2018-IND, Class A, 2.41%, 11/15/2035 (b) (f) | | | 9,363,984 | | | | 9,361,155 | |
| | |
BXMT Ltd. Series2017-FL1, Class A, 2.53%, 6/15/2035 (b) (f) | | | 626,951 | | | | 625,775 | |
| | |
BXP Trust Series 2017-CQHP, Class A, 2.51%, 11/15/2034 (b) (f) | | | 500,000 | | | | 499,060 | |
| | |
CGDBB Commercial Mortgage Trust Series 2017-BIOC, Class A,
2.45%, 7/15/2032 (b) (f) | | | 822,189 | | | | 822,188 | |
| | |
Commercial Mortgage Trust Series2020-CBM, Class A2,
2.90%, 2/10/2037 (b) | | | 16,000,000 | | | | 16,690,738 | |
| | |
Credit Suisse Mortgage Capital Certificates
Series 2019-ICE4, Class A,
2.64%, 5/15/2036 (b) (f) | | | 28,000,000 | | | | 27,999,969 | |
| | |
KNDL Mortgage Trust
Series 2019-KNSQ, Class A,
2.46%, 5/15/2036 (b) (f) | | | 5,600,000 | | | | 5,608,786 | |
| | |
Morgan Stanley Bank of America Merrill Lynch Trust
Series2013-C8, Class A3,
2.86%, 12/15/2048 | | | 7,730,939 | | | | 7,987,875 | |
| | | | | | | | |
| |
Total Commercial Mortgage-Backed Securities
(Cost $92,230,198) | | | | 92,596,172 | |
| | | | | |
Collateralized Mortgage Obligations — 0.8% | |
| | |
FHLMC, REMIC Series 4002, Class MA, 2.00%, 1/15/2039 | | | 11,338,452 | | | | 11,403,725 | |
| | |
FNMA, REMIC Series2012-100, Class A, 1.50%, 9/25/2027 | | | 23,957,310 | | | | 24,072,312 | |
| | |
Series2012-111, Class NA, 1.25%, 10/25/2027 | | | 5,058,398 | | | | 5,053,886 | |
| | |
Series2012-121, Class B, 1.13%, 11/25/2027 | | | 35,246,205 | | | | 35,105,128 | |
| | |
Series2013-18, Class BD, 1.75%, 10/25/2041 | | | 11,874,918 | | | | 11,941,984 | |
| | | | | |
| |
Total Collateralized Mortgage Obligations
(Cost $86,160,425) | | | | 87,577,035 | |
| | | | | |
Foreign Government Securities — 0.0% (d) | |
| | |
Japan Bank for International Cooperation (Japan) (ICE LIBOR USD 3 Month + 0.48%), 2.39%, 6/1/2020 (a) (Cost $200,000) | | | 200,000 | | | | 200,213 | |
| | | | | |
Short-Term Investments – 18.4% | |
|
Certificates of Deposit — 5.1% | |
| | |
Agricultural Bank of China Ltd. (China) 2.30%, 4/9/2020 | | | 34,423,000 | | | | 34,450,789 | |
| | |
Bank of Nova Scotia (The) (Canada) (ICE LIBOR USD 3 Month + 0.28%), 2.21%, 9/21/2020 (a) | | | 3,000,000 | | | | 3,004,303 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Certificates Of Deposit — continued | |
| | |
Barclays Bank plc (United Kingdom) 2.95%, 4/9/2020 | | | 52,000,000 | | | | 52,078,547 | |
| | |
Canadian Imperial Bank of Commerce (Canada) (ICE LIBOR USD 3 Month + 0.40%), 2.16%, 5/2/2020 (a) | | | 4,000,000 | | | | 4,002,940 | |
| | |
Chiba Bank Ltd. (Japan) | | | | | | | | |
| | |
2.00%, 3/4/2020 | | | 7,147,000 | | | | 7,147,405 | |
| | |
2.00%, 3/5/2020 | | | 10,985,000 | | | | 10,985,740 | |
| | |
2.00%, 3/11/2020 | | | 16,700,000 | | | | 16,702,152 | |
| | |
2.00%, 3/12/2020 | | | 9,504,000 | | | | 9,505,317 | |
| | |
China Construction Bank Corp. (China) 2.18%, 4/7/2020 | | | 17,750,000 | | | | 17,760,303 | |
| | |
Credit Suisse AG (Switzerland) 1.80%, 1/22/2021 | | | 51,771,000 | | | | 52,017,842 | |
| | |
First Abu Dhabi Bank USA NV 2.02%, 4/24/2020 (b) | | | 55,687,000 | | | | 55,729,536 | |
| | |
Lloyds Bank Corporate Markets plc (United Kingdom) 1.92%, 7/1/2020 | | | 50,000,000 | | | | 50,082,038 | |
| | |
(ICE LIBOR USD 3 Month + 0.50%), 2.43%, 9/24/2020 (a) | | | 23,000,000 | | | | 23,061,234 | |
| | |
Mizuho Bank Ltd. (Japan) (ICE LIBOR USD 3 Month + 0.33%), 2.16%, 4/15/2020 (a) | | | 12,000,000 | | | | 12,005,283 | |
| | |
MUFG Bank Ltd. (Japan) | | | | | | | | |
| | |
2.02%, 8/13/2020 | | | 35,000,000 | | | | 35,105,194 | |
| | |
2.06%, 8/18/2020 | | | 29,300,000 | | | | 29,397,296 | |
| | |
Natixis SA (France) 1.93%, 11/13/2020 | | | 4,900,000 | | | | 4,911,547 | |
| | |
Nordea Bank AB (Finland) 1.71%, 10/28/2020 | | | 52,800,000 | | | | 52,910,848 | |
| | |
Societe Generale (France) 2.19%, 7/31/2020 | | | 44,926,000 | | | | 45,085,348 | |
| | |
Standard Chartered Bank (United Kingdom) 1.78%, 10/26/2020 | | | 71,387,000 | | | | 71,529,651 | |
| | |
Svenska Handelsbanken AB (Sweden) (ICE LIBOR USD 3 Month + 0.28%), 2.18%, 9/11/2020 (a) | | | 6,000,000 | | | | 6,008,497 | |
| | | | | |
| | |
Total Certificates of Deposit
(Cost $592,287,290) | | | | | | | 593,481,810 | |
| | | | | |
|
Commercial Paper — 6.1% | |
| | |
Agricultural Bank of China Ltd. (China) 2.30%, 4/2/2020 (b) (g) | | | 49,000,000 | | | | 48,918,690 | |
| | |
American Express Credit Corp. 1.95%, 4/6/2020 (g) | | | 1,600,000 | | | | 1,597,021 | |
| | |
BAT International Finance plc (United Kingdom) 2.26%, 3/2/2020 (b) (g) | | | 35,000,000 | | | | 34,995,085 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 164 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Short-Term Investments – continued | |
|
Commercial Paper — continued | |
| | |
Bell Canada, Inc. (Canada) 1.82%, 4/8/2020 (b) (g) | | | 12,762,000 | | | | 12,736,859 | |
| | |
Boeing Co. (The) 2.06%, 5/19/2020 (b) (g) | | | 47,903,000 | | | | 47,712,658 | |
| | |
Campbell Soup Co. 1.88%, 3/2/2020 (b) (g) | | | 7,465,000 | | | | 7,463,952 | |
| | |
Dow Chemical Co. (The) 1.95%, 3/30/2020 (g) | | | 24,700,000 | | | | 24,662,332 | |
| | |
Duke Energy Corp. 1.75%, 3/17/2020 (b) (g) | | | 4,499,000 | | | | 4,495,090 | |
| | |
Ecolab, Inc. 1.86%, 4/13/2020 (b) (g) | | | 30,500,000 | | | | 30,432,138 | |
| | |
Eni Finance USA, Inc. (Italy) 2.00%, 4/8/2020 (b) (g) | | | 21,500,000 | | | | 21,457,406 | |
| | |
Entergy Corp. 1.92%, 4/2/2020 (b) (g) | | | 4,700,000 | | | | 4,691,784 | |
| | |
Eversource Energy 1.74%, 3/16/2020 (b) (g) | | | 13,205,000 | | | | 13,193,682 | |
| | |
General Electric Co. | | | | | | | | |
| | |
2.09%, 3/18/2020 (g) | | | 15,250,000 | | | | 15,235,987 | |
| | |
2.10%, 3/19/2020 (g) | | | 39,550,000 | | | | 39,511,703 | |
| | |
Industrial & Commercial Bank of China Ltd. (China) 1.91%, 4/24/2020 (b) (g) | | | 170,500,000 | | | | 170,023,396 | |
| | |
Marriott International, Inc. 1.89%, 3/23/2020 (b) (g) | | | 12,000,000 | | | | 11,985,968 | |
| | |
Natwest Markets Securities, Inc. (United Kingdom) 1.96%, 7/29/2020 (b) (g) | | | 53,200,000 | | | | 52,777,261 | |
| | |
ONEOK, Inc. | | | | | | | | |
| | |
1.82%, 3/3/2020 (b) (g) | | | 27,586,000 | | | | 27,580,121 | |
| | |
1.82%, 3/6/2020 (b) (g) | | | 21,886,000 | | | | 21,877,744 | |
| | |
PPL Capital Funding, Inc. 2.11%, 3/9/2020 (b) (g) | | | 27,400,000 | | | | 27,386,977 | |
| | |
Reckitt Benckiser Treasury Services plc (United Kingdom)
2.39%, 4/1/2020 (b) (g) | | | 29,000,000 | | | | 28,956,722 | |
| | |
2.12%, 4/20/2020 (b) (g) | | | 13,000,000 | | | | 12,969,674 | |
| | |
Shell International Finance BV (Netherlands) 2.00%, 6/30/2020 (b) (g) | | | 2,200,000 | | | | 2,189,274 | |
| | |
Societe Generale SA (France) 1.81%, 1/21/2021 (b) (g) | | | 31,700,000 | | | | 31,336,084 | |
| | |
VW Credit, Inc. (Germany) 2.01%, 3/18/2020 (b) (g) | | | 16,000,000 | | | | 15,985,298 | |
| | | | | |
| | |
Total Commercial Paper
(Cost $709,944,577) | | | | | | | 710,172,906 | |
| | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE ($) | |
| | | | | | | | |
Investment Companies — 5.8% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44%(h) (i) (Cost $667,817,128) | | | 667,817,128 | | | | 667,817,128 | |
| | | | | |
Investment of Cash Collateral from Securities Loaned — 0.0%(d) | |
| | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.73% (h) (i) | | | 999,800 | | | | 1,000,000 | |
| | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (h) (i) | | | 1,286,200 | | | | 1,286,200 | |
| | | | | |
| | |
Total Investment of Cash Collateral From Securities Loaned
(Cost $2,286,200) | | | | | | | 2,286,200 | |
| | | | | |
| | |
| | | PRINCIPAL
AMOUNT ($) | | | | |
Repurchase Agreements — 1.4% | |
| | |
Bofa Securities, Inc., 1.98%, dated 2/28/2020, due 04/06/2020, repurchase price $9,018,810, collateralized by Sovereign Government Securities, 5.88% — 6.95%, due 1/11/2028 — 1/28/2060, with the value of $9,720,000. | | | 9,000,000 | | | | 9,000,000 | |
| | |
Citigroup Global Markets Holdings, Inc., 1.89%, dated 2/28/2020, due 10/23/2020, repurchase price $12,150,158, collateralized by Collateralized Mortgage Obligations, 3.81% — 5.12%, due 11/25/2039 — 11/25/2056, FNMA Connecticut Avenue Securities, 3.73%, due 10/25/2039 and FHLMC 3.93% —4.75% due 1/25/2050 —11/26/2057, with the value of $12,960,001. | | | 12,000,000 | | | | 12,000,000 | |
| | |
Wells Fargo Securities LLC, 2.32%, dated 2/28/2020, due 05/13/2020, repurchase price $140,677,250, collateralized by Collateralized Mortgage Obligations, 2.73% — 5.91%, due 8/17/2032 —10/25/2059 and Corporate Notes and Bonds, 0.00% — 3.19%, due 3/1/2034 —7/15/2038, with the value of $152,974,937. | | | 140,000,000 | | | | 140,000,000 | |
| | | | | | | | |
| | |
Total Repurchase Agreements
(cost $161,000,000) | | | | | | | 161,000,000 | |
| | | | | |
| | |
Total Short-Term Investments
(Cost $2,133,335,195) | | | | | | | 2,134,758,044 | |
| | | | | |
| | |
Total Investments — 98.9%
(Cost $11,421,998,423) | | | | | | | 11,466,175,934 | |
| | |
Other Assets Less Liabilities — 1.1% | | | | | | | 125,313,570 | |
| | | | | |
| | |
NET ASSETS — 100.0% | | | | | | | 11,591,489,504 | |
| | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 165 | |
JPMorgan Ultra-Short Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
Abbreviations
| | |
| CIFC | | Commercial Industrial Finance Corp. |
| CLO | | Collateralized Loan Obligations |
| FHLMC | | Federal Home Loan Mortgage Corp. |
| FNMA | | Federal National Mortgage Association |
| ICE | | Intercontinental Exchange |
| LIBOR | | London Interbank Offered Rate |
| REMIC | | Real Estate Mortgage Investment Conduit |
| SOFR | | Secured Overnight Financing Rate |
| USD | | United States Dollar |
| |
| (a) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
| (b) | | Securities exempt from registration under Rule 144A or section 4 (a) (2), of the Securities Act of 1933, as amended. |
| (c) | | The security or a portion of this security is on loan at February 29, 2020. The total value of securities on loan at February 29, 2020 is $2,237,841. |
| | |
| |
| (d) | | Amount rounds to less than 0.1% of net assets. |
| (e) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| (f) | | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 29, 2020. |
| (g) | | The rate shown is the effective yield as of February 29, 2020. |
| (h) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (i) | | The rate shown is the current yield as of February 29, 2020. |
| ‡ | | Value determined using significant unobservable inputs. |
| | | | | | | | | | | | | | | | | | | | |
| Futures contracts outstanding as of February 29, 2020: | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT ($) | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) ($) | |
Short Contracts | |
| U.S. Treasury 5 Year Note | | | (140 | ) | | | 06/2020 | | | | USD | | | | (17,183,906 | ) | | | (194,982 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| |
| USD | | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 166 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — 97.3%(a) | |
|
Alabama — 1.1% | |
|
Education — 0.1% | |
| | |
Alabama Public School and College Authority, Capital Improvement Series A, Rev., 5.00%, 5/1/2020 | | | 20,000 | | | | 20,135 | |
| | |
Auburn University Series 2016A, Rev., 5.00%, 6/1/2020 | | | 30,000 | | | | 30,311 | |
| | |
Baldwin County Board of Education Rev., 4.00%, 6/1/2020 | | | 50,000 | | | | 50,394 | |
| | | | | | | | |
| | |
| | | | | | | 100,840 | |
| | | | | | | | |
|
General Obligation — 0.0%(b) | |
| | |
City of Oxford Series 2012B, GO, 5.00%, 5/1/2020 | | | 10,000 | | | | 10,068 | |
| | |
County of Montgomery, Refunding Warrants GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | | | | | | | |
| | |
| | | | | | | 50,068 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0%(b) | |
| | |
City of Mobile, Industrial Development Board, Pollution Control, Alabama Power Co., Barry Plant Project Series 2007A, Rev., 1.85%, 3/24/2020 (c) | | | 50,000 | | | | 50,025 | |
| | |
Madison County Public Building Authority, Department of Human Resources Project Series2019-0, Rev., 5.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | | | | | | | |
| | |
| | | | | | | 80,025 | |
| | | | | | | | |
|
Other Revenue — 0.5% | |
| | |
Alabama 21st Century Authority | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/1/2020 | | | 845,000 | | | | 853,070 | |
| | |
Series 2012A, Rev., 5.00%, 6/1/2021 | | | 55,000 | | | | 57,629 | |
| | | | | | | | |
| | |
| | | | | | | 910,699 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
City of Huntsville, Capital Improvement Series 2011B, GO, 5.00%, 5/1/2025 (d) | | | 110,000 | | | | 115,289 | |
| | |
City of Troy, Electric Water and Sewer System Rev., AGM, 4.75%, 10/1/2028 (d) | | | 20,000 | | | | 20,457 | |
| | |
South Alabama Gas District Rev., 3.40%, 8/1/2024 (d) | | | 300,000 | | | | 303,093 | |
| | | | | | | | |
| | |
| | | | | | | 438,839 | |
| | | | | | | | |
|
Special Tax — 0.0% (b) | |
| | |
Mobile County Board of School Commissioners, Warrant Series 2016A, 5.00%, 3/1/2020 | | | 15,000 | | | | 15,000 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Utility — 0.3% | |
| | |
Black Belt Energy Gas District, Gas Prepay Series 2018A, Rev., 4.00%, 12/1/2023 (c) | | | 75,000 | | | | 82,620 | |
| | |
Black Belt Energy Gas District, Gas Supply Series 2016A, Rev., LIQ: Royal Bank of Canada, 4.00%, 6/1/2021 (c) | | | 205,000 | | | | 212,579 | |
| | |
Black Belt Energy Gas District, Project No. 4 Series2019A-1, Rev., 4.00%, 6/1/2020 | | | 50,000 | | | | 50,368 | |
| | |
Southeast Alabama Gas Supply District (The), Project No. 2 Series A, Rev., 4.00%, 6/1/2020 | | | 240,000 | | | | 241,757 | |
| | | | | | | | |
| | |
| | | | | | | 587,324 | |
| | | | | | | | |
| | |
Total Alabama | | | | | | | 2,182,795 | |
| | | | | | | | |
|
Alaska — 0.5% | |
|
Certificate of Participation/Lease — 0.1% | |
| | |
State of Alaska, Native Tribal Health Consortium housing facility project Series 2014, COP, 4.00%, 6/1/2022 | | | 295,000 | | | | 314,190 | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
University of Alaska SeriesV-2, Rev., 5.00%, 10/1/2020 | | | 200,000 | | | | 204,760 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Borough of Matanuska-Susitna Series 2007A, GO,NATL-RE, 5.00%, 4/1/2021 | | | 65,000 | | | | 66,540 | |
| | |
Borough of North Slope Series 2018A, GO, 5.00%, 6/30/2021 | | | 20,000 | | | | 21,102 | |
| | |
Borough of North Slope, General Purpose Series 2018A, GO, 5.00%, 6/30/2020 | | | 10,000 | | | | 10,136 | |
| | |
Municipality of Anchorage Series A, GO, 5.00%, 8/1/2020 | | | 15,000 | | | | 15,258 | |
| | | | | | | | |
| | |
| | | | | | | 113,036 | |
| | | | | | | | |
|
Housing — 0.0%(b) | |
| | |
Alaska Housing Finance Corp., State Capital Project Series 2014D, Rev., 5.00%, 6/1/2020 | | | 15,000 | | | | 15,151 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Alaska Housing Finance Corp., Capital Project Series 2011A, Rev., 5.00%, 12/1/2025 (d) | | | 50,000 | | | | 51,562 | |
| | | | | | | | |
|
Utility — 0.2% | |
| | |
Alaska Energy Authority, Power Sixth Series, Bradley Lake Hydroelectric Project Series 6, Rev., 5.00%, 7/1/2020 | | | 360,000 | | | | 365,054 | |
| | | | | | | | |
| | |
Total Alaska | | | | | | | 1,063,753 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 167 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Arizona — 1.4% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
City of Tucson COP, AGM, 4.00%, 7/1/2020 | | | 25,000 | | | | 25,254 | |
| | | | | | | | |
|
Education — 0.4% | |
| | |
Arizona State University Series A, Rev., VRDO, 1.10%, 3/10/2020 (c) | | | 765,000 | | | | 765,000 | |
| | |
University of Arizona (The) | | | | | | | | |
| | |
Series 2012A, Rev., 4.00%, 6/1/2020 | | | 20,000 | | | | 20,157 | |
| | |
Series 2013A, Rev., 4.00%, 6/1/2020 | | | 30,000 | | | | 30,236 | |
| | | | | | | | |
| | |
| | | | | | | 815,393 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
City of Tempe Series B, GO, 4.00%, 7/1/2020 | | | 15,000 | | | | 15,159 | |
| | |
Maricopa County Unified School District No. 41 Gilbert GO, 4.00%, 7/1/2020 | | | 40,000 | | | | 40,420 | |
| | |
Maricopa County Union High School District No.210-Phoenix Series 2019B, GO, 5.00%, 7/1/2020 | | | 50,000 | | | | 50,689 | |
| | |
Maricopa County Union High School District No. 213, Tempe Union High School Improvement, Project of 2012 Series 2013B, GO, 2.00%, 7/1/2020 | | | 50,000 | | | | 50,202 | |
| | |
Pinal County, Florence Unified School District No. 1 GO, 4.00%, 7/1/2020 | | | 20,000 | | | | 20,203 | |
| | | | | | | | |
| | |
| | | | | | | 176,673 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
Arizona Health Facilities Authority, Banner Health Series 2015A, Rev., 5.00%, 1/1/2021 | | | 25,000 | | | | 25,850 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.7% | |
| | |
Chandler Industrial Development Authority, Intel Corp. Project Series 2018, Rev., 2.40%, 8/14/2023 (c) | | | 1,335,000 | | | | 1,394,408 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Casa Grande Rev., 4.00%, 4/1/2020 | | | 25,000 | | | | 25,063 | |
| | |
City of Phoenix Civic Improvement Corp., Civic Plaza Expansion Series B, Rev.,NATL-RE, 5.50%, 7/1/2020 | | | 20,000 | | | | 20,306 | |
| | |
City of Phoenix Civic Improvement Corp., Junior Lien Water System Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,347 | |
| | |
City of Phoenix Civic Improvement Corp., Subordinated Excise Tax Series 2017B, Rev., 5.00%, 7/1/2020 | | | 100,000 | | | | 101,388 | |
| | |
City of Tempe, Excise Tax Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,346 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
Other Revenue — continued | |
| | |
City of Tucson, Senior Lien Rev., AGM, 5.00%, 7/1/2020 | | | 15,000 | | | | 15,203 | |
| | |
Santa Cruz County Jail District Rev., AGM, 3.00%, 7/1/2020 | | | 25,000 | | | | 25,166 | |
| | |
Scottsdale Municipal Property Corp. Series 2015A, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,138 | |
| | | | | | | | |
| | |
| | | | | | | 247,957 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Phoenix, Civic Improvement Corp., Light Rail Project Series 2013, Rev., 5.00%, 7/1/2020 | | | 55,000 | | | | 55,758 | |
| | |
County of Pima, Street and Highway Refunding Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,275 | |
| | |
Pima County Regional Transportation Authority Rev., 5.00%, 6/1/2020 | | | 65,000 | | | | 65,669 | |
| | |
Regional Public Transportation Authority, Transportation Excise Tax, Maricopa County Public Transportation Fund Rev., 5.25%, 7/1/2021 | | | 30,000 | | | | 31,772 | |
| | | | | | | | |
| | |
| | | | | | | 173,474 | |
| | | | | | | | |
|
Utility — 0.0%(b) | |
| | |
Industrial Development Authority of the County of Pima (The), Tucson Electric Power Company San Juan Project Series 2009A, Rev., 4.95%, 10/1/2020 | | | 10,000 | | | | 10,225 | |
| | | | | | | | |
| | |
Water & Sewer — 0.0%(b) | | | | | | | | |
| | |
County of Pima, Sewer System Series 2011B, Rev., 5.00%, 7/1/2020 | | | 55,000 | | | | 55,756 | |
| | | | | | | | |
| | |
Total Arizona | | | | | | | 2,924,990 | |
| | | | | | | | |
|
Arkansas — 0.8% | |
| | |
Education — 0.0%(b) | | | | | | | | |
| | |
University of Arkansas Rev., 4.00%, 5/1/2022 | | | 30,000 | | | | 31,980 | |
| | | | | | | | |
| | |
General Obligation — 0.7% | | | | | | | | |
| | |
Bentonville School District No. 6, Construction Series A, GO, 3.00%, 6/1/2022 | | | 70,000 | | | | 70,108 | |
| | |
City of Little Rock, Capital Improvement GO, 5.00%, 4/1/2020 | | | 15,000 | | | | 15,049 | |
| | |
DeQueen School District No. 17, Construction | | | | | | | | |
| | |
Series 2018B, GO, 3.38%, 2/1/2043 | | | 150,000 | | | | 150,295 | |
| | |
Series 2018B, GO, 3.50%, 2/1/2045 | | | 100,000 | | | | 100,207 | |
| | |
Series 2018B, GO, 3.50%, 2/1/2047 | | | 110,000 | | | | 110,228 | |
| | |
Newport Special School District, Subordinate Construction GO, 2.45%, 2/1/2021 | | | 330,000 | | | | 330,587 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 168 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
| | |
General Obligation — continued | | | | | | | | |
| | |
Springdale School District No. 50 GO, 5.00%, 6/1/2020 | | | 500,000 | | | | 505,100 | |
| | |
State of Arkansas, Federal Highway Grant Anticipation GO, GAN, 5.00%, 4/1/2020 | | | 45,000 | | | | 45,148 | |
| | |
State of Arkansas, Water, Waste Disposal and Pollution Abatement Facilities Series 2016A, GO, 5.00%, 7/1/2020 | | | 25,000 | | | | 25,346 | |
| | | | | | | | |
| | |
| | | | | | | 1,352,068 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Arkansas Development Finance Authority, Department of Arkansas Heritage Project Rev., 2.25%, 4/1/2020 | | | 200,000 | | | | 200,200 | |
| | |
City of Springdale, Sales and Use Tax Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,082 | |
| | | | | | | | |
| | |
| | | | | | | 225,282 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Little Rock, Sewer Rev., 3.00%, 4/1/2020 | | | 100,000 | | | | 100,169 | |
| | | | | | | | |
| | |
Total Arkansas | | | | | | | 1,709,499 | |
| | | | | | | | |
|
California — 1.1% | |
|
Education — 0.2% | |
| | |
Los Angeles County Schools SeriesA-1, Rev., TRAN, 3.00%, 6/1/2020 | | | 310,000 | | | | 311,655 | |
| | |
University of California | | | | | | | | |
| | |
Series 2013AF, Rev., 5.00%, 5/15/2020 | | | 50,000 | | | | 50,440 | |
| | |
Series 2016AT, Rev., 1.40%, 5/15/2021 (c) | | | 125,000 | | | | 125,435 | |
| | | | | | | | |
| | |
| | | | | | | 487,530 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Alta Loma School District, Capital Appreciation Series 1999A, GO,NATL-RE, Zero Coupon, 8/1/2020 | | | 50,000 | | | | 49,815 | |
| | |
Burbank Unified School District, Capital Appreciation Series 1997A, GO,NATL-RE, Zero Coupon, 8/1/2020 | | | 25,000 | | | | 24,905 | |
| | |
El Camino Healthcare District GO, 5.00%, 8/1/2020 | | | 35,000 | | | | 35,636 | |
| | |
Merced Union High School District Series 2011C, GO, Zero Coupon, 8/1/2020 | | | 30,000 | | | | 29,888 | |
| | |
State of California, Various Purpose GO, 5.00%, 3/1/2020 | | | 145,000 | | | | 145,000 | |
| | | | | | | | |
| | |
| | | | | | | 285,244 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Hospital — 0.2% | |
| | |
Washington Township Health Care District Series 2015A, Rev., 5.00%, 7/1/2021 | | | 275,000 | | | | 289,435 | |
| | | | | | | | |
|
Housing — 0.0%(b) | |
| | |
Department of Veterans Affairs Veteran’s Farm & Home Purchase Program Series 2012A, Rev., 2.75%, 12/1/2020 | | | 45,000 | | | | 45,653 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
California Infrastructure and Economic Development Bank, The J. Paul Getty Trust Rev., (ICE LIBOR USD 3 Month + 0.37%), 1.48%, 4/1/2020 (e) | | | 50,000 | | | | 50,012 | |
| | |
California Statewide Communities Development Authority, Southern California Edison Co. Series 2013B, Rev., 1.90%, 4/1/2020 (c) | | | 305,000 | | | | 305,223 | |
| | | | | | | | |
| | |
| | | | | | | 355,235 | |
| | | | | | | | |
|
Prerefunded — 0.3% | |
| | |
Contra Costa Transportation Authority, Sales Tax, Limited Tax Series 2012B, Rev., 5.00%, 3/1/2025 (d) | | | 50,000 | | | | 50,000 | |
| | |
Menlo Park City School District GO, Zero Coupon, 7/1/2038 (d) | | | 100,000 | | | | 32,496 | |
| | |
Mesa Water District COP, 5.00%, 3/15/2025 (d) | | | 100,000 | | | | 100,146 | |
| | |
Northern California Power Agency Series 1986A, Rev., AMBAC, 7.50%, 7/1/2023 (d) | | | 215,000 | | | | 230,067 | |
| | |
Twin Rivers Unified School District Series 2014A, GO, Zero Coupon, 8/1/2035 (d) | | | 350,000 | | | | 165,522 | |
| | | | | | | | |
| | |
| | | | | | | 578,231 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Bay Area Toll Authority, Toll Bridge, San Francisco Bay Area Series2014F-2, Rev., 4.00%, 4/1/2020 | | | 30,000 | | | | 30,079 | |
| | |
City of Long Beach Harbor Series 2010A, Rev., 4.00%, 5/15/2020 (d) | | | 20,000 | | | | 20,136 | |
| | |
Contra Costa Transportation Authority Series 2012B, Rev., 5.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
San Diego County Regional Transportation Commission | | | | | | | | |
| | |
Series 2010B, Rev., 4.00%, 4/1/2020 | | | 20,000 | | | | 20,053 | |
| | | | | | | | |
| | |
| | | | | | | 100,268 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Petaluma, Wastewater System Rev., 5.00%, 5/1/2020 | | | 35,000 | | | | 35,248 | |
| | | | | | | | |
| | |
Total California | | | | | | | 2,176,844 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 169 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
Colorado — 1.2% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
Regional Transportation District Series 2015A, COP, 5.00%, 6/1/2020 | | | 35,000 | | | | 35,354 | |
| | |
State of Colorado Series 2011H, COP, 4.00%, 3/15/2020 | | | 50,000 | | | | 50,053 | |
| | | | | | | | |
| | |
| | | | | | | 85,407 | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Colorado Educational and Cultural Facilities Authority, Johnson and Wales University Project Series A, Rev., 4.00%, 4/1/2020 | | | 55,000 | | | | 55,118 | |
| | |
University of Colorado | | | | | | | | |
| | |
Series 2011B, Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,256 | |
| | |
Series 2013A, Rev., 5.00%, 6/1/2020 | | | 20,000 | | | | 20,205 | |
| | | | | | | | |
| | |
| | | | | | | 100,579 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Colorado Health Facilities Authority, Catholic Health Initiatives Series A, Rev., 5.00%, 2/1/2021 (d) | | | 305,000 | | | | 316,517 | |
| | |
Colorado Health Facilities Authority, Covenant Retirement Communities, Inc. Series 2012C, Rev., 5.00%, 12/1/2021 | | | 75,000 | | | | 79,905 | |
| | |
University of Colorado Hospital Authority Series 2019C, Rev., 5.00%, 11/15/2024 (c) | | | 150,000 | | | | 174,801 | |
| | | | | | | | |
| | |
| | | | | | | 571,223 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
City of Grand Junction Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
|
Prerefunded — 0.8% | |
| | |
Colorado Health Facilities Authority, Catholic Health Initiatives | | | | | | | | |
| | |
Series 2011A, Rev., 5.00%, 2/1/2022 (d) | | | 70,000 | | | | 72,643 | |
| | |
Series 2011A, Rev., 5.00%, 2/1/2026 (d) | | | 195,000 | | | | 202,363 | |
| | |
Series2009B-1, Rev., 5.00%, 7/1/2027 (d) | | | 5,000 | | | | 5,544 | |
| | |
Series 2011A, Rev., 5.25%, 2/1/2031 (d) | | | 810,000 | | | | 842,424 | |
| | |
Series2009B-1, Rev., 4.00%, 7/1/2033 (d) | | | 20,000 | | | | 21,646 | |
| | |
Series 2013A, Rev., 5.25%, 1/1/2040 (d) | | | 15,000 | | | | 16,822 | |
| | |
Series 2011A, Rev., 5.00%, 2/1/2041 (d) | | | 55,000 | | | | 57,077 | |
| | |
Series 2013A, Rev., 5.25%, 1/1/2045 (d) | | | 290,000 | | | | 325,226 | |
| | | | | | | | |
| | |
| | | | | | | 1,543,745 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
Utility — 0.0%(b) | |
| | |
Colorado Water Resources and Power Development Authority, Clean Water Series A, Rev., 5.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Metro Wastewater Reclamation District Series 2019A, Rev., 5.00%, 4/1/2020 | | | 85,000 | | | | 85,279 | |
| | | | | | | | |
| | |
Total Colorado | | | | | | | 2,461,233 | |
| | | | | | | | |
|
Connecticut — 0.6% | |
|
Education — 0.2% | |
| | |
Connecticut State Health and Educational Facilities Authority, Yale University Issue | | | | | | | | |
| | |
Series2010A-3, Rev., 1.80%, 2/9/2021 (c) | | | 60,000 | | | | 60,506 | |
| | |
SeriesX-2, Rev., 1.80%, 2/9/2021 (c) | | | 225,000 | | | | 226,899 | |
| | |
SeriesU-1, Rev., 2.00%, 2/8/2022 (c) | | | 180,000 | | | | 183,719 | |
| | | | | | | | |
| | |
| | | | | | | 471,124 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
City of Stamford GO, 4.00%, 4/1/2020 | | | 50,000 | | | | 50,127 | |
| | |
State of Connecticut Series C, GO, 5.00%, 6/1/2020 | | | 165,000 | | | | 166,683 | |
| | |
Town of Glastonbury GO, 4.00%, 5/15/2020 | | | 25,000 | | | | 25,167 | |
| | |
Town of Groton Series A, GO, BAN, 2.75%, 4/30/2020 | | | 25,000 | | | | 25,072 | |
| | |
Town of Ledyard GO, 5.00%, 7/15/2020 | | | 25,000 | | | | 25,398 | |
| | | | | | | | |
| | |
| | | | | | | 292,447 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
Connecticut State Health and Educational Facilities Authority, Middlesex Hospital Issue Series 2011N, Rev., 5.00%, 7/1/2020 | | | 70,000 | | | | 70,922 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Connecticut Housing Finance Authority SubseriesA-1, Rev., 2.35%, 11/15/2020 | | | 220,000 | | | | 222,081 | |
| | |
Connecticut Housing Finance Authority, Housing Mortgage Finance Program Series C, SubseriesC-1, Rev., 1.80%, 5/15/2020 | | | 110,000 | | | | 110,195 | |
| | |
SeriesA-2, Rev., 2.25%, 5/15/2020 | | | 15,000 | | | | 15,040 | |
| | |
Series2019F-5, Rev., 1.30%, 11/15/2020(c) | | | 60,000 | | | | 60,039 | |
| | | | | | | | |
| | |
| | | | | | | 407,355 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 170 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Water & Sewer — 0.0%(b) | |
| | |
South Central Connecticut
Regional Water Authority
Series B, Rev., 4.00%, 8/1/2020 | | | 50,000 | | | | 50,668 | |
| | | | | | | | |
| | |
Total Connecticut | | | | | | | 1,292,516 | |
| | | | | | | | |
|
Delaware — 0.1% | |
|
Transportation — 0.1% | |
| | |
Delaware Transportation Authority Rev., 5.00%, 7/1/2020 | | | 50,000 | | | | 50,692 | |
| | |
Delaware Transportation Authority, Transportation System Senior Rev., 5.00%, 7/1/2020 | | | 55,000 | | | | 55,761 | |
| | | | | | | | |
| | |
| | | | | | | 106,453 | |
| | | | | | | | |
| | |
Total Delaware | | | | | | | 106,453 | |
| | | | | | | | |
|
District of Columbia — 0.3% | |
|
General Obligation — 0.0%(b) | |
| | |
District of Columbia
Series 2013A, GO, 5.00%,
6/1/2020 | | | 10,000 | | | | 10,103 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
District of Columbia Housing Finance Agency Series2019B-2, Rev., FHA, 1.70%, 3/1/2023 | | | 165,000 | | | | 167,125 | |
| | |
District of Columbia Housing Finance Agency, Parkway Overlook
Apartments Rev., 2.00%,
9/1/2020(c) | | | 100,000 | | | | 100,458 | |
| | | | | | | | |
| | |
| | | | | | | 267,583 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
District of Columbia, Deed Tax Series 2010B, Rev., 3.50%, 6/1/2020 | | | 15,000 | | | | 15,097 | |
| | |
District of Columbia, Income Tax
Series F, Rev., 4.00%, 12/1/2021 | | | 35,000 | | | | 36,967 | |
| | |
District of Columbia, Kipp DC Project
Series 2017B, Rev., 4.00%,
7/1/2020 | | | 250,000 | | | | 252,313 | |
| | | | | | | | |
| | |
| | | | | | | 304,377 | |
| | | | | | | | |
| | |
Total District of Columbia | | | | | | | 582,063 | |
| | | | | | | | |
|
Florida — 4.5% | |
|
Certificate of Participation/Lease —0.2% | |
| | |
Brevard County School District
Series C, COP, 5.00%,
7/1/2020 | | | 35,000 | | | | 35,479 | |
| | |
Collier County School Board
Series 2005A, COP, AGM, 5.25%, 2/15/2021 | | | 25,000 | | | | 26,048 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Certificate of Participation/Lease — continued | |
| | |
Hillsborough County School Board,
Master Lease Program
Series 2015A, COP,
5.00%, 7/1/2020 | | | 45,000 | | | | 45,615 | |
| | |
Palm Beach County School District
Series 2014B, COP,
5.00%, 8/1/2020 | | | 40,000 | | | | 40,686 | |
| | |
Pasco County School Board
Series 2013A, COP,
5.00%, 8/1/2021 | | | 50,000 | | | | 52,897 | |
| | |
School Board of Miami-Dade County (The)
Series D, COP, 5.00%, 2/1/2021 | | | 100,000 | | | | 103,795 | |
| | |
South Florida Water
Management District COP,
5.00%, 10/1/2020 | | | 30,000 | | | | 30,725 | |
St. Lucie County School Board
Series 2015A, COP,
5.00%, 7/1/2021 | | | 30,000 | | | | 31,636 | |
| | |
Walton County District School Board COP,
5.00%, 7/1/2020 | | | 75,000 | | | | 76,025 | |
| | | | | | | | |
| | |
| | | | | | | 442,906 | |
| | | | | | | | |
|
Education —0.4% | |
| | |
Board of Governors State
University System of Florida
Series 2014A, Rev.,
5.00%, 7/1/2020 | | | 35,000 | | | | 35,483 | |
| | |
Florida Atlantic University Finance Corp., Student Housing Project
Series 2012A, Rev., 4.00%, 7/1/2021 | | | 75,000 | | | | 77,990 | |
| | |
Florida Higher Educational Facilities Financial Authority, Nova
Southeastern University Project
Series 2012A, Rev.,
5.00%, 4/1/2020 | | | 200,000 | | | | 200,620 | |
| | |
Florida State University Housing Facility
Series A, Rev.,
5.00%, 5/1/2020 | | | 40,000 | | | | 40,272 | |
| | |
Florida State University Parking Facility
Series 2014A, Rev.,
5.00%, 7/1/2020 | | | 50,000 | | | | 50,691 | |
| | |
State of Florida, State Board of
Education, Lottery
Series 2010E, Rev.,
5.00%, 7/1/2020 | | | 180,000 | | | | 182,491 | |
| | |
University of Florida Department of Housing and Residence
Education Housing System
Series 2012A, Rev., 4.00%,
7/1/2020 | | | 25,000 | | | | 25,264 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 171 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Education — continued | |
| | |
Series 2016A, Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,345 | |
| | |
Volusia County Educational Facility Authority, Embry-Riddle Aeronautical University, Inc. Project | | | | | | | | |
| | |
Series 2015B, Rev., 3.00%, 4/14/2020 (c) | | | 175,000 | | | | 175,441 | |
| | | | | | | | |
| | |
| | | | | | | 813,597 | |
| | | | | | | | |
| | |
General Obligation — 0.4% | | | | | | | | |
| | |
City of Port Orange | | | | | | | | |
| | |
GO, 3.00%, 4/1/2020 | | | 50,000 | | | | 50,083 | |
| | |
City of Sarasota | | | | | | | | |
| | |
GO, 4.00%, 7/1/2020 | | | 10,000 | | | | 10,106 | |
| | |
County of Miami-Dade, Building Better Communities Program | | | | | | | | |
| | |
Series 2013A, GO, 5.00%, 7/1/2020 | | | 40,000 | | | | 40,554 | |
| | |
County of Miami-Dade, Public Health Trust Program | | | | | | | | |
| | |
Series 2016A, GO, 5.00%, 7/1/2021 | | | 30,000 | | | | 31,652 | |
| | |
Florida State Board of Education, Public Education Capital Outlay | | | | | | | | |
| | |
Series 2015C, GO, 5.00%, 6/1/2020 | | | 45,000 | | | | 45,464 | |
| | |
Series A, GO, 5.00%, 6/1/2023 | | | 100,000 | | | | 102,038 | |
| | |
Reedy Creek Improvement District | | | | | | | | |
| | |
Series 2013A, GO, 5.00%, 6/1/2020 | | | 50,000 | | | | 50,510 | |
| | |
Series 2017A, GO, 5.00%, 6/1/2020 | | | 190,000 | | | | 191,938 | |
| | |
School Board of Miami-Dade County (The) | | | | | | | | |
| | |
GO, 5.00%, 3/15/2020 | | | 100,000 | | | | 100,139 | |
| | |
State of Florida, Full Faith and Credit State Board of Education Public Education Capital Outlay | | | | | | | | |
| | |
Series 2007H, GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,258 | |
| | |
Series 2015D, GO, 5.00%, 6/1/2020 | | | 70,000 | | | | 70,723 | |
| | |
Series 2016B, GO, 5.00%, 6/1/2020 | | | 20,000 | | | | 20,206 | |
| | |
State of Florida, State Board of Education | | | | | | | | |
| | |
Series B, GO, 5.00%, 6/1/2020 | | | 120,000 | | | | 121,238 | |
| | | | | | | | |
| | |
| | | | | | | 859,909 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
Hospital — 1.4% | | | | | | | | |
| | |
Brevard County Health Facilities Authority, Health First, Inc. Project | | | | | | | | |
| | |
Series 2014, Rev., 5.00%, 4/1/2021 | | | 310,000 | | | | 323,187 | |
| | |
City of Jacksonville, Health Care Facilities, Baptist Health | | | | | | | | |
| | |
Series 2019 B, Rev., VRDO, 1.15%, 3/10/2020 (c) | | | 1,400,000 | | | | 1,400,000 | |
| | |
City of Tallahassee Memorial Healthcare, Inc. Project | | | | | | | | |
| | |
Series 2016A, Rev., 5.00%, 12/1/2020 | | | 20,000 | | | | 20,554 | |
| | |
City of Tampa, H. Lee Moffitt Cancer Center Project | | | | | | | | |
| | |
Series 2012B, Rev., 4.00%, 7/1/2020 | | | 75,000 | | | | 75,751 | |
| | |
Lee Memorial Health System | | | | | | | | |
| | |
Series2019A-1, Rev., 5.00%, 4/1/2020 | | | 65,000 | | | | 65,205 | |
| | |
Miami-Dade County Health Facilities Authority, Miami Children’s Hospital Project | | | | | | | | |
| | |
Rev., 4.00%, 8/1/2020 | | | 700,000 | | | | 708,939 | |
| | |
Palm Beach County Health Facilities Authority, Lifespace Communities | | | | | | | | |
| | |
Series 2015C, Rev., 5.00%, 5/15/2020 | | | 110,000 | | | | 110,779 | |
| | |
Sarasota County Public Hospital District | | | | | | | | |
| | |
Series 1998B, Rev.,NATL-RE, 5.25%, 7/1/2024 | | | 130,000 | | | | 147,282 | |
| | | | | | | | |
| | |
| | | | | | | 2,851,697 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Escambia County Housing Finance Authority, Multicounty Program | | | | | | | | |
| | |
Series 2019B, Rev., GNMA COLL, 1.65%, 4/1/2023 | | | 100,000 | | | | 101,475 | |
| | |
Miami-Dade County Housing Finance Authority Housing, Liberty Square Phase Two Project | | | | | | | | |
| | |
Rev., 1.42%, 5/1/2022(c) | | | 275,000 | | | | 277,117 | |
| | |
Orange County Housing Finance Authority, Willow Key Apartments | | | | | | | | |
| | |
Series 2019A, Rev., 1.90%, 4/1/2021(c) | | | 100,000 | | | | 100,844 | |
| | | | | | | | |
| | |
| | | | | | | 479,436 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 172 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Florida Department of Environmental Protection | | | | | | | | |
| | |
Series 2011B, Rev., 5.00%, 7/1/2020 | | | 45,000 | | | | 45,613 | |
| | |
Series2014-A, Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,272 | |
| | |
Series 2015A, Rev., 5.00%, 7/1/2020 | | | 30,000 | | | | 30,408 | |
| | |
Series 2011B, Rev., 5.00%, 7/1/2021 | | | 100,000 | | | | 105,535 | |
| | |
Series2014-A, Rev., 5.00%, 7/1/2021 | | | 20,000 | | | | 21,107 | |
| | |
Florida Department of Environmental Protection, Everglades Restoration | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 7/1/2020 | | | 45,000 | | | | 45,613 | |
| | |
State of Florida, Department of Environmental Protection | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 35,000 | | | | 35,476 | |
| | | | | | | | |
| | |
| | | | | | | 304,024 | |
| | | | | | | | |
| | |
Other Revenue — 0.6% | | | | | | | | |
| | |
City of Cape Coral | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 50,000 | | | | 51,205 | |
| | |
City of Gulf Breeze, Local Government Loan Program, Remarketing | | | | | | | | |
| | |
Series 1985J, Rev., 4.50%, 12/1/2020 | | | 200,000 | | | | 205,282 | |
| | |
City of Tallahassee | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 270,000 | | | | 276,585 | |
| | |
County of Broward, Half-Cent Sales Tax | | | | | | | | |
| | |
Series A, Rev., 5.00%, 10/1/2020 | | | 40,000 | | | | 40,976 | |
| | |
County of Charlotte | | | | | | | | |
| | |
Rev., 4.00%, 10/1/2020 | | | 25,000 | | | | 25,459 | |
| | |
County of Collier | | | | | | | | |
| | |
Series 2010B, Rev., 5.00%, 10/1/2021 | | | 30,000 | | | | 31,991 | |
| | |
County of Miami-Dade | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/1/2021 | | | 125,000 | | | | 130,636 | |
| | |
County of Miami-Dade, Capital Asset Acquisition Refunding | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 4/1/2020 | | | 60,000 | | | | 60,196 | |
| | |
County of Okaloosa, Sales Tax | | | | | | | | |
| | |
Rev., 4.00%, 10/1/2020 | | | 55,000 | | | | 56,025 | |
| | |
County of Palm Beach, Public Improvement | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2020 | | | 20,000 | | | | 20,206 | |
| | |
Orange County Convention Center | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2021 | | | 85,000 | | | | 90,641 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
| | |
Other Revenue — continued | | | | | | | | |
| | |
State of Florida Lottery | | | | | | | | |
| | |
Series 2010F, Rev., 5.00%, 7/1/2020 | | | 50,000 | | | | 50,692 | |
| | |
Series 2012A, Rev., 5.00%, 7/1/2020 | | | 10,000 | | | | 10,138 | |
| | |
Series 2014A, Rev., 5.00%, 7/1/2020 | | | 90,000 | | | | 91,246 | |
| | | | | | | | |
| | |
| | | | | | | 1,141,278 | |
| | | | | | | | |
| | |
Prerefunded — 0.5% | | | | | | | | |
| | |
Capital Trust Agency Inc., Alexander Apartments Project | | | | | | | | |
| | |
Series 2011A, Rev., 6.00%, 7/1/2027 (d) | | | 340,000 | | | | 360,879 | |
| | |
Capital Trust Agency, Inc., Mission Springs Apartments Project | | | | | | | | |
| | |
Series A, Rev., 4.25%, 12/1/2042 (d) | | | 295,000 | | | | 335,327 | |
| | |
City of Orlando | | | | | | | | |
| | |
Series 2010C, Rev., 4.00%, 10/1/2023 (d) | | | 50,000 | | | | 50,926 | |
| | |
County of Miami-Dade, Aviation | | | | | | | | |
| | |
Series2010A-1, Rev., 5.38%, 10/1/2035 (d) | | | 80,000 | | | | 82,114 | |
| | |
JEA Electric System | | | | | | | | |
| | |
Series3-C, Rev., 3.25%, 10/1/2021 (d) | | | 25,000 | | | | 25,048 | |
| | |
Series B, Rev., 4.00%, 10/1/2022(d) | | | 75,000 | | | | 75,187 | |
| | |
JEA Water and Sewer System | | | | | | | | |
| | |
Series 2010E, Rev., 5.00%, 10/1/2021 (d) | | | 125,000 | | | | 125,409 | |
| | |
Series 2010A, Rev., 5.00%, 10/1/2022 (d) | | | 50,000 | | | | 50,161 | |
| | | | | | | | |
| | |
| | | | | | | 1,105,051 | |
| | | | | | | | |
| | |
Transportation — 0.5% | | | | | | | | |
| | |
Florida’s Turnpike Enterprise, Department of Transportation | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 30,000 | | | | 30,417 | |
| | |
Miami-Dade County Expressway Authority, Toll System | | | | | | | | |
| | |
Series 2013A, Rev., 5.00%, 7/1/2020 | | | 180,000 | | | | 182,360 | |
| | |
Series 2014B, Rev., 5.00%, 7/1/2020 | | | 185,000 | | | | 187,425 | |
| | |
Series 2014B, Rev., 5.00%, 7/1/2022 | | | 340,000 | | | | 370,230 | |
| | |
Orlando-Orange County Expressway Authority | | | | | | | | |
| | |
Series 2013B, Rev., 5.00%, 7/1/2020 | | | 55,000 | | | | 55,746 | |
| | |
State of Florida, Department of Transportation Turnpike System | | | | | | | | |
| | |
Series 2012A, Rev., 5.00%, 7/1/2020 | | | 45,000 | | | | 45,626 | |
| | |
Series 2017A, Rev., 5.00%, 7/1/2020 | | | 50,000 | | | | 50,696 | |
| | | | | | | | |
| | |
| | | | | | | 922,500 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 173 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
| | |
Utility — 0.1% | | | | | | | | |
| | |
City of Palm Coast, Utility System | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 25,000 | | | | 25,595 | |
| | |
City of Tallahassee, Energy System | | | | | | | | |
| | |
Rev., 5.00%, 10/1/2020 | | | 110,000 | | | | 112,651 | |
| | |
Rev., 5.00%, 10/1/2021 | | | 35,000 | | | | 37,294 | |
| | |
Orlando Utilities Commission, Utilities Commission | | | | | | | | |
| | |
Series 2017A, Rev., 3.00%, 10/1/2020 (c) | | | 50,000 | | | | 50,627 | |
| | |
Seacoast Utility Authority | | | | | | | | |
| | |
Series 2016A, Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
St. Johns River Power Park | | | | | | | | |
| | |
Series 26, Rev., 5.00%, 10/1/2020 (d) | | | 25,000 | | | | 25,600 | |
| | | | | | | | |
| | |
| | | | | | | 276,767 | |
| | | | | | | | |
| | |
Water & Sewer — 0.0%(b) | | | | | | | | |
| | |
County of Lee | | | | | | | | |
| | |
Series 2013B, Rev., 5.00%, 10/1/2022 | | | 35,000 | | | | 38,649 | |
| | | | | | | | |
| |
Total Florida | | | | 9,235,814 | |
| | | | | | | | |
|
Georgia — 0.9% | |
| | |
General Obligation — 0.0%(b) | | | | | | | | |
| | |
Clarke County School District, Sales Tax | | | | | | | | |
| | |
GO, 5.00%, 9/1/2021 | | | 30,000 | | | | 31,882 | |
| | |
Douglas County School District | | | | | | | | |
| | |
GO, 4.00%, 4/1/2020 | | | 25,000 | | | | 25,062 | |
| | | | | | | | |
| | |
| | | | | | | 56,944 | |
| | | | | | | | |
| | |
Hospital — 0.0%(b) | | | | | | | | |
| | |
Floyd County Hospital Authority, Medical Center Project Rev., RAN, GTD, 5.00%, 7/1/2020 | | | 35,000 | | | | 35,463 | |
| | |
Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., RAN, 5.00%, 8/1/2021 | | | 50,000 | | | | 52,672 | |
| | | | | | | | |
| | |
| | | | | | | 88,135 | |
| | | | | | | | |
| | |
Housing — 0.1% | | | | | | | | |
| | |
Lawrenceville Building Authority | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,081 | |
| | |
South Regional Joint Development Authority, Auxiliary Service Real Estate | | | | | | | | |
| | |
Rev., 5.00%, 8/1/2020 | | | 85,000 | | | | 86,451 | |
| | | | | | | | |
| | |
| | | | | | | 111,532 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Industrial Development Revenue/Pollution Control Revenue — 0.1% | |
| | |
Fulton County Development Authority | | | | | | | | |
| | |
Series A, Rev., 4.00%, 5/1/2021 | | | 200,000 | | | | 207,356 | |
| | | | | | | | |
| | |
Other Revenue — 0.0%(b) | | | | | | | | |
| | |
City of Atlanta, Water and Wastewater | | | | | | | | |
| | |
Series 2018B, Rev., 5.00%, 11/1/2020 | | | 25,000 | | | | 25,698 | |
| | | | | | | | |
| | |
Prerefunded — 0.0%(b) | | | | | | | | |
| | |
County of Columbia, Water and Sewer | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2022 (d) | | | 20,000 | | | | 20,203 | |
| | | | | | | | |
| | |
Utility — 0.7% | | | | | | | | |
| | |
Main Street Natural Gas, Inc., Gas Supply | | | | | | | | |
| | |
Series 2019B, Rev., 4.00%, 6/1/2022 | | | 450,000 | | | | 480,208 | |
| | |
Series 2019B, Rev., 4.00%, 12/1/2022 | | | 345,000 | | | | 373,242 | |
| | |
Series 2019B, Rev., 4.00%, 6/1/2023 | | | 240,000 | | | | 262,920 | |
| | |
Series A, Rev., LIQ: Royal Bank of Canada, 4.00%, 9/1/2023 (c) | | | 90,000 | | | | 99,081 | |
| | |
Series 2018C, Rev., 4.00%, 12/1/2023 (c) | | | 65,000 | | | | 71,955 | |
| | |
Valdosta Housing Authority, Brown Rural Development Portfolio Project | | | | | | | | |
| | |
Rev., 2.25%, 12/1/2020 (c) | | | 100,000 | | | | 100,857 | |
| | | | | | | | |
| | |
| | | | | | | 1,388,263 | |
| | | | | | | | |
| |
Total Georgia | | | | 1,898,131 | |
| | | | | | | | |
|
Hawaii — 0.0%(b) | |
| | |
Water & Sewer — 0.0%(b) | | | | | | | | |
| | |
City and County Honolulu,
Wastewater System | | | | | | | | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 30,000 | | | | 30,412 | |
| | | | | | | | |
|
Idaho — 0.1% | |
| | |
Transportation — 0.1% | | | | | | | | |
| | |
Idaho Housing and Finance Association, Federal Highway Trust Fund | | | | | | | | |
| | |
Series 2019A, Rev., GRAN, 5.00%, 7/15/2020 | | | 195,000 | | | | 197,933 | |
| | | | | | | | |
|
Illinois — 3.7% | |
| | |
General Obligation — 0.7% | | | | | | | | |
| | |
Cook County School District No. 81 Schiller Park, School Bonds | | | | | | | | |
| | |
GO, 4.00%, 12/1/2021 | | | 80,000 | | | | 84,268 | |
| | |
Lake County Forest Preserve District | | | | | | | | |
| | |
Series 2007A, GO, (ICE LIBOR USD 3 Month + 0.48%), 1.75%, 3/15/2020 (e) | | | 50,000 | | | | 50,059 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 174 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
| | |
General Obligation — continued | | | | | | | | |
| | |
Lake County Township High School District No. 121 Series 2016A, GO, 3.00%, 1/1/2024 (d) | | | 370,000 | | | | 400,040 | |
| | |
Village of McCook | | | | | | | | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/1/2020 | | | 100,000 | | | | 101,902 | |
| | |
Series 2019A, GO, AGM, 4.00%, 12/1/2021 | | | 135,000 | | | | 140,954 | |
| | |
Village of Midlothian | | | | | | | | |
| | |
GO, AGM, 4.00%, 1/1/2022 (f) | | | 15,000 | | | | 15,719 | |
| | |
GO, AGM, 4.00%, 1/1/2023 (f) | | | 15,000 | | | | 16,099 | |
| | |
GO, AGM, 4.00%, 1/1/2024 (f) | | | 70,000 | | | | 76,867 | |
| | |
GO, AGM, 4.00%, 1/1/2025 (f) | | | 40,000 | | | | 44,869 | |
| | |
Village of Rantoul | | | | | | | | |
| | |
GO, 4.00%, 1/1/2025 | | | 350,000 | | | | 389,519 | |
| | | | | | | | |
| | |
| | | | | | | 1,320,296 | |
| | | | | | | | |
| | |
Hospital — 0.2% | | | | | | | | |
| | |
Illinois Finance Authority, Ann and Robert H Lurie Children’s Hospital Obligated Group Rev., 5.00%, 8/15/2020 | | | 10,000 | | | | 10,187 | |
| | |
Illinois Finance Authority, Ascension Health Alliance Senior Credit Group SeriesE-2, Rev., 1.75%, 4/1/2021 (c) | | | 100,000 | | | | 100,812 | |
| | |
Illinois Finance Authority, Palos Community Hospital Series 2010C, Rev., 5.00%, 5/15/2020 | | | 200,000 | | | | 201,550 | |
| | |
Illinois Finance Authority, Silver Cross Hospital and Medical Centers Series C, Rev., 5.00%, 8/15/2021 | | | 60,000 | | | | 63,197 | |
| | |
Illinois Finance Authority, Unitypoint Health | | | | | | | | |
| | |
Series 2016, Rev., 5.00%, 2/15/2024 | | | 90,000 | | | | 104,013 | |
| | | | | | | | |
| | |
| | | | | | | 479,759 | |
| | | | | | | | |
| | |
Housing — 0.1% | | | | | | | | |
| | |
Illinois Housing Development Authority, Multi-Family Housing | | | | | | | | |
| | |
Rev., 2.31%, 9/1/2020 (c) | | | 185,000 | | | | 185,945 | |
| | | | | | | | |
| | |
Other Revenue — 2.1% | | | | | | | | |
| | |
Metropolitan Pier and Exposition
Authority, Expansion Project | | | | | | | | |
| | |
Series2010B-1, Rev., AGM, 5.00%, 6/15/2050 | | | 510,000 | | | | 516,074 | |
| | |
Series2010B-2, Rev., 5.00%, 6/15/2050 | | | 50,000 | | | | 50,588 | |
| | |
Series2010B-2, Rev., 5.20%, 6/15/2050 | | | 340,000 | | | | 344,192 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
| | |
Other Revenue — continued | | | | | | | | |
| | |
Series2010B-2, Rev., 5.25%, 6/15/2050 | | | 185,000 | | | | 187,331 | |
| | |
Series 2010A, Rev., 5.50%, 6/15/2050 | | | 610,000 | | | | 618,034 | |
| | |
Railsplitter Tobacco Settlement Authority | | | | | | | | |
| | |
Rev., 5.25%, 6/1/2020 | | | 385,000 | | | | 388,881 | |
| | |
Rev., 5.25%, 6/1/2021 | | | 130,000 | | | | 136,614 | |
| | |
State of Illinois Rev., 4.00%, 6/15/2020 | | | 45,000 | | | | 45,320 | |
| | |
Tender Option Bond Trust Receipts/Certificates | | | | | | | | |
| | |
Series 2020-XF0878, Rev., VRDO, LIQ: Royal Bank of Canada, 1.30%, 3/10/2020 (c) (g) | | | 2,130,000 | | | | 2,130,000 | |
| | | | | | | | |
| | |
| | | | | | | 4,417,034 | |
| | | | | | | | |
| | |
Prerefunded — 0.1% | | | | | | | | |
| | |
Cook County School District No. 144 Prairie Hills, School Bonds | | | | | | | | |
| | |
Series 2010A, GO, AGM, 5.00%, 12/1/2025 (d) | | | 100,000 | | | | 103,087 | |
| | |
Macoupin County Community Unit School District No. 7 Gillespie, School Building | | | | | | | | |
| | |
GO, AGC, 6.00%, 12/1/2032 (d) | | | 50,000 | | | | 54,503 | |
| | | | | | | | |
| | |
| | | | | | | 157,590 | |
| | | | | | | | |
| | |
Transportation — 0.0%(b) | | | | | | | | |
| | |
Regional Transportation Authority | | | | | | | | |
| | |
Series B, Rev.,NATL-RE, 5.50%, 6/1/2020 | | | 45,000 | | | | 45,500 | |
| | | | | | | | |
| | |
Utility — 0.5% | | | | | | | | |
| | |
City of Springfield, Senior Lien Electric | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2020 | | | 60,000 | | | | 60,000 | |
| | |
Illinois Finance Authority, Prairie Power Inc. | | | | | | | | |
| | |
Series A, Rev., 1.75%, 5/6/2020 (c) | | | 940,000 | | | | 941,100 | |
| | | | | | | | |
| | |
| | | | | | | 1,001,100 | |
| | | | | | | | |
| |
Total Illinois | | | | 7,607,224 | |
| | | | | | | | |
Indiana — 7.8% | | | | | |
| | |
Education — 1.7% | | | | | | | | |
| | |
2004 Plainfield Community
High School Building Corp.
Rev., 2.00%, 1/15/2021 | | | 30,000 | | | | 30,295 | |
| | |
Ball State University,
Housing and Dining
System Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,273 | |
| | |
Crothersville 2000 School
Building Corp. Rev., AMBAC,
5.00%, 7/15/2021 | | | 155,000 | | | | 161,474 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 175 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
| | |
Education — continued | | | | | | | | |
| | |
East Porter County School Building Corp. | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 125,000 | | | | 126,441 | |
| | |
Hamilton Southeastern Consolidated School Building Corp., First Mortgage | | | | | | | | |
| | |
Series B, Rev., 5.00%, 7/15/2022 | | | 35,000 | | | | 38,371 | |
| | |
Jennings County School Building Corp., First Mortgage Series 2019A, Rev., 2.00%,
1/15/2021 | | | 90,000 | | | | 90,844 | |
| | |
Series 2019B, Rev., 3.00%,
1/15/2021 | | | 15,000 | | | | 15,270 | |
| | |
Series 2019B, Rev., 3.00%,
7/15/2021 | | | 50,000 | | | | 51,416 | |
| | |
Series 2019A, Rev., 2.00%,
1/15/2022 | | | 90,000 | | | | 91,812 | |
| | |
Series 2019B, Rev., 3.00%,
1/15/2022 | | | 40,000 | | | | 41,543 | |
| | |
Series 2019A, Rev., 2.00%,
1/15/2023 | | | 60,000 | | | | 61,451 | |
| | |
MSD of Wabash County Multi-School Building Corp., Ad Valorem Property
Tax First Mortgage | | | | | | | | |
| | |
Rev., 3.40%, 7/15/2022 | | | 25,000 | | | | 25,775 | |
| | |
Pike Township Multi-School
Building Corp., First Mortgage | | | | | | | | |
| | |
Rev., 5.00%, 1/15/2024 | | | 320,000 | | | | 367,872 | |
| | |
Rev., 5.00%, 7/15/2024 | | | 350,000 | | | | 408,810 | |
| | |
Rev., 5.00%, 1/15/2025 | | | 335,000 | | | | 397,049 | |
| | |
South Bend Community School Corp. | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2022 | | | 30,000 | | | | 32,181 | |
| | |
Southeast Dubois County School
Building Corp., First Mortgage | | | | | | | | |
| | |
Series 2012A, Rev., 3.00%,
7/15/2022 | | | 640,000 | | | | 666,099 | |
| | |
Union Township School Corp. | | | | | | | | |
| | |
Rev., 2.00%, 12/31/2020 | | | 900,000 | | | | 906,426 | |
| | |
Valparaiso Multi-Schools Building Corp., Unlimited Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2020 | | | 25,000 | | | | 25,380 | |
| | |
West Clark 2000 School Building Corp., Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2020 | | | 25,000 | | | | 25,375 | |
| | | | | | | | |
| | |
| | | | | | | 3,584,157 | |
| | | | | | | | |
| | |
General Obligation — 0.5% | | | | | | | | |
| | |
Lafayette School Corp. | | | | | | | | |
| | |
GO, 4.00%, 7/15/2020 | | | 545,000 | | | | 550,439 | |
| | |
GO, 4.00%, 1/15/2021 | | | 425,000 | | | | 434,813 | |
| | | | | | | | |
| | |
| | | | | | | 985,252 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | |
|
Hospital — 1.4% | |
| | |
Indiana Finance Authority, Health Obligation Series H, Rev., 1.65%, 7/1/2022 (c) | | | 1,000,000 | | | | 1,011,220 | |
| | |
Indiana Finance Authority, Parkview Health | | | | | | | | |
| | |
Series 2017A, Rev., 5.00%, 11/1/2020 | | | 35,000 | | | | 35,948 | |
| | |
Indiana Finance Authority, University Health Obligated Group | | | | | | | | |
| | |
Series E, Rev., VRDO, LOC: Bank of America NA, 1.14%, 3/10/2020 (c) | | | 410,000 | | | | 410,000 | |
| | |
Indiana Finance Authority, University Health Obligation Group | | | | | | | | |
| | |
Series 2011N, Rev., 5.00%, 3/1/2020 | | | 675,000 | | | | 675,000 | |
| | |
Indiana Health and Educational Facilities Financing Authority, Ascension Senior Credit Group | | | | | | | | |
| | |
SeriesA-10, Rev., 1.50%, 5/1/2020 (c) | | | 220,000 | | | | 220,205 | |
| | |
SeriesB-3, Rev., 1.75%, 11/2/2021 (c) | | | 100,000 | | | | 101,267 | |
| | |
Indiana Health Facility Financing Authority, Ascension Health Credit Group | | | | | | | | |
| | |
Rev., 1.37%, 5/1/2020 (c) | | | 410,000 | | | | 410,299 | |
| | | | | | | | |
| | |
| | | | | | | 2,863,939 | |
| | | | | | | | |
|
Housing — 2.5% | |
| | |
City of Indianapolis, Brookhaven at County Line Apartments Project | | | | | | | | |
| | |
Series 2018A, Rev., VRDO, LOC: U.S. Bank NA, 1.22%, 3/2/2020 (c) | | | 4,200,000 | | | | 4,200,000 | |
| | |
Greater Clark Building Corp., First Mortgage | | | | | | | | |
| | |
Rev., 4.00%, 7/15/2020 | | | 50,000 | | | | 50,534 | |
| | |
Indiana Housing and Community Development Authority, Single Family Mortgage | | | | | | | | |
| | |
Series2017B-3, Rev., VRDO, GNMA/FNMA/FHLMC COLL, 1.36%, 3/2/2020 (c) | | | 960,000 | | | | 960,000 | |
| | | | | | | | |
| | |
| | | | | | | 5,210,534 | |
| | | | | | | | |
|
Other Revenue — 1.0% | |
| | |
Fort Wayne Redevelopment Authority Lease Rental | | | | | | | | |
| | |
Rev., 4.00%, 2/1/2022 | | | 50,000 | | | | 52,959 | |
| | |
Hammond Local Public Improvement Bond Bank | | | | | | | | |
| | |
Series 2020A, Rev., 2.25%, 6/30/2020 | | | 485,000 | | | | 486,009 | |
| | |
Series 2020A, Rev., 2.38%, 12/31/2020 | | | 1,375,000 | | | | 1,383,154 | |
| | |
Indiana Finance Authority | | | | | | | | |
| | |
Series 2017A, Rev., 4.00%, 6/1/2020 | | | 60,000 | | | | 60,472 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 176 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Other Revenue — continued | |
| | |
Indianapolis Local Public Improvement Bond Bank Series 2014C, Rev., 4.00%, 2/1/2022 | | | 25,000 | | | | 26,509 | |
| | | | | | | | |
| | |
| | | | | | | 2,009,103 | |
| | | | | | | | |
|
Utility — 0.7% | |
| | |
City of Rockport, Michigan Power Company Project Series D, Rev., 2.05%, 6/1/2021 (c) | | | 1,400,000 | | | | 1,414,952 | |
| | |
Indiana Municipal Power Agency, Power Supply System Series 2014A, Rev., 5.00%, 1/1/2021 | | | 20,000 | | | | 20,686 | |
| | | | | | | | |
| | |
| | | | | | | 1,435,638 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
City of Lafayette, Sewage Works | | | | | | | | |
| | |
Rev., 5.00%, 7/1/2022 | | | 25,000 | | | | 27,332 | |
| | | | | | | | |
| | |
Total Indiana | | | | | | | 16,115,955 | |
| | | | | | | | |
|
Iowa — 0.8% | |
|
Education — 0.0%(b) | |
| | |
Iowa City Community School District | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2020 | | | 20,000 | | | | 20,200 | |
| | |
Iowa State University of Science and Technology, Academic Building | | | | | | | | |
| | |
Series I.S.U, Rev., 3.13%, 7/1/2020 | | | 65,000 | | | | 65,500 | |
| | | | | | | | |
| | |
| | | | | | | 85,700 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
City of Ames | | | | | | | | |
| | |
Series 2016A, GO, 5.00%, 6/1/2020 | | | 55,000 | | | | 55,566 | |
| | |
Series 2017A, GO, 5.00%, 6/1/2020 | | | 30,000 | | | | 30,309 | |
| | |
City of Ankeny | | | | | | | | |
| | |
Series 2014B, GO, 5.00%, 6/1/2020 | | | 45,000 | | | | 45,464 | |
| | |
City of Clive | | | | | | | | |
| | |
Series 2012A, GO, 2.00%, 6/1/2020 | | | 75,000 | | | | 75,067 | |
| | |
City of Davenport | | | | | | | | |
| | |
Series 2017C, GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,254 | |
| | |
City of Iowa City | | | | | | | | |
| | |
Series 2016A, GO, 3.00%, 6/1/2020 | | | 10,000 | | | | 10,054 | |
| | |
City of West Des Moines, Urban Renewal | | | | | | | | |
| | |
Series 2018C, GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,258 | |
| | |
County of Dallas | | | | | | | | |
| | |
Series 2018A, GO, 3.00%, 6/1/2020 | | | 10,000 | | | | 10,054 | |
| | |
Waukee Community School District | | | | | | | | |
| | |
GO, 5.00%, 6/1/2020 | | | 105,000 | | | | 106,078 | |
| | |
Series 2016B, GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,257 | |
| | |
Series 2014C, GO, 5.00%, 6/1/2021 | | | 40,000 | | | | 42,086 | |
| | | | | | | | |
| | |
| | | | | | | 450,447 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | |
|
Hospital — 0.0%(b) | |
| | |
Iowa Finance Authority, Genesis Health System Rev., 5.00%, 7/1/2020 | | | 15,000 | | | | 15,193 | |
| | |
Iowa State Board of Regents, University of Iowa Hospitals and Clinics | | | | | | | | |
| | |
Rev., 4.00%, 9/1/2020 | | | 25,000 | | | | 25,399 | |
| | | | | | | | |
| | |
| | | | | | | 40,592 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
Iowa Finance Authority | | | | | | | | |
| | |
Series 2019E, Rev., VRDO, GNMA/FNMA/FHLMC, LIQ: TD Bank NA, 1.12%, 3/10/2020 (c) | | | 1,150,000 | | | | 1,150,000 | |
| | | | | | | | |
| | |
Total Iowa | | | | | | | 1,726,739 | |
| | | | | | | | |
|
Kansas — 0.2% | |
|
General Obligation — 0.1% | |
| | |
City of Lawrence, Temporary Notes | | | | | | | | |
| | |
Series I, GO, 2.00%, 5/1/2021 | | | 120,000 | | | | 120,223 | |
| | |
City of Olathe | | | | | | | | |
| | |
Series 220, GO, 4.00%, 7/1/2020 | | | 25,000 | | | | 25,265 | |
| | |
City of Wichita | | | | | | | | |
| | |
Series 811, GO, 5.00%, 6/1/2020 | | | 45,000 | | | | 45,464 | |
| | | | | | | | |
| | |
| | | | | | | 190,952 | |
| | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
Kansas Development Finance Authority, Department of Health and Environment | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Kansas Development Finance Authority | | | | | | | | |
| | |
Series 2013B, Rev., 5.00%, 5/1/2020 | | | 180,000 | | | | 181,195 | |
| | | | | | | | |
|
Utility — 0.0% (b) | |
| | |
Wyandotte County-Kansas City Unified Government, Kansas International Speedway Corp. Project | | | | | | | | |
| | |
Rev., 5.00%, 12/1/2020 | | | 20,000 | | | | 20,612 | |
| | | | | | | | |
| | |
Total Kansas | | | | | | | 417,759 | |
| | | | | | | | |
|
Kentucky — 3.1% | |
|
Education — 0.1% | |
| | |
Jefferson County School District Finance Corp., School Building Refunding | | | | | | | | |
| | |
Series 2013A, Rev., 2.00%, 6/1/2020 | | | 10,000 | | | | 10,029 | |
| | |
Murray State University, General Receipts | | | | | | | | |
| | |
Series 2011B, Rev., 3.75%, 9/1/2021 | | | 110,000 | | | | 111,198 | |
| | |
University of Louisville | | | | | | | | |
| | |
Series 2016F, Rev., 5.00%, 3/1/2020 | | | 15,000 | | | | 15,000 | |
| | | | | | | | |
| | |
| | | | | | | 136,227 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 177 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — 0.3% | |
| | |
City of Bowling Green | | | | | | | | |
| | |
Series 2016C, GO, 4.00%, 6/1/2020 | | | 100,000 | | | | 100,789 | |
| | |
Series 2016C, GO, 4.00%, 6/1/2021 | | | 50,000 | | | | 51,996 | |
| | |
County of Kenton | | | | | | | | |
| | |
Series B, GO, 5.00%, 10/1/2020 | | | 315,000 | | | | 322,683 | |
| | |
Series B, GO, 5.00%, 10/1/2021 | | | 215,000 | | | | 229,233 | |
| | | | | | | | |
| | |
| | | | | | | 704,701 | |
| | | | | | | | |
|
Hospital — 0.0% (b) | |
| | |
Louisville/Jefferson County Metropolitan Government, Health System, Norton Healthcare, Inc. | | | | | | | | |
| | |
Series 2016A, Rev., 5.00%, 10/1/2020 | | | 50,000 | | | | 51,173 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Kentucky Housing Corp., Westminster Village Project | | | | | | | | |
| | |
Series 2019, Rev., 2.00%, 4/1/2021 (c) | | | 200,000 | | | | 201,794 | |
| | | | | | | | |
|
Other Revenue — 2.4% | |
| | |
Kentucky Association of Counties Finance Corp. | | | | | | | | |
| | |
Series C, Rev., 3.25%, 2/1/2021 | | | 50,000 | | | | 51,003 | |
| | |
RBC Municipal Products, Inc. Trust, Floater Certificates | | | | | | | | |
| | |
SeriesG-116, Rev., VRDO, LOC: Royal Bank of Canada, 1.35%, 3/10/2020 (c) (g) | | | 5,000,000 | | | | 5,000,000 | |
| | | | | | | | |
| | |
| | | | | | | 5,051,003 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Kentucky Economic Development Finance Authority, Catholic Health Initiatives | | | | | | | | |
| | |
Series 2013A, Rev., 5.25%, 1/1/2045 (d) | | | 100,000 | | | | 111,998 | |
| | |
Louisville/Jefferson County Metropolitan Government, Catholic Health Initiatives | | | | | | | | |
| | |
Series 2012A, Rev., 4.00%, 12/1/2031 (d) | | | 10,000 | | | | 10,666 | |
| | |
Louisville/Jefferson County Metropolitan Government, St. Luke Health System | | | | | | | | |
| | |
Series 2012A, Rev., 5.00%, 12/1/2035 (d) | | | 15,000 | | | | 16,332 | |
| | | | | | | | |
| | |
| | | | | | | 138,996 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Kentucky Rural Water Finance Corp., Public Projects Construction Notes | | | | | | | | |
| | |
Series2019E-1, Rev., 1.45%, 6/1/2021 | | | 200,000 | | | | 200,458 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Water & Sewer — continued | |
| | |
Louisville & Jefferson County Metropolitan Sewer District | | | | | | | | |
| | |
Series 2016C, Rev., 5.00%, 5/15/2020 | | | 40,000 | | | | 40,334 | |
| | | | | | | | |
| | |
| | | | | | | 240,792 | |
| | | | | | | | |
| | |
Total Kentucky | | | | | | | 6,524,686 | |
| | | | | | | | |
|
Louisiana — 0.3% | |
|
General Obligation — 0.1% | |
| | |
Ascension Parish School Board | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Bossier Parish School Board | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
Iberia Parishwide School District | | | | | | | | |
| | |
Series 2014A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Lafourche Parish School Board | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
St. Tammany Parish Wide School District No. 12 | | | | | | | | |
| | |
Series 2017A, GO, 3.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
GO, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Terrebonne Parish Consolidated Government | | | | | | | | |
| | |
GO, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
| | |
| | | | | | | 195,000 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Lafayette | | | | | | | | |
| | |
Series 2018A, Rev., 5.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
City of Lafayette, Public Improvement Sales Tax | | | | | | | | |
| | |
Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,168 | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Bossier City Project | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,248 | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Livingston Parish Road | | | | | | | | |
| | |
Rev., 4.00%, 3/1/2020 | | | 85,000 | | | | 85,000 | |
| | |
Louisiana Public Facilities Authority, Hurricane Recovery Program | | | | | | | | |
| | |
Rev., 5.00%, 6/1/2020 | | | 15,000 | | | | 15,153 | |
| | |
St. Tammany Parish Sales Tax District No. 3 | | | | | | | | |
| | |
Rev., 4.00%, 6/1/2020 | | | 20,000 | | | | 20,158 | |
| | |
State of Louisiana, Gas and Fuels Tax | | | | | | | | |
| | |
Series 2010B, Rev., 5.00%, 5/1/2020 | | | 40,000 | | | | 40,271 | |
| | | | | | | | |
| | |
| | | | | | | 240,998 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 178 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Prerefunded — 0.0%(b) | |
| | |
State of Louisiana, Gas and Fuels Tax
Series B, Rev., 5.00%, 5/1/2030 (d) | | | 20,000 | | | | 20,136 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Louisiana Local Government Environmental Facilities and Community Development Authority, Parish of East Baton Rouge Road Improvements Project Rev., 5.00%, 8/1/2020 | | | 65,000 | | | | 66,082 | |
| | | | | | | | |
| | |
Total Louisiana | | | | | | | 522,216 | |
| | | | | | | | |
|
Maine — 0.0%(b) | |
|
General Obligation — 0.0%(b) | |
| | |
City of Lewiston Series 2013B, GO,
2.00%, 4/1/2020 | | | 20,000 | | | | 20,018 | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
Maine Municipal Bond Bank, Transportation Infrastructure Series 2011A,
Rev., 5.00%, 9/1/2020 | | | 20,000 | | | | 20,418 | |
| | | | | | | | |
| | |
Total Maine | | | | | | | 40,436 | |
| | | | | | | | |
|
Maryland — 0.5% | |
|
Education — 0.0%(b) | |
| | |
Maryland Stadium Authority, Baltimore City Public Schools Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,167 | |
| | |
University System of Maryland
Series 2017B, Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,083 | |
| | | | | | | | |
| | |
| | | | | | | 50,250 | |
| | | | | | | | |
|
General Obligation — 0.3% | |
| | |
City of Rockville Series 2017A, GO,
4.00%, 6/1/2020 | | | 30,000 | | | | 30,239 | |
| | |
County of Anne Arundel, Consolidated General Improvements GO, 5.00%, 4/1/2020 | | | 40,000 | | | | 40,132 | |
| | |
County of Anne Arundel, Water and Sewer | | | | | | | | |
| | |
GO, 4.00%, 4/1/2020 | | | 60,000 | | | | 60,152 | |
| | |
County of Baltimore GO, BAN, 4.00%, 3/19/2020 | | | 150,000 | | | | 150,223 | |
| | |
County of Prince George’s, Public Improvement | | | | | | | | |
| | |
Series 2013B, GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
Series 2013A, GO, 5.00%, 3/1/2020 | | | 175,000 | | | | 175,000 | |
| | |
Series 2019A, GO, 5.00%, 7/15/2020 | | | 25,000 | | | | 25,390 | |
| | |
County of Queen Anne’s, Public Facilities GO, 4.00%, 4/1/2020 | | | 25,000 | | | | 25,063 | |
| | |
County of Wicomico, Public Improvement GO, 5.00%, 11/1/2020 | | | 25,000 | | | | 25,703 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — continued | |
| | |
State of Maryland, State and Local
Facilities Loan Series 2015A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| | |
| | | | | | | 596,902 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
Maryland Environmental Service,
Mid-Shore II Regional Landfill Project Rev., 3.00%, 11/1/2020 | | | 80,000 | | | | 81,195 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Maryland Health and Higher Educational Facilities Authority, Doctors Community Hospital Rev., 5.75%, 7/1/2038 (d) | | | 50,000 | | | | 50,811 | |
| | |
State of Maryland, State and Local Facilities Loan GO, 4.00%, 3/15/2021 (d) | | | 140,000 | | | | 140,153 | |
| | | | | | | | |
| | |
| | | | | | | 190,964 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Maryland Community Development Administration Local Government Infrastructure SeriesA-2, Rev., 2.65%, 6/1/2020 | | | 40,000 | | | | 40,174 | |
| | |
Maryland State Transportation Authority Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,348 | |
| | |
Maryland State Transportation Authority, Transportation Facilities Projects Rev., 5.00%, 7/1/2020 | | | 50,000 | | | | 50,697 | |
| | | | | | | | |
| | |
| | | | | | | 116,219 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Baltimore, Water Projects Series 2013A, Rev., 5.00%, 7/1/2022 | | | 25,000 | | | | 27,411 | |
| | |
Maryland Water Quality Financing Administration Bay Restoration Rev., 5.00%, 3/1/2020 | | | 15,000 | | | | 15,000 | |
| | |
Maryland Water Quality Financing Administration Revolving Loan Fund Series 2014, Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| | |
| | | | | | | 67,411 | |
| | | | | | | | |
| | |
Total Maryland | | | | | | | 1,102,941 | |
| | | | | | | | |
|
Massachusetts — 2.3% | |
|
Education — 0.6% | |
| | |
Massachusetts Development Finance Agency, Boston college Series 2013S, Rev., 5.00%, 7/1/2020 | | | 25,000 | | | | 25,352 | |
| | |
Massachusetts State College Building Authority Series 2003B, Rev., AGC, Zero Coupon, 5/1/2020 | | | 100,000 | | | | 99,847 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 179 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Education — continued | |
| | |
University of Massachusetts Building Authority Series 2, Rev., 5.00%, 11/1/2020 | | | 25,000 | | | | 25,696 | |
| | |
University of Massachusetts Building Authority, Senior Lien Series2011-1, Rev., VRDO, LIQ: Wells Fargo Bank NA, 1.10%, 3/10/2020 (c) | | | 1,115,000 | | | | 1,115,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,265,895 | |
| | | | | | | | |
|
General Obligation — 1.1% | |
| | |
City of Beverly, Municipal Purpose Loan GO, 4.00%, 9/1/2020 | | | 10,000 | | | | 10,165 | |
| | |
City of Boston | | | | | | | | |
| | |
Series 2016A, GO, 5.00%, 3/1/2020 | | | 65,000 | | | | 65,000 | |
| | |
Series 2017B, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series 2011B, GO, 5.00%, 4/1/2020 | | | 20,000 | | | | 20,068 | |
| | |
Series 2012A, GO, 5.00%, 4/1/2020 | | | 25,000 | | | | 25,084 | |
| | |
Series 2017A, GO, 5.00%, 4/1/2020 | | | 20,000 | | | | 20,067 | |
| | |
City of Greenfield, Qualified Municipal Purpose Loan of 2014 GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
City of Somerville, Municipal Purpose Loan GO, 5.00%, 6/1/2020 | | | 20,000 | | | | 20,211 | |
| | |
Commonwealth of Massachusetts Series 2016A, GO, 5.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | |
Commonwealth of Massachusetts, Consolidated Loan of 2013 Series 2013A, GO, 5.00%, 4/1/2020 | | | 25,000 | | | | 25,083 | |
| | |
Greater Lawrence Regional Vocational Technical High School District, State Qualified Refunding GO, 3.00%, 3/1/2020 | | | 15,000 | | | | 15,000 | |
| | |
Greater Lawrence Sanitation District GO, BAN, 2.00%, 8/7/2020 | | | 1,754,999 | | | | 1,760,615 | |
| | |
Town of Ashland, Municipal Purpose Loan of 2014 GO, 5.00%, 5/15/2020 | | | 25,000 | | | | 25,216 | |
| | |
Town of Bellingham GO, 4.00%, 3/15/2020 | | | 30,000 | | | | 30,033 | |
| | |
Town of Braintree GO, 4.00%, 5/15/2020 | | | 40,000 | | | | 40,266 | |
| | |
Town of Dartmouth GO, 4.00%, 4/15/2020 | | | 20,000 | | | | 20,078 | |
| | |
Town of Georgetown GO, 4.00%, 5/1/2020 | | | 20,000 | | | | 20,105 | |
| | |
Town of Longmeadow, Municipal Purpose Loan GO, 2.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
Town of Marshfield Series A, GO, 5.00%, 6/15/2020 | | | 25,000 | | | | 25,306 | |
| | |
Town of Medfield, Municipal Purpose Loan GO, 5.00%, 5/15/2020 | | | 20,000 | | | | 20,173 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
General Obligation — continued | |
| | |
Town of Natick, Municipal Purpose Loan GO, 4.00%, 4/15/2020 | | | 35,000 | | | | 35,137 | |
| | |
Town of Southborough, Municipal Purpose Loan GO, 5.00%, 5/15/2020 | | | 20,000 | | | | 20,173 | |
| | |
Town of Westwood, Municipal Purpose Loan GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| | |
| | | | | | | 2,337,780 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
Massachusetts Development Finance Agency, Partners Healthcare System Series 2017S, Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 1.65%, 3/10/2020 (e) | | | 250,000 | | | | 250,403 | |
| | |
Massachusetts Development Finance Agency, Umass Memorial Health Care Obligated Group Series I, Rev., 5.00%, 7/1/2022 | | | 245,000 | | | | 267,613 | |
| | | | | | | | |
| | |
| | | | | | | 518,016 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Massachusetts Development Finance Agency, Multi-Family Housing Rev., 1.39%, 2/1/2022 (c) | | | 84,000 | | | | 84,621 | |
| | |
Massachusetts Housing Finance Agency, Multi-Family, Chestnut Park, Project Series 2018A, Rev., 2.40%, 12/1/2021 (c) | | | 100,000 | | | | 102,137 | |
| | | | | | | | |
| | |
| | | | | | | 186,758 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Massachusetts Development Finance Agency, Commonwealth Contract Assistance | | | | | | | | |
| | |
Series 2015A, Rev., 2.00%, 5/1/2020 | | | 50,000 | | | | 50,093 | |
| | |
Series 2019A, Rev., 5.00%, 5/1/2020 | | | 255,000 | | | | 256,706 | |
| | | | | | | | |
| | |
| | | | | | | 306,799 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Massachusetts Development Finance Agency, Medical Center Series I, Rev., 6.25%, 1/1/2027 (d) | | | 50,000 | | | | 52,269 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Commonwealth of Massachusetts Federal Highway, Accelerated Bridge Program | | | | | | | | |
| | |
Series 2013A, Rev., GAN, 5.00%, 6/15/2020 | | | 25,000 | | | | 25,299 | |
| | |
Series 2014A, Rev., GAN, 5.00%, 6/15/2020 | | | 20,000 | | | | 20,240 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 180 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Transportation — continued | |
| | |
Massachusetts Bay Transportation Authority, Mass Sales Tax Series 2003A, Rev., 5.25%, 7/1/2020 | | | 20,000 | | | | 20,291 | |
| | |
Massachusetts Bay Transportation Authority, Sales Tax Series 2010C, Rev., 5.00%, 7/1/2020 | | | 55,000 | | | | 55,756 | |
| | | | | | | | |
| | |
| | | | | | | 121,586 | |
| | | | | | | | |
| | |
Total Massachusetts | | | | | | | 4,789,103 | |
| | | | | | | | |
|
Michigan — 2.3% | |
|
Education — 0.0%(b) | |
| | |
Michigan Strategic Fund, Facility For Rare Isotope Beams Project At Michigan State University Rev., 5.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | | | | | | | |
|
General Obligation — 0.6% | |
| | |
Algonac Community Schools GO,Q-SBLF, 4.00%, 5/1/2020 | | | 100,000 | | | | 100,487 | |
| | |
Anchor Bay School District GO,Q-SBLF, 3.13%, 5/1/2020 | | | 50,000 | | | | 50,181 | |
| | |
Ann Arbor School District GO,Q-SBLF, 5.00%, 5/1/2020 | | | 40,000 | | | | 40,272 | |
| | |
Brighton Area School District, School Building and Site Series III, GO,Q-SBLF, 5.00%, 5/1/2020 | | | 10,000 | | | | 10,066 | |
| | |
Chelsea School District, School Building and Site Series 2018D, GO,Q-SBLF, 4.00%, 5/1/2020 | | | 15,000 | | | | 15,076 | |
| | |
Chippewa Valley Schools Series 2016B, GO,Q-SBLF, 5.00%, 5/1/2020 | | | 30,000 | | | | 30,202 | |
| | |
City of Grand Rapids, Limited Tax GO, 5.00%, 5/1/2020 | | | 40,000 | | | | 40,266 | |
| | |
County of Kent GO, 5.00%, 1/1/2021 | | | 110,000 | | | | 113,821 | |
| | |
Jackson College, Limited Tax GO, 2.00%, 5/1/2020 | | | 50,000 | | | | 50,090 | |
| | |
Jackson Public Schools, Unlimited Tax GO,Q-SBLF, 3.75%, 5/1/2031 | | | 55,000 | | | | 55,257 | |
| | |
Kalamazoo Public Schools, Unlimited Tax Series 2016B, GO, 3.00%, 5/1/2020 | | | 15,000 | | | | 15,053 | |
| | |
Kentwood Public Schools GO, 2.13%, 5/1/2020 | | | 200,000 | | | | 200,414 | |
| | |
Mount Pleasant School District, Unlimited Tax GO,Q-SBLF, 4.00%, 5/1/2020 | | | 25,000 | | | | 25,127 | |
| | |
Novi Community School District, School Building and Site Bonds | | | | | | | | |
| | |
Series I, GO, 4.00%, 5/1/2020 | | | 20,000 | | | | 20,104 | |
| | |
Series I, GO, 4.00%, 5/1/2021 | | | 25,000 | | | | 25,931 | |
| | |
Plainwell Community Schools District GO,Q-SBLF, 3.00%, 5/1/2020 | | | 50,000 | | | | 50,173 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
General Obligation — continued | |
| | |
Rochester Community School District
Series I, GO, 5.00%, 5/1/2020 | | | 30,000 | | | | 30,199 | |
| | |
Romulus Community Schools, Capital Appreciation GO,NATL-RE,Q-SBLF, Zero Coupon, 5/1/2020 | | | 200,000 | | | | 199,678 | |
| | |
Schoolcraft Community College District GO, 3.00%, 5/1/2024 | | | 115,000 | | | | 123,704 | |
| | |
Troy School District, School Building and Site GO,Q-SBLF, 5.00%, 5/1/2020 | | | 25,000 | | | | 25,170 | |
| | |
Wayland Union School District Series 2016A, GO,Q-SBLF, 5.00%, 5/1/2020 | | | 10,000 | | | | 10,067 | |
| | |
Webberville Community Schools, Unlimited Tax Series A, GO,Q-SBLF, 4.00%, 5/1/2020 | | | 75,000 | | | | 75,373 | |
| | | | | | | | |
| | |
| | | | | | | 1,306,711 | |
| | | | | | | | |
|
Hospital — 0.4% | |
| | |
Kalamazoo Hospital Finance Authority, Bronson Healthcare Group, Inc. Rev., 3.00%, 5/15/2020 | | | 35,000 | | | | 35,138 | |
| | |
Michigan Finance Authority, Bronson Healthcare Group, Inc. Series B, Rev., 3.50%, 11/15/2022 (c) | | | 230,000 | | | | 244,265 | |
| | |
Michigan Finance Authority, Henry Ford Health System Rev., 5.00%, 11/15/2020 | | | 120,000 | | | | 123,278 | |
| | |
Michigan State Hospital Finance Authority, Ascension Health Series 2010F-1, Rev., 4.00%, 6/1/2023 (c) | | | 50,000 | | | | 54,775 | |
| | |
Michigan State Hospital Finance Authority, Ascension Health Senior Credit Group SeriesF-5, Rev., 2.40%, 3/15/2023 (c) | | | 240,000 | | | | 249,425 | |
| | |
Royal Oak Hospital Finance Authority, William Beaumont Hospital Obligated Group Series 2014D, Rev., 5.00%, 9/1/2020 | | | 25,000 | | | | 25,507 | |
| | | | | | | | |
| | |
| | | | | | | 732,388 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Kent County Building Authority Rev., 4.00%, 6/1/2020 | | | 55,000 | | | | 55,431 | |
| | |
Michigan State Building Authority, Facilities Program SeriesI-A, Rev., 5.00%, 10/15/2020 | | | 95,000 | | | | 97,437 | |
| | | | | | | | |
| | |
| | | | | | | 152,868 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Michigan Strategic Fund, The Detroit Edison Company Pollution Control Bonds Project Series CC, Rev., 1.45%, 9/1/2021 (c) | | | 50,000 | | | | 50,140 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 181 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Other Revenue — 1.1% | |
| | |
Macomb County Building Authority Rev., 4.00%, 3/1/2020 | | | 250,000 | | | | 250,000 | |
| | |
Michigan Finance Authority | | | | | | | | |
| | |
Series2016C-3, Rev., 5.00%, 4/1/2020 | | | 100,000 | | | | 100,302 | |
| | |
Rev., 5.00%, 10/1/2020 | | | 25,000 | | | | 25,598 | |
| | |
Michigan State Building Authority, Facilities Program | | | | | | | | |
| | |
Series 2015I, Rev., 5.00%, 4/15/2020 | | | 80,000 | | | | 80,388 | |
| | |
Series I, Rev., 5.00%, 4/15/2021 | | | 100,000 | | | | 104,636 | |
| | |
Muskegon Local Development Finance Authority, Limited Tax Rev., AGM, 3.00%, 11/1/2022 | | | 50,000 | | | | 51,259 | |
| | |
State of Michigan Rev., GAN, 5.00%, 3/15/2020 | | | 1,750,000 | | | | 1,752,432 | |
| | | | | | | | |
| | |
| | | | | | | 2,364,615 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Byron Center Public Schools GO, AGM,Q-SBLF, 3.50%, 5/1/2022 (d) | | | 25,000 | | | | 25,107 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Wayne County Airport Authority,
Junior Lien Series 2017A, Rev.,
5.00%, 12/1/2020 | | | 100,000 | | | | 103,057 | |
| | | | | | | | |
|
Utility — 0.0%(b) | |
| | |
Lansing Board of Water and Light,
Utility Systems Series 2011A, Rev., 3.50%, 7/1/2020 | | | 25,000 | | | | 25,218 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Michigan Finance Authority, Revolving
Fund Cleanwater Series 2011, Rev., 5.00%, 10/1/2020 | | | 40,000 | | | | 40,957 | |
| | | | | | | | |
| | |
Total Michigan | | | | | | | 4,851,061 | |
| | | | | | | | |
|
Minnesota — 1.3% | |
|
Certificate of Participation/Lease — 0.4% | |
| | |
Duluth Independent School District No. 709 | | | | | | | | |
| | |
Series 2019C, COP, 5.00%, 2/1/2022 | | | 130,000 | | | | 139,459 | |
| | |
Series A, COP, 5.00%, 2/1/2022 | | | 200,000 | | | | 214,552 | |
| | |
Minnetonka Independent School District No. 276 | | | | | | | | |
| | |
Series E, COP, 3.00%, 10/1/2021 | | | 155,000 | | | | 160,236 | |
| | |
Series E, COP, 3.00%, 10/1/2022 | | | 85,000 | | | | 89,628 | |
| | |
Series E, COP, 4.00%, 10/1/2023 | | | 115,000 | | | | 127,559 | |
| | | | | | | | |
| | |
| | | | | | | 731,434 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — 0.0%(b) | |
| | |
Metropolitan Council Series 2012C, GO, 4.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
State of Minnesota, Trunk Highway
Series E, GO, 5.00%, 8/1/2020 | | | 35,000 | | | | 35,612 | |
| | | | | | | | |
| | |
| | | | | | | 85,612 | |
| | | | | | | | |
|
Housing — 0.4% | |
| | |
City of Maplewood, Maple Pond Apartments Project Series 2018A, Rev., 2.20%, 4/1/2020 (c) | | | 485,000 | | | | 485,446 | |
| | |
Housing and Redevelopment Authority of The City of St. Paul Minnesota, Healthpartners Obligated Group Series 2015A, Rev., 5.00%, 7/1/2020 | | | 100,000 | | | | 101,347 | |
| | |
Housing and Redevelopment Authority of The City of St. Paul Minnesota, Millberry Apartments Project Series 2018A, Rev., VRDO, 2.15%, 3/1/2021 (c) | | | 100,000 | | | | 100,000 | |
| | |
Minnesota Housing Finance Agency, Housing Infrastructure | | | | | | | | |
| | |
Series 2019D, Rev., 3.00%, 8/1/2020 | | | 20,000 | | | | 20,177 | |
| | |
Series 2018C, Rev., 5.00%, 8/1/2021 | | | 20,000 | | | | 21,118 | |
| | |
Minnesota Housing Finance Agency, Rental Housing Series 2019A, Rev., 2.00%, 8/1/2020 | | | 100,000 | | | | 100,160 | |
| | |
Minnesota Housing Finance Agency, Residential Housing Finance Rev., AMT, GNMA/FNMA/FHLMC, 2.10%, 7/1/2021 | | | 45,000 | | | | 45,616 | |
| | | | | | | | |
| | |
| | | | | | | 873,864 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Brooklyn Center, Unity Place Project Rev., 1.95%, 12/1/2020 (c) | | | 75,000 | | | | 75,167 | |
| | |
City of White Bear Lake, YMCA of Greater Twin Cities Project Rev., 5.00%, 6/1/2020 | | | 40,000 | | | | 40,393 | |
| | |
State of Minnesota, General Fund Appropriation | | | | | | | | |
| | |
Series 2012B, Rev., 4.00%, 3/1/2020 | | | 75,000 | | | | 75,000 | |
| | |
Series B, Rev., 5.00%, 3/1/2020 | | | 80,000 | | | | 80,000 | |
| | | | | | | | |
| | |
| | | | | | | 270,560 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Perham Hospital District Rev., 6.35%, 3/1/2035 (d) | | | 345,000 | | | | 345,000 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Housing and Redevelopment Authority of The City of St. Paul, Legends Berry Senior Apartments Project Series A, Rev., 2.20%, 9/1/2020 (c) | | | 125,000 | | | | 125,061 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 182 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Water & Sewer — 0.1% | |
| | |
Minnesota Rural Water Finance Authority, Inc., Public Projects Construction Rev., 2.00%, 8/1/2020 | | | 310,000 | | | | 310,019 | |
| | | | | | | | |
| | |
Total Minnesota | | | | | | | 2,741,550 | |
| | | | | | | | |
|
Mississippi — 0.8% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
State of Mississippi, Master Lease Program Series 2013A, COP, 2.75%, 4/15/2020 | | | 20,000 | | | | 20,044 | |
| | | | | | | | |
|
Education — 0.1% | |
| | |
Medical Center Educational Building Corp., Capital Improvements and Refinancing Project Rev., 5.00%, 6/1/2020 | | | 40,000 | | | | 40,404 | |
| | |
Mississippi Development Bank, East Mississippi Community college District Capital Improvement Project Rev., 5.00%, 1/1/2022 | | | 50,000 | | | | 53,707 | |
| | |
Mississippi Development Bank, Jackson Public School District Project Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,079 | |
| | | | | | | | |
| | |
| | | | | | | 119,190 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
County of Lafayette, Public Improvement Issue GO, 3.00%, 6/1/2020 | | | 20,000 | | | | 20,109 | |
| | |
Harrison County School District GO,
4.00%, 6/1/2020 | | | 85,000 | | | | 85,645 | |
| | |
State of Mississippi Series 2009F, GO, 5.25%, 10/1/2020 | | | 25,000 | | | | 25,646 | |
| | | | | | | | |
| | |
| | | | | | | 131,400 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.6% | |
| | |
Mississippi Business Finance Corp.,
Gulf Opportunity Zone Industrial Development, Chevron USA, Inc.
Project Series 2009B, Rev., VRDO, 1.23%, 3/2/2020 (c) | | | 915,000 | | | | 915,000 | |
| | |
Mississippi Business Finance Corp., Solid Waste Disposal, Waste Management, Inc. Project Rev., 1.35%, 9/1/2020 (c) | | | 350,000 | | | | 350,690 | |
| | | | | | | | |
| | |
| | | | | | | 1,265,690 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Mississippi Development Bank, Special Obligation, Water and Sewer System Project Rev., AGM, 3.00%, 12/1/2020 | | | 100,000 | | | | 101,419 | |
| | | | | | | | |
| | |
Total Mississippi | | | | | | | 1,637,743 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Missouri — 2.0% | |
|
Certificate of Participation/Lease — 0.2% | |
| | |
County of Clay Series 2018A, COP, 4.00%, 5/1/2020 | | | 80,000 | | | | 80,412 | |
| | |
St. Charles Community College COP, 3.00%, 3/1/2020 | | | 200,000 | | | | 200,000 | |
| | |
St. Charles County School District No.R-IV Wentzville COP, 5.00%, 4/1/2020 | | | 75,000 | | | | 75,242 | |
| | | | | | | | |
| | |
| | | | | | | 355,654 | |
| | | | | | | | |
|
Education — 1.3% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Bethesda Health Group Inc. Rev., 4.00%, 8/1/2020 | | | 110,000 | | | | 111,195 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System Series C, Rev., VRDO, LIQ: BJC Health System, 1.12%, 3/10/2020 (c) | | | 815,000 | | | | 815,000 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Series F, Rev., VRDO, 1.33%, 3/2/2020 (c) | | | 1,800,000 | | | | 1,800,000 | |
| | | | | | | | |
| | |
| | | | | | | 2,726,195 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Central Jackson County Fire Protection District GO, 2.00%, 3/1/2020 | | | 70,000 | | | | 70,000 | |
| | |
Columbia School District GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Jackson County Reorganized School District No. 7 GO, 4.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Joplin Schools, Direct Deposit Program GO, 5.00%, 3/1/2020 | | | 130,000 | | | | 130,000 | |
| | |
Springfield School District No.R-12, Missouri Direct Deposit Program Series 2014B, GO, 3.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | |
St. Charles County School District No.R-IV Wentzville, Missouri Direct Deposit Program GO, 4.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | | | | | | | |
| | |
| | | | | | | 300,000 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Coxhealth Series 2013A, Rev., 5.00%, 11/15/2022 | | | 50,000 | | | | 55,399 | |
| | |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital | | | | | | | | |
| | |
Rev., 5.00%, 9/1/2020 | | | 100,000 | | | | 101,743 | |
| | |
Rev., 5.00%, 9/1/2021 | | | 230,000 | | | | 241,854 | |
| | | | | | | | |
| | |
| | | | | | | 398,996 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 183 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
Hannibal IDA, Healthcare Facilities Rev., 5.00%, 10/1/2020 | | | 285,000 | | | | 291,113 | |
| | |
Missouri State Environmental Improvement and Energy Resources Authority Series 2015A, Rev., 5.00%, 7/1/2020 | | | 75,000 | | | | 76,038 | |
| | | | | | | | |
| | |
| | | | | | | 367,151 | |
| | | | | | | | |
| | |
Total Missouri | | | | | | | 4,147,996 | |
| | | | | | | | |
|
Nebraska — 0.2% | |
|
Education — 0.1% | |
| | |
University of Nebraska, Lincoln Parking Project Rev., 5.00%, 6/1/2020 (d) | | | 100,000 | | | | 101,040 | |
| | | | | | | | |
|
General Obligation — 0.0%(b) | |
| | |
City of Omaha GO, 5.25%, 4/1/2021 | | | 25,000 | | | | 26,202 | |
| | | | | | | | |
|
Housing — 0.0%(b) | |
| | |
Nebraska Investment Finance Authority, Home Ownership Series 2011A, Rev., AMT, GNMA/FNMA/FHLMC, 3.15%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Fremont, Combined Utility System | | | | | | | | |
| | |
Series 2014B, Rev., 2.00%, 7/15/2020 | | | 75,000 | | | | 75,292 | |
| | |
Rev., 3.00%, 10/15/2021 | | | 65,000 | | | | 67,090 | |
| | |
Nebraska Public Power District Series A, Rev., 5.00%, 1/1/2021 | | | 50,000 | | | | 51,712 | |
| | | | | | | | |
| | |
| | | | | | | 194,094 | |
| | | | | | | | |
| | |
Total Nebraska | | | | | | | 356,336 | |
| | | | | | | | |
|
Nevada — 0.2% | |
|
General Obligation — 0.1% | |
| | |
Clark County GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,258 | |
| | |
Las Vegas Valley Water District Series 2015A, GO, 5.00%, 6/1/2020 | | | 165,000 | | | | 166,708 | |
| | |
State of Nevada, Capital Improvement and Cultural Affairs Series 2012B, GO, 5.00%, 8/1/2021 | | | 30,000 | | | | 31,786 | |
| | |
Washoe County School District Series 2010F, GO, 5.00%, 6/1/2020 | | | 30,000 | | | | 30,308 | |
| | |
Washoe County School District, Limited Tax Series 2012A, GO, 4.00%, 6/1/2020 | | | 25,000 | | | | 25,196 | |
| | | | | | | | |
| | |
| | | | | | | 279,256 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
County of Clark Rev., 5.00%, 7/1/2020 | | | 45,000 | | | | 45,615 | |
| | | | | | | | |
|
Prerefunded — 0.0%(b) | |
| | |
Washoe County School District, Limited Tax, School Improvement Series2011-A, GO, 5.00%, 6/1/2023 (d) | | | 40,000 | | | | 42,086 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Transportation — 0.0%(b) | |
| | |
State of Nevada Highway Improvement, Motor Vehicle Fuel Tax Rev., 5.00%, 12/1/2020 | | | 35,000 | | | | 36,102 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Clark County, Nevada Power Co. Projects Rev., 1.60%, 5/21/2020 (c) | | | 100,000 | | | | 100,122 | |
| | | | | | | | |
| | |
Total Nevada | | | | | | | 503,181 | |
| | | | | | | | |
|
New Hampshire — 0.0%(b) | |
|
General Obligation — 0.0%(b) | |
| | |
City of Nashua GO, 5.00%, 3/15/2020 | | | 20,000 | | | | 20,028 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
New Hampshire Municipal Bond Bank | | | | | | | | |
| | |
Series 2013A, Rev., 5.00%, 8/15/2020 | | | 25,000 | | | | 25,477 | |
| | |
Series 2014A, Rev., 5.00%, 8/15/2020 | | | 25,000 | | | | 25,478 | |
| | | | | | | | |
| | |
| | | | | | | 50,955 | |
| | | | | | | | |
| | |
Total New Hampshire | | | | | | | 70,983 | |
| | | | | | | | |
|
New Jersey — 8.9% | |
|
Education — 1.1% | |
| | |
New Jersey Economic Development Authority, School Facilities Construction Rev., 5.00%, 3/1/2020 | | | 1,355,000 | | | | 1,355,000 | |
| | |
Series 2015XX, Rev., 5.00%, 6/15/2020 | | | 160,000 | | | | 161,822 | |
| | |
Series 2017DDD, Rev., 5.00%, 6/15/2020 | | | 10,000 | | | | 10,114 | |
| | |
Series PP, Rev., 5.00%, 6/15/2020 | | | 350,000 | | | | 353,986 | |
| | |
Series 2011EE, Rev., 5.00%, 9/1/2020 | | | 70,000 | | | | 71,392 | |
| | |
New Jersey Educational Facilities Authority, Higher Educational Capital Improvement Series 2014C, Rev., 5.00%, 9/1/2020 | | | 390,000 | | | | 397,753 | |
| | |
Rutgers The State University of New Jersey Series 2016M, Rev., 5.00%, 5/1/2020 | | | 35,000 | | | | 35,241 | |
| | | | | | | | |
| | |
| | | | | | | 2,385,308 | |
| | | | | | | | |
|
General Obligation — 5.8% | |
| | |
Bernards Township School District Series 2013B, GO, 5.00%, 1/1/2021 | | | 20,000 | | | | 20,698 | |
| | |
Borough of Chatham Series 2019, GO, BAN, 2.50%, 5/22/2020 | | | 1,423,750 | | | | 1,428,021 | |
| | |
Borough of Haddon Heights Series A, GO, BAN, 2.00%, 8/6/2020 | | | 1,461,980 | | | | 1,466,015 | |
| | |
Borough of Kinnelon GO, BAN, 2.00%, 3/6/2020 | | | 908,000 | | | | 908,091 | |
| | |
Borough of North Haledon GO, BAN, 2.00%, 4/14/2020 | | | 857,000 | | | | 857,548 | |
| | |
City of Bridgeton GO, 3.00%, 6/11/2020 | | | 650,000 | | | | 653,088 | |
| | |
City of Burlington Series 2019A, GO, BAN, 2.50%, 6/2/2020 | | | 2,412,000 | | | | 2,420,321 | |
| | |
City of Elizabeth GO, 2.50%, 4/1/2020 | | | 100,000 | | | | 100,137 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 184 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
City of North Wildwood GO, 5.00%, 9/1/2020 | | | 10,000 | | | | 10,204 | |
| | |
City of Woodbury, Water and Sewer Utility GO, 2.00%, 5/1/2020 | | | 45,000 | | | | 45,082 | |
| | |
County of Middlesex GO, 2.00%, 6/1/2020 | | | 50,000 | | | | 50,155 | |
| | |
County of Passaic, General Improvement GO, AGM, 4.00%, 4/1/2020 | | | 25,000 | | | | 25,062 | |
| | |
Hopewell Valley Regional School District GO, 5.00%, 8/15/2020 | | | 75,000 | | | | 76,418 | |
| | |
Lafayette Township School District GO, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Lawrence Township School District/Mercer County GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Mahwah Township School District GO, 5.00%, 9/15/2020 | | | 10,000 | | | | 10,225 | |
| | |
Mansfield Township Board of Education/Warren County GO, 2.50%, 7/15/2020 | | | 75,000 | | | | 75,430 | |
| | |
Monroe Township Board of Education/Middlesex County GO, 4.00%, 8/1/2020 | | | 30,000 | | | | 30,392 | |
| | |
North Brunswick Township Board of Education GO, 4.00%, 3/15/2020 | | | 100,000 | | | | 100,107 | |
| | |
Ocean Township Board of Education/Monmouth County GO, 4.00%, 3/1/2021 | | | 25,000 | | | | 25,061 | |
| | |
River Dell Regional School District GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
State of New Jersey, Various Purpose GO, 5.00%, 6/1/2020 | | | 120,000 | | | | 121,196 | |
| | |
Tenafly School District, Board of Education of The Borough of Tenafly GO, 4.00%, 4/1/2020 | | | 10,000 | | | | 10,025 | |
| | |
Toms River Board of Education, Regional School District GO, 2.00%, 7/15/2020 | | | 130,000 | | | | 130,541 | |
| | |
Township of Cherry Hill GO, 4.00%, 8/15/2020 | | | 25,000 | | | | 25,366 | |
| | |
Township of Edison GO, 4.00%, 6/1/2020 | | | 40,000 | | | | 40,318 | |
| | |
Township of Fairfield, Cumberland County Series 2019, GO, BAN, 2.50%, 3/25/2020 | | | 689,200 | | | | 689,855 | |
| | |
Township of Frelinghuysen Series 2019, GO, BAN, 2.50%, 6/4/2020 | | | 1,971,471 | | | | 1,976,853 | |
| | |
Township of Little Falls GO, BAN, 2.00%, 12/11/2020 | | | 533,638 | | | | 537,912 | |
| | | | | | | | |
| | |
| | | | | | | 11,919,121 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Bergen County Improvement Authority (The), New Bridge Medical Center Project Series 2019A, Rev., GTD, 4.00%, 9/1/2020 | | | 50,000 | | | | 50,751 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Hospital — continued | |
| | |
New Jersey Economic Development Authority, University Medical Rev., AMBAC, Zero Coupon, 1/1/2021 | | | 70,000 | | | | 69,224 | |
| | |
New Jersey Health Care Facilities Financing Authority, Virtua Health, Inc. Rev., 4.00%, 7/1/2020 | | | 50,000 | | | | 50,512 | |
| | |
Passaic County Improvement Authority, Preakness Healthcare Center Expansion Project Series 2015, Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,171 | |
| | | | | | | | |
| | |
| | | | | | | 195,658 | |
| | | | | | | | |
| |
|
Housing — 0.0% (b) | |
| | |
New Jersey Housing and Mortgage Finance Agency, Oceanport Gardens Series B, Rev., 2.02%, 8/1/2020 (c) | | | 100,000 | | | | 100,396 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
New Jersey Economic Development Authority Series 2003A, Rev.,NATL-RE, Zero Coupon, 3/15/2020 | | | 10,000 | | | | 9,995 | |
| | | | | | | | |
|
Other Revenue — 1.2% | |
| | |
Camden County Improvement Authority (The) Series 2011A, Rev., GTD, 4.00%, 9/1/2021 | | | 35,000 | | | | 36,543 | |
| | |
Garden State Preservation Trust Series 2012A, Rev., 4.00%, 11/1/2021 | | | 250,000 | | | | 261,730 | |
| | |
Gloucester County Improvement Authority (The), Capital Program Rev., GTD,
5.00%, 4/1/2020 | | | 25,000 | | | | 25,083 | |
| | |
Hudson County Improvement Authority, Guttenberg Project Rev., GTD, 4.00%, 8/1/2020 | | | 25,000 | | | | 25,320 | |
| | |
Morris County Improvement Authority, Morris County General Obligation Bond Project Rev., GTD, 4.00%, 5/1/2020 | | | 45,000 | | | | 45,236 | |
| | |
New Jersey State Building Authority
Series 2013A, Rev., 5.00%, 6/15/2021 | | | 125,000 | | | | 131,128 | |
| | |
Tobacco Settlement Financing Corp. | | | | | | | | |
| | |
Series A, Rev., 5.00%, 6/1/2020 | | | 1,310,000 | | | | 1,322,576 | |
| | |
Series A, Rev., 5.00%, 6/1/2022 | | | 160,000 | | | | 173,715 | |
| | |
Series A, Rev., 5.00%, 6/1/2023 | | | 375,000 | | | | 420,701 | |
| | | | | | | | |
| | |
| | | | | | | 2,442,032 | |
| | | | | | | | |
|
Transportation — 0.7% | |
| | |
New Jersey Transportation Trust Fund Authority, Transportation Program
Series 2012AA, Rev., 5.00%, 6/15/2020 | | | 130,000 | | | | 131,481 | |
| | |
New Jersey Transportation Trust Fund Authority, Transportation System | | | | | | | | |
| | |
Series 2011A, Rev., 5.00%, 6/15/2020 | | | 175,000 | | | | 176,993 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 185 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Transportation — continued | |
| | |
Series 2011B, Rev., 5.00%, 6/15/2020 | | | 495,000 | | | | 500,638 | |
| | |
Series 1999A, Rev., 5.75%, 6/15/2020 | | | 60,000 | | | | 60,810 | |
| | |
Rev., AMBAC, 4.38%, 12/15/2020 | | | 115,000 | | | | 118,056 | |
| | |
Series 2005B, Rev.,NATL-RE, 5.50%, 12/15/2020 | | | 125,000 | | | | 129,416 | |
| | |
Series 2006A, Rev., 5.25%, 12/15/2021 | | | 30,000 | | | | 32,170 | |
| | |
Rev., Zero Coupon, 12/15/2023 | | | 65,000 | | | | 61,284 | |
| | |
New Jersey Transportation Trust Fund Authority, Transportation System,Tax-Exempt Series 2019A, Rev., 5.00%, 12/15/2024 | | | 160,000 | | | | 187,670 | |
| | | | | | | | |
| | |
| | | | | | | 1,398,518 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Long Branch Sewage Authority Rev., 4.00%, 4/1/2020 | | | 20,000 | | | | 20,049 | |
| | | | | | | | |
| | |
Total New Jersey | | | | | | | 18,471,077 | |
| | | | | | | | |
|
New Mexico — 0.9% | |
|
Education — 0.0% (b) | |
| | |
University of New Mexico (The), Subordinated Lien System Improvement Series 2014C, Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,255 | |
| | | | | | | | |
|
General Obligation — 0.0%(b) | |
| | |
City of Albuquerque, General Purpose Series A, GO, 4.00%, 7/1/2020 | | | 20,000 | | | | 20,209 | |
| | | | | | | | |
|
Other Revenue — 0.8% | |
| | |
City of Albuquerque Rev., 4.00%, 7/1/2020 | | | 20,000 | | | | 20,209 | |
| | |
City of Farmington, Southern California Edison Co. Four Corners Project | | | | | | | | |
| | |
Rev., 1.87%, 4/1/2020 (c) | | | 1,050,000 | | | | 1,050,546 | |
| | |
Series A, Rev., 1.87%, 4/1/2020 (c) | | | 295,000 | | | | 295,153 | |
| | |
City of Las Cruces Rev., 5.00%, 6/1/2020 | | | 30,000 | | | | 30,306 | |
| | |
New Mexico Finance Authority, Senior Lien Public Project Series 2016A, Rev., 5.00%, 6/1/2020 | | | 100,000 | | | | 101,035 | |
| | |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund | | | | | | | | |
| | |
Series 2016E, Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,259 | |
| | |
Series 2013A, Rev., 4.00%, 6/1/2021 | | | 20,000 | | | | 20,803 | |
| | |
New Mexico Finance Authority, Subordinate Lien Public Project Series2018C-1, Rev., 5.00%, 6/15/2020 | | | 80,000 | | | | 80,959 | |
| | |
State of New Mexico, Severance Tax Permanent Fund | | | | | | | | |
| | |
Series 2016B, Rev., 4.00%, 7/1/2020 | | | 45,000 | | | | 45,482 | |
| | |
Series 2010A, Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,280 | |
| | | | | | | | |
| | |
| | | | | | | 1,690,032 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
Prerefunded — 0.1% | |
| | |
New Mexico Hospital Equipment Loan Council, Hospital, Presbyterian Healthcare Services Series 2012A, Rev., 5.00%, 8/1/2042 (d) | | | 100,000 | | | | 110,034 | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
New Mexico Finance Authority, Subordinate Lien Series2010A-2, Rev., 5.00%, 12/15/2020 | | | 25,000 | | | | 25,828 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Albuquerque Bernalillo County Water Utility Authority, Senior Lien Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,276 | |
| | | | | | | | |
| | |
Total New Mexico | | | | | | | 1,891,634 | |
| | | | | | | | |
|
New York — 12.0% | |
|
Education — 0.2% | |
| | |
Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project | | | | | | | | |
| | |
Series 2012A, Rev., 5.00%, 5/1/2020 | | | 30,000 | | | | 30,208 | |
| | |
Series 2015A, Rev., 5.00%, 5/1/2020 | | | 65,000 | | | | 65,448 | |
| | |
Monroe County Industrial Development Corp., School Facilities, Rochester Schools Modernization Project Rev., 5.00%, 5/1/2020 | | | 255,000 | | | | 256,752 | |
| | |
New York State Dormitory Authority | | | | | | | | |
| | |
Series 2015A, Rev., 5.00%, 3/15/2020 | | | 20,000 | | | | 20,028 | |
| | |
Series 2015E, Rev., 5.00%, 3/15/2020 | | | 75,000 | | | | 75,107 | |
| | |
New York State Dormitory Authority, Smithtown Special Library Rev., 5.00%, 7/1/2020 | | | 15,000 | | | | 15,205 | |
| | |
New York State Dormitory Authority, State University Dormitory Facilities Series 2011A, Rev., 4.00%, 7/1/2020 | | | 15,000 | | | | 15,168 | |
| | | | | | | | |
| | |
| | | | | | | 477,916 | |
| | | | | | | | |
|
General Obligation — 6.8% | |
| | |
Cherry Valley-Springfield Central School District Series B, GO, BAN, 2.00%, 6/26/2020 | | | 1,500,000 | | | | 1,502,580 | |
| | |
City of New York Series2018E-1, GO, 5.00%, 3/1/2020 | | | 1,400,000 | | | | 1,400,000 | |
| | |
Subseries2008L-4, GO, VRDO, LOC: U.S. Bank NA, 1.25%, 3/2/2020 (c) | | | 600,000 | | | | 600,000 | |
| | |
City of New York, Fiscal Year 2010 | | | | | | | | |
| | |
Series 2010C, GO, 5.00%, 8/1/2020 | | | 100,000 | | | | 100,276 | |
| | |
Series 2010C, GO, 4.00%, 8/1/2022 | | | 100,000 | | | | 100,213 | |
| | |
Series 2010E, GO, 5.00%, 8/1/2023 | | | 100,000 | | | | 100,276 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 186 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
Series 2010B, GO, 5.00%, 8/1/2025 | | | 35,000 | | | | 35,097 | |
| | |
Series 2010E, GO, 5.00%, 8/1/2028 | | | 750,000 | | | | 752,070 | |
| | |
City of New York, Fiscal Year 2015 SubseriesF-5, GO, VRDO, LIQ: Barclays Bank plc, 1.32%, 3/2/2020 (c) | | | 2,000,000 | | | | 2,000,000 | |
| | |
City of New York, Fiscal Year 2019 Series 2019A, GO, 4.00%, 8/1/2020 | | | 10,000 | | | | 10,131 | |
| | |
City of Ogdensburg Series 2019, GO, BAN, 3.00%, 4/24/2020 | | | 500,000 | | | | 500,990 | |
| | |
County of Nassau Series 2019A, GO, TAN, 2.00%, 3/16/2020 | | | 205,000 | | | | 205,086 | |
| | |
County of Onondaga | | | | | | | | |
| | |
GO, 4.00%, 3/15/2020 | | | 70,000 | | | | 70,077 | |
| | |
GO, 5.00%, 5/15/2020 | | | 20,000 | | | | 20,172 | |
| | |
County of Orange Series 2015A, GO, AGM, 5.00%, 3/1/2020 | | | 10,000 | | | | 10,000 | |
| | |
County of Westchester Series 2011B, GO, 4.00%, 7/1/2022 | | | 100,000 | | | | 104,353 | |
| | |
De Ruyter Central School District GO, BAN, 2.25%, 7/10/2020 | | | 1,862,800 | | | | 1,869,171 | |
| | |
Greece Central School District GO, 5.00%, 6/15/2020 | | | 20,000 | | | | 20,241 | |
| | |
Harpursville Central School District Series 2019, GO, BAN, 3.00%, 3/11/2020 | | | 887,000 | | | | 887,435 | |
| | |
Haverstraw-Stony Point Central School District GO, 3.50%, 5/1/2020 | | | 75,000 | | | | 75,333 | |
| | |
Irvington Union Free School District GO, 4.00%, 8/15/2020 | | | 20,000 | | | | 20,296 | |
| | |
Middle Country Central School District at Centereach GO, 5.00%, 5/15/2020 | | | 30,000 | | | | 30,257 | |
| | |
Minisink Valley Central School District GO, 4.00%, 4/15/2020 | | | 20,000 | | | | 20,077 | |
| | |
Niagara Falls City School District GO, BAN, 2.25%, 7/10/2020 | | | 275,000 | | | | 276,215 | |
| | |
Niskayuna Central School District GO, 4.00%, 4/15/2020 | | | 10,000 | | | | 10,040 | |
| | |
Northport-East Northport Union Free School District Series 2013A, GO, 4.00%, 4/1/2020 | | | 40,000 | | | | 40,102 | |
| | |
Ossining Union Free School District GO, 4.00%, 4/15/2020 | | | 20,000 | | | | 20,077 | |
| | |
Putnam Valley Central School District GO, 4.00%, 6/15/2020 | | | 25,000 | | | | 25,234 | |
| | |
Skaneateles Central School District GO, 4.00%, 6/15/2020 | | | 15,000 | | | | 15,146 | |
| | |
South Jefferson Central School District, Lewis and Oswego Counties GO, AGM, 5.00%, 4/15/2020 | | | 30,000 | | | | 30,151 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
General Obligation — continued | |
| | |
Spencerport Central School District GO, 4.00%, 6/15/2020 | | | 55,000 | | | | 55,501 | |
| | |
Town of Colonie GO, BAN, 3.00%, 3/13/2020 | | | 1,375,000 | | | | 1,375,770 | |
| | |
Town of Erwin, Public Improvement GO, 4.00%, 9/15/2020 | | | 15,000 | | | | 15,269 | |
| | |
Town of Greenburgh, Public Improvement GO, 2.00%, 4/15/2020 | | | 70,000 | | | | 70,115 | |
| | |
Town of Oyster Bay Series 2019, GO, BAN, 3.00%, 3/13/2020 | | | 700,000 | | | | 700,392 | |
| | |
Town of Southampton, Public Improvement GO, 3.00%, 5/15/2020 | | | 25,000 | | | | 25,121 | |
| | |
Town of Watertown Series 2019, GO, BAN, 2.25%, 4/16/2020 | | | 900,000 | | | | 901,035 | |
| | |
Union Springs Central School District | | | | | | | | |
| | |
GO, 4.00%, 6/15/2020 | | | 50,000 | | | | 50,468 | |
| | |
Village of Freeport, Public Improvement Series 2016A, GO, 4.00%, 5/1/2020 | | | 50,000 | | | | 50,270 | |
| | | | | | | | |
| | |
| | | | | | | 14,095,037 | |
| | | | | | | | |
|
Hospital — 0.0%(b) | |
| | |
New York State Dormitory Authority, Memorial Sloan-Kettering Cancer Center Series2012-1, Rev., 4.00%, 7/1/2020 | | | 20,000 | | | | 20,216 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.2% | |
| | |
New York State Energy Research and Development Authority, Pollution Control, Electric and Gas Corp., Project | | | | | | | | |
| | |
Series 1994B, Rev., 2.00%, 5/1/2020(c) | | | 150,000 | | | | 150,237 | |
| | |
Series C, Rev., 2.00%, 5/1/2020 (c) | | | 325,000 | | | | 325,517 | |
| | | | | | | | |
| | |
| | | | | | | 475,754 | |
| | | | | | | | |
|
Other Revenue — 3.5% | |
| | |
City of Troy Capital Resources Corp., Rensselaer Polytechnic Institute Project Rev., 5.00%, 8/1/2020 | | | 20,000 | | | | 20,338 | |
| | |
Erie County Fiscal Stability Authority, Sales Tax and State Aid Secured | | | | | | | | |
| | |
Series 2013A, Rev., 4.00%, 3/15/2020 | | | 20,000 | | | | 20,022 | |
| | |
Series 2010C, Rev., 4.13%, 3/15/2020 | | | 25,000 | | | | 25,029 | |
| | |
New York City Transitional Finance Authority Future Tax Secured Series2018B-1, Rev., 5.00%, 8/1/2020 | | | 20,000 | | | | 20,348 | |
| | |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2015 Series2015S-1, Rev., 5.00%, 7/15/2020 (d) | | | 10,000 | | | | 10,159 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 187 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Other Revenue — continued | |
| | |
New York City Transitional Finance Authority, Future Tax Secured,Tax-Exempt Subordinate Series 2010G5, Rev., VRDO, LIQ: Barclays Bank plc, 1.30%, 3/2/2020 (c) | | | 5,500,000 | | | | 5,500,000 | |
| | |
New York City Transitional Finance Authority, Future Tax Secured,Tax-Exempt Subordinate, Fiscal Year 2017 Series2017A-1, Rev., 5.00%, 5/1/2020 | | | 35,000 | | | | 35,239 | |
| | |
New York Local Government Assistance Corp. Series 2018A, Rev., 5.00%, 4/1/2020 | | | 155,000 | | | | 155,521 | |
| | |
New York Local Government Assistance Corp., Subordinate Lien Series 2012A, Rev., 5.00%, 4/1/2020 | | | 20,000 | | | | 20,067 | |
| | |
New York State Dormitory Authority, State Sales Tax | | | | | | | | |
| | |
Series 2013A, Rev., 4.00%, 3/15/2020(d) | | | 75,000 | | | | 75,082 | |
| | |
Series 2016A, Rev., 5.00%, 3/15/2020 | | | 330,000 | | | | 330,468 | |
| | |
New York State Environmental Facilities Corp., Master Financing Program, Green Bonds Series 2015D, Rev., 5.00%, 3/15/2020 | | | 30,000 | | | | 30,043 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series 2018-XM0697, Rev., VRDO, LIQ: Bank of America NA, 1.28%, 3/10/2020 (c) (g) | | | 750,000 | | | | 750,000 | |
| | |
Westchester Tobacco Asset Securitization Corp. Series B, Rev., 5.00%, 6/1/2021 | | | 260,000 | | | | 272,017 | |
| | | | | | | | |
| | |
| | | | | | | 7,264,333 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
New York City Water and Sewer System Series 2010FF, Rev., 5.00%, 6/15/2025 (d) | | | 80,000 | | | | 80,957 | |
| | | | | | | | |
|
Special Tax — 0.4% | |
| | |
New York State Dormitory Authority, State Personal Income Tax | | | | | | | | |
| | |
Series 2010A, Rev., 5.00%, 3/15/2020 | | | 60,000 | | | | 60,085 | |
| | |
Series C, Rev., 5.00%, 3/15/2020 | | | 20,000 | | | | 20,029 | |
| | |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | | | | | | | | |
| | |
Series 2011A, Rev., 5.00%, 3/15/2020 | | | 25,000 | | | | 25,036 | |
| | |
Series 2012B, Rev., 5.00%, 3/15/2020 | | | 520,000 | | | | 520,738 | |
| | |
Series 2014C, Rev., 5.00%, 3/15/2020 | | | 20,000 | | | | 20,028 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
|
| |
|
Special Tax — continued | |
| | |
New York State Thruway Authority, State Personal Income Tax Series A, Rev., 5.00%, 3/15/2020 | | | 20,000 | | | | 20,028 | |
| | |
New York State Thruway Authority, State Personal Income Tax, Transportation Series 2011A, Rev., 4.00%, 3/15/2020 | | | 25,000 | | | | 25,027 | |
| | |
New York State Urban Development Corp., Personal Income Tax Series 2016A, Rev., 5.00%, 3/15/2020 | | | 30,000 | | | | 30,043 | |
| | |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | | | | | | | | |
| | |
Series 2010A, Rev., 5.00%, 3/15/2020 | | | 70,000 | | | | 70,099 | |
| | |
Series 2013C, Rev., 5.00%, 3/15/2020 | | | 50,000 | | | | 50,071 | |
| | |
Series 2017A, Rev., 5.00%, 3/15/2020 | | | 25,000 | | | | 25,035 | |
| | |
SeriesA-1, Rev., 5.00%, 3/15/2020 | | | 25,000 | | | | 25,036 | |
| | | | | | | | |
| | |
| | | | | | | 891,255 | |
| | | | | | | | |
|
Transportation — 0.4% | |
| | |
Metropolitan Transportation Authority | | | | | | | | |
| | |
Series 2018B, Subseries2018-B-1, Rev., BAN, 5.00%, 5/15/2020 | | | 65,000 | | | | 65,534 | |
| | |
Series2018B-1A, Rev., BAN, 5.00%, 5/15/2020 | | | 50,000 | | | | 50,411 | |
| | |
Series 2018C, SubseriesC-1, Rev., BAN, 5.00%, 9/1/2020 | | | 180,000 | | | | 183,596 | |
| | |
Subseries2018B-2B, Rev., BAN, 5.00%, 5/15/2021 | | | 200,000 | | | | 209,664 | |
| | |
Subseries2008B-4, Rev., 5.00%, 11/15/2021 | | | 20,000 | | | | 21,423 | |
| | |
Metropolitan Transportation Authority, Dedicated Tax Fund Series A, Rev., 5.00%, 11/15/2020 | | | 50,000 | | | | 51,469 | |
| | |
New York State Thruway Authority Series 2005B, Rev., AMBAC, 5.50%, 4/1/2020 | | | 135,000 | | | | 135,495 | |
| | |
New York State Thruway Authority Highway and Bridge Trust Fund | | | | | | | | |
| | |
Series 2012A, Rev., 4.00%, 4/1/2020 | | | 65,000 | | | | 65,163 | |
| | |
Series 2012A, Rev., 5.00%, 4/1/2020 | | | 30,000 | | | | 30,099 | |
| | |
Port Authority of New York and New Jersey | | | | | | | | |
| | |
Series 189, Rev., 5.00%, 5/1/2020 | | | 20,000 | | | | 20,138 | |
| | |
Series 180, Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,263 | |
| | | | | | | | |
| | |
| | | | | | | 858,255 | |
| | | | | | | | |
|
Water & Sewer — 0.4% | |
| | |
New York City Municipal Water Finance Authority, Water and Sewer System, Fiscal Year 2012 Series B, SubseriesB-2, Rev., VRDO, LIQ: State Street Bank & Trust, 1.25%, 3/2/2020 (c) | | | 600,000 | | | | 600,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 188 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Water & Sewer — continued | |
| | |
New York City Water and Sewer System, Second General Resolution | | | | | | | | |
| | |
Series 2011GG, Rev., 4.00%, 6/15/2020 | | | 75,000 | | | | 75,698 | |
| | |
Series 2012EE, Rev., 5.00%, 6/15/2020 | | | 75,000 | | | | 75,911 | |
| | | | | | | | |
| | |
| | | | | | | 751,609 | |
| | | | | | | | |
| | |
Total New York | | | | | | | 24,915,332 | |
| | | | | | | | |
|
North Carolina — 3.5% | |
|
Certificate of Participation/Lease — 0.4% | |
| | |
City of Charlotte, 2003 Governmental Facilities Projects Series 2013G, COP, VRDO, LIQ: Wells Fargo Bank NA, 1.14%, 3/10/2020 (c) | | | 400,000 | | | | 400,000 | |
| | |
City of Raleigh, Downtown Improvement Projects Series A, COP, VRDO, LIQ: Wells Fargo Bank NA, 1.12%, 3/10/2020 (c) | | | 445,000 | | | | 445,000 | |
| | |
County of Cabarrus, North Carolina Installment Financing Contract Series2010-A, COP, 4.00%, 4/1/2020 | | | 25,000 | | | | 25,062 | |
| | | | | | | | |
| | |
| | | | | | | 870,062 | |
| | | | | | | | |
|
Education — 0.0%(b) | |
| | |
Winston-Salem State University Foundation LLC Rev., 4.00%, 4/1/2020 | | | 75,000 | | | | 75,173 | |
| | | | | | | | |
|
General Obligation — 0.4% | |
| | |
City of Winston-Salem Series 2016D, GO, 3.00%, 6/1/2020 | | | 30,000 | | | | 30,164 | |
| | |
County of Brunswick Series 2013A, GO, 4.00%, 5/1/2020 | | | 25,000 | | | | 25,130 | |
| | |
County of Cabarrus GO, 5.00%, 3/1/2020 | | | 60,000 | | | | 60,000 | |
| | |
County of Davidson GO, 4.00%, 6/1/2020 | | | 25,000 | | | | 25,198 | |
| | |
County of Durham | | | | | | | | |
| | |
GO, 5.00%, 4/1/2020 | | | 50,000 | | | | 50,165 | |
| | |
GO, 5.00%, 10/1/2020 | | | 20,000 | | | | 20,489 | |
| | |
County of Forsyth GO, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
County of Forsyth, Public Improvement Series 2019B, GO, 5.00%, 3/1/2020 | | | 200,000 | | | | 200,000 | |
| | |
County of Guilford Series 2017, GO, 5.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
County of Guilford, Public Improvement Series 2012A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
County of Harnett GO, 4.00%, 5/1/2020 | | | 20,000 | | | | 20,104 | |
| | |
County of Lee GO, 5.00%, 4/1/2020 | | | 40,000 | | | | 40,132 | |
| | |
County of Lincoln Series 2011A, GO, 4.00%, 6/1/2020 | | | 30,000 | | | | 30,237 | |
| | |
County of Union Series 2009C, GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — continued | |
| | |
County of Wake Series 2019B, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
State of North Carolina Series 2016B, GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,259 | |
| | |
Town of Apex, Wastewater System GO, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,259 | |
| | |
Town of Cary Series 2017B, GO, 4.00%, 6/1/2020 | | | 50,000 | | | | 50,395 | |
| | |
Township of Smithville, Limited Tax Hospital GO, 4.00%, 6/1/2020 | | | 25,000 | | | | 25,195 | |
| | | | | | | | |
| | |
| | | | | | | 762,727 | |
| | | | | | | | |
|
Hospital — 1.1% | |
| | |
North Carolina Medical Care Commission, Firsthealth Carolinas Series A, Rev., VRDO, LIQ: Branch Banking & Trust, 1.15%, 3/10/2020 (c) | | | 840,000 | | | | 840,000 | |
| | |
North Carolina Medical Care Commission, Health Care Facilities, Wake Forest Baptist Obligated Group Series 2012B, Rev., 5.00%, 12/1/2020 | | | 230,000 | | | | 236,820 | |
| | |
North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2019B, Rev., 2.20%, 12/1/2022 (c) | | | 60,000 | | | | 61,205 | |
| | |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ: Landesbank Hessen-Thueringen, 1.23%, 3/2/2020 (c) | | | 1,100,000 | | | | 1,100,000 | |
| | | | | | | | |
| | |
| | | | | | | 2,238,025 | |
| | | | | | | | |
|
Housing — 0.3% | |
| | |
North Carolina Housing Finance Agency, Catawba Pines Apartments Rev., 2.00%, 9/1/2020 (c) | | | 500,000 | | | | 502,065 | |
| | | | | | | | |
|
Other Revenue — 0.6% | |
| | |
City of Jacksonville, Enterprise System Rev., 4.00%, 5/1/2020 | | | 25,000 | | | | 25,128 | |
| | |
City of Raleigh, Combined Enterprise System Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
County of Brunswick Rev., 3.00%, 4/1/2020 | | | 25,000 | | | | 25,044 | |
| | |
County of Buncombe Series 2010A, Rev., 5.00%, 6/1/2020 | | | 25,000 | | | | 25,257 | |
| | |
County of Burke Rev., 4.00%, 4/1/2020 | | | 25,000 | | | | 25,062 | |
| | |
County of Cabarrus, North Carolina Installment Financing Contract Rev., 5.00%, 4/1/2020 | | | 50,000 | | | | 50,164 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 189 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Other Revenue — continued | |
| | |
County of Dare Series 2013A, Rev., 4.00%, 6/1/2022 | | | 25,000 | | | | 26,742 | |
| | |
County of Johnston Rev., 4.00%, 6/1/2020 | | | 40,000 | | | | 40,316 | |
| | |
County of Pender Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,081 | |
| | |
Montgomery County Public Facilities Corp. Rev., BAN, 3.00%, 9/1/2020 | | | 855,000 | | | | 856,274 | |
| | |
Orange County Public Facilities Co. Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,081 | |
| | |
State of North Carolina, Grant Anticipation Rev., 5.00%, 3/1/2020 | | | 125,000 | | | | 125,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,274,149 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
Durham Housing Authority, JFK Towers Project Series 2012A, Rev., 5.00%, 12/1/2035 (d) | | | 370,000 | | | | 408,750 | |
| | |
North Carolina Medical Care Commission, Duke University Health Systems Series 2010A, Rev., 5.00%, 6/1/2035 (d) | | | 50,000 | | | | 50,501 | |
| | |
State of North Carolina Series 2011A, Rev., 4.00%, 5/1/2025 (d) | | | 20,000 | | | | 20,105 | |
| | |
University of North Carolina at Charlotte (The) Series2010B-1, Rev., 4.13%, 10/1/2027 (d) | | | 20,000 | | | | 20,053 | |
| | | | | | | | |
| | |
| | | | | | | 499,409 | |
| | | | | | | | |
|
Utility — 0.0%(b) | |
| | |
Greenville Utilities Commission Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,082 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
Buncombe County Metropolitan
Sewerage District Series A, Rev.,
VRDO, LIQ: Wells Fargo Bank NA, 1.15%, 3/10/2020 (c) | | | 890,000 | | | | 890,000 | |
| | |
County of Brunswick, Enterprise Systems, Water and Wastewater Systems Rev., 5.00%, 4/1/2020 | | | 100,000 | | | | 100,325 | |
| | | | | | | | |
| | |
| | | | | | | 990,325 | |
| | | | | | | | |
| | |
Total North Carolina | | | | | | | 7,237,017 | |
| | | | | | | | |
|
North Dakota — 0.7% | |
|
General Obligation — 0.0%(b) | |
| | |
City of Fargo | | | | | | | | |
| | |
Series 2011A, GO, 4.00%, 5/1/2020 | | | 25,000 | | | | 25,129 | |
| | |
Series 2014F, GO, 5.00%, 5/1/2020 | | | 25,000 | | | | 25,169 | |
| | | | | | | | |
| | |
| | | | | | | 50,298 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Housing — 0.5% | |
| | |
North Dakota Housing Finance Agency, Housing Finance Program, Home Mortgage Series C, Rev., 1.75%, 7/1/2021 | | | 900,000 | | | | 907,101 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
City of Fargo, NSDU Development Foundation Project Series 2012A, Rev., 3.00%, 12/1/2021 | | | 50,000 | | | | 51,328 | |
| | |
North Dakota Public Finance Authority Series A, Rev., 1.75%, 11/1/2023 | | | 430,000 | | | | 436,609 | |
| | | | | | | | |
| | |
| | | | | | | 487,937 | |
| | | | | | | | |
| | |
Total North Dakota | | | | | | | 1,445,336 | |
| | | | | | | | |
|
Ohio — 5.1% | |
|
Certificate of Participation/Lease — 0.0% (b) | |
| | |
Eastwood Local School District COP, 3.00%, 6/1/2020 | | | 105,000 | | | | 105,526 | |
| | | | | | | | |
|
Education — 0.0%(b) | |
| | |
Bowling Green State University, A State University of Ohio Series 2017B, Rev., 5.00%, 6/1/2020 | | | 35,000 | | | | 35,356 | |
| | |
Kent State University, General Receipts Rev., 5.00%, 5/1/2020 | | | 10,000 | | | | 10,066 | |
| | |
University of Cincinnati Series 2014D, Rev., 5.00%, 6/1/2020 | | | 45,000 | | | | 45,459 | |
| | | | | | | | |
| | |
| | | | | | | 90,881 | |
| | | | | | | | |
|
General Obligation — 1.6% | |
| | |
Cincinnati City School District, School Improvement GO, 4.50%, 6/1/2020 | | | 45,000 | | | | 45,407 | |
| | |
City of Reynoldsburg GO, 5.00%, 12/1/2020 | | | 60,000 | | | | 61,829 | |
| | |
City of Seven Hills, Capital Improvement Series 2019, GO, BAN, 3.00%, 4/9/2020 | | | 500,000 | | | | 500,985 | |
| | |
City of Willoughby Series 2019, GO, BAN, 2.50%, 5/22/2020 | | | 2,365,000 | | | | 2,371,717 | |
| | |
Huber Heights City School District, School Improvement GO, 5.00%, 12/1/2020 | | | 30,000 | | | | 30,931 | |
| | |
Lake Local School District GO, 4.00%, 12/1/2020 | | | 25,000 | | | | 25,590 | |
| | |
Reading Community City School District, Classroom Facilities Series 2016A, GO, 3.00%, 11/1/2020 | | | 25,000 | | | | 25,352 | |
| | |
State of Ohio, Common Schools Series 2013B, GO, 5.00%, 6/15/2020 | | | 20,000 | | | | 20,239 | |
| | |
State of Ohio, Higher Education | | | | | | | | |
| | |
Series 2010A, GO, 4.50%, 8/1/2020 | | | 25,000 | | | | 25,382 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 190 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
Series 2009B, GO, 5.00%, 8/1/2020 | | | 25,000 | | | | 25,433 | |
| | |
State of Ohio, Highway Capital Improvements Series Q, GO, 5.00%, 5/1/2020 | | | 20,000 | | | | 20,136 | |
| | |
State of Ohio, Infrastructure Improvement Bonds Series 2015A, GO, 5.00%, 9/1/2020 | | | 50,000 | | | | 51,042 | |
| | |
State of Ohio, Infrastructure Improvements Series 2009B, GO, 3.25%, 8/1/2020 | | | 20,000 | | | | 20,203 | |
| | | | | | | | |
| | |
| | | | | | | 3,224,246 | |
| | | | | | | | |
| | |
Hospital — 0.4% | | | | | | | | |
| | |
City of Middleburg Heights, General Health Center Project Series 2012A, Rev., 4.00%, 8/1/2020 | | | 10,000 | | | | 10,117 | |
| | |
County of Allen, Catholic Healthcare Partners Series 2012A, Rev., 5.00%, 5/1/2021 | | | 100,000 | | | | 104,593 | |
| | |
County of Allen, Hospital Facilities, Catholic Healthcare Partners Series B, Rev., 4.13%, 9/1/2020 | | | 50,000 | | | | 50,766 | |
| | |
County of Allen, Hospital Facilities, Mercy Health Series 2017A, Rev., 5.00%, 8/1/2021 | | | 480,000 | | | | 506,765 | |
| | |
Ohio Higher Educational Facility Commission, Hospital, Cleveland Clinic Health System Obligated Group Series2008-B4, Rev., VRDO, LIQ: Barclays Bank plc, 1.29%, 3/2/2020 (c) | | | 260,000 | | | | 260,000 | |
| | | | | | | | |
| | | | | | | 932,241 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Cuyahoga Metropolitan Housing Authority, Riverside Park Phase II Project Series 2019, Rev., 2.00%, 4/1/2021 (c) | | | 100,000 | | | | 100,897 | |
| | |
Ohio Housing Finance Agency, Neilan Park Apartment Rev., 1.75%, 6/1/2021 (c) | | | 170,000 | | | | 171,489 | |
| | |
Ohio State Building Authority, Adult Correctional Building Projects Series 2011B, Rev., 5.00%, 10/1/2020 | | | 20,000 | | | | 20,488 | |
| | |
State of Ohio, Adult Correctional Building Series 2016D, Rev., 4.00%, 10/1/2020 | | | 20,000 | | | | 20,370 | |
| | |
State of Ohio, Cultural and Sports Facilities Building Fund Projects Series 2016A, Rev., 4.00%, 10/1/2020 | | | 30,000 | | | | 30,556 | |
| | | | | | | | |
| | |
| | | | | | | 343,800 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Other Revenue — 1.5% | |
| | |
City of Whitehall Rev., 2.25%, 12/9/2020 | | | 1,000,000 | | | | 1,007,550 | |
| | |
Tender Option Bond Trust Receipts/Certificates Series C, Rev., VRDO, LIQ: Citibank NA, 1.31%, 3/10/2020 (c) (g) | | | 2,000,000 | | | | 2,000,000 | |
| | | | | | | | |
| | |
| | | | | | | 3,007,550 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
County of Allen, Catholic Healthcare Partners | | | | | | | | |
| | |
Series 2010B, Rev., 4.75%, 9/1/2027 (d) | | | 110,000 | | | | 112,123 | |
| | |
Series 2010A, Rev., 5.00%, 6/1/2038 (d) | | | 110,000 | | | | 111,116 | |
| | |
County of Montgomery, Catholic Health Initiatives Series2008D-2, Rev., 5.45%, 10/1/2038 (d) | | | 70,000 | | | | 81,547 | |
| | |
State of Ohio, Capital Facilities Lease-Appropriation Series 2013B, Rev., 5.00%, 4/1/2027 (d) | | | 25,000 | | | | 26,144 | |
| | | | | | | | |
| | |
| | | | | | | 330,930 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
City of Cleveland, Airport System Series 2016A, Rev., AGM, 5.00%, 1/1/2021 | | | 85,000 | | | | 87,903 | |
| | |
Cleveland-Cuyahoga County Port Authority, Cleveland Museum Art Project Rev., 5.00%, 10/1/2020 | | | 30,000 | | | | 30,696 | |
| | |
State of Ohio, Transportation Building Fund Project Series A, Rev., 5.00%, 4/1/2020 | | | 20,000 | | | | 20,065 | |
| | | | | | | | |
| | |
| | | | | | | 138,664 | |
| | | | | | | | |
|
Utility — 1.1% | |
| | |
American Municipal Power, Inc., Electric System Improvement, City of Hubbard Project Rev., 2.25%, 3/4/2021 | | | 165,000 | | | | 166,417 | |
| | |
American Municipal Power, Inc., Village of Carey Project Rev., BAN, 2.25%, 12/3/2020 | | | 765,000 | | | | 770,883 | |
| | |
American Municipal Power, Inc., Village of Genoa Project Rev., BAN, 2.25%, 12/10/2020 | | | 615,000 | | | | 619,803 | |
| | |
American Municipal Power, Inc., Village of Woodsfield Project Rev., BAN, 2.25%, 1/22/2021 | | | 220,000 | | | | 221,703 | |
| | |
Lancaster Port Authority, Gas Supply | | | | | | | | |
| | |
Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 8/1/2021 | | | 300,000 | | | | 317,340 | |
| | |
Series 2019A, Rev., LIQ: Royal Bank of Canada, 5.00%, 2/1/2022 | | | 190,000 | | | | 204,733 | |
| | | | | | | | |
| | | | | | | 2,300,879 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 191 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Water & Sewer — 0.0% (b) | |
| | |
Ohio Water Development Authority Rev., 5.50%, 6/1/2020 | | | 40,000 | | | | 40,462 | |
| | | | | | | | |
| | |
Total Ohio | | | | | | | 10,515,179 | |
| | | | | | | | |
|
Oklahoma — 0.6% | |
|
Education — 0.1% | |
| | |
McClain County Economic Development Authority, Educational Facilities, Blanchard Public Schools Project Rev., 4.00%, 9/1/2022 | | | 265,000 | | | | 283,592 | |
| | | | | | | | |
|
General Obligation — 0.2% | |
| | |
City of Oklahoma City GO, 5.00%, 3/1/2020 | | | 140,000 | | | | 140,000 | |
| | |
Oklahoma County Independent School District No. 12, Edmond School District GO, 3.00%, 3/1/2021 | | | 40,000 | | | | 40,846 | |
| | |
Oklahoma County Independent School District No. 89 | | | | | | | | |
| | |
GO, 2.00%, 7/1/2020 | | | 60,000 | | | | 60,223 | |
| | |
GO, 3.00%, 7/1/2020 | | | 50,000 | | | | 50,349 | |
| | |
Tulsa County Independent School District No. 5 Jenks GO, 2.00%, 6/1/2020 | | | 50,000 | | | | 50,142 | |
| | | | | | | | |
| | | | | | | 341,560 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
Oklahoma Housing Finance Agency Rev., 1.60%, 1/1/2022 (c) | | | 75,000 | | | | 75,453 | |
| | |
Oklahoma Housing Finance Agency, Sooner Haven Apartments Rev., 2.37%, 10/1/2020 (c) | | | 80,000 | | | | 80,627 | |
| | | | | | | | |
| | |
| | | | | | | 156,080 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
Edmond Public Works Authority, Sales Tax and Utility System Refunding Rev.,
5.00%, 7/1/2020 | | | 20,000 | | | | 20,274 | |
| | |
Oklahoma Capitol Improvement Authority Series 2010A, Rev., 5.00%, 7/1/2020 | | | 20,000 | | | | 20,274 | |
| | |
Oklahoma Capitol Improvement Authority, Department of corrections Project Series 2018D, Rev., 2.00%, 7/1/2020 | | | 40,000 | | | | 40,155 | |
| | |
Oklahoma Development Finance Authority (The), Master Real Property Series 2011D, Rev., 3.00%, 6/1/2020 | | | 25,000 | | | | 25,128 | |
| | |
Tulsa Public Facilities Authority, Capital Improvements Rev., 3.00%, 6/1/2020 | | | 180,000 | | | | 180,959 | |
| | | | | | | | |
| | |
| | | | | | | 286,790 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Utility — 0.1% | |
| | |
Claremore Public Works Authority, Utility System Rev., 4.00%, 6/1/2020 | | | 40,000 | | | | 40,300 | |
| | |
Oklahoma Development Finance Authority, Repair Project Rev., 3.00%, 6/1/2020 | | | 90,000 | | | | 90,462 | |
| | | | | | | | |
| | |
| | | | | | | 130,762 | |
| | | | | | | | |
| | |
Total Oklahoma | | | | | | | 1,198,784 | |
| | | | | | | | |
|
Oregon — 0.2% | |
|
General Obligation — 0.1% | |
| | |
City of Lake Oswego Series 2015A, GO, 2.00%, 6/1/2020 | | | 25,000 | | | | 25,076 | |
| | |
City of Portland, Limited Tax, Police Training Facility Project Series 2012B, GO, 4.00%, 6/1/2020 | | | 75,000 | | | | 75,593 | |
| | |
County of Clackamas, Full Faith and Credit GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,104 | |
| | |
Deschutes County Administrative School District No. 1Bend-La Pine GO, 5.00%, 6/15/2020 | | | 15,000 | | | | 15,179 | |
| | |
Lane County School District No. 4J Eugene GO, 4.00%, 6/15/2020 | | | 25,000 | | | | 25,228 | |
| | |
State of Oregon, Veterans Welfare Series 2018E, GO, 2.10%, 6/1/2020 | | | 100,000 | | | | 100,304 | |
| | | | | | | | |
| | |
| | | | | | | 251,484 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Hospital Facilities Authority of Multnomah County Oregon, Adventist Health System Rev., 5.00%, 3/1/2025 (c) | | | 75,000 | | | | 88,502 | |
| | | | | | | | |
|
Other Revenue — 0.0%(b) | |
| | |
Oregon State Lottery | | | | | | | | |
| | |
Series B, Rev., 4.00%, 4/1/2020 | | | 35,000 | | | | 35,088 | |
| | |
Series B, Rev., 5.00%, 4/1/2020 | | | 25,000 | | | | 25,082 | |
| | | | | | | | |
| | |
| | | | | | | 60,170 | |
| | | | | | | | |
| | |
Total Oregon | | | | | | | 400,156 | |
| | | | | | | | |
|
Pennsylvania — 6.0% | |
|
Education — 0.6% | |
| | |
Allegheny County Higher Education Building Authority, Duquesne University
Rev., 5.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | |
Series 2014A, Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Montgomery County Higher Education and Health Authority Rev., 5.25%, 4/1/2023 | | | 200,000 | | | | 200,684 | |
| | |
Northampton County General Purpose Authority, Moravian College Project Rev., 5.00%, 10/1/2021 | | | 225,000 | | | | 238,101 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 192 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Education — continued | |
| | |
Pennsylvania Higher Educational Facilities Authority, University of Pennsylvania, Health System | | | | | | | | |
| | |
Rev., 4.00%, 6/15/2020 | | | 40,000 | | | | 40,359 | |
| | |
Rev., 5.00%, 8/15/2020 | | | 105,000 | | | | 106,952 | |
| | |
Pennsylvania State University (The) | | | | | | | | |
| | |
Series 2009B, Rev., 1.58%, 6/1/2020 (c) | | | 350,000 | | | | 350,483 | |
| | |
Rev., 5.00%, 3/1/2035 | | | 240,000 | | | | 240,000 | |
| | |
State Public School Building Authority, Northampton Community College Project Series 2014B, Rev., 5.00%, 9/1/2020 | | | 50,000 | | | | 51,019 | |
| | | | | | | | |
| | |
| | | | | | | 1,287,598 | |
| | | | | | | | |
|
General Obligation — 0.7% | |
| | |
Abington School District GO, 4.00%, 5/15/2020 | | | 125,000 | | | | 125,774 | |
| | |
Borough of Columbia GO, 3.00%, 6/15/2022 | | | 50,000 | | | | 52,183 | |
| | |
Chambersburg Area School District
Series A, GO, 5.00%, 3/1/2021 | | | 25,000 | | | | 26,002 | |
| | |
City of Philadelphia Series 2017A, GO, 5.00%, 8/1/2020 | | | 25,000 | | | | 25,426 | |
| | |
Commonwealth of Pennsylvania | | | | | | | | |
| | |
Series 1, GO, 5.00%, 3/15/2020 | | | 10,000 | | | | 10,014 | |
| | |
GO, 5.00%, 7/1/2020 | | | 60,000 | | | | 60,829 | |
| | |
County of Allegheny SeriesC-65, GO, 5.00%, 5/1/2021 | | | 25,000 | | | | 26,211 | |
| | |
County of Delaware GO, 5.00%, 10/1/2020 | | | 35,000 | | | | 35,854 | |
| | |
County of Lycoming Series B, GO, AGM, 2.25%, 8/15/2020 | | | 25,000 | | | | 25,148 | |
| | |
County of Northampton Series B, GO, 5.00%, 10/1/2020 (d) | | | 20,000 | | | | 20,485 | |
| | |
Derry Township School District | | | | | | | | |
| | |
GO, 4.00%, 5/15/2020 | | | 25,000 | | | | 25,154 | |
| | |
Series 2015A, GO, 4.00%, 9/1/2020 | | | 25,000 | | | | 25,383 | |
| | |
Easton Area School District Series 2018B, GO, 3.00%, 4/1/2020 | | | 25,000 | | | | 25,043 | |
| | |
Ephrata Area School District GO, 4.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Fleetwood Area School District GO, 4.00%, 6/1/2020 | | | 45,000 | | | | 45,335 | |
| | |
Garnet Valley School District GO, 4.00%, 4/1/2020 | | | 35,000 | | | | 35,087 | |
| | |
Hamburg Area School District | | | | | | | | |
| | |
GO, 5.00%, 4/1/2020 | | | 90,000 | | | | 90,290 | |
| | |
GO, 3.00%, 5/1/2020 | | | 25,000 | | | | 25,086 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — continued | |
| | |
Hempfield School District, Limited Tax GO, 5.00%, 10/15/2030 | | | 100,000 | | | | 100,490 | |
| | |
Hollidaysburg Area School District GO, 4.00%, 3/15/2021 | | | 100,000 | | | | 103,139 | |
| | |
Ligonier Valley School District Series 2016A, GO, 5.00%, 3/1/2022 | | | 25,000 | | | | 26,991 | |
| | |
Manheim Central School District Series B, GO, 4.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
Marple Newtown School District GO, 5.00%, 6/1/2020 | | | 20,000 | | | | 20,206 | |
| | |
Methacton School District Series A, GO, 4.00%, 9/15/2020 | | | 10,000 | | | | 10,161 | |
| | |
Parkland School District | | | | | | | | |
| | |
GO, 4.00%, 4/15/2020 | | | 20,000 | | | | 20,072 | |
| | |
GO, 4.00%, 4/15/2021 | | | 30,000 | | | | 31,034 | |
| | |
Spring-Ford Area School District GO, 4.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
State College Area School District GO, 5.00%, 5/15/2020 | | | 25,000 | | | | 25,210 | |
| | |
Township of Cranberry GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
Township of Dover GO, 3.00%, 9/1/2021 | | | 25,000 | | | | 25,774 | |
| | |
Township of Lower Merion Series 2014A, GO, 2.00%, 7/15/2020 | | | 100,000 | | | | 100,092 | |
| | |
Township of North Coventry GO, AGM, 2.00%, 11/15/2020 | | | 30,000 | | | | 30,028 | |
| | |
Trinity Area School District GO, AGM, 4.00%, 11/1/2020 (d) | | | 30,000 | | | | 30,635 | |
| | |
Wilson School District Series 2016B, GO, 4.00%, 3/1/2020 | | | 110,000 | | | | 110,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,433,136 | |
| | | | | | | | |
|
Hospital — 0.5% | |
| | |
Beaver County Hospital Authority, Heritage Valley Health System, Inc. Rev., 5.00%, 5/15/2020 | | | 165,000 | | | | 166,353 | |
| | |
DuBois Hospital Authority, Penn Highlands Healthcare Series 2018, Rev., 5.00%, 7/15/2020 | | | 55,000 | | | | 55,805 | |
| | |
Grove City Area Hospital Authority, Mercer County Career Center Project Series 2020A, Rev., 4.00%, 5/1/2020 | | | 775,000 | | | | 778,596 | |
| | | | | | | | |
| | |
| | | | | | | 1,000,754 | |
| | | | | | | | |
|
Housing — 2.0% | |
| | |
Indiana County Industrial Development Authority, Residential Revival Indiana Student Housing Project Series 2017C, Rev., BAN, 1.45%, 9/1/2020 | | | 4,000,000 | | | | 4,000,440 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 193 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Housing — continued | |
| | |
Pennsylvania Housing Finance Agency Series 2019-130A, Rev., 1.40%, 4/1/2024 | | | 260,000 | | | | 261,417 | |
| | | | | | | | |
| | |
| | | | | | | 4,261,857 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.7% | |
| | |
Montgomery County Industrial Development Authority, Pollution Control Series 2001B, Rev., 2.50%, 4/1/2020 (c) | | | 50,000 | | | | 50,066 | |
| | |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project | | | | | | | | |
| | |
Series 2019, Rev., 4.00%, 12/1/2021 | | | 100,000 | | | | 104,891 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2022 | | | 100,000 | | | | 107,564 | |
| | |
Series 2019, Rev., 4.00%, 12/1/2023 | | | 125,000 | | | | 137,574 | |
| | |
Pennsylvania Economic Development Financing Authority | | | | | | | | |
| | |
Series 2015B, Rev., 5.00%, 3/15/2020 | | | 100,000 | | | | 100,138 | |
| | |
Series 2017A, Rev., 4.00%, 11/15/2020 | | | 80,000 | | | | 81,760 | |
| | |
Pennsylvania Economic Development Financing Authority, Waste Management, Inc. Project Rev., 2.80%, 12/1/2021 (c) | | | 100,000 | | | | 103,175 | |
| | |
Philadelphia Authority for Industrial Development, Gift of Life Donor Project Rev., VRDO, LOC: TD Bank NA, 1.13%, 3/10/2020 (c) | | | 700,000 | | | | 700,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,385,168 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Series 2018, Rev., 5.00%, 6/1/2020 | | | 300,000 | | | | 302,991 | |
| | |
Urban Redevelopment Authority of Pittsburgh, Crawford Square Apartments Project Rev., 2.25%, 6/1/2020 (c) | | | 85,000 | | | | 85,044 | |
| | | | | | | | |
| | |
| | | | | | | 388,035 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
Pennsylvania Turnpike Commission, Motor License Fund-Enhanced Turnpike
Series B, Rev., 5.00%, 12/1/2026 (d) | | | 50,000 | | | | 53,694 | |
| | |
South Fork Municipal Authority, Conemaugh Valley Memorial Hospital Series B, Rev., AGC, 5.38%, 7/1/2035 (d) | | | 30,000 | | | | 30,435 | |
| | |
Southeastern Pennsylvania Transportation Authority | | | | | | | | |
| | |
Rev., 5.00%, 3/1/2022 (d) | | | 60,000 | | | | 60,000 | |
| | |
Rev., 5.00%, 3/1/2024 (d) | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
|
Prerefunded — continued | |
| | |
Washington County Industrial Development Authority, Washington Jefferson College Rev., 4.00%, 11/1/2020 (d) | | | 25,000 | | | | 25,129 | |
| | | | | | | | |
| | |
| | | | | | | 194,258 | |
| | | | | | | | |
|
Transportation — 1.1% | |
| | |
Pennsylvania Turnpike Commission | | | | | | | | |
| | |
Series 2nd, Rev., VRDO, LOC: TD Bank NA, 1.12%, 3/10/2020 (c) | | | 2,245,000 | | | | 2,245,000 | |
| | |
Series A, Rev., AGM, 5.25%, 7/15/2020 | | | 50,000 | | | | 50,826 | |
| | | | | | | | |
| | |
| | | | | | | 2,295,826 | |
| | | | | | | | |
|
Utility — 0.0%(b) | |
| | |
Philadelphia Gas Works Co., 1998 General Ordinance Rev., 5.00%, 8/1/2020 | | | 10,000 | | | | 10,166 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Lancaster Area Sewer Authority Rev., 5.00%, 4/1/2020 | | | 75,000 | | | | 75,246 | |
| | |
West Goshen Sewer Authority Rev., 3.00%, 5/1/2020 | | | 95,000 | | | | 95,341 | |
| | | | | | | | |
| | |
| | | | | | | 170,587 | |
| | | | | | | | |
| | |
Total Pennsylvania | | | | | | | 12,427,385 | |
| | | | | | | | |
|
Rhode Island — 0.1% | |
|
Certificate of Participation/Lease — 0.0%(b) | |
| | |
State of Rhode Island and Providence Plantations, Energy Conservation Project Series 2011A, COP, 3.50%, 4/1/2020 | | | 40,000 | | | | 40,080 | |
| | | | | | | | |
|
Education — 0.0%(b) | |
| | |
Rhode Island Health and Educational Building Corp., Public Schools Financing Program | | | | | | | | |
| | |
Series 2016A, Rev., 4.00%, 5/15/2020 | | | 10,000 | | | | 10,063 | |
| | |
Series 2019A, Rev., 5.00%, 5/15/2021 | | | 25,000 | | | | 26,236 | |
| | | | | | | | |
| | |
| | | | | | | 36,299 | |
| | | | | | | | |
|
General Obligation — 0.0%(b) | |
| | |
State of Rhode Island and Providence Plantations, Consolidated Capital Development Loan of 2010 Series 2010B, GO, 5.00%, 4/1/2020 (d) | | | 15,000 | | | | 15,050 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
Rhode Island Health and Educational Building Corp., Hospital Financing Lifespan Group Series 2016A,
Rev., 5.00%, 5/15/2021 | | | 150,000 | | | | 156,805 | |
| | | | | | | | |
| | |
Total Rhode Island | | | | | | | 248,234 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 194 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
| | |
South Carolina — 1.1% | | | | | | | | |
| | |
Education — 0.0%(b) | | | | | | | | |
| | |
University of South Carolina
Rev., 5.00%, 5/1/2020 | | | 40,000 | | | | 40,274 | |
| | | | | | | | |
| | |
General Obligation — 0.9% | | | | | | | | |
| | |
Aiken County Consolidated School District | | | | | | | | |
| | |
Series 2016A, GO, SCSDE, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series 2018A, GO, SCSDE, 5.00%, 3/1/2020 | | | 60,000 | | | | 60,000 | |
| | |
Anderson County School District No. 1 GO, SCSDE, 5.00%, 3/1/2020 | | | 220,000 | | | | 220,000 | |
| | |
Beaufort County School District Series 2015A, GO, SCSDE, 5.00%, 3/1/2020 | | | 235,000 | | | | 235,000 | |
| | |
Berkeley County School District, County of Bergen Project Series 2014A, GO, SCSDE, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
County of Beaufort Series 2013B, GO, 5.00%, 5/1/2020 | | | 20,000 | | | | 20,137 | |
| | |
County of Charleston Series 2014A, GO, 2.00%, 6/1/2020 | | | 50,000 | | | | 50,155 | |
| | |
County of Dorchester, Transportation Projects Series 2013A, GO, 4.00%, 5/1/2020 | | | 45,000 | | | | 45,234 | |
| | |
County of Lancaster Series 2016A, GO, 5.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
County of Richland Series 2012A, GO, 5.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
Florence School District One GO, SCSDE, 5.00%, 3/1/2020 | | | 375,000 | | | | 375,000 | |
| | |
Fort Mill School District No. 4 | | | | | | | | |
| | |
Series A, GO, SCSDE, 4.00%, 3/1/2020 | | | 85,000 | | | | 85,000 | |
| | |
Series 2013D, GO, SCSDE, 5.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
Series 2016D, GO, SCSDE, 5.00%, 3/1/2020 | | | 60,000 | | | | 60,000 | |
| | |
Horry County School District GO, SCSDE, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Richland County School District No. 1 GO, SCSDE, 5.00%, 3/1/2022 | | | 100,000 | | | | 100,000 | |
| | |
Richland County School District No. 2 Series 2012B, GO, SCSDE, 5.00%, 4/1/2020 | | | 25,000 | | | | 25,083 | |
| | |
Richland-Lexington Riverbanks Park District GO, 5.00%, 3/1/2020 | | | 110,000 | | | | 110,000 | |
| | |
Spartanburg County School District No. 7 Series 2014B, GO, SCSDE, 5.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
State of South Carolina, Clemson University Series 2014B, GO, 5.00%, 4/1/2020 | | | 50,000 | | | | 50,165 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| | | | | | | | |
| | |
General Obligation — continued | | | | | | | | |
| | |
State of South Carolina, Coastal Carolina University Series 2010A, GO, 4.00%, 4/1/2020 | | | 50,000 | | | | 50,126 | |
| | |
State of South Carolina, Highway Series A, GO, 5.00%, 10/1/2020 | | | 25,000 | | | | 25,613 | |
| | | | | | | | |
| | |
| | | | | | | 1,781,513 | |
| | | | | | | | |
|
Other Revenue — 0.2% | |
| | |
County of Richland, Hospitality Tax Refunding Series 2013A, Rev., 4.00%, 4/1/2020 | | | 100,000 | | | | 100,248 | |
| | |
Saxe Gotha-Lexington Public Facilities Corp. Rev., BAN, 2.50%, 5/8/2020 | | | 200,000 | | | | 200,568 | |
| | | | | | | | |
| | |
| | | | | | | 300,816 | |
| | | | | | | | |
|
Water & Sewer — 0.0% (b) | |
| | |
Anderson Regional Joint Water System Series 2011A, Rev., 5.00%, 7/15/2020 | | | 25,000 | | | | 25,384 | |
| | |
City of Anderson, Water and Sewer System Rev., AGM, 5.00%, 7/1/2020 | | | 15,000 | | | | 15,206 | |
| | |
Spartanburg Sanitary Sewer District Series2009-A, Rev., AGC, 4.50%, 3/1/2020 (d) | | | 50,000 | | | | 50,000 | |
| | | | | | | | |
| | |
| | | | | | | 90,590 | |
| | | | | | | | |
| | |
Total South Carolina | | | | | | | 2,213,193 | |
| | | | | | | | |
|
South Dakota — 0.4% | |
|
General Obligation — 0.3% | |
| | |
Rapid City Area School DistrictNo. 51-4, Capital Outlay GO, 4.00%, 8/1/2023 | | | 630,000 | | | | 691,860 | |
| | | | | | | | |
|
Housing — 0.1% | |
| | |
South Dakota Board of Regents, Housing and Auxiliary Facility System | | | | | | | | |
| | |
Rev., 5.00%, 4/1/2020 | | | 50,000 | | | | 50,158 | |
| | |
Series 2013A, Rev., 5.00%, 4/1/2021 | | | 70,000 | | | | 72,962 | |
| | |
South Dakota Housing Development Authority, Homeownership Mortgage Series B, Rev., 2.70%, 11/1/2021 | | | 20,000 | | | | 20,556 | |
| | | | | | | | |
| | |
| | | | | | | 143,676 | |
| | | | | | | | |
| | |
Total South Dakota | | | | | | | 835,536 | |
| | | | | | | | |
|
Tennessee — 2.9% | |
|
General Obligation — 0.4% | |
| | |
City of Memphis, General Improvements Series 2012A, GO, 5.00%, 4/1/2020 | | | 55,000 | | | | 55,180 | |
| | |
City of Pigeon Forge GO, 5.00%, 6/1/2020 | | | 20,000 | | | | 20,204 | |
| | |
County of Montgomery GO, 5.00%, 4/1/2020 | | | 40,000 | | | | 40,131 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 195 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
County of Montgomery, Public Improvements GO, 4.00%, 4/1/2020 | | | 20,000 | | | | 20,050 | |
| | |
County of Rutherford Series 2010, GO, 4.00%, 4/1/2020 | | | 95,000 | | | | 95,239 | |
| | |
County of Shelby | | | | | | | | |
| | |
Series A, GO, 4.00%, 3/1/2020 | | | 320,000 | | | | 320,000 | |
| | |
Series 2012A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series 2016A, GO, 5.00%, 4/1/2020 | | | 125,000 | | | | 125,410 | |
| | |
GO, 4.00%, 3/1/2024 | | | 75,000 | | | | 75,107 | |
| | |
County of Sumner GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,103 | |
| | |
State of Tennessee Series A, GO, 5.00%, 9/1/2020 | | | 30,000 | | | | 30,628 | |
| | |
Town of Greeneville GO, 3.00%, 6/1/2020 | | | 25,000 | | | | 25,133 | |
| | | | | | | | |
| | |
| | | | | | | 842,185 | |
| | | | | | | | |
|
Hospital — 0.1% | |
| | |
City of Jackson, Madison County General Hospital Rev., 5.00%, 4/1/2020 | | | 115,000 | | | | 115,345 | |
| | |
Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group Series 2018A, Rev., 5.00%, 7/1/2020 | | | 75,000 | | | | 76,008 | |
| | |
Rutherford County Health and Educational Facilities Board Rev., 2.50%, 11/1/2020 (c) | | | 75,000 | | | | 75,700 | |
| | | | | | | | |
| | |
| | | | | | | 267,053 | |
| | | | | | | | |
|
Housing — 1.1% | |
| | |
Highlands Residential Services, Walnut Village Project Series 2019, Rev., GNMA COLL, 1.80%, 4/1/2021 (c) | | | 50,000 | | | | 50,353 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Dandridge Towers Project Rev., 1.87%, 7/1/2020 (c) | | | 1,910,000 | | | | 1,913,877 | |
| | |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Multi-Family Housing, Trevecca Towers I/East Project Rev., 2.00%, 1/1/2021 (c) | | | 300,000 | | | | 302,346 | |
| | | | | | | | |
| | |
| | | | | | | 2,266,576 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0%(b) | |
| | |
Pigeon Forge Industrial Development Board Rev., 5.00%, 6/1/2022 | | | 50,000 | | | | 52,556 | |
| | | | | | | | |
|
Other Revenue — 0.7% | |
| | |
Clarksville Public Building Authority Rev., VRDO, LOC: Bank of America NA, 1.39%, 3/2/2020 (c) | | | 1,300,000 | | | | 1,300,000 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Other Revenue — continued | |
| | |
Metropolitan Government of Nashville and Davidson County Series2011-B, Rev., 4.50%, 5/15/2020 | | | 115,000 | | | | 115,848 | |
| | | | | | | | |
| | |
| | | | | | | 1,415,848 | |
| | | | | | | | |
|
Prerefunded — 0.6% | |
| | |
Chattanooga Health Educational and Housing Facility Board, Catholic Health Initiatives Series 2013A, Rev., 5.25%, 1/1/2045 (d) | | | 245,000 | | | | 274,760 | |
| | |
Johnson City Health and Educational Facilities Board, Mountain States Health Alliance Series2010-A, Rev., 6.50%, 7/1/2038 (d) | | | 850,000 | | | | 865,674 | |
| | | | | | | | |
| | |
| | | | | | | 1,140,434 | |
| | | | | | | | |
|
Utility — 0.0%(b) | |
| | |
Harpeth Valley Utilities District of Davidson and Williamson Counties Rev., 3.00%, 9/1/2020 | | | 25,000 | | | | 25,271 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Memphis, Sanitary Sewerage System Rev., 5.00%, 10/1/2020 | | | 20,000 | | | | 20,488 | |
| | | | | | | | |
| | |
Total Tennessee | | | | | | | 6,030,411 | |
| | | | | | | | |
|
Texas — 8.0% | |
|
Education — 0.5% | |
| | |
Alamo Community College District, Financing System Senior lien Series 2012A, Rev., 5.00%, 11/1/2020 | | | 20,000 | | | | 20,548 | |
| | |
Austin Community College District, Combined Fee Series 2014A, Rev., 5.00%, 2/1/2021 | | | 45,000 | | | | 46,679 | |
| | |
Clifton Higher Education Finance Corp., Baylor University Rev., 5.00%, 3/1/2020 | | | 80,000 | | | | 80,000 | |
| | |
Clifton Higher Education Finance Corp., Idea Public Schools | | | | | | | | |
| | |
Series 2014, Rev.,PSF-GTD, 5.00%, 8/15/2020 | | | 75,000 | | | | 76,405 | |
| | |
Rev., 4.80%, 8/15/2021 (d) | | | 215,000 | | | | 222,488 | |
| | |
Houston Community College System Rev., 5.00%, 4/15/2020 | | | 75,000 | | | | 75,364 | |
| | |
Houston Community College System, Senior Lien Student Fee Rev., 5.00%, 4/15/2021 | | | 160,000 | | | | 160,776 | |
| | |
Permanent University Fund - Texas A&M University System Series A, Rev., 5.00%, 7/1/2020 | | | 35,000 | | | | 35,482 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 196 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Education — continued | |
| | |
Red River Education Finance Corp., Higher Education, Christian University Project Rev., 5.00%, 3/15/2020 | | | 100,000 | | | | 100,139 | |
| | |
Texas A&M University, Financing System Series 2010A, Rev., 5.00%, 5/15/2020 | | | 20,000 | | | | 20,168 | |
| | |
Texas State University System | | | | | | | | |
| | |
Rev., 4.00%, 3/15/2020 | | | 45,000 | | | | 45,048 | |
| | |
Rev., 4.50%, 3/15/2020 | | | 140,000 | | | | 140,172 | |
| | |
Texas State University, Financing System Rev., 5.00%, 3/15/2020 | | | 25,000 | | | | 25,035 | |
| | |
Texas Woman’s University Rev., 4.00%, 7/1/2020 | | | 40,000 | | | | 40,410 | |
| | |
University of Texas (The), Board of Regents, Financing System Series A, Rev., 5.00%, 8/15/2020 | | | 20,000 | | | | 20,379 | |
| | | | | | | | |
| | |
| | | | | | | 1,109,093 | |
| | | | | | | | |
|
General Obligation — 3.3% | |
| | |
Aledo Independent School District GO,PSF-GTD, Zero Coupon, 2/15/2022 | | | 85,000 | | | | 83,446 | |
| | |
Austin Community College District GO, 5.00%, 8/1/2020 | | | 40,000 | | | | 40,686 | |
| | |
Austin Community College District, Limited Tax GO, 5.00%, 8/1/2020 | | | 25,000 | | | | 25,429 | |
| | |
Bastrop Independent School District Series 2013A, GO,PSF-GTD, 3.00%, 2/15/2023 | | | 205,000 | | | | 213,436 | |
| | |
Buna Independent School District, School Building GO,PSF-GTD, 2.25%, 8/15/2023 | | | 160,000 | | | | 163,566 | |
| | |
City of Brownsville GO, 4.00%, 2/15/2022 | | | 265,000 | | | | 281,056 | |
| | |
City of Bryan GO, 3.00%, 8/15/2022 | | | 25,000 | | | | 26,313 | |
| | |
City of Burleson | | | | | | | | |
| | |
GO, 3.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
GO, 4.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
City of Cedar Hill GO, 5.00%, 2/15/2021 | | | 40,000 | | | | 41,575 | |
| | |
City of Corpus Christi, General Improvement GO, 5.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
City of Dallas GO, 5.00%, 2/15/2021 | | | 75,000 | | | | 77,946 | |
| | |
City of Del Rio GO, 5.00%, 6/1/2020 | | | 50,000 | | | | 50,503 | |
| | |
City of Edinburg GO, 5.00%, 3/1/2022 | | | 20,000 | | | | 21,614 | |
| | |
City of El Paso GO, 5.00%, 8/15/2021 | | | 30,000 | | | | 31,795 | |
| | |
City of Fort Worth GO, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
City of Fort Worth, Tarrant, Denton, Parker and Wise Counties GO, 3.50%, 3/1/2020 | | | 180,000 | | | | 180,000 | |
| | |
City of Frisco GO, 5.00%, 2/15/2021 | | | 25,000 | | | | 25,992 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — continued | |
| | |
City of Grand Prairie, Combination Tax Series 2013A, GO, 5.00%, 2/15/2021 | | | 65,000 | | | | 67,603 | |
| | |
City of Houston, Public Improvement Series 2010A, GO, 5.00%, 3/1/2020 | | | 45,000 | | | | 45,000 | |
| | |
City of Hutto GO, 5.00%, 2/1/2021 | | | 110,000 | | | | 114,123 | |
| | |
City of Lewisville GO, 5.00%, 2/15/2021 | | | 30,000 | | | | 31,202 | |
| | |
City of Midland GO, 4.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
City of Paris GO, 4.50%, 12/15/2020 | | | 30,000 | | | | 30,850 | |
| | |
City of Pearland GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
City of Pflugerville, Limited Tax GO, 4.00%, 8/1/2020 | | | 50,000 | | | | 50,653 | |
| | |
Clint Independent School District GO,PSF-GTD, 4.00%, 8/15/2020 | | | 25,000 | | | | 25,363 | |
| | |
Columbia-Brazoria Independent School District, Unlimited Tax GO,PSF-GTD, 3.00%, 2/1/2025 (f) | | | 200,000 | | | | 218,394 | |
| | |
County of Bexar, Certificates of Obligation | | | | | | | | |
| | |
Series B, GO, 5.00%, 6/15/2020 | | | 40,000 | | | | 40,478 | |
| | |
Series B, GO, 5.00%, 6/15/2021 | | | 20,000 | | | | 21,081 | |
| | |
County of Brazos, Limited Tax GO, 5.00%, 9/1/2020 | | | 20,000 | | | | 20,413 | |
| | |
County of Chambers GO, 3.00%, 3/1/2020 | | | 150,000 | | | | 150,000 | |
| | |
County of Fort Bend | | | | | | | | |
| | |
GO, 5.00%, 3/1/2020 | | | 175,000 | | | | 175,000 | |
| | |
Series A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series B, GO, 5.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
County of Hidalgo GO, 5.00%, 8/15/2021 | | | 45,000 | | | | 47,699 | |
| | |
County of San Patricio, Combination Tax and Revenue Certificates GO, 3.00%, 4/1/2020 | | | 30,000 | | | | 30,050 | |
| | |
County of Travis, Certificate of Obligation Limited Tax Series 2019A, GO, 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
El Paso County Hospital District GO, 5.00%, 8/15/2020 | | | 600,000 | | | | 609,516 | |
| | |
El Paso Independent School District, Unlimited Tax Refunding GO,PSF-GTD, 5.00%, 8/15/2020 | | | 20,000 | | | | 20,380 | |
| | |
Harris County Municipal Utility District No. 468, Unlimited Tax GO, AGM, 2.00%, 9/1/2020 | | | 15,000 | | | | 15,073 | |
| | |
Hays Consolidated Independent School District, School Building Series 2018B, GO,PSF-GTD, 2.70%, 8/15/2023 (c) | | | 100,000 | | | | 104,032 | |
| | |
Hidalgo County Drain District No. 1, Improvement GO, 5.00%, 9/1/2022 | | | 100,000 | | | | 110,145 | |
| | |
Keller Independent School District, Unlimited Tax Series A, GO,PSF-GTD, 5.00%, 8/15/2021 | | | 20,000 | | | | 21,217 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 197 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
Montgomery County Municipal Utility District No. 46 GO, 3.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
Northside Independent School District Series 2014A, GO,PSF-GTD, 5.00%, 2/15/2021 | | | 30,000 | | | | 31,199 | |
| | |
State of Texas Series 2011B, GO, VRDO, LIQ: State Street Bank & Trust, 1.18%, 3/10/2020 (c) | | | 2,915,000 | | | | 2,915,000 | |
| | |
State of Texas, Transportation Commission Highway Improvement GO, 5.00%, 4/1/2020 | | | 80,000 | | | | 80,264 | |
| | |
Town of Prosper GO, 5.00%, 8/15/2020 | | | 20,000 | | | | 20,376 | |
| | | | | | | | |
| | |
| | | | | | | 6,733,468 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Tarrant County Cultural Education Facilities Finance Corp., Christus Health Series A, Rev., 5.00%, 7/1/2020 | | | 400,000 | | | | 405,244 | |
| | | | | | | | |
|
Housing — 0.5% | |
| | |
Boerne Public Facilities Corp., LIV at Boerne Senior Apartments Rev., 2.75%, 11/1/2021 (c) | | | 100,000 | | | | 102,793 | |
| | |
Capital Area Housing Finance Corp., Mission Trail at El Camino Real Apartments Rev., 2.10%, 9/1/2022 (c) | | | 125,000 | | | | 126,781 | |
| | |
City of Dallas Housing Finance Corp., Palladium Redbird Rev., 1.50%, 4/1/2022 (c) | | | 100,000 | | | | 100,761 | |
| | |
Las Varas Public Facility Corp., Wurzbach Manor Apartments Rev., 1.70%, 12/1/2020 (c) | | | 260,000 | | | | 261,134 | |
| | |
Panhandle Regional Housing Finance Agency Rev., 2.00%, 5/1/2020 (c) | | | 125,000 | | | | 125,177 | |
| | |
San Antonio Housing Trust Finance Corp., Alsbury Park Apartments Rev., FHA, 1.37%, 9/1/2021 (c) | | | 40,000 | | | | 40,210 | |
| | |
Texas Department of Housing and Community Affairs, Springs Apartments Rev., FHA, 2.23%, 5/1/2020 (c) | | | 275,000 | | | | 275,520 | |
| | |
Texas State Affordable Housing Corp., Single Family Mortgage Series 2011B, Rev., AMT, GNMA COLL, 3.25%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | | | | | | | |
| | |
| | | | | | | 1,067,376 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0%(b) | |
| | |
Texas City Industrial Development Corp., Arco Pipe Line Co. Project Rev., 7.38%, 10/1/2020 | | | 100,000 | | | | 103,526 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Other Revenue — 0.4% | |
| | |
Lower Colorado River Authority | | | | | | | | |
| | |
Series 2010B, Rev., 4.00%, 5/15/2020 (d) | | | 75,000 | | | | 75,481 | |
| | |
Series A, Rev., 5.00%, 5/15/2020 (d) | | | 35,000 | | | | 35,294 | |
| | |
Lower Colorado River Authority, Transmission Contract, LCRA Transmission Services Corp. Project Series 2010B, Rev., 5.00%, 5/15/2020 | | | 40,000 | | | | 40,334 | |
| | |
Nueces River Authority Rev., 5.00%, 7/15/2020 | | | 20,000 | | | | 20,306 | |
| | |
Red River Authority Rev.,NATL-RE, 4.45%, 6/1/2020 | | | 550,000 | | | | 554,295 | |
| | |
Trinity River Authority, Tarrant County Water Project Rev., 4.00%, 2/1/2021 | | | 35,000 | | | | 36,002 | |
| | | | | | | | |
| | |
| | | | | | | 761,712 | |
| | | | | | | | |
|
Prerefunded — 0.5% | |
| | |
City of Annetta, Certificates of Obligation GO, 5.00%, 8/1/2035 (d) | | | 295,000 | | | | 299,974 | |
| | |
City of Killeen Series 2011, GO, 5.00%, 8/1/2025 (d) | | | 25,000 | | | | 25,432 | |
| | |
Conroe Independent School District, School Building Series 2012, GO,PSF-GTD, 5.00%, 2/15/2025 (d) | | | 20,000 | | | | 20,797 | |
| | |
North Texas Tollway Authority System, First Tier Rev., 6.00%, 1/1/2043 (d) | | | 160,000 | | | | 166,862 | |
| | |
Tarrant County Cultural Education Facilities Finance Corp. | | | | | | | | |
| | |
Rev., 5.00%, 8/15/2033 (d) | | | 70,000 | | | | 71,308 | |
| | |
Rev., 5.25%, 8/15/2040 (d) | | | 145,000 | | | | 147,873 | |
| | |
Travis County Health Facilities Development Corp. Rev., 7.13%, 11/1/2040 (d) | | | 355,000 | | | | 369,431 | |
| | | | | | | | |
| | |
| | | | | | | 1,101,677 | |
| | | | | | | | |
|
Transportation — 1.8% | |
| | |
Alamo Regional Mobility Authority, Vehicle Registration Fee Senior Lien Rev., 5.00%, 6/15/2021 | | | 25,000 | | | | 26,351 | |
| | |
City of Houston, Airport System Subordinate Lien Rev., VRDO, LOC: Barclays Bank plc, 1.15%, 3/10/2020 (c) | | | 3,500,000 | | | | 3,500,000 | |
| | |
City of Houston, Airport System, Subordinate Lien Series B, Rev., 5.00%, 7/1/2020 | | | 40,000 | | | | 40,551 | |
| | |
County of Fort Bend, Toll Road, Senior Lien Rev., 2.00%, 3/1/2020 | | | 15,000 | | | | 15,000 | |
| | |
Dallas Area Rapid Transit, Senior Lien Rev., 4.00%, 12/1/2020 | | | 20,000 | | | | 20,476 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 198 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Transportation — continued | |
| | |
Texas Transportation Commission State Highway Fund, First Tier Series2014-A, Rev., 5.00%, 4/1/2020 | | | 35,000 | | | | 35,115 | |
| | | | | | | | |
| | |
| | | | | | | 3,637,493 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
City of El Paso Municipal Drainage Utility System Rev., 4.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
City of Garland, Electric Utility System | | | | | | | | |
| | |
Series 2011A, Rev., 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Series 2016B, Rev., 5.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
Series 2011A, Rev., 5.00%, 3/1/2022 | | | 95,000 | | | | 95,000 | |
| | |
Series 2011A, Rev., 5.00%, 3/1/2023 | | | 55,000 | | | | 55,000 | |
| | |
Lower Colorado River Authority, Transmission Contract, LCRA Transmission Services Corp. Project Rev., 5.00%, 5/15/2020 | | | 85,000 | | | | 85,709 | |
| | |
Texas Municipal Power Agency Rev., 5.00%, 9/1/2020 | | | 255,000 | | | | 260,107 | |
| | | | | | | | |
| | |
| | | | | | | 665,816 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
City of Amarillo, Waterworks and Sewer System Rev., 5.00%, 4/1/2020 | | | 60,000 | | | | 60,196 | |
| | |
City of Arlington, Water and Wastewater System | | | | | | | | |
| | |
Series 2015A, Rev., 5.00%, 6/1/2020 | | | 50,000 | | | | 50,516 | |
| | |
Series 2018A, Rev., 5.00%, 6/1/2020 | | | 50,000 | | | | 50,516 | |
| | |
City of El Paso, Water and Sewer System Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
City of Garland, Water & Sewer System | | | | | | | | |
| | |
Rev., 4.00%, 3/1/2020 | | | 45,000 | | | | 45,000 | |
| | |
Series 2011A, Rev., 4.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
Series 2014A, Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Series 2018, Rev., 5.00%, 3/1/2020 | | | 135,000 | | | | 135,000 | |
| | |
City of Mesquite, Waterworks and Sewer System Rev., AGM, 4.13%, 3/1/2027 | | | 100,000 | | | | 100,000 | |
| | |
County of El Paso, Water and Sewer Rev., 4.00%, 3/1/2020 | | | 125,000 | | | | 125,000 | |
| | |
North Texas Municipal Water District Water System Rev., 5.00%, 9/1/2020 | | | 25,000 | | | | 25,522 | |
| | |
North Texas Municipal Water District, Wastewater System and Improvement Rev., 5.00%, 6/1/2020 | | | 40,000 | | | | 40,413 | |
| | |
San Antonio Water System Series 2017A, Rev., 5.00%, 5/15/2021 | | | 20,000 | | | | 21,018 | |
| | |
San Antonio Water System, Junior Lien Series B, Rev., 5.00%, 5/15/2020 | | | 35,000 | | | | 35,298 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Water & Sewer — continued | |
| | |
Tarrant Regional Water District Rev., 5.00%, 3/1/2020 | | | 25,000 | | | | 25,000 | |
| | |
Tarrant Regional Water District, Water Control and Improvement Series 2012A, Rev., 4.00%, 3/1/2020 | | | 45,000 | | | | 45,000 | |
| | |
Trinity River Authority Central Regional Wastewater System Rev., 5.00%, 8/1/2021 | | | 60,000 | | | | 63,494 | |
| | | | | | | | |
| | |
| | | | | | | 971,973 | |
| | | | | | | | |
| | |
Total Texas | | | | | | | 16,557,378 | |
| | | | | | | | |
|
Utah — 1.5% | |
|
Education — 0.1% | |
| | |
Utah Charter School Finance Authority | | | | | | | | |
| | |
Series A, Rev., 5.00%, 4/15/2021 | | | 35,000 | | | | 36,546 | |
| | |
Series A, Rev., 5.00%, 4/15/2022 | | | 30,000 | | | | 32,337 | |
| | |
Series A, Rev., 5.00%, 4/15/2023 | | | 80,000 | | | | 89,114 | |
| | |
Utah State Board of Regents, University of Utah, Student Building Fee Rev., AGM, 5.00%, 6/1/2020 | | | 25,000 | | | | 25,252 | |
| | | | | | | | |
| | |
| | | | | | | 183,249 | |
| | | | | | | | |
|
General Obligation — 0.1% | |
| | |
Central Utah Water Conservancy District, Limited Tax Series 2011B, GO, 5.00%, 4/1/2020 | | | 20,000 | | | | 20,066 | |
| | |
Davis School District, Utah School District Bond Guaranty Program Series 2019A, GO, 5.00%, 6/1/2020 | | | 70,000 | | | | 70,730 | |
| | |
Magna Water District GO, 5.00%, 6/1/2023 | | | 50,000 | | | | 56,607 | |
| | |
Washington County School District Board of Education GO, 4.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Weber School District, School Building GO, 5.00%, 6/15/2020 | | | 15,000 | | | | 15,181 | |
| | | | | | | | |
| | |
| | | | | | | 182,584 | |
| | | | | | | | |
|
Hospital — 1.0% | |
| | |
County of Utah, IHC Health Services, Inc. | | | | | | | | |
| | |
Series C, Rev., VRDO, LIQ: BMO Harris Bank NA, 1.10%, 3/10/2020 (c) | | | 2,100,000 | | | | 2,100,000 | |
| | |
Series 2018A, Rev., 5.00%, 5/15/2020 | | | 20,000 | | | | 20,169 | |
| | | | | | | | |
| | |
| | | | | | | 2,120,169 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Ogden City Rev., 3.00%, 1/15/2022 | | | 270,000 | | | | 280,676 | |
| | |
Utah Transit Authority, Sales Tax Series A, Rev., 5.00%, 6/15/2020 | | | 25,000 | | | | 25,300 | |
| | | | | | | | |
| | |
| | | | | | | 305,976 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 199 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Prerefunded — 0.0%(b) | |
| | |
Central Weber Sewer Improvement District Series 2010A, Rev., AGM, 5.00%, 3/1/2021 (d) | | | 25,000 | | | | 25,000 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
Utah Associated Municipal Power Systems, Payson Power Project Rev., 5.00%, 4/1/2020 | | | 220,000 | | | | 220,700 | |
| | | | | | | | |
|
Water & Sewer — 0.1% | |
| | |
Central Weber Sewer Improvement District Series 2010A, Rev., AGM, 5.00%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Hooper Water Improvement District Rev., 4.00%, 6/15/2020 | | | 40,000 | | | | 40,348 | |
| | |
North Davis County Sewer District Series 2009A, Rev., 5.00%, 3/1/2020 | | | 45,000 | | | | 45,000 | |
| | | | | | | | |
| | |
| | | | | | | 105,348 | |
| | | | | | | | |
| | |
Total Utah | | | | | | | 3,143,026 | |
| | | | | | | | |
|
Vermont — 0.0%(b) | |
|
General Obligation — 0.0%(b) | |
| | |
City of Burlington Series 2018D, GO, 5.00%, 11/1/2020 | | | 65,000 | | | | 66,682 | |
| | | | | | | | |
|
Virginia — 0.4% | |
|
General Obligation — 0.1% | |
| | |
City of Virginia Beach, Public Improvement Series 2012B, GO, 5.00%, 4/1/2020 | | | 20,000 | | | | 20,066 | |
| | |
County of Stafford, Public Improvement GO, 5.00%, 7/1/2020 | | | 45,000 | | | | 45,628 | |
| | | | | | | | |
| | |
| | | | | | | 65,694 | |
| | | | | | | | |
|
Housing — 0.2% | |
| | |
Virginia Housing Development Authority, Commonwealth Mortgage Series2012C-4, Rev., 2.49%, 1/1/2022 | | | 200,000 | | | | 205,720 | |
| | |
Virginia Housing Development Authority, Homeownership Mortgage Series 2010B, Rev., 3.40%, 3/1/2020 | | | 20,000 | | | | 20,000 | |
| | |
Virginia Housing Development Authority, Rental Housing Series 2018A, | | | | | | | | |
| | |
Rev., 2.05%, 3/1/2022 | | | 20,000 | | | | 20,010 | |
| | |
Rev., 4.55%, 9/1/2035 | | | 110,000 | | | | 110,011 | |
| | | | | | | | |
| | |
| | | | | | | 355,741 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0% (b) | |
| | |
Albermarle County Economic Development Authority, Virginia Public Facility Rev., 5.00%, 6/1/2020 | | | 30,000 | | | | 30,312 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Prerefunded — 0.0% (b) | |
| | |
City of Newport News, General Improvement Series 2011A, GO, 5.00%, 7/1/2022 (d) | | | 25,000 | | | | 25,344 | |
| | |
Fairfax County Economic Development Authority, Silver Line Phase I Project Rev., 5.00%, 4/1/2037 (d) | | | 25,000 | | | | 25,083 | |
| | | | | | | | |
| | |
| | | | | | | 50,427 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
Virginia Commonwealth Transportation Board | | | | | | | | |
| | |
Series 2012B, Rev., GAN, 5.00%, 3/15/2020 | | | 25,000 | | | | 25,035 | |
| | |
Series2013-A, Rev., GAN, 5.00%, 3/15/2020 | | | 25,000 | | | | 25,035 | |
| | |
Series A, Rev., GAN, 5.00%, 3/15/2020 | | | 115,000 | | | | 115,161 | |
| | |
Virginia Commonwealth Transportation Board, Capital Projects Rev., 5.00%, 5/15/2020 | | | 25,000 | | | | 25,211 | |
| | | | | | | | |
| | |
| | | | | | | 190,442 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
Fairfax County Water Authority, Water Series 2013A, Rev., 4.00%, 4/1/2020 | | | 20,000 | | | | 20,050 | |
| | |
Virginia Resources Authority, Clean Water State Revolving Fund Rev., 5.00%, 10/1/2020 | | | 15,000 | | | | 15,368 | |
| | | | | | | | |
| | |
| | | | | | | 35,418 | |
| | | | | | | | |
| | |
Total Virginia | | | | | | | 728,034 | |
| | | | | | | | |
|
Washington — 0.8% | |
|
Certificate of Participation/Lease — 0.0%(b) | |
| | |
State of Washington, Local Agency Real and Personal Property Series 2018C, COP, 5.00%, 7/1/2020 | | | 35,000 | | | | 35,478 | |
| | |
State of Washington, State and Local Agency Real and Personal Property Series 2015A, COP, 5.00%, 7/1/2020 | | | 25,000 | | | | 25,342 | |
| | | | | | | | |
| | |
| | | | | | | 60,820 | |
| | | | | | | | |
|
Education — 0.0%(b) | |
| | |
Washington State University Rev., 5.00%, 10/1/2020 | | | 35,000 | | | | 35,846 | |
| | | | | | | | |
|
General Obligation — 0.4% | |
| | |
City of Richland Series 2013A, GO, 4.00%, 12/1/2021 | | | 40,000 | | | | 42,248 | |
| | |
City of Seattle, Limited Tax Series B, GO, 5.00%, 8/1/2020 | | | 35,000 | | | | 35,609 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 200 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
County of Skagit, Limited Tax GO, 5.00%, 12/1/2021 | | | 20,000 | | | | 21,470 | |
| | |
King County Public Hospital District No. 2, Evergreenhealth GO, 5.00%, 12/1/2021 | | | 60,000 | | | | 64,411 | |
| | |
King County School District No. 210 Federal Way, Unlimited Tax Series 2010B, GO, 4.00%, 6/1/2020 | | | 25,000 | | | | 25,194 | |
| | |
King County School District No. 405 Bellevue, Credit Enhancement Program GO, 5.00%, 12/1/2020 | | | 20,000 | | | | 20,628 | |
| | |
State of Washington | | | | | | | | |
| | |
SeriesR-2015G, GO, 4.00%, 7/1/2020 | | | 25,000 | | | | 25,266 | |
| | |
SeriesR-2016A, GO, 5.00%, 7/1/2020 | | | 45,000 | | | | 45,626 | |
| | |
SeriesR-2021A, GO, 5.00%, 6/1/2024 (f) | | | 500,000 | | | | 561,765 | |
| | |
State of Washington, Motor Vehicle Fuel Tax Series B, GO, 5.00%, 8/1/2020 | | | 20,000 | | | | 20,349 | |
| | | | | | | | |
| | |
| | | | | | | 862,566 | |
| | | | | | | | |
|
Housing — 0.0%(b) | |
| | |
Snohomish County Housing Authority Rev., 5.00%, 4/1/2020 | | | 20,000 | | | | 20,061 | |
| | | | | | | | |
|
Industrial Development Revenue/Pollution Control Revenue — 0.0%(b) | |
| | |
City of Seattle, Solid Waste Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,169 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
FYI Properties, State of Washington District Project - Green Bonds Rev., 5.00%, 6/1/2021 | | | 110,000 | | | | 115,681 | |
| | | | | | | | |
|
Prerefunded — 0.2% | |
| | |
County of King, Sewer | | | | | | | | |
| | |
Rev., 5.00%, 1/1/2022 (d) | | | 25,000 | | | | 25,879 | |
| | |
Series 2011C, Rev., 5.00%, 1/1/2035(d) | | | 25,000 | | | | 25,879 | |
| | |
Grant County Public Utility District No. 2, Electric System Series2011-I, Rev., 5.00%, 1/1/2022 (d) | | | 25,000 | | | | 25,879 | |
| | |
Washington Health Care Facilities Authority, Catholic Health Initiatives Series 2011A, Rev., 5.00%, 2/1/2041 (d) | | | 40,000 | | | | 41,492 | |
| | |
Washington Health Care Facilities Authority, Providence Health and Services Series 2010A, Rev., 5.25%, 10/1/2039 (d) | | | 175,000 | | | | 175,606 | |
| | | | | | | | |
| | |
| | | | | | | 294,735 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Transportation — 0.0%(b) | |
| | |
State of Washington, Federal Highway Grant Series 2012F, Rev., GRAN, 5.00%, 9/1/2020 | | | 20,000 | | | | 20,415 | |
| | | | | | | | |
|
Utility — 0.1% | |
| | |
City of Kent, Utility System Rev., 5.00%, 12/1/2020 | | | 25,000 | | | | 25,787 | |
| | |
Energy Northwest, Electric Generating Station Series A, Rev., 5.00%, 7/1/2021 | | | 25,000 | | | | 26,401 | |
| | |
Grays Harbor County Public Utility District No. 1, Electric and Refunding Series 2015A, Rev., 5.00%, 1/1/2025 | | | 100,000 | | | | 118,741 | |
| | | | | | | | |
| | |
| | | | | | | 170,929 | |
| | | | | | | | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Seattle, Water System Improvement Rev., 5.00%, 5/1/2020 | | | 25,000 | | | | 25,169 | |
| | | | | | | | |
| | |
Total Washington | | | | | | | 1,631,391 | |
| | | | | | | | |
|
West Virginia — 0.6% | |
|
General Obligation — 0.0%(b) | |
| | |
Ohio County Board of Education GO, 2.00%, 6/1/2020 | | | 15,000 | | | | 15,043 | |
| | |
State of West Virginia Series 2015A, GO, 5.00%, 6/1/2020 | | | 10,000 | | | | 10,103 | |
| | | | | | | | |
| | |
| | | | | | | 25,146 | |
| | | | | | | | |
|
Hospital — 0.2% | |
| | |
Monongalia County Building Commission, Health System Rev., 5.00%, 7/1/2020 | | | 200,000 | | | | 202,234 | |
| | |
Monongalia County Building Commission, Monongalia Health System Obligated Group Rev., 5.00%, 7/1/2020 | | | 200,000 | | | | 202,234 | |
| | | | | | | | |
| | |
| | | | | | | 404,468 | |
| | | | | | | | |
|
Transportation — 0.1% | |
| | |
West Virginia Commissioner of Highways Series 2017A, Rev., 5.00%, 9/1/2020 | | | 75,000 | | | | 76,536 | |
| | | | | | | | |
|
Utility — 0.3% | |
| | |
West Virginia Economic Development Authority, Appalachian Power Co. - AMOS Project Series2009-B, Rev., 2.63%, 6/1/2022 (c) | | | 500,000 | | | | 517,875 | |
| | |
West Virginia Economic Development Authority, Correctional, Juvenile and Public Safety Facilities Series 2012A, Rev., 5.00%, 6/1/2020 | | | 100,000 | | | | 101,002 | |
| | | | | | | | |
| | |
| | | | | | | 618,877 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 201 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
Water & Sewer — 0.0%(b) | |
| | |
City of Charleston, Sewerage System Series 2016A, Rev., 2.00%, 7/1/2020 | | | 50,000 | | | | 50,161 | |
| | | | | | | | |
| | |
Total West Virginia | | | | | | | 1,175,188 | |
| | | | | | | | |
|
Wisconsin — 5.5% | |
|
Certificate of Participation/Lease — 0.0%(b) | |
| | |
State of Wisconsin Series 2015A, COP, 5.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | | | | | | | |
|
Education — 1.1% | |
| | |
Milwaukee Redevelopment Authority, Milwaukee Public Schools | | | | | | | | |
| | |
Series 2017, Rev., 5.00%, 11/15/2022 | | | 365,000 | | | | 403,898 | |
| | |
Series 2017, Rev., 5.00%, 11/15/2023 | | | 130,000 | | | | 148,678 | |
| | |
Milwaukee Redevelopment Authority, Milwaukee Public Schools - Neighborhood Schools Initiative Rev.,NATL-RE, 4.00%, 8/1/2023 | | | 400,000 | | | | 439,416 | |
| | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group | | | | | | | | |
| | |
Series2018B-2, Rev., 5.00%, 1/25/2023 (c) | | | 30,000 | | | | 33,433 | |
| | |
Series2018B-3, Rev., 5.00%, 1/31/2024 (c) | | | 1,000,000 | | | | 1,152,950 | |
| | | | | | | | |
| | |
| | | | | | | 2,178,375 | |
| | | | | | | | |
|
General Obligation — 3.4% | |
| | |
Baraboo School District GO, 5.00%, 4/1/2020 | | | 100,000 | | | | 100,318 | |
| | |
Beloit Turner School District GO, 2.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | |
City of Appleton, Promissory Notes | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 4/1/2020 | | | 55,000 | | | | 55,092 | |
| | |
Series 2018A, GO, 4.00%, 4/1/2020 | | | 100,000 | | | | 100,245 | |
| | |
City of Brookfield GO, 2.00%, 11/1/2020 | | | 390,000 | | | | 392,921 | |
| | |
City of Eau Claire, Promissory Notes Series 2016C, GO, 3.00%, 4/1/2020 | | | 50,000 | | | | 50,082 | |
| | |
City of Manitowoc | | | | | | | | |
| | |
GO, 2.00%, 2/1/2021 | | | 385,000 | | | | 388,796 | |
| | |
GO, 2.00%, 2/1/2023 | | | 320,000 | | | | 327,392 | |
| | |
City of Merrill | | | | | | | | |
| | |
Series 2019A, GO, 3.00%, 10/1/2020 | | | 95,000 | | | | 96,168 | |
| | |
Series 2019A, GO, 3.00%, 10/1/2021 | | | 60,000 | | | | 62,008 | |
| | |
Series 2019A, GO, 3.00%, 10/1/2022 | | | 60,000 | | | | 62,702 | |
| | |
City of Milwaukee, Promissory Notes GO, 5.00%, 5/1/2020 | | | 15,000 | | | | 15,101 | |
| | |
City of Oshkosh | | | | | | | | |
| | |
Series A, GO, 0.05%, 12/1/2022 | | | 70,000 | | | | 68,037 | |
| | |
Series A, GO, 2.00%, 12/1/2023 | | | 200,000 | | | | 206,868 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
General Obligation — continued | |
| | |
City of Shawano, Promissory Notes Series 2019, GO, 3.00%, 4/1/2022 | | | 140,000 | | | | 145,512 | |
| | |
City of Waukesha Series A, GO, 4.00%, 10/1/2020 | | | 20,000 | | | | 20,359 | |
| | |
City of West Allis, Corporate Purpose Series 2018A, GO, 4.00%, 4/1/2020 | | | 455,000 | | | | 456,115 | |
| | |
County of Milwaukee Series 2018D, GO, 3.00%, 8/1/2024 | | | 100,000 | | | | 109,005 | |
| | |
County of Milwaukee, Promissory Notes Series 2016C, GO, 2.00%, 9/1/2020 (d) | | | 10,000 | | | | 10,057 | |
| | |
Edgerton School District, School Building and Improvements GO, 4.00%, 3/1/2020 | | | 40,000 | | | | 40,000 | |
| | |
Fond Du Lac School District, Promissory Notes Series 2019A, GO, 3.00%, 4/1/2020 | | | 30,000 | | | | 30,050 | |
| | |
Ithaca School District, School Improvement Series 2014, GO, 3.00%, 3/1/2021 | | | 175,000 | | | | 178,699 | |
| | |
Janesville School District GO, 1.50%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
Madison Area Technical College, Promissory Notes Series2017-18A, GO, 5.00%, 3/1/2020 | | | 35,000 | | | | 35,000 | |
| | |
Marinette School District, Promissory Notes GO, 2.00%, 3/1/2020 | | | 100,000 | | | | 100,000 | |
| | |
McFarland School District, School Improvement Series 2017A, GO, 5.00%, 4/1/2020 | | | 25,000 | | | | 25,081 | |
| | |
Milwaukee Area Technical College District, Promissory Note Series2015-16G, GO, 3.00%, 6/1/2020 | | | 100,000 | | | | 100,530 | |
| | |
Oshkosh Area School District Series 2012B, GO, 3.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
Sevastopol School District, Promissory Notes | | | | | | | | |
| | |
GO, 4.00%, 3/1/2024 (f) | | | 985,000 | | | | 1,097,674 | |
| | |
GO, 4.00%, 3/1/2025 (f) | | | 625,000 | | | | 712,469 | |
| | |
State of Wisconsin | | | | | | | | |
| | |
Series 2009C, GO, 4.50%, 5/1/2020 | | | 105,000 | | | | 105,633 | |
| | |
Series 1, GO, 5.00%, 5/1/2020 | | | 80,000 | | | | 80,547 | |
| | |
Series 2015C, GO, 5.00%, 5/1/2020 | | | 25,000 | | | | 25,171 | |
| | |
Series 3, GO, 5.00%, 11/1/2020 | | | 65,000 | | | | 66,822 | |
| | |
Village of DeForest, Promissory Notes Series 2019A, GO, 0.05%, 5/1/2021 | | | 25,000 | | | | 24,761 | |
| | |
Village of Fox Crossing GO, 3.00%, 4/1/2024 | | | 185,000 | | | | 199,806 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 202 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Municipal Bonds — continued | |
|
General Obligation — continued | |
| | |
Village of Menomonee Falls | | | | | | | | |
| | |
GO, 4.00%, 3/1/2020 | | | 50,000 | | | | 50,000 | |
| | |
Series A, GO, 4.00%, 3/1/2020 | | | 30,000 | | | | 30,000 | |
| | |
Series B, GO, 3.50%, 2/1/2022 | | | 150,000 | | | | 157,431 | |
| | |
Series B, GO, 3.50%, 2/1/2023 | | | 155,000 | | | | 165,766 | |
| | |
Series B, GO, 3.50%, 2/1/2024 | | | 245,000 | | | | 267,425 | |
| | |
Village of Shorewood Series 2016A, GO, 4.00%, 8/1/2020 | | | 75,000 | | | | 75,958 | |
| | |
Village of Sussex Series 2019C, GO, 5.00%, 10/1/2020 | | | 115,000 | | | | 117,723 | |
| | |
Waukesha School District, Promissory Notes GO, 4.00%, 4/1/2020 | | | 25,000 | | | | 25,062 | |
| | |
West Salem School District GO, 1.25%, 4/1/2022 | | | 200,000 | | | | 200,042 | |
| | |
Whitnall School District, Promissory Notes GO, 4.00%, 3/1/2020 | | | 200,000 | | | | 200,000 | |
| | | | | | | | |
| | |
| | | | | | | 6,963,428 | |
| | | | | | | | |
|
Hospital — 0.3% | |
| | |
University of Wisconsin Hospitals and Clinics Series 2013A, Rev., 5.00%, 4/1/2021 | | | 50,000 | | | | 52,188 | |
| | |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group Series2018B-1, Rev., 5.00%, 1/26/2022 (c) | | | 95,000 | | | | 102,310 | |
| | |
Wisconsin Health and Educational Facilities Authority, Ascension Health Alliance Senior Credit Group Series2013B-3, Rev., 5.00%, 6/1/2020 (c) | | | 250,000 | | | | 252,480 | |
| | |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Group Series 2013A, Rev., 5.00%, 11/15/2020 | | | 10,000 | | | | 10,290 | |
| | |
Wisconsin Health and Educational Facilities Authority, Ministry Healthcare, Inc. Series 2010B, Rev., 4.25%, 8/15/2020 (d) | | | 20,000 | | | | 20,302 | |
| | |
Wisconsin Health and Educational Facilities Authority, Prohealth Care Inc. Series 2012A, Rev., 5.00%, 8/15/2020 | | | 105,000 | | | | 106,933 | |
| | |
Wisconsin Health and Educational Facilities Authority, SSM Health Care Series 2010A, Rev., 4.00%, 6/1/2020 (d) | | | 40,000 | | | | 40,308 | |
| | |
Wisconsin Health and Educational Facilities Authority, Unity Point Health Series 2014A, Rev., 5.00%, 12/1/2021 | | | 120,000 | | | | 128,387 | |
| | | | | | | | |
| | |
| | | | | | | 713,198 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Housing — 0.0%(b) | |
| | |
Wisconsin Housing and Economic Development Authority Series 2016A, Rev., 1.90%, 5/1/2020 | | | 10,000 | | | | 10,015 | |
| | | | | | | | |
|
Other Revenue — 0.1% | |
| | |
City of Waukesha Series 2019D, Rev., RAN, 4.00%, 7/1/2020 | | | 125,000 | | | | 125,795 | |
| | | | | | | | |
|
Prerefunded — 0.1% | |
| | |
State of Wisconsin | | | | | | | | |
| | |
Series 1, GO, 5.00%, 5/1/2021 (d) | | | 20,000 | | | | 20,135 | |
| | |
Series 1, GO, 5.00%, 5/1/2024 (d) | | | 155,000 | | | | 156,037 | |
| | |
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio | | | | | | | | |
| | |
Series 4, Rev., 5.00%, 6/1/2021 (d) | | | 35,000 | | | | 35,355 | |
| | |
Series 4, Rev., 5.00%, 6/1/2030 (d) | | | 50,000 | | | | 50,508 | |
| | | | | | | | |
| | |
| | | | | | | 262,035 | |
| | | | | | | | |
|
Transportation — 0.0%(b) | |
| | |
Wisconsin Department of Transportation | | | | | | | | |
| | |
Series 2012 1, Rev., 5.00%, 7/1/2020 | | | 35,000 | | | | 35,484 | |
| | |
Series A, Rev., 5.00%, 7/1/2020 | | | 35,000 | | | | 35,483 | |
| | | | | | | | |
| | |
| | | | | | | 70,967 | |
| | | | | | | | |
|
Water & Sewer — 0.5% | |
| | |
City of Appleton, Storm Water System Rev., 4.00%, 4/1/2020 | | | 65,000 | | | | 65,158 | |
| | |
City of Madison, Water Utility Rev., BAN, 1.50%, 11/1/2024 | | | 1,050,000 | | | | 1,052,741 | |
| | | | | | | | |
| | |
| | | | | | | 1,117,899 | |
| | | | | | | | |
| | |
Total Wisconsin | | | | | | | 11,476,712 | |
| | | | | | | | |
|
Wyoming — 0.0%(b) | |
|
Education — 0.0%(b) | |
| | |
University of Wyoming Series 2011B, Rev., 4.00%, 6/1/2020 | | | 25,000 | | | | 25,194 | |
| | | | | | | | |
| | |
Total Municipal Bonds
(Cost $200,990,393) | | | | | | | 201,651,224 | |
| | | | | |
| | |
| | | SHARES | | | | |
Short-Term Investments — 4.2% | |
|
Investment Companies — 4.2% | |
| | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (h) (i)
(Cost $8,637,248) | | | 8,637,248 | | | | 8,637,248 | |
| | | | | | | | |
Total Investments — 101.5%
(Cost $209,627,641) | | | | | | | 210,288,472 | |
Liabilities in Excess of Other Assets — (1.5)% | | | | (3,102,890 | ) |
| | | | | | | | |
NET ASSETS — 100.0% | | | | | | | 207,185,582 | |
| | | | | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 203 | |
JPMorgan Ultra-Short Municipal Income ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
Abbreviations
| | |
AGC | | Insured by Assured Guaranty Corp. |
AGM | | Insured by Assured Guaranty Municipal Corp. |
AMBAC | | Insured by American Municipal Bond Assurance Corp. |
BAN | | Bond Anticipation Note |
COLL | | Collateral |
COP | | Certificate of Participation |
FHA | | Federal Housing Administration |
FHLMC | | Federal Home Loan Mortgage Corp. |
FNMA | | Federal National Mortgage Association |
GAN | | Grant Anticipation Note |
GNMA | | Government National Mortgage Association |
GO | | General Obligation |
GRAN | | Grant Revenue Anticipation Note |
GTD | | Guaranteed |
ICE | | Intercontinental Exchange |
IDA | | Industrial Development Authority |
LIBOR | | London Interbank Offered Rate |
LIQ | | Liquidity Agreement |
LOC | | Letter of Credit |
NATL | | Insured by National Public Finance Guarantee Corp. |
PSF-GTD | | Permanent School Fund Guaranteed |
Q-SBLF | | Qualified School Bond Loan Fund |
RAN | | Revenue Anticipation Note |
RE | | Reinsured |
Rev. | | Revenue |
SCSDE | | South Carolina School District Enhancement |
SIFMA | | The Securities Industry and Financial Markets Association |
TAN | | Tax Anticipation Note |
USD | | United States Dollar |
VRDO | | Variable Rate Demand Obligation |
| |
(a) | | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. |
(b) | | Amount rounds to less than 0.1% of net assets. |
(c) | | 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 is the current rate as of February 29, 2020. |
(d) | | Security is prerefunded or escrowed to maturity. |
(e) | | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 29, 2020. |
(f) | | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(g) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(h) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(i) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 204 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — 85.6% | |
|
Azerbaijan — 0.7% | |
|
Republic of Azerbaijan | |
| | |
4.75%, 3/18/2024 (a) | | | 200,000 | | | | 213,750 | |
| | |
3.50%, 9/1/2032 (b) | | | 450,000 | | | | 449,578 | |
| | | | | | | | |
| | |
| | | | | | | 663,328 | |
| | | | | | | | |
|
Bahrain — 3.6% | |
| | |
CBB International Sukuk Co. 7 SPC 6.88%, 10/5/2025 (a) | | | 205,000 | | | | 235,750 | |
| | |
CBB International Sukuk Programme Co. SPC 4.50%, 3/30/2027 (b) | | | 200,000 | | | | 204,000 | |
| | |
Kingdom of Bahrain | | | | | | | | |
| | |
6.13%, 7/5/2022(b) | | | 358,000 | | | | 381,158 | |
| | |
6.13%, 8/1/2023 (b) | | | 240,000 | | | | 262,125 | |
| | |
7.00%, 1/26/2026 (b) | | | 321,000 | | | | 370,454 | |
| | |
7.00%, 10/12/2028 (b) | | | 1,463,000 | | | | 1,691,594 | |
| | |
6.00%, 9/19/2044 (b) | | | 200,000 | | | | 200,000 | |
| | | | | | | | |
| | |
| | | | | | | 3,345,081 | |
| | | | | | | | |
|
Bolivia, Plurinational State of — 0.2% | |
| | |
Plurinational State of Bolivia 4.50%, 3/20/2028 (b) | | | 200,000 | | | | 194,062 | |
| | | | | | | | |
|
Brazil — 6.1% | |
| | |
Federative Republic of Brazil | | | | | | | | |
| | |
2.63%, 1/5/2023 | | | 608,000 | | | | 617,120 | |
| | |
8.88%, 4/15/2024 | | | 20,000 | | | | 25,394 | |
| | |
4.25%, 1/7/2025 | | | 780,000 | | | | 850,687 | |
| | |
6.00%, 4/7/2026 | | | 181,000 | | | | 216,012 | |
| | |
4.63%, 1/13/2028 | | | 446,000 | | | | 491,576 | |
| | |
4.50%, 5/30/2029 | | | 510,000 | | | | 556,856 | |
| | |
8.25%, 1/20/2034 | | | 630,000 | | | | 910,547 | |
| | |
7.13%, 1/20/2037 | | | 40,000 | | | | 53,750 | |
| | |
5.63%, 1/7/2041 | | | 305,000 | | | | 360,377 | |
| | |
5.63%, 2/21/2047 | | | 842,000 | | | | 1,008,032 | |
| | |
4.75%, 1/14/2050 | | | 444,000 | | | | 469,946 | |
| | | | | | | | |
| | |
| | | | | | | 5,560,297 | |
| | | | | | | | |
|
Chile — 0.6% | |
| | |
Republic of Chile | | | | | | | | |
| | |
3.24%, 2/6/2028 | | | 200,000 | | | | 215,437 | |
| | |
3.50%, 1/25/2050 | | | 270,000 | | | | 296,916 | |
| | | | | | | | |
| | |
| | | | | | | 512,353 | |
| | | | | | | | |
|
China — 0.2% | |
| | |
Export-Import Bank of China (The) 2.88%, 4/26/2026 (a) | | | 200,000 | | | | 214,188 | |
| | | | | | | | |
|
Colombia — 2.3% | |
| | |
Republic of Colombia | | | | | | | | |
| | |
8.13%, 5/21/2024 | | | 420,000 | | | | 518,437 | |
| | |
3.88%, 4/25/2027 | | | 216,000 | | | | 232,875 | |
| | |
7.38%, 9/18/2037 | | | 304,000 | | | | 450,395 | |
| | |
6.13%, 1/18/2041 | | | 110,000 | | | | 148,706 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Colombia — continued | |
| | |
5.63%, 2/26/2044 | | | 205,000 | | | | 265,027 | |
| | |
5.00%, 6/15/2045 | | | 437,000 | | | | 529,726 | |
| | | | | | | | |
| | |
| | | | | | | 2,145,166 | |
| | | | | | | | |
|
Croatia — 0.3% | |
| | |
Republic of Croatia 6.00%, 1/26/2024 (b) | | | 265,000 | | | | 303,011 | |
| | | | | | | | |
|
Dominican Republic — 4.4% | |
| | |
Dominican Republic Government Bond 5.88%, 4/18/2024 (b) | | | 278,000 | | | | 299,197 | |
| | |
5.50%, 1/27/2025 (b) | | | 218,000 | | | | 233,737 | |
| | |
5.95%, 1/25/2027 (a) | | | 722,000 | | | | 789,688 | |
| | |
5.95%, 1/25/2027 (b) | | | 198,000 | | | | 216,563 | |
| | |
6.00%, 7/19/2028 (b) | | | 560,000 | | | | 617,050 | |
| | |
7.45%, 4/30/2044 (b) | | | 419,000 | | | | 495,598 | |
| | |
6.85%, 1/27/2045 (b) | | | 860,000 | | | | 956,481 | |
| | |
6.40%, 6/5/2049 (b) | | | 428,000 | | | | 452,209 | |
| | | | | | | | |
| | |
| | | | | | | 4,060,523 | |
| | | | | | | | |
|
Ecuador — 3.2% | |
| | |
Republic of Ecuador | | | | | | | | |
| | |
7.95%, 6/20/2024 (b) | | | 1,000,000 | | | | 743,438 | |
| | |
9.65%, 12/13/2026 (b) | | | 1,705,000 | | | | 1,277,045 | |
| | |
8.88%, 10/23/2027 (b) | | | 201,000 | | | | 145,222 | |
| | |
7.88%, 1/23/2028 (b) | | | 500,000 | | | | 353,125 | |
| | |
10.75%, 1/31/2029 (a) | | | 530,000 | | | | 403,628 | |
| | | | | | | | |
| | |
| | | | | | | 2,922,458 | |
| | | | | | | | |
|
Egypt — 1.9% | |
| | |
Arab Republic of Egypt | | | | | | | | |
| | |
5.58%, 2/21/2023(a) | | | 405,000 | | | | 418,163 | |
| | |
7.50%, 1/31/2027 (b) | | | 330,000 | | | | 367,950 | |
| | |
7.60%, 3/1/2029 (b) | | | 200,000 | | | | 214,438 | |
| | |
8.50%, 1/31/2047 (b) | | | 500,000 | | | | 536,406 | |
| | |
8.70%, 3/1/2049 (a) | | | 200,000 | | | | 215,062 | |
| | | | | | | | |
| | |
| | | | | | | 1,752,019 | |
| | | | | | | | |
|
Ethiopia — 0.5% | |
| | |
Federal Democratic Republic of Ethiopia 6.63%, 12/11/2024 (b) | | | 400,000 | | | | 423,500 | |
| | | | | | | | |
|
Gabon — 0.5% | |
| | |
Gabonese Republic 6.38%, 12/12/2024 (b) | | | 440,000 | | | | 460,625 | |
| | | | | | | | |
|
Hungary — 1.1% | |
| | |
Hungary Government Bond 5.38%, 2/21/2023 | | | 322,000 | | | | 353,797 | |
| | |
5.75%, 11/22/2023 | | | 300,000 | | | | 340,688 | |
| | |
5.38%, 3/25/2024 | | | 100,000 | | | | 113,625 | |
| | |
7.63%, 3/29/2041 | | | 108,000 | | | | 184,680 | |
| | | | | | | | |
| | |
| | | | | | | 992,790 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 205 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — continued | |
|
India — 0.2% | |
| | |
Export-Import Bank of India 3.88%, 2/1/2028 (b) | | | 200,000 | | | | 213,424 | |
| | | | | | | | |
|
Indonesia — 2.6% | |
| | |
Perusahaan Penerbit SBSN Indonesia III 4.55%, 3/29/2026 (b) | | | 200,000 | | | | 222,125 | |
| | |
4.15%, 3/29/2027 (b) | | | 200,000 | | | | 218,313 | |
| | |
Republic of Indonesia | | | | | | | | |
| | |
3.38%, 4/15/2023 (a) | | | 200,000 | | | | 207,313 | |
| | |
4.75%, 1/8/2026 (b) | | | 200,000 | | | | 224,312 | |
| | |
3.50%, 1/11/2028 | | | 200,000 | | | | 211,375 | |
| | |
4.10%, 4/24/2028 | | | 200,000 | | | | 219,937 | |
| | |
6.63%, 2/17/2037 (b) | | | 411,000 | | | | 577,712 | |
| | |
6.75%, 1/15/2044 (b) | | | 200,000 | | | | 298,719 | |
| | |
3.70%, 10/30/2049 | | | 200,000 | | | | 205,663 | |
| | | | | | | | |
| | |
| | | | | | | 2,385,469 | |
| | | | | | | | |
|
Iraq — 1.1% | |
| | |
Republic of Iraq | | | | | | | | |
| | |
6.75%, 3/9/2023 (b) | | | 514,000 | | | | 511,591 | |
| | |
5.80%, 1/15/2028 (b) | | | 520,000 | | | | 493,187 | |
| | | | | | | | |
| | |
| | | | | | | 1,004,778 | |
| | | | | | | | |
|
Ivory Coast — 1.4% | |
| | |
Republic of Cote d’Ivoire | | | | | | | | |
| | |
6.38%, 3/3/2028 (b) | | | 422,000 | | | | 455,760 | |
| | |
5.75%, 12/31/2032 (b) (c) | | | 383,040 | | | | 370,112 | |
| | |
6.13%, 6/15/2033 (b) | | | 410,000 | | | | 418,969 | |
| | | | | | | | |
| | |
| | | | | | | 1,244,841 | |
| | | | | | | | |
|
Jamaica — 1.9% | |
| | |
Jamaica Government Bond | | | | | | | | |
| | |
6.75%, 4/28/2028 | | | 230,000 | | | | 269,100 | |
| | |
8.00%, 3/15/2039 | | | 876,000 | | | | 1,197,656 | |
| | |
7.88%, 7/28/2045 | | | 225,000 | | | | 304,805 | |
| | | | | | | | |
| | |
| | | | | | | 1,771,561 | |
| | | | | | | | |
|
Jordan — 1.1% | |
| | |
Hashemite Kingdom of Jordan | | | | | | | | |
| | |
6.13%, 1/29/2026 (b) | | | 266,000 | | | | 284,370 | |
| | |
5.75%, 1/31/2027 (a) | | | 238,000 | | | | 251,685 | |
| | |
5.75%, 1/31/2027 (b) | | | 202,000 | | | | 213,615 | |
| | |
7.38%, 10/10/2047 (b) | | | 225,000 | | | | 241,805 | |
| | | | | | | | |
| | |
| | | | | | | 991,475 | |
| | | | | | | | |
|
Kazakhstan —1.0% | |
| | |
Republic of Kazakhstan | | | | | | | | |
| | |
3.88%, 10/14/2024 (b) | | | 350,000 | | | | 375,375 | |
| | |
4.88%, 10/14/2044 (a) | | | 200,000 | | | | 256,625 | |
| | |
6.50%, 7/21/2045 (b) | | | 200,000 | | | | 304,500 | |
| | | | | | | | |
| | |
| | | | | | | 936,500 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Kenya — 1.9% | |
| | |
Republic of Kenya | | | | | | | | |
| | |
6.88%, 6/24/2024 (b) | | | 390,000 | | | | 416,569 | |
| | |
7.25%, 2/28/2028 (b) | | | 954,000 | | | | 1,016,010 | |
| | |
8.25%, 2/28/2048 (b) | | | 280,000 | | | | 298,900 | |
| | | | | | | | |
| | |
| | | | | | | 1,731,479 | |
| | | | | | | | |
|
Kuwait —0.5% | |
| | |
State of Kuwait 3.50%, 3/20/2027 (b) | | | 400,000 | | | | 438,125 | |
| | | | | | | | |
|
Lithuania — 0.2% | |
| | |
Republic of Lithuania 6.13%, 3/9/2021 (b) | | | 200,000 | | | | 208,973 | |
| | | | | | | | |
|
Malaysia — 0.2% | |
| | |
Malaysia Sovereign Sukuk Bhd. 3.04%, 4/22/2025 (b) | | | 200,000 | | | | 214,188 | |
| | | | | | | | |
|
Mexico — 1.9% | |
| | |
United Mexican States 3.63%, 3/15/2022 | | | 100,000 | | | | 104,000 | |
| | |
4.13%, 1/21/2026 | | | 725,000 | | | | 795,234 | |
| | |
6.05%, 1/11/2040 | | | 102,000 | | | | 137,381 | |
| | |
4.75%, 3/8/2044 | | | 76,000 | | | | 88,089 | |
| | |
5.55%, 1/21/2045 | | | 60,000 | | | | 77,381 | |
| | |
4.35%, 1/15/2047 | | | 200,000 | | | | 220,125 | |
| | |
5.75%, 10/12/2110 | | | 232,000 | | | | 292,683 | |
| | | | | | | | |
| | |
| | | | | | | 1,714,893 | |
| | | | | | | | |
|
Mongolia — 0.4% | |
| | |
State of Mongolia 5.13%, 12/5/2022 (b) | | | 400,000 | | | | 398,250 | |
| | | | | | | | |
|
Morocco — 0.2% | |
| | |
Kingdom of Morocco 4.25%, 12/11/2022 (b) | | | 150,000 | | | | 157,875 | |
| | | | | | | | |
|
Oman — 5.0% | |
| | |
Oman Sovereign Sukuk SAOC 5.93%, 10/31/2025 (a) | | | 825,000 | | | | 887,906 | |
| | |
Sultanate of Oman Government Bond | | | | | | | | |
| | |
3.88%, 3/8/2022 (b) | | | 650,000 | | | | 653,250 | |
| | |
4.75%, 6/15/2026 (b) | | | 500,000 | | | | 486,875 | |
| | |
5.38%, 3/8/2027 (b) | | | 581,000 | | | | 579,729 | |
| | |
5.63%, 1/17/2028 (b) | | | 200,000 | | | | 199,000 | |
| | |
6.00%, 8/1/2029 (b) | | | 465,000 | | | | 469,069 | |
| | |
6.50%, 3/8/2047 (b) | | | 1,177,000 | | | | 1,097,920 | |
| | |
6.75%, 1/17/2048 (a) | | | 205,000 | | | | 193,341 | |
| | | | | | | | |
| | |
| | | | | | | 4,567,090 | |
| | | | | | | | |
|
Pakistan — 1.3% | |
| | |
Islamic Republic of Pakistan | | | | | | | | |
| | |
8.25%, 4/15/2024 (b) | | | 200,000 | | | | 224,208 | |
| | |
6.88%, 12/5/2027 (b) | | | 295,000 | | | | 310,108 | |
| | |
Third Pakistan International Sukuk Co. Ltd. (The) 5.63%, 12/5/2022 (b) | | | 606,000 | | | | 624,180 | |
| | | | | | | | |
| | |
| | | | | | | 1,158,496 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 206 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — continued | |
|
Panama — 1.5% | |
| | |
Republic of Panama | | | | | | | | |
| | |
3.88%, 3/17/2028 | | | 400,000 | | | | 444,250 | |
| | |
3.16%, 1/23/2030 | | | 200,000 | | | | 211,875 | |
| | |
6.70%, 1/26/2036 | | | 58,000 | | | | 84,172 | |
| | |
4.50%, 5/15/2047 | | | 206,000 | | | | 257,307 | |
| | |
4.30%, 4/29/2053 | | | 296,000 | | | | 364,635 | |
| | | | | | | | |
| | |
| | | | | | | 1,362,239 | |
| | | | | | | | |
|
Paraguay — 0.6% | |
| | |
Republic of Paraguay 6.10%, 8/11/2044 (b) | | | 400,000 | | | | 512,500 | |
| | | | | | | | |
|
Peru — 1.6% | |
| | |
Republic of Peru | | | | | | | | |
| | |
7.35%, 7/21/2025 | | | 100,000 | | | | 127,656 | |
| | |
4.13%, 8/25/2027 | | | 422,000 | | | | 483,454 | |
| | |
8.75%, 11/21/2033 | | | 110,000 | | | | 186,450 | |
| | |
6.55%, 3/14/2037 | | | 100,000 | | | | 151,703 | |
| | |
5.63%, 11/18/2050 | | | 335,000 | | | | 516,842 | |
| | | | | | | | |
| | |
| | | | | | | 1,466,105 | |
| | | | | | | | |
|
Philippines — 2.3% | |
| | |
Republic of Philippines | | | | | | | | |
| | |
10.63%, 3/16/2025 | | | 311,000 | | | | 438,996 | |
| | |
5.50%, 3/30/2026 | | | 200,000 | | | | 239,438 | |
| | |
9.50%, 2/2/2030 | | | 121,000 | | | | 197,835 | |
| | |
6.38%, 1/15/2032 | | | 296,000 | | | | 415,695 | |
| | |
6.38%, 10/23/2034 | | | 247,000 | | | | 365,714 | |
| | |
3.70%, 3/1/2041 | | | 214,000 | | | | 255,061 | |
| | |
3.70%, 2/2/2042 | | | 200,000 | | | | 238,250 | |
| | | | | | | | |
| | |
| | | | | | | 2,150,989 | |
| | | | | | | | |
|
Poland — 1.2% | |
| | |
Republic of Poland | | | | | | | | |
| | |
5.00%, 3/23/2022 | | | 110,000 | | | | 117,425 | |
| | |
3.00%, 3/17/2023 | | | 796,000 | | | | 830,328 | |
| | |
3.25%, 4/6/2026 | | | 146,000 | | | | 158,045 | |
| | | | | | | | |
| | |
| | | | | | | 1,105,798 | |
| | | | | | | | |
|
Qatar — 2.4% | |
| | |
State of Qatar | | | | | | | | |
| | |
3.88%, 4/23/2023 (b) | | | 215,000 | | | | 227,631 | |
| | |
3.38%, 3/14/2024 (a) | | | 250,000 | | | | 263,438 | |
| | |
4.00%, 3/14/2029 (b) | | | 214,000 | | | | 243,224 | |
| | |
9.75%, 6/15/2030 (b) | | | 97,000 | | | | 160,868 | |
| | |
6.40%, 1/20/2040 (a) | | | 100,000 | | | | 149,063 | |
| | |
4.63%, 6/2/2046 (b) | | | 505,000 | | | | 629,041 | |
| | |
5.10%, 4/23/2048 (a) | | | 400,000 | | | | 531,000 | |
| | | | | | | | |
| | |
| | | | | | | 2,204,265 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Romania — 1.0% | |
| | |
Romania Government Bond | | | | | | | | |
| | |
6.75%, 2/7/2022 (b) | | | 100,000 | | | | 108,750 | |
| | |
6.75%, 2/7/2022 (a) | | | 30,000 | | | | 32,587 | |
| | |
4.38%, 8/22/2023 (b) | | | 138,000 | | | | 147,876 | |
| | |
4.88%, 1/22/2024 (b) | | | 104,000 | | | | 114,400 | |
| | |
6.13%, 1/22/2044 (b) | | | 100,000 | | | | 133,375 | |
| | |
6.13%, 1/22/2044 (a) | | | 40,000 | | | | 53,350 | |
| | |
5.13%, 6/15/2048 (b) | | | 130,000 | | | | 154,741 | |
| | |
5.13%, 6/15/2048 (a) | | | 106,000 | | | | 126,173 | |
| | | | | | | | |
| | |
| | | | | | | 871,252 | |
| | | | | | | | |
|
Russia — 2.6% | |
| | |
Russian Federation | | | | | | | | |
| | |
4.25%, 6/23/2027 (b) | | | 400,000 | | | | 441,000 | |
| | |
12.75%, 6/24/2028 (b) | | | 355,000 | | | | 611,488 | |
| | |
12.75%, 6/24/2028 (a) | | | 180,000 | | | | 310,050 | |
| | |
5.10%, 3/28/2035 (b) | | | 400,000 | | | | 481,400 | |
| | |
5.88%, 9/16/2043 (b) | | | 200,000 | | | | 274,250 | |
| | |
5.25%, 6/23/2047 (b) | | | 200,000 | | | | 258,750 | |
| | | | | | | | |
| | |
| | | | | | | 2,376,938 | |
| | | | | | | | |
|
Saudi Arabia — 3.0% | |
| | |
Kingdom of Saudi Arabia | | | | | | | | |
| | |
2.88%, 3/4/2023 (b) | | | 320,000 | | | | 328,400 | |
| | |
3.63%, 3/4/2028 (a) | | | 308,000 | | | | 331,100 | |
| | |
4.38%, 4/16/2029 (b) | | | 200,000 | | | | 228,125 | |
| | |
4.50%, 4/17/2030 (b) | | | 417,000 | | | | 484,241 | |
| | |
4.50%, 10/26/2046 (a) | | | 267,000 | | | | 305,315 | |
| | |
4.63%, 10/4/2047 (b) | | | 247,000 | | | | 288,372 | |
| | |
5.00%, 4/17/2049 (a) | | | 200,000 | | | | 247,250 | |
| | |
KSA Sukuk Ltd. 2.97%, 10/29/2029 (b) | | | 490,000 | | | | 501,638 | |
| | | | | | | | |
| | |
| | | | | | | 2,714,441 | |
| | | | | | | | |
|
Slovakia — 0.2% | |
| | |
Slovak Republic 4.38%, 5/21/2022 (b) | | | 200,000 | | | | 211,716 | |
| | | | | | | | |
|
South Africa — 3.9% | |
| | |
Republic of South Africa | | | | | | | | |
| | |
5.88%, 5/30/2022 | | | 323,000 | | | | 345,004 | |
| | |
5.88%, 9/16/2025 | | | 284,000 | | | | 313,642 | |
| | |
4.88%, 4/14/2026 | | | 320,000 | | | | 334,700 | |
| | |
4.85%, 9/27/2027 | | | 275,000 | | | | 286,688 | |
| | |
4.30%, 10/12/2028 | | | 695,000 | | | | 684,888 | |
| | |
5.88%, 6/22/2030 | | | 461,000 | | | | 499,033 | |
| | |
5.38%, 7/24/2044 | | | 204,000 | | | | 194,692 | |
| | |
5.00%, 10/12/2046 | | | 205,000 | | | | 187,383 | |
| | |
5.65%, 9/27/2047 | | | 221,000 | | | | 212,229 | |
| | |
5.75%, 9/30/2049 | | | 592,000 | | | | 563,827 | |
| | | | | | | | |
| | |
| | | | | | | 3,622,086 | |
| | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 207 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Foreign Government Securities — continued | |
|
Sri Lanka — 3.7% | |
| | |
Democratic Socialist Republic of Sri Lanka 5.75%, 4/18/2023 (b) | | | 680,000 | | | | 674,050 | |
| | |
6.85%, 3/14/2024 (a) | | | 200,000 | | | | 201,937 | |
| | |
6.85%, 11/3/2025 (b) | | | 609,000 | | | | 601,792 | |
| | |
6.83%, 7/18/2026 (b) | | | 200,000 | | | | 193,736 | |
| | |
6.20%, 5/11/2027 (b) | | | 805,000 | | | | 733,480 | |
| | |
6.75%, 4/18/2028 (b) | | | 621,000 | | | | 569,001 | |
| | |
7.85%, 3/14/2029 (b) | | | 200,000 | | | | 193,316 | |
| | |
7.55%, 3/28/2030 (a) | | | 200,000 | | | | 187,763 | |
| | | | | | | | |
| | |
| | | | | | | 3,355,075 | |
| | | | | | | | |
|
Trinidad and Tobago — 0.2% | |
| | |
Republic of Trinidad and Tobago 4.50%, 8/4/2026(b) | | | 200,000 | | | | 209,500 | |
| | | | | | | | |
|
Turkey — 7.0% | |
| | |
Hazine Mustesarligi Varlik Kiralama A/S 4.49%, 11/25/2024 (b) | | | 203,000 | | | | 201,097 | |
| | |
Republic of Turkey 6.25%, 9/26/2022 | | | 905,000 | | | | 932,998 | |
| | |
7.25%, 12/23/2023 | | | 200,000 | | | | 211,938 | |
| | |
5.75%, 3/22/2024 | | | 275,000 | | | | 276,719 | |
| | |
7.38%, 2/5/2025 | | | 219,000 | | | | 233,440 | |
| | |
4.25%, 4/14/2026 | | | 884,000 | | | | 808,584 | |
| | |
4.88%, 10/9/2026 | | | 226,000 | | | | 211,946 | |
| | |
6.00%, 3/25/2027 | | | 651,000 | | | | 644,083 | |
| | |
6.13%, 10/24/2028 | | | 290,000 | | | | 286,013 | |
| | |
11.88%, 1/15/2030 | | | 225,000 | | | | 309,937 | |
| | |
8.00%, 2/14/2034 | | | 350,000 | | | | 386,422 | |
| | |
6.88%, 3/17/2036 | | | 341,000 | | | | 337,590 | |
| | |
7.25%, 3/5/2038 | | | 130,000 | | | | 134,225 | |
| | |
6.75%, 5/30/2040 | | | 420,000 | | | | 406,481 | |
| | |
4.88%, 4/16/2043 | | | 250,000 | | | | 202,109 | |
| | |
6.63%, 2/17/2045 | | | 455,000 | | | | 428,695 | |
| | |
5.75%, 5/11/2047 | | | 440,000 | | | | 375,100 | |
| | | | | | | | |
| | |
| | | | | | | 6,387,377 | |
| | | | | | | | |
|
Ukraine — 4.5% | |
| | |
Ukraine Government Bond 7.75%, 9/1/2022(b) | | | 475,000 | | | | 510,625 | |
| | |
7.75%, 9/1/2023 (b) | | | 217,000 | | | | 234,577 | |
| | |
7.75%, 9/1/2024 (b) | | | 240,000 | | | | 260,040 | |
| | |
7.75%, 9/1/2025 (b) | | | 295,000 | | | | 321,107 | |
| | |
7.75%, 9/1/2026 (b) | | | 720,000 | | | | 788,400 | |
| | |
7.75%, 9/1/2026 (a) | | | 190,000 | | | | 208,050 | |
| | |
7.75%, 9/1/2027 (b) | | | 615,000 | | | | 671,888 | |
| | |
9.75%, 11/1/2028 (a) | | | 200,000 | | | | 240,938 | |
| | |
7.38%, 9/25/2032 (b) | | | 850,000 | | | | 912,156 | |
| | | | | | | | |
| | |
| | | | | | | 4,147,781 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
United Arab Emirates — 1.5% | |
| | |
Sharjah Sukuk Program Ltd. 4.23%, 3/14/2028 (a) | | | 200,000 | | | | 219,812 | |
| | |
United Arab Emirates Government Bond 2.50%, 10/11/2022 (b) | | | 300,000 | | | | 305,625 | |
| | |
3.13%, 10/11/2027 (a) | | | 300,000 | | | | 321,375 | |
| | |
4.13%, 10/11/2047 (b) | | | 200,000 | | | | 241,438 | |
| | |
3.13%, 9/30/2049 (b) | | | 310,000 | | | | 315,909 | |
| | | | | | | | |
| | |
| | | | | | | 1,404,159 | |
| | | | | | | | |
|
Uruguay — 1.7% | |
| | |
Oriental Republic of Uruguay 4.50%, 8/14/2024 | | | 80,000 | | | | 87,400 | |
| | |
4.38%, 10/27/2027 | | | 258,000 | | | | 290,653 | |
| | |
7.63%, 3/21/2036 | | | 140,000 | | | | 216,125 | |
| | |
5.10%, 6/18/2050 | | | 404,000 | | | | 509,924 | |
| | |
4.98%, 4/20/2055 | | | 357,000 | | | | 444,242 | |
| | | | | | | | |
| | |
| | | | | | | 1,548,344 | |
| | | | | | | | |
|
Vietnam — 0.2% | |
| | |
Socialist Republic of Vietnam 4.80%, 11/19/2024 (b) | | | 200,000 | | | | 219,710 | |
| | | | | | | | |
| |
Total Foreign Government Securities
(Cost $76,675,946) | | | | 78,557,093 | |
| | | | | |
Corporate Bonds — 11.7% | |
|
Azerbaijan — 1.2% | |
| | |
Southern Gas Corridor CJSC 6.88%, 3/24/2026 (b) | | | 601,000 | | | | 714,439 | |
| | |
State Oil Co. of the Azerbaijan Republic 4.75%, 3/13/2023 (a) | | | 350,000 | | | | 367,664 | |
| | | | | | | | |
| | |
| | | | | | | 1,082,103 | |
| | | | | | | | |
|
Bahrain — 0.2% | |
| | |
Oil and Gas Holding Co. BSCC (The) 7.50%, 10/25/2027 (b) | | | 203,000 | | | | 232,752 | |
| | | | | | | | |
|
Brazil — 0.3% | |
| | |
Banco Nacional de Desenvolvimento Economico e Social 5.75%,
9/26/2023 (b) | | | 280,000 | | | | 311,675 | |
| | | | | | | | |
|
Chile — 0.8% | |
| | |
Corp. Nacional del Cobre de Chile 3.63%, 8/1/2027 (b) | | | 372,000 | | | | 397,808 | |
| | |
3.70%, 1/30/2050 (a) | | | 320,000 | | | | 322,500 | |
| | | | | | | | |
| | |
| | | | | | | 720,308 | |
| | | | | | | | |
|
China — 1.9% | |
| | |
CNAC HK Finbridge Co. Ltd. 3.50%, 7/19/2022 (a) | | | 236,000 | | | | 242,933 | |
| | |
CNOOC Curtis Funding No. 1 Pty. Ltd. 4.50%, 10/3/2023 (b) | | | 200,000 | | | | 219,000 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 208 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
Corporate Bonds — continued | |
|
China — continued | |
| | |
Sinopec Group Overseas Development Ltd. 3.25%, 4/28/2025 (b) | | | 300,000 | | | | 318,656 | |
| | |
3.63%, 4/12/2027 (b) | | | 200,000 | | | | 217,904 | |
| | |
2.95%, 11/12/2029 (a) | | | 300,000 | | | | 314,997 | |
| | |
State Grid Overseas Investment Ltd. 3.13%, 5/22/2023 (b) | | | 200,000 | | | | 208,625 | |
| | |
3.50%, 5/4/2027 (b) | | | 250,000 | | | | 272,401 | |
| | | | | | | | |
| | |
| | | | | | | 1,794,516 | |
| | | | | | | | |
|
Indonesia — 0.8% | |
| | |
Indonesia Asahan Aluminium Persero PT 6.53%, 11/15/2028 (b) | | | 225,000 | | | | 276,210 | |
| | |
Pertamina Persero PT 4.30%, 5/20/2023 (b) | | | 220,000 | | | | 233,200 | |
| | |
Perusahaan Listrik Negara PT 5.25%, 10/24/2042 (b) | | | 200,000 | | | | 231,125 | |
| | | | | | | | |
| | |
| | | | | | | 740,535 | |
| | | | | | | | |
|
Kazakhstan — 1.1% | |
| |
Development Bank of Kazakhstan JSC | | | | | |
| | |
4.13%, 12/10/2022 (b) | | | 200,000 | | | | 207,500 | |
| | |
Kazakhstan Temir Zholy Finance BV 6.95%, 7/10/2042 (b) | | | 200,000 | | | | 278,438 | |
| | |
KazMunayGas National Co. JSC | | | | | | | | |
| | |
4.75%, 4/19/2027 (a) | | | 200,000 | | | | 221,590 | |
| | |
6.38%, 10/24/2048 (b) | | | 200,000 | | | | 264,031 | |
| | | | | | | | |
| | |
| | | | | | | 971,559 | |
| | | | | | | | |
|
Malaysia — 0.9% | |
| | |
Petronas Capital Ltd. | | | | | | | | |
| | |
7.88%, 5/22/2022 (a) | | | 100,000 | | | | 113,437 | |
| | |
7.88%, 5/22/2022 (b) | | | 100,000 | | | | 113,438 | |
| | |
3.50%, 3/18/2025 (b) | | | 250,000 | | | | 268,906 | |
| | |
4.50%, 3/18/2045 (b) | | | 231,000 | | | | 294,697 | |
| | | | | | | | |
| | |
| | | | | | | 790,478 | |
| | | | | | | | |
|
Mexico — 1.9% | |
| | |
Comision Federal de Electricidad 4.75%, 2/23/2027 (b) | | | 100,000 | | | | 108,344 | |
| | |
Petroleos Mexicanos | | | | | | | | |
| | |
4.88%, 1/18/2024 | | | 276,000 | | | | 286,764 | |
| | |
6.88%, 8/4/2026 | | | 100,000 | | | | 108,740 | |
| | |
5.95%, 1/28/2031 (b) | | | 172,000 | | | | 166,994 | |
| | |
6.63%, 6/15/2035 | | | 326,000 | | | | 326,163 | |
| | |
6.35%, 2/12/2048 | | | 234,000 | | | | 216,614 | |
| | |
6.95%, 1/28/2060 (b) | | | 574,000 | | | | 553,336 | |
| | | | | | | | |
| | |
| | | | | | | 1,766,955 | |
| | | | | | | | |
|
Peru — 0.3% | |
| | |
Petroleos del Peru SA 5.63%, 6/19/2047 (b) | | | 200,000 | | | | 241,750 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT ($) | | | VALUE ($) | |
| |
|
Philippines — 0.1% | |
| | |
Power Sector Assets & Liabilities Management Corp. 7.39%, 12/2/2024 (b) | | | 100,000 | | | | 123,250 | |
| | | | | | | | |
|
Russia — 0.2% | |
| | |
Vnesheconombank Via VEB Finance plc 6.80%, 11/22/2025 (b) | | | 125,000 | | | | 148,945 | |
| | | | | | | | |
|
South Africa — 1.1% | |
| | |
Eskom Holdings SOC Ltd. 6.75%, 8/6/2023 (b) | | | 242,000 | | | | 242,302 | |
| | |
7.13%, 2/11/2025 (b) | | | 294,000 | | | | 294,965 | |
| | |
6.35%, 8/10/2028 (b) | | | 240,000 | | | | 255,450 | |
| | |
Transnet SOC Ltd. 4.00%, 7/26/2022 (b) | | | 200,000 | | | | 201,375 | |
| | | | | | | | |
| | |
| | | | | | | 994,092 | |
| | | | | | | | |
|
Tunisia — 0.4% | |
| | |
Banque Centrale de Tunisie 5.75%, 1/30/2025 (b) | | | 400,000 | | | | 374,125 | |
| | | | | | | | |
|
United Arab Emirates — 0.5% | |
| | |
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (b) | | | 200,000 | | | | 234,500 | |
| | |
MDGH — GMTN BV 2.50%, 11/7/2024 (a) | | | 200,000 | | | | 203,500 | |
| | | | | | | | |
| | |
| | | | | | | 438,000 | |
| | | | | | | | |
| |
Total Corporate Bonds
(Cost $10,326,629) | | | | 10,731,043 | |
| | | | | |
| | |
| | | SHARES | | | | |
Short-term Investments — 0.4% | |
|
Investment Companies — 0.4% | |
| | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (d) (e) (Cost $355,735) | | | 355,735 | | | | 355,735 | |
| | | | | | | | |
Total Investments — 97.7%
(Cost $87,358,310) | | | | 89,643,871 | |
Other Assets Less Liabilities — 2.3% | | | | 2,069,583 | |
| | | | | |
NET ASSETS — 100.0% | | | | 91,713,454 | |
| | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 209 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
Abbreviations
| | |
| CJSC | | Closed Joint Stock Company |
| JSC | | Joint Stock Company |
| PT | | Limited liability company |
| SPC | | Special purpose company |
| |
| (a) | | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
| | |
| |
| (b) | | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
| (c) | | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 29, 2020. |
| (d) | | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (e) | | The rate shown is the current yield as of February 29, 2020. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 210 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020
| | | | | | | | | | | | |
| | |
JPMorgan
BetaBuilders
1-5 Year U.S. Aggregate
Bond ETF | | | JPMorgan
Core Plus
Bond ETF | | | JPMorgan Corporate
Bond Research
Enhanced ETF | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 37,294,879 | | | $ | 48,636,405 | | | $ | 34,421,335 | |
Investments in affiliates, at value | | | 95,622 | | | | 10,592,327 | | | | 326,606 | |
Cash | | | 15,778 | | | | 4,192 | | | | — | |
Deposits at broker for futures contracts | | | — | | | | 85,000 | | | | 26,000 | |
Receivables: | | | | | | | | | | | | |
Due from custodian | | | — | | | | 63,139 | | | | — | |
Investment securities sold | | | 956,542 | | | | 507,547 | | | | 296,977 | |
Investment securities sold — delayed delivery securities | | | — | | | | 3,784,824 | | | | — | |
Interest fromnon-affiliates | | | 215,299 | | | | 238,745 | | | | 304,178 | |
Dividends from affiliates | | | 138 | | | | 9,162 | | | | 310 | |
Variation margin on futures contracts | | | — | | | | 56,310 | | | | 1,219 | |
| | | | | | | | | | | | |
Total Assets | | | 38,578,258 | | | | 63,977,651 | | | | 35,376,625 | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | | | | 1,187 | |
Distributions | | | 65,540 | | | | 96,090 | | | | 88,538 | |
Investment securities purchased | | | 1,016,196 | | | | 1,334,844 | | | | 83,130 | |
Investment securities purchased — delayed delivery securities | | | — | | | | 8,375,277 | | | | — | |
Accrued liabilities: | | | | | | | | | | | | |
Management fees (See Note 3.A.) | | | 1,438 | | | | 89 | | | | 17,158 | |
Professional fees | | | — | | | | — | | | | 3,841 | |
Other | | | — | | | | 2,527 | | | | 12,377 | |
| | | | | | | | | | | | |
Total Liabilities | | | 1,083,174 | | | | 9,808,827 | | | | 206,231 | |
| | | | | | | | | | | | |
Net Assets | | $ | 37,495,084 | | | $ | 54,168,824 | | | $ | 35,170,394 | |
| | | | | | | | | | | | |
|
NET ASSETS: | |
Paid-in-Capital | | $ | 36,452,479 | | | $ | 51,644,264 | | | $ | 31,910,042 | |
Total distributable earnings (loss) | | | 1,042,605 | | | | 2,524,560 | | | | 3,260,352 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 37,495,084 | | | $ | 54,168,824 | | | $ | 35,170,394 | |
| | | | | | | | | | | | |
| | | |
Outstanding number of shares | | | | | | | | | | | | |
(unlimited number of shares authorized — par value $0.0001) | | | 1,450,000 | | | | 1,000,000 | | | | 625,000 | |
| | | | | | | | | | | | |
Net asset value, per share | | $ | 25.86 | | | $ | 54.17 | | | $ | 56.27 | |
| | | | | | | | | | | | |
| | | |
Cost of investments innon-affiliates | | $ | 36,307,517 | | | $ | 46,547,164 | | | $ | 31,465,046 | |
Cost of investments in affiliates | | | 95,622 | | | | 10,592,327 | | | | 326,606 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 211 | |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | |
| | | |
| | | JPMorgan
Global Bond
Opportunities ETF | | | JPMorgan High Yield Research Enhanced ETF (formerly known as JPMorgan Disciplined High Yield ETF) | | | JPMorgan
Municipal ETF | |
ASSETS: | | | | | | | | | | | | |
Investments innon-affiliates, at value | | $ | 160,448,867 | | | $ | 168,001,418 | | | $ | 51,501,039 | |
Investments in affiliates, at value | | | 2,920,684 | | | | 1,006,572 | | | | 5,501,376 | |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | | | — | | | | 2,675,130 | | | | — | |
Cash | | | — | | | | 2,891 | | | | — | |
Foreign currency, at value | | | 894,250 | | | | — | | | | — | |
Deposits at broker for futures contracts | | | 1,255,000 | | | | — | | | | — | |
Deposits at broker for centrally cleared swaps | | | 721,000 | | | | — | | | | — | |
Receivables: | �� | | | | | | | | | | | |
Investment securities sold | | | 2,271,789 | | | | — | | | | — | |
Interest fromnon-affiliates | | | 1,776,669 | | | | 2,764,444 | | | | 450,906 | |
Dividends from affiliates | | | 890 | | | | 3,692 | | | | 1,994 | |
Tax reclaims | | | 29,075 | | | | — | | | | — | |
Securities lending income (See Note 2.F.) | | | — | | | | 849 | | | | — | |
Variation margin on futures contracts | | | 417,004 | | | | — | | | | — | |
Variation margin on centrally cleared swaps (net upfront receipts of $1,212,874, $0 and $0, respectively) | | | 247,606 | | | | — | | | | — | |
Unrealized appreciation on forward foreign currency exchange contracts | | | 1,071,446 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total Assets | | | 172,054,280 | | | | 174,454,996 | | | | 57,455,315 | |
| | | | | | | | | | | | |
| | | |
LIABILITIES: | | | | | | | | | | | | |
Payables: | | | | | | | | | | | | |
Due to custodian | | | 304,057 | | | | — | | | | — | |
Distributions | | | 526,184 | | | | 699,822 | | | | 79,401 | |
Investment securities purchased | | | — | | | | — | | | | 1,541,984 | |
Investment securities purchased — delayed delivery securities | | | — | | | | — | | | | 3,420,919 | |
Collateral received on securities loaned (See Note 2.F.) | | | — | | | | 2,675,130 | | | | — | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 1,151,697 | | | | — | | | | — | |
Outstanding OTC swap contracts, at value (net upfront payments of $3,042, $0 and $0, respectively) | | | 17,394 | | | | — | | | | — | |
Accrued liabilities: | | | | | | | | | | | | |
Management fees (See Note 3.A.) | | | 69,721 | | | | 30,237 | | | | 17,402 | |
Trustees’ and Chief Compliance Officer’s fees | | | 255 | | | | 236 | | | | — | |
Deferred foreign capital gains tax | | | 19,316 | | | | — | | | | — | |
Professional fees | | | 19,636 | | | | — | | | | 108 | |
Other | | | 17,181 | | | | 12,247 | | | | 4,619 | |
| | | | | | | | | | | | |
Total Liabilities | | | 2,125,441 | | | | 3,417,672 | | | | 5,064,433 | |
| | | | | | | | | | | | |
Net Assets | | $ | 169,928,839 | | | $ | 171,037,324 | | | $ | 52,390,882 | |
| | | | | | | | | | | | |
|
NET ASSETS: | |
Paid-in-Capital | | $ | 172,728,681 | | | $ | 172,566,591 | | | $ | 49,144,495 | |
Total distributable earnings (loss) | | | (2,799,842 | ) | | | (1,529,267 | ) | | | 3,246,387 | |
| | | | | | | | | | | | |
Total Net Assets | | $ | 169,928,839 | | | $ | 171,037,324 | | | $ | 52,390,882 | |
| | | | | | | | | | | | |
Outstanding number of shares | | | | | | | | | | | | |
(unlimited number of shares authorized — par value $0.0001) | | | 3,400,000 | | | | 3,400,000 | | | | 950,000 | |
| | | | | | | | | | | | |
Net asset value, per share | | $ | 49.98 | | | $ | 50.31 | | | $ | 55.15 | |
| | | | | | | | | | | | |
Cost of investments innon-affiliates | | $ | 158,117,427 | | | $ | 169,363,957 | | | $ | 48,377,719 | |
Cost of investments in affiliates | | | 2,920,684 | | | | 1,006,572 | | | | 5,501,362 | |
Cost of foreign currency | | | 1,175,000 | | | | — | | | | — | |
Investment securities on loan, at value (See Note 2.F.) | | | — | | | | 2,524,615 | | | | — | |
Cost of investment of cash collateral (See Note 2.F.) | | | — | | | | 2,675,130 | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 212 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | | |
| | | JPMorgan U.S.
Aggregate Bond
ETF | | | JPMorgan Ultra-
Short Income ETF | | | JPMorgan Ultra-
Short Municipal
Income ETF | | |
JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 536,369,610 | | | $ | 10,635,072,606 | | | $ | 201,651,224 | | | $ | 89,288,136 | |
Investments in affiliates, at value | | | 1,208,867 | | | | 667,817,128 | | | | 8,637,248 | | | | 355,735 | |
Investments of cash collateral received from securities loaned, at value (See Note 2.F.) | | | — | | | | 2,286,200 | | | | — | | | | — | |
Repurchase agreements, at value | | | — | | | | 161,000,000 | | | | — | | | | — | |
Cash | | | 97,232 | | | | 2,359,385 | | | | — | | | | 16,711 | |
Deposits at broker for futures contracts | | | — | | | | 298,000 | | | | — | | | | — | |
Receivables: | | | | | | | | | | | | | | | | |
Due from custodian | | | — | | | | — | | | | — | | | | 107,139 | |
Investment securities sold | | | 14,117,089 | | | | — | | | | — | | | | 3,457,716 | |
Fund shares sold | | | 2,747,662 | | | | 128,833,520 | | | | 2,527,504 | | | | — | |
Interest fromnon-affiliates | | | 3,246,345 | | | | 54,619,208 | | | | 1,852,764 | | | | 1,322,166 | |
Dividends from affiliates | | | 3,064 | | | | 717,074 | | | | 4,147 | | | | 377 | |
Securities lending income (See Note 2.F.) | | | 91 | | | | 358 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total Assets | | | 557,789,960 | | | | 11,653,003,479 | | | | 214,672,887 | | | | 94,547,980 | |
| | | | | | | | | | | | | | | | |
|
LIABILITIES: | |
Payables: | | | | | | | | | | | | | | | | |
Due to custodian | | | — | | | | — | | | | 3,272 | | | | — | |
Distributions | | | 909,155 | | | | 19,095,573 | | | | 211,572 | | | | 329,274 | |
Investment securities purchased | | | 13,777,703 | | | | 38,577,135 | | | | 4,532,238 | | | | 2,432,973 | |
Investment securities purchased — delayed delivery securities | | | — | | | | — | | | | 2,722,753 | | | | — | |
Collateral received on securities loaned (See Note 2.F.) | | | — | | | | 2,286,200 | | | | — | | | | — | |
Variation margin on futures contracts | | | — | | | | 145,464 | | | | — | | | | — | |
Accrued liabilities: | | | | | | | | | | | | | | | | |
Management fees (See Note 3.A.) | | | 17,491 | | | | 1,296,525 | | | | 12,842 | | | | 28,051 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | — | | | | — | | | | 86 | |
Professional fees | | | — | | | | — | | | | 3 | | | | 18,036 | |
Other | | | 14,665 | | | | 113,078 | | | | 4,625 | | | | 26,106 | |
| | | | | | | | | | | | | | | | |
Total Liabilities | | | 14,719,014 | | | | 61,513,975 | | | | 7,487,305 | | | | 2,834,526 | |
| | | | | | | | | | | | | | | | |
Net Assets | | $ | 543,070,946 | | | $ | 11,591,489,504 | | | $ | 207,185,582 | | | $ | 91,713,454 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Paid-in-Capital | | $ | 522,488,995 | | | $ | 11,545,718,716 | | | $ | 206,559,785 | | | $ | 89,882,196 | |
Total distributable earnings (loss) | | | 20,581,951 | | | | 45,770,788 | | | | 625,797 | | | | 1,831,258 | |
| | | | | | | | | | | | | | | | |
Total Net Assets | | $ | 543,070,946 | | | $ | 11,591,489,504 | | | $ | 207,185,582 | | | $ | 91,713,454 | |
| | | | | | | | | | | | | | | | |
Outstanding number of shares | |
(unlimited number of shares authorized — par value $0.0001) | | | 19,800,000 | | | | 229,500,000 | | | | 4,100,000 | | | | 1,800,000 | |
| | | | | | | | | | | | | | | | |
Net asset value, per share | | $ | 27.43 | | | $ | 50.51 | | | $ | 50.53 | | | $ | 50.95 | |
| | | | | | | | | | | | | | | | |
Cost of investments innon-affiliates | | $ | 516,423,242 | | | $ | 10,590,895,095 | | | $ | 200,990,393 | | | $ | 87,002,575 | |
Cost of investments in affiliates | | | 1,208,867 | | | | 667,817,128 | | | | 8,637,248 | | | | 355,735 | |
Cost of repurchase agreements | | | — | | | | 161,000,000 | | | | — | | | | — | |
Investment securities on loan, at value (See Note 2.F.) | | | — | | | | 2,237,841 | | | | — | | | | — | |
Cost of investment of cash collateral (See Note 2.F.) | | | — | | | | 2,286,200 | | | | — | | | | — | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 213 | |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED FEBRUARY 29, 2020
| | | | | | | | | | | | |
| | | |
| | |
JPMorgan
BetaBuilders
1-5 Year U.S.
Aggregate
Bond ETF (a) | | | JPMorgan
Core Plus
Bond ETF | | | JPMorgan
Corporate Bond
Research
Enhanced ETF | |
INVESTMENT INCOME: | | | | | | | | | | | | |
Interest income fromnon-affiliates | | $ | 764,160 | | | $ | 995,152 | | | $ | 1,087,178 | |
Interest income from affiliates | | | 9 | | | | 684 | | | | — | |
Dividend income from affiliates | | | 1,651 | | | | 59,855 | | | | 4,669 | |
Income from securities lending (net) (See Note 2.F.) | | | — | | | | 180 | | | | — | |
| | | | | | | | | | | | |
Total investment income | | | 765,820 | | | | 1,055,871 | | | | 1,091,847 | |
| | | | | | | | | | | | |
| | | |
EXPENSES: | | | | | | | | | | | | |
Management fees (See Note 3.A.) | | | 15,589 | | | | 43,540 | | | | 26,549 | |
Investment advisory fees (See Note 3.B.) | | | — | | | | 58,662 | | | | 26,346 | |
Administration fees (See Note 3.C.) | | | — | | | | 14,665 | | | | 14,114 | |
Interest expense to affiliates | | | 180 | | | | 2 | | | | 12 | |
Professional fees | | | — | | | | 75,865 | | | | 65,235 | |
Trustees’ and Chief Compliance Officer’s fees | | | — | | | | 452 | | | | 597 | |
Shareholder communication costs | | | — | | | | 2,204 | | | | 2,007 | |
Registration and filing fees | | | — | | | | 12,029 | | | | 15,145 | |
Custodian, Accounting and Transfer Agent fees (See Note 3.D.) | | | — | | | | 11,812 | | | | 28,682 | |
Insurance expense | | | — | | | | 181 | | | | 201 | |
Offering costs (See Note 2.I.) | | | — | | | | 9,821 | | | | 12,299 | |
Other | | | — | | | | 1,582 | | | | 1,569 | |
| | | | | | | | | | | | |
Total expenses | | | 15,769 | | | | 230,815 | | | | 192,756 | |
| | | | | | | | | | | | |
Less fee waived (See Note 3.F.) | | | — | | | | (73,327 | ) | | | (40,460 | ) |
Less expense reimbursements from affiliates (See Note 3.F.) | | | — | | | | (28,505 | ) | | | (111,044 | ) |
Less expense reimbursements fromnon-affiliates (See Note 3.D.) | | | — | | | | (200 | ) | | | (600 | ) |
| | | | | | | | | | | | |
Net expenses | | | 15,769 | | | | 128,783 | | | | 40,652 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 750,051 | | | | 927,088 | | | | 1,051,195 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | |
Investments innon-affiliates | | | 91,623 | | | | 442,074 | | | | 842,007 | |
Futures contracts | | | — | | | | 177,976 | | | | (61,385 | ) |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 91,623 | | | | 620,050 | | | | 780,622 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments innon-affiliates | | | 987,362 | | | | 1,993,104 | | | | 2,446,719 | |
Futures contracts | | | — | | | | 72,568 | | | | 2,889 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 987,362 | | | | 2,065,672 | | | | 2,449,608 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 1,078,985 | | | | 2,685,722 | | | | 3,230,230 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 1,829,036 | | | $ | 3,612,810 | | | $ | 4,281,425 | |
| | | | | | | | | | | | |
| (a) | Commencement of operations was March 12, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 214 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
| | | |
| | | JPMorgan
Global Bond
Opportunities
ETF | | | JPMorgan High Yield Research Enhanced ETF (formerly known as JPMorgan Disciplined
High Yield ETF) | | | JPMorgan
Municipal ETF | |
INVESTMENT INCOME: | | | | | | | | | | | | |
Interest income fromnon-affiliates | | $ | 7,188,273 | | | $ | 8,452,617 | | | $ | 924,704 | |
Interest income from affiliates | | | 117 | | | | 16 | | | | — | |
Dividend income from affiliates | | | 78,079 | | | | 62,528 | | | | 22,857 | |
Income from securities lending (net) (See Note 2.F.) | | | — | | | | 31,867 | | | | — | |
Foreign taxes withheld (net) | | | 1,623 | | | | — | | | | — | |
| | | | | | | | | | | | |
Total investment income | | | 7,268,092 | | | | 8,547,028 | | | | 947,561 | |
| | | | | | | | | | | | |
|
EXPENSES: | |
Management fees (See Note 3.A.) | | | 294,880 | | | | 133,733 | | | | 34,147 | |
Investment advisory fees (See Note 3.B.) | | | 695,531 | | | | 324,520 | | | | 55,203 | |
Administration fees (See Note 3.C.) | | | 94,845 | | | | 81,130 | | | | 17,251 | |
Collateral management fees (See Note 3.E.) | | | 5,376 | | | | — | | | | — | |
Interest expense to affiliates | | | 4,673 | | | | 6 | | | | 552 | |
Professional fees | | | 74,717 | | | | 74,028 | | | | 29,601 | |
Trustees’ and Chief Compliance Officer’s fees | | | 3,460 | | | | 2,897 | | | | 626 | |
Shareholder communication costs | | | 14,515 | | | | 44,340 | | | | 2,432 | |
Registration and filing fees | | | 7,406 | | | | 7,701 | | | | 8,416 | |
Custodian, Accounting and Transfer Agent fees (See Note 3.D.) | | | 70,402 | | | | 37,379 | | | | 87,719 | |
Insurance expense | | | 6,779 | | | | 5,030 | | | | 249 | |
Offering costs (See Note 2.I.) | | | — | | | | — | | | | 10,947 | |
Other | | | 7,627 | | | | 5,881 | | | | 1,541 | |
| | | | | | | | | | | | |
Total expenses | | | 1,280,211 | | | | 716,645 | | | | 248,684 | |
| | | | | | | | | | | | |
Less fee waived (See Note 3.F.) | | | (296,304 | ) | | | (195,882 | ) | | | (72,454 | ) |
Less expense reimbursements from affiliates (See Note 3.F.) | | | — | | | | — | | | | (86,636 | ) |
Less expense reimbursements fromnon-affiliates (See Note 3.D.) | | | (1,100 | ) | | | (200 | ) | | | (2,200 | ) |
| | | | | | | | | | | | |
Net expenses | | | 982,807 | | | | 520,563 | | | | 87,394 | |
| | | | | | | | | | | | |
Net investment income (loss) | | | 6,285,285 | | | | 8,026,465 | | | | 860,167 | |
| | | | | | | | | | | | |
| | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | | | | | | | | | | | | |
Investments innon-affiliates | | | 1,324,671 | (a) | | | 1,508,193 | | | | 575,247 | |
Investments in affiliates | | | — | | | | — | | | | 721 | |
Futures contracts | | | (1,158,577 | ) | | | — | | | | — | |
Foreign currency transactions | | | (93,980 | ) | | | — | | | | — | |
Forward foreign currency exchange contracts | | | 3,348,791 | | | | — | | | | — | |
Swaps | | | (717,958 | ) | | | — | | | | — | |
| | | | | | | | | | | | |
Net realized gain (loss) | | | 2,702,947 | | | | 1,508,193 | | | | 575,968 | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments innon-affiliates | | | 4,521,498 | (b) | | | (189,354 | ) | | | 2,214,059 | |
Investments in affiliates | | | — | | | | — | | | | 14 | |
Futures contracts | | | 294,845 | | | | — | | | | — | |
Foreign currency translations | | | (87,615 | ) | | | — | | | | — | |
Forward foreign currency exchange contracts | | | (671,255 | ) | | | — | | | | — | |
Swaps | | | 48,166 | | | | — | | | | — | |
| | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 4,105,639 | | | | (189,354 | ) | | | 2,214,073 | |
| | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 6,808,586 | | | | 1,318,839 | | | | 2,790,041 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 13,093,871 | | | $ | 9,345,304 | | | $ | 3,650,208 | |
| | | | | | | | | | | | |
| (a) | Net of foreign capital gains tax of $(12,949). |
| (b) | Net change in foreign capital gains tax of $(10,146). |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 215 | |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED FEBRUARY 29, 2020 (continued)
| | | | | | | | | | | | | | | | |
| | | JPMorgan U.S.
Aggregate
Bond ETF | | | JPMorgan Ultra-
Short Income
ETF | | | JPMorgan
Ultra-Short
Municipal
Income ETF | | |
JPMorgan USD
Emerging
Markets
Sovereign
Bond ETF | |
INVESTMENT INCOME: | |
Interest income fromnon-affiliates | | $ | 6,283,785 | | | $ | 225,828,621 | | | $ | 2,011,544 | | | $ | 3,567,833 | |
Interest income from affiliates | | | 36 | | | | 1,499 | | | | — | | | | 1 | |
Dividend income fromnon-affiliates | | | — | | | | 3 | | | | — | | | | — | |
Dividend income from affiliates | | | 17,206 | | | | 4,301,860 | | | | 49,330 | | | | 6,799 | |
Income from securities lending (net) (See Note 2.F.) | | | 288 | | | | 19,682 | | | | — | | | | 1,247 | |
| | | | | | | | | | | | | | | | |
Total investment income | | | 6,301,315 | | | | 230,151,665 | | | | 2,060,874 | | | | 3,575,880 | |
| | | | | | | | | | | | | | | | |
|
EXPENSES: | |
Management fees (See Note 3.A.) | | | 93,172 | | | | 5,993,089 | | | | 88,973 | | | | 111,026 | |
Investment advisory fees (See Note 3.B.) | | | 82,173 | | | | 7,610,633 | | | | 101,687 | | | | 138,581 | |
Administration fees (See Note 3.C.) | | | 88,043 | | | | 3,805,317 | | | | 50,843 | | | | 32,480 | |
Interest expense to affiliates | | | 2,739 | | | | 26,057 | | | | 772 | | | | — | |
Professional fees | | | 61,751 | | | | 179,363 | | | | 32,469 | | | | 73,334 | |
Trustees’ and Chief Compliance Officer’s fees | | | 2,704 | | | | 149,863 | | | | 1,466 | | | | 1,034 | |
Shareholder communication costs | | | 26,434 | | | | 601,119 | | | | 7,339 | | | | 4,324 | |
Registration and filing fees | | | 27,310 | | | | 184,317 | | | | 11,476 | | | | 11,561 | |
Custodian, Accounting and Transfer Agent fees (See Note 3.D.) | | | 52,406 | | | | 272,043 | | | | 98,147 | | | | 33,480 | |
Insurance expense | | | 1,033 | | | | 70,325 | | | | 490 | | | | 2,389 | |
Offering costs (See Note 2.I.) | | | 18,117 | | | | — | | | | 11,769 | | | | — | |
Other | | | 967 | | | | 20,704 | | | | — | | | | 1,583 | |
| | | | | | | | | | | | | | | | |
Total expenses | | | 456,849 | | | | 18,912,830 | | | | 405,431 | | | | 409,792 | |
| | | | | | | | | | | | | | | | |
Less fee waived (See Note 3.F.) | | | (170,216 | ) | | | (3,979,857 | ) | | | (152,530 | ) | | | (132,837 | ) |
Less expense reimbursements from affiliates (See Note 3.F.) | | | (117,928 | ) | | | — | | | | (38,963 | ) | | | — | |
Less expense reimbursements fromnon-affiliates (See Note 3.D.) | | | (3,300 | ) | | | (10,700 | ) | | | (5,200 | ) | | | (600 | ) |
| | | | | | | | | | | | | | | | |
Net expenses | | | 165,405 | | | | 14,922,273 | | | | 208,738 | | | | 276,355 | |
| | | | | | | | | | | | | | | | |
Net investment income (loss) | | | 6,135,910 | | | | 215,229,392 | | | | 1,852,136 | | | | 3,299,525 | |
| | | | | | | | | | | | | | | | |
| | | | |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | | | | | | | | | | | | | |
Net realized gain (loss) on transactions from: | |
Investments innon-affiliates | | | 1,526,368 | | | | 5,729,234 | | | | (20,909 | ) | | | 380,895 | |
Investments in affiliates | | | — | | | | — | | | | 87 | | | | — | |
Futures contracts | | | — | | | | (860,103 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net realized gain (loss) | | | 1,526,368 | | | | 4,869,131 | | | | (20,822 | ) | | | 380,895 | |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation on: | |
Investments innon-affiliates | | | 19,826,834 | | | | 41,495,171 | | | | 526,419 | | | | 3,946,502 | |
Futures contracts | | | — | | | | (194,982 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Change in net unrealized appreciation/depreciation | | | 19,826,834 | | | | 41,300,189 | | | | 526,419 | | | | 3,946,502 | |
| | | | | | | | | | | | | | | | |
Net realized/unrealized gains (losses) | | | 21,353,202 | | | | 46,169,320 | | | | 505,597 | | | | 4,327,397 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | $ | 27,489,112 | | | $ | 261,398,712 | | | $ | 2,357,733 | | | $ | 7,626,922 | |
| | | | | | | | | | | | | | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 216 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| | | | | | | | | | | | |
| | | JPMorgan BetaBuilders
1-5 Year U.S. Aggregate
Bond ETF | | | JPMorgan Core Plus Bond ETF | |
| | | Period Ended
February 29, 2020 (a) | | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 750,051 | | | $ | 927,088 | | | $ | 65,409 | |
Net realized gain (loss) | | | 91,623 | | | | 620,050 | | | | 8,375 | |
Change in net unrealized appreciation/depreciation | | | 987,362 | | | | 2,065,672 | | | | 92,883 | |
| | | | | | | | | | | | |
Change in net assets resulting from operations | | | 1,829,036 | | | | 3,612,810 | | | | 166,667 | |
| | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Total distributions to shareholders | | | (786,431 | ) | | | (1,191,282 | ) | | | (63,565 | ) |
| | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 36,452,479 | | | | 26,569,194 | | | | 25,075,000 | |
| | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 37,495,084 | | | | 28,990,722 | | | | 25,178,102 | |
Beginning of period | | | — | | | | 25,178,102 | | | | — | |
| | | | | | | | | | | | |
End of period | | $ | 37,495,084 | | | $ | 54,168,824 | | | $ | 25,178,102 | |
| | | | | | | | | | | | |
| | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 36,452,479 | | | $ | 26,569,194 | | | $ | 25,075,000 | |
| | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 36,452,479 | | | $ | 26,569,194 | | | $ | 25,075,000 | |
| | | | | | | | | | | | |
|
SHARE TRANSACTIONS: | |
Issued | | | 1,450,000 | | | | 500,000 | | | | 500,000 | |
| | | | | | | | | | | | |
Net increase in shares from share transactions | | | 1,450,000 | | | | 500,000 | | | | 500,000 | |
| | | | | | | | | | | | |
| (a) | Commencement of operations was March 12, 2019. |
| (b) | Commencement of operations was January 28, 2019. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 217 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | |
| | | JPMorgan Corporate Bond Research
Enhanced ETF | | | JPMorgan Global Bond Opportunities ETF | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 1,051,195 | | | $ | 218,413 | | | $ | 6,285,285 | | | $ | 6,692,618 | |
Net realized gain (loss) | | | 780,622 | | | | 36,262 | | | | 2,702,947 | | | | 271,962 | |
Change in net unrealized appreciation/depreciation | | | 2,449,608 | | | | 509,173 | | | | 4,105,639 | | | | (3,291,415 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 4,281,425 | | | | 763,848 | | | | 13,093,871 | | | | 3,673,165 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Total distributions to shareholders | | | (1,566,538 | ) | | | (218,355 | ) | | | (8,337,390 | ) | | | (9,983,877 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 6,860,014 | | | | 25,050,000 | | | | (15,184,873 | ) | | | 35,033,711 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 9,574,901 | | | | 25,595,493 | | | | (10,428,392 | ) | | | 28,722,999 | |
Beginning of period | | | 25,595,493 | | | | — | | | | 180,357,231 | | | | 151,634,232 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 35,170,394 | | | $ | 25,595,493 | | | $ | 169,928,839 | | | $ | 180,357,231 | |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 6,860,014 | | | $ | 25,050,000 | | | $ | 5,073,164 | | | $ | 35,033,711 | |
Cost of shares redeemed | | | — | | | | — | | | | (20,258,037 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 6,860,014 | | | $ | 25,050,000 | | | $ | (15,184,873 | ) | | $ | 35,033,711 | |
| | | | | | | | | | | | | | | | |
|
SHARE TRANSACTIONS: | |
Issued | | | 125,000 | | | | 500,000 | | | | 100,000 | | | | 700,000 | |
Redeemed | | | — | | | | — | | | | (400,000 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase (decrease) in shares from share transactions | | | 125,000 | | | | 500,000 | | | | (300,000 | ) | | | 700,000 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was December 12, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 218 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined
High Yield ETF) | | | JPMorgan Municipal ETF | |
| | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | | | | | | | | | |
Net investment income (loss) | | $ | 8,026,465 | | | $ | 6,940,696 | | | $ | 860,167 | | | $ | 249,211 | |
Net realized gain (loss) | | | 1,508,193 | | | | (876,971 | ) | | | 575,968 | | | | 99,242 | |
Change in net unrealized appreciation/depreciation | | | (189,354 | ) | | | 742,057 | | | | 2,214,073 | | | | 909,793 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 9,345,304 | | | | 6,805,782 | | | | 3,650,208 | | | | 1,258,246 | |
| | | | | | | | | | | | | | | | |
| | |
DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | |
Total distributions to shareholders | | | (8,310,507 | ) | | | (7,004,942 | ) | | | (1,413,794 | ) | | | (248,805 | ) |
| | | | | | | | | | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | | |
Change in net assets resulting from capital transactions | | | 15,432,142 | | | | 49,578,237 | | | | 19,000,910 | | | | 30,144,117 | |
| | | | | | | | | | | | | | | | |
| | |
NET ASSETS: | | | | | | | | | |
Change in net assets | | | 16,466,939 | | | | 49,379,077 | | | | 21,237,324 | | | | 31,153,558 | |
Beginning of period | | | 154,570,385 | | | | 105,191,308 | | | | 31,153,558 | | | | — | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 171,037,324 | | | $ | 154,570,385 | | | $ | 52,390,882 | | | $ | 31,153,558 | |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 15,432,142 | | | $ | 64,284,563 | | | $ | 29,682,599 | | | $ | 30,144,117 | |
Cost of shares redeemed | | | — | | | | (14,706,326 | ) | | | (10,681,689 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 15,432,142 | | | $ | 49,578,237 | | | $ | 19,000,910 | | | $ | 30,144,117 | |
| | | | | | | | | | | | | | | | |
| | |
SHARE TRANSACTIONS: | | | | | | | | | |
Issued | | | 300,000 | | | | 1,300,000 | | | | 550,000 | | | | 600,000 | |
Redeemed | | | — | | | | (300,000 | ) | | | (200,000 | ) | | | — | |
| | | | | | | | | | | | | | | | |
Net increase in shares from share transactions | | | 300,000 | | | | 1,000,000 | | | | 350,000 | | | | 600,000 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was October 29, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 219 | |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
| | | | | | | | | | | | | | | | |
| | | JPMorgan U.S. Aggregate Bond ETF | | | JPMorgan Ultra-Short Income ETF | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 6,135,910 | | | $ | 345,419 | | | $ | 215,229,392 | | | $ | 68,227,290 | |
Net realized gain (loss) | | | 1,526,368 | | | | 22,161 | | | | 4,869,131 | | | | 198,669 | |
Change in net unrealized appreciation/depreciation | | | 19,826,834 | | | | 119,461 | | | | 41,300,189 | | | | 2,890,875 | |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 27,489,112 | | | | 487,041 | | | | 261,398,712 | | | | 71,316,834 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Total distributions to shareholders | | | (7,057,507 | ) | | | (336,622 | ) | | | (218,564,137 | ) | | | (68,093,896 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 423,909,259 | | | | 98,579,663 | | | | 5,845,592,654 | | | | 5,499,788,071 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 444,340,864 | | | | 98,730,082 | | | | 5,888,427,229 | | | | 5,503,011,009 | |
Beginning of period | | | 98,730,082 | | | | — | | | | 5,703,062,275 | | | | 200,051,266 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 543,070,946 | | | $ | 98,730,082 | | | $ | 11,591,489,504 | | | $ | 5,703,062,275 | |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 445,988,689 | | | $ | 98,579,663 | | | $ | 6,133,315,027 | | | $ | 5,574,934,056 | |
Cost of shares redeemed | | | (22,079,430 | ) | | | — | | | | (287,722,373 | ) | | | (75,145,985 | ) |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 423,909,259 | | | $ | 98,579,663 | | | $ | 5,845,592,654 | | | $ | 5,499,788,071 | |
| | | | | | | | | | | | | | | | |
|
SHARE TRANSACTIONS: | |
Issued | | | 16,750,000 | | | | 3,900,000 | | | | 121,600,000 | | | | 111,100,000 | |
Redeemed | | | (850,000 | ) | | | — | | | | (5,700,000 | ) | | | (1,500,000 | ) |
| | | | | | | | | | | | | | | | |
Net increase in shares from share transactions | | | 15,900,000 | | | | 3,900,000 | | | | 115,900,000 | | | | 109,600,000 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was December 12, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 220 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | |
| | | JPMorgan Ultra-Short Municipal Income ETF | | | JPMorgan USD Emerging Markets
Sovereign Bond ETF | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | | | Year Ended
February 29, 2020 | | | Year Ended
February 28, 2019 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 1,852,136 | | | $ | 264,520 | | | $ | 3,299,525 | | | $ | 2,624,577 | |
Net realized gain (loss) | | | (20,822 | ) | | | 186 | | | | 380,895 | | | | (840,894 | ) |
Change in net unrealized appreciation/depreciation | | | 526,419 | | | | 134,833 | | | | 3,946,502 | | | | (334,291 | ) |
| | | | | | | | | | | | | | | | |
Change in net assets resulting from operations | | | 2,357,733 | | | | 399,539 | | | | 7,626,922 | | | | 1,449,392 | |
| | | | | | | | | | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Total distributions to shareholders | | | (1,868,857 | ) | | | (263,039 | ) | | | (3,288,107 | ) | | | (2,651,785 | ) |
| | | | | | | | | | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 148,897,115 | | | | 57,663,091 | | | | 25,597,892 | | | | 9,265,211 | |
| | | | | | | | | | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 149,385,991 | | | | 57,799,591 | | | | 29,936,707 | | | | 8,062,818 | |
Beginning of period | | | 57,799,591 | | | | — | | | | 61,776,747 | | | | 53,713,929 | |
| | | | | | | | | | | | | | | | |
End of period | | $ | 207,185,582 | | | $ | 57,799,591 | | | $ | 91,713,454 | | | $ | 61,776,747 | |
| | | | | | | | | | | | | | | | |
| | | | |
CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
Proceeds from shares issued | | $ | 151,415,332 | | | $ | 57,663,091 | | | $ | 25,597,892 | | | $ | 9,265,211 | |
Cost of shares redeemed | | | (2,518,217 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 148,897,115 | | | $ | 57,663,091 | | | $ | 25,597,892 | | | $ | 9,265,211 | |
| | | | | | | | | | | | | | | | |
|
SHARE TRANSACTIONS: | |
Issued | | | 3,000,000 | | | | 1,150,000 | | | | 500,000 | | | | 200,000 | |
Redeemed | | | (50,000 | ) | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Net increase in shares from share transactions | | | 2,950,000 | | | | 1,150,000 | | | | 500,000 | | | | 200,000 | |
| | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was October 16, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 221 | |
FINANCIAL HIGHLIGHTS
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 | | | Total
distributions | |
| | | | | | | |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
March 12, 2019 (g) through February 29, 2020 | | $ | 25.00 | | | $ | 0.59 | | | $ | 0.88 | | | $ | 1.47 | | | $ | (0.61 | ) | | $ | — | | | $ | (0.61 | ) |
| | | | | | | |
JPMorgan Core Plus Bond ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 50.36 | | | | 1.45 | | | | 4.13 | | | | 5.58 | | | | (1.44 | ) | | | (0.33 | ) | | | (1.77 | ) |
January 28, 2019 (g) through February 28, 2019 | | | 50.00 | | | | 0.13 | | | | 0.36 | | | | 0.49 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| | | | | | | |
JPMorgan Corporate Bond Research Enhanced ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 51.19 | | | | 1.95 | | | | 5.96 | | | | 7.91 | | | | (1.93 | ) | | | (0.90 | ) | | | (2.83 | ) |
December 12, 2018 (g) through February 28, 2019 | | | 50.00 | | | | 0.44 | | | | 1.19 | | | | 1.63 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | | | | | | |
JPMorgan Global Bond Opportunities ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 48.75 | | | | 1.71 | | | | 1.86 | | | | 3.57 | | | | (2.34 | ) | | | — | | | | (2.34 | ) |
Year Ended February 28, 2019 | | | 50.54 | | | | 1.94 | | | | (0.97 | ) | | | 0.97 | | | | (2.56 | ) | | | (0.20 | ) | | | (2.76 | ) |
April 5, 2017 (g) through February 28, 2018 | | | 50.00 | | | | 1.83 | | | | 0.05 | (k) | | | 1.88 | | | | (1.34 | ) | | | — | | | | (1.34 | ) |
| | | | | | | |
JPMorgan High Yield Research Enhanced ETF (formerly known as JPMorgan Disciplined High Yield ETF) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 49.86 | | | | 2.50 | | | | 0.53 | | | | 3.03 | | | | (2.58 | ) | | | — | | | | (2.58 | ) |
Year Ended February 28, 2019 | | | 50.09 | | | | 2.47 | | | | (0.23 | ) | | | 2.24 | | | | (2.47 | ) | | | — | | | | (2.47 | ) |
Year Ended February 28, 2018 | | | 50.96 | | | | 2.44 | | | | (0.92 | ) | | | 1.52 | | | | (2.39 | ) | | | — | | | | (2.39 | ) |
September 14, 2016 (g) through February 28, 2017 | | | 50.00 | | | | 1.14 | | | | 0.96 | | | | 2.10 | | | | (1.14 | ) | | | — | (l) | | | (1.14 | ) |
| | | | | | | |
JPMorgan Municipal ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 51.92 | | | | 1.24 | | | | 3.91 | | | | 5.15 | | | | (1.22 | ) | | | (0.70 | ) | | | (1.92 | ) |
October 29, 2018 (g) through February 28, 2019 | | | 50.00 | | | | 0.46 | | | | 1.90 | | | | 2.36 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | | | | | | |
JPMorgan U.S. Aggregate Bond ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 25.32 | | | | 0.69 | | | | 2.18 | | | | 2.87 | | | | (0.72 | ) | | | (0.04 | ) | | | (0.76 | ) |
December 12, 2018 (g) through February 28, 2019 | | | 25.00 | | | | 0.18 | | | | 0.29 | | | | 0.47 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| | | | | | | |
JPMorgan Ultra-Short Income ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 50.20 | | | | 1.28 | | | | 0.32 | | | | 1.60 | | | | (1.29 | ) | | | — | | | | (1.29 | ) |
Year Ended February 28, 2019 | | | 50.01 | | | | 1.37 | | | | (0.04 | )(k) | | | 1.33 | | | | (1.14 | ) | | | — | | | | (1.14 | ) |
May 17, 2017 (g) through February 28, 2018 | | | 50.00 | | | | 0.70 | | | | (0.08 | ) | | | 0.62 | | | | (0.61 | ) | | | — | | | | (0.61 | ) |
| | | | | | | |
JPMorgan Ultra-Short Municipal Income ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 50.26 | | | | 0.78 | | | | 0.26 | | | | 1.04 | | | | (0.77 | ) | | | — | | | | (0.77 | ) |
October 16, 2018 (g) through February 28, 2019 | | | 50.00 | | | | 0.35 | | | | 0.23 | | | | 0.58 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | | | | | | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | | 47.52 | | | | 2.32 | | | | 3.40 | | | | 5.72 | | | | (2.29 | ) | | | — | | | | (2.29 | ) |
Year Ended February 28, 2019 | | | 48.83 | | | | 2.31 | | | | (1.30 | ) | | | 1.01 | | | | (2.32 | ) | | | — | | | | (2.32 | ) |
January 29, 2018 (g) through February 28, 2018 | | | 50.00 | | | | 0.19 | | | | (1.21 | ) | | | (1.02 | ) | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| (a) | Annualized for periods less than one year, unless otherwise indicated. |
| (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) | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the listing exchange of the fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| (f) | Prior to November 1, 2019, all Funds, except the BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, may have waived fees if expenses exceeded the expense cap. On November 1, 2019, all Funds, except the BetaBuilders 1-5 Year U.S. Aggregate Bond ETF, adopted a unitary fee structure where a management fee is accrued by the fund based on prior day net assets and other expenses are paid by the Advisor. The BetaBuilders 1-5 Year U.S. Aggregate Bond ETF has operated under a unitary fee structure since its inception. |
| (g) | Commencement of operations. |
| (h) | Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the NAV is used as a proxy for the secondary market trading price to calculate the market returns. |
| (i) | Certainnon-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (j) | Amount rounds to less than 0.5%. |
| (k) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (l) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
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| 222 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental data | |
| | | | | | | | | | | | | | | | Ratios to average net assets(a) | | | | |
Net asset
value,
end of
period | | | 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 (f) | | | Portfolio
turnover
rate (c) | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $25.86 | | | $ | 25.84 | | | | 5.93 | % | | | 5.85 | %(h) | | $ | 37,495,084 | | | | 0.05 | % | | | 2.38 | % | | | 0.05 | % | | | 56 | % |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 54.17 | | | | 54.44 | | | | 11.24 | | | | 11.52 | | | | 54,168,824 | | | | 0.38 | | | | 2.76 | | | | 0.69 | | | | 91 | |
| | 50.36 | | | | 50.48 | | | | 0.97 | | | | 1.21 | (h) | | | 25,178,102 | | | | 0.38 | (i) | | | 2.96 | | | | 5.38 | (i) | | | — | (j) |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 56.27 | | | | 56.50 | | | | 15.74 | | | | 15.95 | | | | 35,170,394 | | | | 0.14 | | | | 3.58 | | | | 0.65 | | | | 67 | |
| | 51.19 | | | | 51.30 | | | | 3.26 | | | | 3.48 | (h) | | | 25,595,493 | | | | 0.14 | (i) | | | 3.98 | | | | 2.13 | (i) | | | 12 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 49.98 | | | | 49.83 | | | | 7.39 | | | | 6.89 | | | | 169,928,839 | | | | 0.53 | | | | 3.40 | | | | 0.69 | | | | 88 | |
| | 48.75 | | | | 48.83 | | | | 2.09 | | | | 2.13 | | | | 180,357,231 | | | | 0.54 | | | | 3.92 | | | | 0.82 | | | | 73 | |
| | 50.54 | | | | 50.60 | | | | 3.76 | | | | 3.88 | (h) | | | 151,634,232 | | | | 0.53 | (i) | | | 3.98 | | | | 1.10 | (i) | | | 52 | |
| | | | | | | | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.31 | | | | 50.62 | | | | 6.15 | | | | 6.88 | | | | 171,037,324 | | | | 0.32 | | | | 4.90 | | | | 0.44 | | | | 128 | |
| | 49.86 | | | | 49.82 | | | | 4.66 | | | | 4.00 | | | | 154,570,385 | | | | 0.40 | | | | 5.01 | | | | 0.57 | | | | 23 | |
| | 50.09 | | | | 50.36 | | | | 3.00 | | | | 3.12 | | | | 105,191,308 | | | | 0.40 | | | | 4.78 | | | | 0.98 | | | | 23 | |
| | 50.96 | | | | 51.16 | | | | 4.24 | | | | 4.64 | (h) | | | 30,574,068 | | | | 0.39 | (i) | | | 4.99 | | | | 1.74 | (i) | | | 8 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 55.15 | | | | 55.06 | | | | 10.09 | | | | 9.71 | | | | 52,390,882 | | | | 0.23 | | | | 2.31 | | | | 0.67 | | | | 51 | |
| | 51.92 | | | | 52.01 | | | | 4.74 | | | | 4.92 | (h) | | | 31,153,558 | | | | 0.23 | (i) | | | 2.65 | | | | 1.06 | (i) | | | 15 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 27.43 | | | | 27.46 | | | | 11.46 | | | | 11.49 | | | | 543,070,946 | | | | 0.07 | | | | 2.61 | | | | 0.20 | | | | 57 | |
| | 25.32 | | | | 25.34 | | | | 1.90 | | | | 1.98 | (h) | | | 98,730,082 | | | | 0.07 | (i) | | | 3.26 | | | | 1.14 | (i) | | | 53 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.51 | | | | 50.54 | | | | 3.22 | | | | 3.22 | | | | 11,591,489,504 | | | | 0.18 | | | | 2.53 | | | | 0.22 | | | | 46 | |
| | 50.20 | | | | 50.23 | | | | 2.68 | | | | 2.66 | | | | 5,703,062,275 | | | | 0.17 | | | | 2.74 | | | | 0.28 | | | | 43 | |
| | 50.01 | | | | 50.05 | | | | 1.25 | | | | 1.33 | (h) | | | 200,051,266 | | | | 0.16 | (i) | | | 1.77 | | | | 0.55 | (i) | | | 25 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.53 | | | | 50.56 | | | | 2.09 | | | | 2.09 | | | | 207,185,582 | | | | 0.18 | | | | 1.55 | | | | 0.34 | | | | 153 | |
| | 50.26 | | | | 50.29 | | | | 1.16 | | | | 1.22 | (h) | | | 57,799,591 | | | | 0.17 | (i) | | | 1.88 | | | | 0.79 | (i) | | | 61 | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 50.95 | | | | 51.15 | | | | 12.25 | | | | 12.44 | | | | 91,713,454 | | | | 0.39 | | | | 4.64 | | | | 0.58 | | | | 53 | |
| | 47.52 | | | | 47.62 | | | | 2.29 | | | | 2.23 | | | | 61,776,747 | | | | 0.39 | | | | 4.96 | | | | 0.87 | | | | 28 | |
| | 48.83 | | | | 48.95 | | | | (2.03 | ) | | | (1.79 | )(h) | | | 53,713,929 | | | | 0.35 | (i) | | | 4.79 | | | | 2.74 | (i) | | | 2 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 223 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020
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 anopen-end management investment company.
The following are 10 separate funds of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report:
| | |
| | | Diversification Classification |
| JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | Diversified |
| JPMorgan Core Plus Bond ETF | | Diversified |
| JPMorgan Corporate Bond Research Enhanced ETF | | Diversified |
| JPMorgan Global Bond Opportunities ETF | | Diversified |
| JPMorgan High Yield Research Enhanced ETF* | | Diversified |
| JPMorgan Municipal ETF | | Diversified |
| JPMorgan U.S. Aggregate Bond ETF | | Diversified |
| JPMorgan Ultra-Short Income ETF | | Diversified |
| JPMorgan Ultra-Short Municipal Income ETF | | Diversified |
| JPMorgan USD Emerging Markets Sovereign Bond ETF | | Diversified |
| * | Effective September 9, 2019, JPMorgan Disciplined High Yield ETF changed its name to JPMorgan High Yield Research Enhanced ETF. |
JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF (the “BetaBuilders1-5 Year U.S. Aggregate Bond ETF”) commenced operations on March 12, 2019. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the Bloomberg Barclays Short-Term US Aggregate Bond Index.
JPMorgan Core Plus Bond ETF (the “Core Plus Bond ETF”) commenced operations on January 28, 2019. The investment objective of the Fund is to seek a high level of current income by investing primarily in a diversified portfolio of high-, medium- andlow-grade debt securities.
JPMorgan Corporate Bond Research Enhanced ETF (the “Corporate Bond Research Enhanced ETF”) commenced operations on December 12, 2018. The investment objective of the Fund is to seek to provide total return from a portfolio of investment grade corporate bonds.
The investment objective of JPMorgan Global Bond Opportunities ETF (the “Global Bond Opportunities ETF”) is to seek to provide total return.
The investment objective of JPMorgan High Yield Research Enhanced ETF (the “High Yield Research Enhanced ETF”) is to seek to provide a high level of income with capital appreciation as a secondary objective.
JPMorgan Municipal ETF (the “Municipal ETF”) commenced operations on October 29, 2018. The investment objective of the Fund is to seek to provide monthly dividends, which are excluded from gross income, and to protect the value of your investment by investing primarily in municipal obligations. For purposes of the Fund’s investment objective, “gross income” means gross income for federal income tax purposes.
JPMorgan U.S. Aggregate Bond ETF (the “U.S. Aggregate Bond ETF”) commenced operations on December 12, 2018. The investment objective of the Fund is to seek long-term total return.
The investment objective of JPMorgan Ultra-Short Income ETF (the “Ultra-Short Income ETF”) is to seek to provide current income while seeking to maintain a low volatility of principal.
JPMorgan Ultra-Short Municipal Income ETF (the “Ultra-Short Municipal Income ETF”) commenced operations on October 16, 2018. The investment objective of the Fund is to seek to provide as high a level of current income exempt from federal income tax as is consistent with relative stability of principal.
The investment objective of JPMorgan USD Emerging Markets Sovereign Bond ETF (the “USD Emerging Markets Sovereign Bond ETF”) is to seek investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Emerging Markets Risk-Aware Bond Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
| | | | | | |
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| 224 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
Shares of each Fund are listed and traded at market price on an exchange as follows:
| | |
| | | Listing Exchange |
| BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | Cboe BZX Exchange, Inc. |
| Core Plus Bond ETF | | Cboe BZX Exchange, Inc. |
| Corporate Bond Research Enhanced ETF | | NYSE Arca, Inc. |
| Global Bond Opportunities ETF | | Cboe BZX Exchange, Inc. |
| High Yield Research Enhanced ETF | | Cboe BZX Exchange, Inc. |
| Municipal ETF | | Cboe BZX Exchange, Inc. |
| U.S. Aggregate Bond ETF | | NYSE Arca, Inc. |
| Ultra-Short Income ETF | | Cboe BZX Exchange, Inc. |
| Ultra-Short Municipal Income ETF | | Cboe BZX Exchange, Inc. |
| USD Emerging Markets Sovereign Bond ETF | | NYSE Arca, 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 JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units” as shown in the table below:
| | | | |
| | | Shares per Creation Unit | |
BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | | 50,000 | |
Core Plus Bond ETF | | | 100,000 | |
Corporate Bond Research Enhanced ETF | | | 25,000 | |
Global Bond Opportunities ETF | | | 100,000 | |
High Yield Research Enhanced ETF | | | 100,000 | |
Municipal ETF | | | 50,000 | |
U.S. Aggregate Bond ETF | | | 50,000 | |
Ultra-Short Income ETF | | | 50,000 | |
Ultra-Short Municipal Income ETF | | | 50,000 | |
USD Emerging Markets Sovereign Bond ETF | | | 100,000 | |
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 (“FASB”) Accounting Standards Codification Topic 946— Investment Companies, which is part of 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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 Asset 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.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 225 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Fixed income instruments are valued based on prices received from 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 inopen-end investment companies, excluding exchange-traded funds (“ETFs”) (“Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.
See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value level 3 securities held by Core Plus Bond ETF and Global Bond Opportunities ETF at February 29, 2020.
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 tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
BetaBuilders1-5 Year U.S. Aggregate Bond ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 402,619 | | | $ | — | | | $ | 402,619 | |
Commercial Mortgage-Backed Securities | | | — | | | | 768,096 | | | | 62,077 | | | | 830,173 | |
Corporate Bonds | | | — | | | | 9,145,545 | | | | — | | | | 9,145,545 | |
Foreign Government Securities | | | — | | | | 523,907 | | | | — | | | | 523,907 | |
Mortgage-Backed Securities | | | — | | | | 2,503,690 | | | | — | | | | 2,503,690 | |
Municipal Bonds | | | — | | | | 43,705 | | | | — | | | | 43,705 | |
Supranational | | | — | | | | 1,086,869 | | | | — | | | | 1,086,869 | |
U.S. Government Agency Securities | | | — | | | | 899,136 | | | | — | | | | 899,136 | |
U.S. Treasury Obligations | | | — | | | | 21,859,235 | | | | — | | | | 21,859,235 | |
Short-Term Investments | | | | | | | | | |
Investment Companies | | | 95,622 | | | | — | | | | — | | | | 95,622 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 95,622 | | | $ | 37,232,802 | | | $ | 62,077 | | | $ | 37,390,501 | |
| | | | | | | | | | | | | | | | |
| | | | | | |
| | | |
| 226 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
Core Plus Bond ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 4,119,863 | | | $ | 2,033,177 | | | $ | 6,153,040 | |
Collateralized Mortgage Obligations | | | – | | | | 2,537,892 | | | | 691,915 | | | | 3,229,807 | |
Commercial Mortgage-Backed Securities | | | – | | | | 2,281,719 | | | | 150,000 | | | | 2,431,719 | |
Corporate Bonds | | | — | | | | 14,487,371 | | | | — | | | | 14,487,371 | |
Mortgage-Backed Securities | | | — | | | | 12,342,133 | | | | — | | | | 12,342,133 | |
Preferred Stocks | | | — | | | | 3,078 | | | | — | | | | 3,078 | |
U.S. Government Agency Securities | | | — | | | | 120,794 | | | | — | | | | 120,794 | |
U.S. Treasury Obligations | | | — | | | | 8,864,586 | | | | — | | | | 8,864,586 | |
Short-Term Investments | | | | | | | | | |
Investment Companies | | | 10,592,327 | | | | — | | | | — | | | | 10,592,327 | |
U.S. Treasury Obligations | | | — | | | | 1,003,877 | | | | — | | | | 1,003,877 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | 10,592,327 | | | | 1,003,877 | | | | — | | | | 11,596,204 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 10,592,327 | | | $ | 45,761,313 | | | $ | 2,875,092 | | | $ | 59,228,732 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | |
Futures Contracts | | $ | 75,574 | | | $ | — | | | $ | — | | | $ | 75,574 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | |
Futures Contracts | | $ | (6,190 | ) | | $ | — | | | $ | — | | | $ | (6,190 | ) |
| | | | | | | | | | | | | | | | |
Corporate Bond Research Enhanced ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 72,554 | | | $ | — | | | $ | 72,554 | |
Corporate Bonds | | | — | | | | 34,210,542 | | | | — | | | | 34,210,542 | |
U.S. Treasury Obligations | | | — | | | | 138,239 | | | | — | | | | 138,239 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 326,606 | | | | — | | | | — | | | | 326,606 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 326,606 | | | $ | 34,421,335 | | | $ | — | | | $ | 34,747,941 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | |
Futures Contracts | | $ | 31,724 | | | $ | — | | | $ | — | | | $ | 31,724 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | |
Futures Contracts | | $ | (29,204 | ) | | $ | — | | | $ | — | | | $ | (29,204 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 227 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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 | | | | | | | | | | | | | | | | |
Cayman Islands | | $ | — | | | $ | 757,216 | | | $ | 348,565 | | | $ | 1,105,781 | |
United States | | | — | | | | 9,388,031 | | | | 4,749,667 | | | | 14,137,698 | |
| | | | | | | | | | | | | | | | |
Total Asset-Backed Securities | | | — | | | | 10,145,247 | | | | 5,098,232 | | | | 15,243,479 | |
| | | | | | | | | | | | | | | | |
Collateralized Mortgage Obligations | | | | | | | | | | | | | | | | |
United States | | | — | | | | 9,137,478 | | | | 153,617 | | | | 9,291,095 | |
Other Collateralized Mortgage Obligations | | | — | | | | 575,618 | | | | — | | | | 575,618 | |
| | | | | | | | | | | | | | | | |
Total Collateralized Mortgage Obligations | | | — | | | | 9,713,096 | | | | 153,617 | | | | 9,866,713 | |
| | | | | | | | | | | | | | | | |
Commercial Mortgage-Backed Securities | | | | | | | | | | | | | | | | |
United States | | | — | | | | 6,564,501 | | | | 1,776,971 | | | | 8,341,472 | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Luxembourg | | | — | | | | 1,673,330 | | | | 336,188 | | | | 2,009,518 | |
United States | | | — | | | | 45,602,682 | | | | — | (a) | | | 45,602,682 | |
Other Corporate Bonds | | | — | | | | 34,783,980 | | | | — | | | | 34,783,980 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 82,059,992 | | | | 336,188 | | | | 82,396,180 | |
| | | | | | | | | | | | | | | | |
Foreign Government Securities | | | — | | | | 44,319,254 | | | | — | | | | 44,319,254 | |
Supranational | | | — | | | | 216,812 | | | | — | | | | 216,812 | |
U.S. Treasury Obligations | | | — | | | | 64,871 | | | | — | | | | 64,871 | |
Warrants | | | — | | | | 86 | | | | — | | | | 86 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 2,920,684 | | | | — | | | | — | | | | 2,920,684 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 2,920,684 | | | $ | 153,083,859 | | | $ | 7,365,008 | | | $ | 163,369,551 | |
| | | | | | | | | | | | | | | | |
Appreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 1,071,446 | | | $ | — | | | $ | 1,071,446 | |
Futures Contracts | | | 579,282 | | | | — | | | | — | | | | 579,282 | |
Swaps | | | — | | | | 347,961 | | | | — | | | | 347,961 | |
| | | | | | | | | | | | | | | | |
Total Appreciation in Other Financial Instruments | | $ | 579,282 | | | $ | 1,419,407 | | | $ | — | | | $ | 1,998,689 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (1,151,697 | ) | | $ | — | | | $ | (1,151,697 | ) |
Futures Contracts | | | (538,228 | ) | | | — | | | | — | | | | (538,228 | ) |
Swaps | | | — | | | | (299,795 | ) | | | — | | | | (299,795 | ) |
| | | | | | | | | | | | | | | | |
Total Depreciation in Other Financial Instruments | | $ | (538,228 | ) | | $ | (1,451,492 | ) | | $ | — | | | $ | (1,989,720 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | |
| | | |
| 228 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
High Yield Research Enhanced ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Corporate Bonds | | | | | | | | | | | | | | | | |
Wireless Telecommunication Services | | $ | — | | | $ | 6,130,764 | | | $ | 808,890 | | | $ | 6,939,654 | |
Other Corporate Bonds | | | — | | | | 161,061,764 | | | | — | | | | 161,061,764 | |
| | | | | | | | | | | | | | | | |
Total Corporate Bonds | | | — | | | | 167,192,528 | | | | 808,890 | | | | 168,001,418 | |
| | | | | | | | | | | | | | | | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 1,006,572 | | | | — | | | | — | | | | 1,006,572 | |
Investment of cash collateral from securities loaned | | | 2,675,130 | | | | — | | | | — | | | | 2,675,130 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | 3,681,702 | | | | — | | | | — | | | | 3,681,702 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 3,681,702 | | | $ | 167,192,528 | | | $ | 808,890 | * | | $ | 171,683,120 | |
| | | | | | | | | | | | | | | | |
Municipal ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(b) | | $ | 5,501,376 | | | $ | 51,501,039 | | | $ | — | | | $ | 57,002,415 | |
| | | | | | | | | | | | | | | | |
U.S. Aggregate Bond ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 2,121,469 | | | $ | — | | | $ | 2,121,469 | |
Commercial Mortgage-Backed Securities | | | — | | | | 11,170,680 | | | | 379,655 | | | | 11,550,335 | |
Corporate Bonds | | | — | | | | 137,255,351 | | | | — | | | | 137,255,351 | |
Foreign Government Securities | | | — | | | | 9,381,539 | | | | — | | | | 9,381,539 | |
Mortgage-Backed Securities | | | — | | | | 141,500,484 | | | | — | | | | 141,500,484 | |
Municipal Bonds | | | — | | | | 3,174,965 | | | | — | | | | 3,174,965 | |
Supranational | | | — | | | | 7,215,844 | | | | — | | | | 7,215,844 | |
U.S. Government Agency Securities | | | — | | | | 6,381,245 | | | | — | | | | 6,381,245 | |
U.S. Treasury Obligations | | | — | | | | 217,788,378 | | | | — | | | | 217,788,378 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Investment Companies | | | 1,208,867 | | | | — | | | | — | | | | 1,208,867 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 1,208,867 | | | $ | 535,989,955 | | | $ | 379,655 | | | $ | 537,578,477 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 229 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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 | | $ | — | | | $ | 1,193,530,077 | | | $ | 6,037,333 | | | $ | 1,199,567,410 | |
Certificates of Deposit | | | — | | | | 254,885,787 | | | | — | | | | 254,885,787 | |
Collateralized Mortgage Obligations | | | — | | | | 87,577,035 | | | | — | | | | 87,577,035 | |
Commercial Mortgage-Backed Securities | | | — | | | | 92,596,172 | | | | — | | | | 92,596,172 | |
Corporate Bonds | | | — | | | | 7,049,565,836 | | | | — | | | | 7,049,565,836 | |
Foreign Government Securities | | | — | | | | 200,213 | | | | — | | | | 200,213 | |
U.S. Treasury Obligations | | | — | | | | 647,025,437 | | | | — | | | | 647,025,437 | |
Short-Term Investments | | | | | | | | | | | | | | | | |
Certificates of Deposit | | | — | | | | 593,481,810 | | | | — | | | | 593,481,810 | |
Commercial Paper | | | — | | | | 710,172,906 | | | | — | | | | 710,172,906 | |
Investment Companies | | | 667,817,128 | | | | — | | | | — | | | | 667,817,128 | |
Investment of cash collateral from securities loaned | | | 2,286,200 | | | | — | | | | — | | | | 2,286,200 | |
Repurchase Agreements | | | — | | | | 161,000,000 | | | | — | | | | 161,000,000 | |
| | | | | | | | | | | | | | | | |
Total Short-Term Investments | | | 670,103,328 | | | | 1,464,654,716 | | | | — | | | | 2,134,758,044 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 670,103,328 | | | $ | 10,790,035,273 | | | $ | 6,037,333 | | | $ | 11,466,175,934 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | | | | | | | | | | | | | | | | |
Futures Contracts | | $ | (194,982 | ) | | $ | — | | | $ | — | | | $ | (194,982 | ) |
| | | | | | | | | | | | | | | | |
Ultra-Short Municipal Income ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Total Investments in Securities(b) | | $ | 8,637,248 | | | $ | 201,651,224 | | | $ | — | | | $ | 210,288,472 | |
| | | | | | | | | | | | | | | | |
USD Emerging Markets Sovereign Bond ETF
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2
Other significant
observable inputs | | | Level 3
Significant
unobservable inputs | | | Total | |
Investments in Securities | | | | | | | | | | | | | | | | |
Corporate Bonds | | $ | — | | | $ | 10,731,043 | | | $ | — | | | $ | 10,731,043 | |
Foreign Government Securities | | | — | | | | 78,557,093 | | | | — | | | | 78,557,093 | |
Short-Term Investments | | | | | | | | | |
Investment Companies | | | 355,735 | | | | — | | | | — | | | | 355,735 | |
| | | | | | | | | | | | | | | | |
Total Investments in Securities | | $ | 355,735 | | | $ | 89,288,136 | | | $ | — | | | $ | 89,643,871 | |
| | | | | | | | | | | | | | | | |
| (b) | All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOIs. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Please refer to the SOIs for industry specifics of portfolio holdings. |
| * | Level 3 securities are valued by brokers and pricing services. At February 29, 2020, the value of these securities was $809,890. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of broker and vendor due diligence, unchanged price review and consideration of macro or security specific events. |
| | | | | | |
| | | |
| 230 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Core Plus Bond ETF | | Balance as of
February 28,
2019 | | | Realized
gain (loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Net
accretion
(amortization) | | | Purchases1 | | | Sales2 | | | Transfers
into Level 3 | | | Transfers
out
of Level 3 | | | Balance as of
February 29,
2020 | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | $ | — | | | $ | 1,853 | | | $ | 46,335 | | | $ | (103 | ) | | $ | 1,619,698 | | | $ | (254,181 | ) | | $ | 619,575 | | | $ | — | | | $ | 2,033,177 | |
Collateralized Mortgage Obligations | | | — | | | | — | | | | 18,533 | | | | (103 | ) | | | 695,121 | | | | (21,636 | ) | | | — | | | | — | | | | 691,915 | |
Commercial Mortgage-Backed Securities | | | — | | | | — | | | | — | | | | — | | | | 150,000 | | | | — | | | | — | | | | — | | | | 150,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | — | | | $ | 1,853 | | | $ | 64,868 | | | $ | (206 | ) | | $ | 2,464,819 | | | $ | (275,817 | ) | | $ | 619,575 | | | $ | — | | | $ | 2,875,092 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond Opportunities ETF | | Balance as of
February 28,
2019 | | | Realized
gain (loss) | | | Change in
unrealized
appreciation
(depreciation) | | | Net accretion
(amortization) | | | Purchases1 | | | Sales2 | | | Transfers
into Level 3 | | | Transfers
out
of Level 3 | | | Balance as
February 29,
2020 | |
Investments in Securities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities — Cayman Islands | | $ | 425,781 | | | $ | (1,269 | ) | | $ | 231 | | | $ | (6 | ) | | $ | — | | | $ | (76,172 | ) | | $ | — | | | $ | — | | | $ | 348,565 | |
Asset-Backed Securities — United States | | | 4,653,873 | | | | 2,118 | | | | 73,292 | | | | 14 | | | | 2,294,932 | | | | (2,609,226 | ) | | | 334,664 | | | | — | | | | 4,749,667 | |
Collateralized Mortgage
Obligations — United States | | | — | | | | — | | | | 3,624 | | | | — | | | | 149,993 | | | | — | | | | — | | | | — | | | | 153,617 | |
Commercial Mortgage-Backed Securities — United States | | | 2,809,277 | | | | 25,131 | | | | 60,492 | | | | 949 | | | | 249,979 | | | | (1,368,857 | ) | | | — | | | | — | | | | 1,776,971 | |
Corporate Bonds — Luxembourg | | | — | | | | — | | | | 12,682 | | | | (127 | ) | | | 323,633 | | | | — | | | | — | | | | — | | | | 336,188 | |
Corporate Bonds — United States | | | — | (a) | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | (a) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 7,888,931 | | | $ | 25,980 | | | $ | 150,321 | | | $ | 830 | | | $ | 3,018,537 | | | $ | (4,054,255 | ) | | $ | 334,664 | | | $ | — | | | $ | 7,365,008 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all purchases, maturities, paydown and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 29, 2020, which were valued using significant unobservable inputs (level 3) were as follows:
| | | | |
Core Plus Bond ETF | | $ | 64,868 | |
Global Bond Opportunities ETF | | | 130,303 | |
Transfers from level 2 and level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack or increase of available market inputs to determine the price for the year ended February 29, 2020 for Core Plus Bond ETF.
There were no significant transfers into or out of level 3 for the year ended February 29, 2020 for Global Bond Opportunities ETF.
Core Plus Bond ETF
Quantitative Information about Level 3 Fair Value Measurements
| | | | | | | | | | | | |
| | | Fair Value at
February 29, 2020 | | | Valuation Technique(s) | | Unobservable Input | | Range (Weighted Average) (a) | |
| | $ | 2,725,092 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 0.00% - 100.00% (34.19%) | |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | 1.89% - 3.67% (2.63%) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | | 2,725,092 | | | | | | | | | |
| | | | | | | | | | | | |
| | | 150,000 | | | Discounted Cash Flow | | Yield (Discount Rate of Cash Flows) | | | 3.58% (3.58%) | |
| | | | | | | | | | | | |
| Commercial Mortgage-Backed Securities | | | 150,000 | | | | | | | | | |
| | | | | | | | | | | | |
| Total | | $ | 2,875,092 | | | | | | | | | |
| | | | | | | | | | | | |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 231 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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.
Global Bond Opportunities ETF
Quantitative Information about Level 3 Fair Value Measurements#
| | | | | | | | | | | | |
| | |
| | | Fair Value at
February 29, 2020 | | | Valuation Technique(s) | | Unobservable Input | | Range (Weighted Average) (a) | |
| | $ | 4,749,667 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 0.00% - 35.00% (16.99%) | |
| | | | | | | | Constant Default Rate | | | 0.00% - 3.00% (0.34%) | |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | 1.85% - 6.74% (3.47%) | |
| | | | | | | | | | | | |
| Asset-Backed Securities | | | 4,749,667 | | | | | | | | | |
| | | | | | | | | | | | |
| | | 1,566,973 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 0.00% - 100.00% (15.06%) | |
| | | | | | | | Constant Default Rate | | | 0.00% - 2.00% (0.30%) | |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | (15.14)% - 3.92% (2.29%) | |
| | | | | | | | | | | | |
| Commercial Mortgage-Backed Securities | | | 1,566,973 | | | | | | | | | |
| | | | | | | | | | | | |
| | | 153,617 | | | Discounted Cash Flow | | Constant Prepayment Rate | | | 20.00% (20.00%) | |
| | | | | | | | Yield (Discount Rate of Cash Flows) | | | 3.24% (3.24%) | |
| | | | | | | | | | | | |
| Collateralized Mortgage Obligations | | | 153,617 | | | | | | | | | |
| | | | | | | | | | | | |
| Total | | $ | 6,470,257 | | | | | | | | | |
| | | | | | | | | | | | |
| # | The table above does not include certain level 3 securities that are valued by brokers and pricing services. At February 29, 2020, the value of these securities was $894,751. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
| (a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
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, as amended (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 NAVs of the Funds.
As of February 29, 2020, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. When-Issued Securities, Delayed Delivery Securities and Forward Commitments —BetaBuilders1-5 Year U.S. Aggregate Bond ETF, Core Plus Bond ETF, Municipal ETF, U.S. Aggregate Bond ETF and Ultra-Short Municipal Income ETF purchased when-issued securities, including To Be Announced (“TBA”) securities, and entered into contracts to purchase or sell securities for a fixed price that may be settled a month or more after the trade date. When-issued securities are securities that have been authorized, but not issued in the market. A forward commitment involves entering into a contract to purchase or sell securities for a fixed price at a future date that may be settled a month or more after the trade date. A delayed delivery security is agreed upon in advance between the buyer and the seller of the security and is generally delivered beyond seven days of the agreed upon date. The purchase of securities on a when-issued, delayed delivery or forward commitment basis involves the risk that the value of the security to be purchased declines before the settlement date. The sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. The Funds may be exposed to credit risk if the counterparty fails to perform under the terms of the transaction. Interest income for securities purchased on a when-issued, delayed delivery or forward commitment basis is not accrued until the settlement date.
Core Plus Bond ETF, Municipal ETF and Ultra-Short Municipal Income ETF had delayed delivery securities outstanding as of February 29, 2020, which are shown as a Receivable for Investment securities sold — delayed delivery securities and Payable for Investment securities purchased — delayed delivery securities, respectively, on the Statements of Assets and Liabilities (“SAL”). The values of these securities held at February 29, 2020 are detailed on the SOIs.
| | | | | | |
| | | |
| 232 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
D. Repurchase Agreements — The Funds may enter into repurchase agreement transactions that meet the credit guidelines of JPMIM. 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.
E. Derivatives — The Funds used derivative instruments including futures and forward foreign currency exchange contracts, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the potential lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the SAL.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ 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 Funds in the event the Funds’ net assets decline over time by apre-determined percentage or fall below apre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a 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 against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Funds.
Notes (1) — (3) below describe the various derivatives used by the Funds.
(1). Futures Contracts — The Core Bond Plus ETF, Corporate Bond Research Enhanced ETF, Global Bond Opportunities ETF and Ultra-Short Income ETF used treasury futures contracts to manage and hedge interest rate risk associated with portfolio investments. The Funds also purchased futures contracts to immediately invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
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 Funds are 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 Funds 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 on the Statements of Operations (“SOP”). 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 on the SOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the SAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the SAL.
The use of futures contracts exposes the Funds to interest rate risk. The Funds 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 Funds to risk of loss in excess of the amounts shown on the SAL, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds 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 Funds’ 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 Funds’ 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).
(2). Forward Foreign Currency Exchange Contracts — The Global Bond Opportunities ETF is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 233 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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 the 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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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 fornon-deliverable forward foreign currency exchange contracts.
(3). Swaps —The Global Bond Opportunities ETF engaged in various swap transactions, including credit default and index swaps, to manage credit and interest rate (e.g., duration, yield curve) risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over the counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, on the SAL and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the SAL at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the SAL. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the SAL. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the SOP. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund, otherwise the cash collateral is included on the SAL as Restricted cash.
The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Credit Default Swaps
The Global Bond Opportunities ETF entered into credit default and interest rate swaps to simulate long and/or short bond positions or to take an active long and/or short position with respect to the likelihood of a default or credit event by the issuer of the underlying reference obligation.
The underlying reference obligation may be a single issuer of corporate or sovereign debt, a basket of issuers or a credit index. A credit index is a list of credit instruments or exposures that reference a fixed number of obligors with shared characteristics that represents some part of the credit market as a whole. Index credit default swaps have standardized terms including a fixed spread and standard maturity dates. The composition of the obligations within a particular index changes periodically.
Credit default swaps involve one party, the protection buyer, making a stream of payments to another party, the protection seller, in exchange for the right to receive a contingent payment if there is a credit event related to the underlying reference obligation. In the event that the reference obligation matures prior to the termination date of the contract, a similar security will be substituted for the duration of the contract term. Credit events are defined under individual swap agreements and generally include bankruptcy, failure to pay, restructuring, repudiation/moratorium, obligation acceleration and obligation default.
If a credit event occurs, the Fund, as protection seller, would be obligated to make a payment, which may be either: (i) a net cash settlement equal to the notional amount of the swap less the auction value of the reference obligation or (ii) the notional amount of the swap in exchange for the delivery of the reference obligation. Selling protection effectively adds leverage to the Fund’s portfolio up to the notional amount of swap agreements. The notional amount represents the maximum potential liability under a contract and is not reflected on the SAL. Potential liabilities under these contracts may be reduced by: the auction rates of the underlying reference obligations; upfront payments received at the inception of a swap; and net amounts received from credit default swaps purchased with the identical reference obligation.
Interest Rate Swaps
The Global Bond Opportunities ETF entered into interest rate swap contracts to manage fund exposure to interest rates or to either preserve or generate a return on a particular investment or portion of their portfolios. These are agreements between counterparties to exchange periodic interest payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically based on a fixed interest rate.
| | | | | | |
| | | |
| 234 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of February 29, 2020 by their primary underlying risk exposure and respective location on the SAL:
| | | | | | |
|
| Core Plus Bond ETF | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | |
| Gross Assets: | | | | Futures
Contracts (a) | |
| Interest rate contracts | | Receivables, Net assets — Unrealized Appreciation | | $ | 75,574 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
| Interest rate contracts | | Payables, Net assets — Unrealized Depreciation | | $ | (6,190 | ) |
| | | | | | |
| (a) | This amount reflects the cumulative appreciation/depreciation of futures contracts as reported on the SOIs. The SAL only reflects the current day variation margin receivable/payable from/to brokers. |
| | | | | | |
|
| Corporate Bond Research Enhanced ETF | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | |
| Gross Assets: | | | | Futures
Contracts (a) | |
| Interest rate contracts | | Receivables, Net assets — Unrealized Appreciation | | $ | 31,724 | |
| | | | | | |
| | |
Gross Liabilities: | | | | | |
| Interest rate contracts | | Payables, Net assets — Unrealized Depreciation | | $ | (29,204 | ) |
| | | | | | |
| (a) | This amount reflects the cumulative appreciation/depreciation of futures contracts as reported on the SOIs. The SAL only reflects the current day variation margin receivable/payable from/to brokers. |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Global Bond Opportunities ETF | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | | |
| Gross Assets: | | | | | Futures
Contracts (a) | | | Forward Foreign
Currency Exchange
Contracts | | | Centrally
Cleared
Swaps(b) | | | OTC Swaps | | | Total | |
| Foreign exchange contracts | | | Receivables | | | $ | — | | | $ | 1,071,446 | | | $ | — | | | $ | — | | | $ | 1,071,446 | |
| Interest rate contracts | |
| Receivables, Net assets
— Unrealized Appreciation |
| | | 579,282 | | | | — | | | | 229,872 | | | | — | | | | 809,154 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 579,282 | | | $ | 1,071,446 | | | $ | 229,872 | | | $ | — | | | $ | 1,880,600 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Gross Liabilities: | | | | | | | | | | | | | | | | | | |
| Credit contracts | | | Payables | | | $ | — | | | $ | — | | | $ | (1,094,785 | ) | | $ | (17,394 | ) | | $ | (1,112,179 | ) |
| Foreign exchange contracts | | | Payables | | | | — | | | | (1,151,697 | ) | | | — | | | | — | | | | (1,151,697 | ) |
| Interest rate contracts | |
| Payables, Net assets —
Unrealized Depreciation |
| | | (538,228 | ) | | | — | | | | (279,359 | ) | | | — | | | | (817,587 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | (538,228 | ) | | $ | (1,151,697 | ) | | $ | (1,374,144 | ) | | $ | (17,394 | ) | | $ | (3,081,463 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | This amount reflects the cumulative appreciation/depreciation of futures contracts as reported on the SOIs. The SAL only reflects the current day variation margin receivable/payable from/to brokers. |
| (b) | This amount represents the value of centrally cleared swaps as reported on the SOIs. The SAL only reflects the current day variation margin receivable/payable from/to brokers. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 235 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | | | | | |
|
| Ultra-Short Income ETF | |
| Derivative Contracts | | Statements of Assets and Liabilities Location | | | |
| Gross Liabilities: | | | | Futures
Contracts (a) | |
| Interest rate contracts | | Payables, Net assets — Unrealized Depreciation | | $ | (194,982 | ) |
| | | | | | |
| (a) | This amount reflects the cumulative appreciation/depreciation of futures contracts as reported on the SOIs. The SAL only reflects the current day variation margin receivable/payable from/to brokers. |
The following table presents 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 February 29, 2020.
Global Bond Opportunities ETF
| | | | | | | | | | | | | | | | |
| Counterparty | | Gross Amount of Derivative Assets
Subject to Netting Arrangements
Presented on the Statements of Assets and
Liabilities(a) | | | Derivatives
Available for Offset | | | Collateral
Received | | | Net Amount Due
from Counterparty
(not less than zero) | |
Barclays Bank plc | | $ | 101,681 | | | $ | — | | | $ | — | | | $ | 101,681 | |
BNP Paribas | | | 117,874 | | | | (10,230 | ) | | | — | | | | 107,644 | |
Citibank, NA | | | 198,137 | | | | (198,137 | ) | | | — | | | | — | |
Goldman Sachs International | | | 397,341 | | | | (397,341 | ) | | | — | | | | — | |
HSBC Bank, NA | | | 153,201 | | | | (153,201 | ) | | | — | | | | — | |
Merrill Lynch International | | | 74,463 | | | | (25,253 | ) | | | — | | | | 49,210 | |
State Street Corp. | | | 17,715 | | | | (9,189 | ) | | | — | | | | 8,526 | |
TD Bank Financial Group | | | 11,034 | | | | — | | | | — | | | | 11,034 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,071,446 | | | $ | (793,351 | ) | | $ | — | | | $ | 278,095 | |
| | | | | | | | | | | | | | | | |
| | | | |
| Counterparty | | Gross Amount of Derivative Liabilities Subject to Netting Arrangements
Presented on the Statements of Assets and
Liabilities(a) | | | Derivatives
Available
for Offset | | | Collateral
Posted | | | Net Amount Due to Counterparty
(not less than zero) | |
BNP Paribas | | $ | 10,230 | | | $ | (10,230 | ) | | $ | — | | | $ | — | |
Citibank, NA | | | 236,430 | | | | (198,137 | ) | | | — | | | | 38,293 | |
Goldman Sachs International | | | 513,531 | | | | (397,341 | ) | | | — | | | | 116,190 | |
HSBC Bank, NA | | | 370,134 | | | | (153,201 | ) | | | — | | | | 216,933 | |
Merrill Lynch International | | | 25,253 | | | | (25,253 | ) | | | — | | | | — | |
Royal Bank of Canada | | | 4,324 | | | | — | | | | — | | | | 4,324 | |
State Street Corp. | | | 9,189 | | | | (9,189 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
Total | | $ | 1,169,091 | | | $ | (793,351 | ) | | $ | — | | | $ | 375,740 | |
| | | | | | | | | | | | | | | | |
| (a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the SAL. |
The following tables present the effect of derivatives on the SOP for the year ended February 29, 2020, by primary underlying risk exposure:
| | | | |
| Core Plus Bond ETF | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | 177,976 | |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | 72,568 | |
| | | | |
| | | | | | |
| | | |
| 236 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | |
| Corporate Bond Research Enhanced ETF | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | (61,385 | ) |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | 2,889 | |
| | | | |
| | | | | | | | | | | | | | | | |
| Global Bond Opportunities ETF | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | (299,676 | ) | | $ | (299,676 | ) |
Foreign exchange contracts | | | — | | | | 3,348,791 | | | | — | | | | 3,348,791 | |
Interest rate contracts | | | (1,158,577 | ) | | | — | | | | (418,282 | ) | | | (1,576,859 | ) |
| | | | | | | | | | | | | | | | |
Total | | $ | (1,158,577 | ) | | $ | 3,348,791 | | | $ | (717,958 | ) | | $ | 1,472,256 | |
| | | | | | | | | | | | | | | | |
|
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | | | Forward Foreign
Currency Exchange
Contracts | | | Swaps | | | Total | |
Credit contracts | | $ | — | | | $ | — | | | $ | 97,653 | | | $ | 97,653 | |
Foreign exchange contracts | | | — | | | | (671,255 | ) | | | — | | | | (671,255 | ) |
Interest rate contracts | | | 294,845 | | | | — | | | | (49,487 | ) | | | 245,358 | |
| | | | | | | | | | | | | | | | |
Total | | $ | 294,845 | | | $ | (671,255 | ) | | $ | 48,166 | | | $ | (328,244 | ) |
| | | | | | | | | | | | | | | | |
| | | | |
| Ultra-Short Income ETF | |
| Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | (860,103 | ) |
| | | | |
| Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | |
| Derivative Contracts | | Futures
Contracts | |
Interest rate contracts | | $ | (194,982 | ) |
| | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 237 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
Derivatives Volume
The table below discloses the volume of the Funds’ futures contracts and forward foreign currency exchange contracts activity during the year ended February 29, 2020. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
| | | | | | | | | | | | | | | | |
| | | Core Plus
Bond ETF | | | Corporate
Bond
Research
Enhanced
ETF | | | Global Bond
Opportunities
ETF | | | Ultra-Short
Income ETF | |
Futures Contracts — Interest: | | | | | | | | | | | | | | | | |
Average Notional Balance Long | | $ | 4,891,416 | | | $ | 1,428,014 | | | $ | 33,043,240 | | | $ | — | |
Average Notional Balance Short | | | 796,389 | (a) | | | 1,459,183 | | | | 70,454,162 | | | | 17,618,906 | (b) |
Ending Notional Balance Long | | | 6,916,156 | | | | 2,093,336 | | | | 43,161,014 | | | | — | |
Ending Notional Balance Short | | | 207,875 | | | | 1,601,656 | | | | 32,481,738 | | | | 17,183,906 | |
| | | | |
Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | |
Average Settlement Value Purchased | | | — | | | | — | | | | 37,317,653 | | | | — | |
Average Settlement Value Sold | | | — | | | | — | | | | 102,977,843 | | | | — | |
Ending Settlement Value Purchased | | | — | | | | — | | | | 63,706,368 | | | | — | |
Ending Settlement Value Sold | | | — | | | | — | | | | 108,615,302 | | | | — | |
| | | | |
Credit Default Swaps: | | | | | | | | | | | | | | | | |
Average Notional Balance — Buy Protection | | | — | | | | — | | | | 12,634,808 | | | | — | |
Ending Notional Balance — Buy Protection | | | — | | | | — | | | | 18,613,789 | | | | — | |
| | | | |
Interest Rate-Related Swaps: | | | | | | | | | | | | | | | | |
Average Notional Balance — Pays Fixed rate | | | — | | | | — | | | | 2,671,726 | | | | — | |
Average Notional Balance — Receives Fixed rate | | | — | | | | — | | | | 7,296,988 | | | | — | |
Ending Notional Balance — Pays Fixed Rate | | | — | | | | — | | | | 3,141,268 | | | | — | |
Ending Notional Balance — Receives Fixed Rate | | | — | | | | — | | | | 8,718,620 | | | | — | |
| (a) | For the period July 1, 2019 through February 29, 2020. |
| (b) | For the period January 1, 2020 through February 29, 2020. |
The Funds’ derivatives contracts held at February 29, 2020 are not accounted for as hedging instruments under GAAP.
F. Securities Lending — The Funds, except Global Bond Opportunities ETF, are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain loan fees and the interest on cash collateral investments but are required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the SOP as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the SOP.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certainde minimis amounts.
The value of securities out on loan is recorded as an asset on the SALs. The value of the cash collateral received is recorded as a liability on the SAL and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses
| | | | | | |
| | | |
| 238 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of February 29, 2020.
| | | | | | | | | | | | |
| | | Investment Securities
on Loan, at Value,
Presented on the
Statements of Assets
and Liabilities | | | Cash Collateral
Posted by Borrower* | | | Net Amount Due to Counterparty
(not less than zero) | |
High Yield Research Enhanced ETF | | $ | 2,524,615 | | | $ | (2,524,615 | ) | | $ | — | |
Ultra-Short Income ETF | | | 2,237,841 | | | | (2,237,841 | ) | | | — | |
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived management fees and investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. For the year ended February 29, 2020, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
| | | | |
Core Plus Bond ETF | | $ | 13 | |
High Yield Research Enhanced ETF | | | 2,648 | |
U.S. Aggregate Bond ETF | | | 22 | |
Ultra-Short Income ETF | | | 2,245 | |
USD Emerging Markets Sovereign Bond ETF | | | 308 | |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the SOP as Income from securities lending (net).
BetaBuilders1-5 Year U.S. Aggregate Bond ETF, Corporate Bond Research Enhanced ETF, Municipal ETF and Ultra-Short Municipal Income ETF did not lend out any securities during the period ended February 29, 2020.
G. Investment Transactions with Affiliates — The Funds invested in Underlying Funds which are advised by the Adviser. 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 issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the tables below. Included in the purchases and sales amounts in the tables below are exchanges between certain shares of the Underlying Funds. Such exchanges are not treated as purchases and sales for the purpose of recognizing realized gains (losses) or calculating portfolio turnover.
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the period ended February 29, 2020 | |
| Security Description | | Value at
March 12,
2019 (a) | | | Purchases
at Cost | | | Proceeds from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February
29, 2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | $ | — | | | $ | 3,437,091 | | | $ | 3,341,469 | | | $ | — | | | $ | — | | | $ | 95,622 | | | | 95,622 | | | $ | 1,651 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 239 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
Core Plus Bond ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class IM Shares (b) | | $ | — | | | $ | 2,110,761 | | | $ | 2,110,761 | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 367 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | | 6,071,775 | | | | 39,358,442 | | | | 34,837,890 | | | | — | | | | — | | | | 10,592,327 | | | | 10,592,327 | | | | 59,855 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 6,071,775 | | | $ | 41,469,203 | | | $ | 36,948,651 | | | $ | — | | | $ | — | | | $ | 10,592,327 | | | | | | | $ | 60,222 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Corporate Bond Research Enhanced ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | $ | 307,539 | | | $ | 9,163,854 | | | $ | 9,144,787 | | | $ | — | | | $ | — | | | $ | 326,606 | | | | 326,606 | | | $ | 4,669 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Global Bond Opportunities ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | $ | 10,805,532 | | | $ | 92,151,622 | | | $ | 100,036,470 | | | $ | — | | | $ | — | | | $ | 2,920,684 | | | | 2,920,684 | | | $ | 78,079 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
High Yield Research Enhanced ETF | |
|
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (b) (c) | | $ | 4,202,920 | | | $ | 40,011,117 | | | $ | 41,538,907 | | | $ | — | | | $ | — | | | $ | 2,675,130 | | | | 2,675,130 | | | $ | 69,477 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | | 2,621,250 | | | | 51,138,646 | | | | 52,753,324 | | | | — | | | | — | | | | 1,006,572 | | | | 1,006,572 | | | | 62,528 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 6,824,170 | | | $ | 91,149,763 | | | $ | 94,292,231 | | | $ | — | | | $ | — | | | $ | 3,681,702 | | | | | | | $ | 132,005 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Municipal ETF | |
|
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (b) (c) | | $ | 1,050,773 | | | $ | 45,994,057 | | | $ | 41,544,189 | | | $ | 721 | | | $ | 14 | | | $ | 5,501,376 | | | | 5,501,376 | | | $ | 22,857 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | |
| 240 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
U.S. Aggregate Bond ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
Security
Description | | Value at February 28, 2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | �� | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class IM Shares (b) | | $ | — | | | $ | 578,785 | | | $ | 578,785 | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 647 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | | 337,456 | | | | 111,753,498 | | | | 110,882,087 | | | | — | | | | — | | | | 1,208,867 | | | | 1,208,867 | | | | 17,206 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 337,456 | | | $ | 112,332,283 | | | $ | 111,460,872 | | | $ | — | | | $ | — | | | $ | 1,208,867 | | | | | | | $ | 17,853 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Ultra-Short Income ETF | |
|
| For the year ended February 29, 2020 | |
| Security Description | | Value at February 28, 2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain (Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.73% (b) (c) | | $ | — | | | $ | 16,000,000 | | | $ | 15,000,000 | | | $ | — | | | $ | — | | | $ | 1,000,000 | | | | 999,800 | | | $ | 38,313 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (b) (c) | | | — | | | | 53,600,938 | | | | 52,314,738 | | | | — | | | | — | | | | 1,286,200 | | | | 1,286,200 | | | | 54,002 | * | | | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | | 150,351,796 | | | | 5,568,798,915 | | | | 5,051,333,583 | | | | — | | | | — | | | | 667,817,128 | | | | 667,817,128 | | | | 4,301,860 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 150,351,796 | | | $ | 5,638,399,853 | | | $ | 5,118,648,321 | | | $ | — | | | $ | — | | | $ | 670,103,328 | | | | | | | $ | 4,394,175 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
Ultra-Short Municipal Income ETF | |
|
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 1.02% (b) (c) | | $ | 146,947 | | | $ | 183,307,949 | | | $ | 174,817,735 | | | $ | 87 | | | $ | — | | | $ | 8,637,248 | | | | 8,637,248 | | | $ | 49,330 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 241 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
USD Emerging Markets Sovereign Bond ETF
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases at Cost | | | Proceeds from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class IM Shares (b) | | $ | — | | | $ | 3,063,469 | | | $ | 3,063,469 | | | $ | — | | | $ | — | | | $ | — | | | | — | | | $ | 8,256 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (b) (c) | | | 353,654 | | | | 22,876,930 | | | | 22,874,849 | | | | — | | | | — | | | | 355,735 | | | | 355,735 | | | | 6,799 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 353,654 | | | $ | 25,940,399 | | | $ | 25,938,318 | | | $ | — | | | $ | — | | | $ | 355,735 | | | | | | | $ | 15,055 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Commencement of operations was March 12, 2019. |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (c) | The rate shown is the current yield as of February 29, 2020. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
H. 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 foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the SOP.
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 foreign withholding taxes recorded on each Fund’s 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 SOP. 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 SOP.
I. 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 Funds commenced operations. Total offering costs incurred were as follows:
| | | | |
Core Plus Bond ETF | | $ | 10,733 | |
Corporate Bond Research Enhanced ETF | | | 15,480 | |
Municipal ETF | | | 16,242 | |
U.S. Aggregate Bond ETF | | | 22,802 | |
Ultra-Short Municipal Income ETF | | | 18,516 | |
Costs paid in connection with the organization of the Funds, if any, were recorded as an expense at the time the Funds commenced operations and are included as part of Professional fees on the SOP. For the year ended February 29, 2020, total offering costs amortized were:
| | | | |
Core Plus Bond ETF | | $ | 9,821 | |
Corporate Bond Research Enhanced ETF | | | 12,299 | |
Municipal ETF | | | 10,947 | |
U.S. Aggregate Bond ETF | | | 18,117 | |
Ultra-Short Municipal Income ETF | | | 11,769 | |
J. 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 theex-dividend date or when a Fund first learns of the dividend.
| | | | | | |
| | | |
| 242 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
K. Allocation of Expenses — Prior to November 1, 2019, expenses directly attributable to a Fund were charged directly to that Fund, while the expenses attributable to more than one fund of the Trust were allocated among the applicable funds.
L. 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 (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains 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 February 29, 2020, no liability for Federal 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 Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
M. 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 their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gain tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
N. 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 each Fund 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.
The following amounts were reclassified within the capital accounts:
| | | | | | | | | | | | |
| | | Paid-in-Capital | | | Accumulated
undistributed
(distributions
in excess of)
net investment
income | | | Accumulated
net realized
gains (losses) | |
BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | $ | — | | | $ | 463 | | | $ | (463 | ) |
Core Plus Bond ETF | | | 70 | | | | 179 | | | | (249 | ) |
Corporate Bond Research Enhanced ETF | | | 28 | | | | 92 | | | | (120 | ) |
Global Bond Opportunities ETF | | | 282,217 | | | | 2,715,118 | | | | (2,997,335 | ) |
High Yield Research Enhanced ETF | | | 238,372 | | | | 104,316 | | | | (342,688 | ) |
Municipal ETF | | | (532 | ) | | | 298 | | | | 234 | |
U.S. Aggregate Bond ETF | | | 73 | | | | 3,526 | | | | (3,599 | ) |
Ultra-Short Income ETF | | | 74,493 | | | | 254,293 | | | | (328,786 | ) |
Ultra-Short Municipal Income ETF | | | (421 | ) | | | 5,253 | | | | (4,832 | ) |
USD Emerging Markets Sovereign Bond ETF | | | 164 | | | | (1,183 | ) | | | 1,019 | |
The reclassifications for the Funds relate primarily to callable bonds, investments in swap contracts and foreign currency gains or losses.
O.RecentAccounting Pronouncement — In March 2017, the FASB issuedAccounting Standards Update (“ASU”)2017-08 (“ASU2017-08”) Premium Amortization on Purchased Callable Debt Securities,which shortens the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Funds have adopted and applied ASU2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption. As a result of the adoption of ASU2017-08, as of March 1, 2019, the amortized cost basis of investments and unrealized appreciation (depreciation) of investments of the Funds were increased (decreased) by the amounts presented in the following table. The adoption of ASU2017-08 had no impact on beginning net assets, the current period results from operations, or any prior period information presented in the financial statements.
| | | | | | | | |
| | | Amortized Cost
Basis of
Investments | | | Unrealized
Appreciation
(Depreciation) of
Investments | |
Core Plus Bond ETF | | | (70 | ) | | | 70 | |
Corporate Bond Research Enhanced ETF | | | (28 | ) | | | 28 | |
Global Bond Opportunities ETF | | | (282,217 | ) | | | 282,217 | |
High Yield Research Enhanced ETF | | | (238,372 | ) | | | 238,372 | |
Municipal ETF | | | 532 | | | | (532 | ) |
U.S. Aggregate Bond ETF | | | (73 | ) | | | 73 | |
Ultra-Short Income ETF | | | (74,493 | ) | | | 74,493 | |
Ultra-Short Municipal Income ETF | | | 421 | | | | (421 | ) |
USD Emerging Markets Sovereign Bond ETF | | | (164 | ) | | | 164 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 243 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
3. Fees and Other Transactions with Affiliates
A. Management Fee — JPMIM manages the investments of each Fund pursuant to the Fund’s respective Management Agreement. The Management Agreement was in place throughout the period ended February 29, 2020 for the BetaBuilders1-5 Year U.S. Aggregate Bond ETF and was effective November 1, 2019 for the remainder of the Funds. For such services, JPMIM is paid a fee which is accrued daily and paid no more frequently than monthly based on each Fund’s respective average daily net assets at the following rate:
| | | | |
BetaBuilders1-5 Year U.S Aggregate Bond ETF | | | 0.05 | % |
Core Plus Bond ETF | | | 0.40 | |
Corporate Bond Research Enhanced ETF | | | 0.14 | |
Global Bond Opportunities ETF | | | 0.50 | |
High Yield Research Enhanced ETF | | | 0.24 | |
Municipal ETF | | | 0.24 | |
U.S. Aggregate Bond ETF | | | 0.07 | |
Ultra-Short Income ETF | | | 0.18 | |
Ultra-Short Municipal Income ETF | | | 0.18 | |
USD Emerging Markets Sovereign Bond ETF | | | 0.39 | |
Under the Management Agreements, JPMIM is responsible for substantially all expenses of the Fund, (including expenses of the Trust relating to each Fund), except for the management fees, payments under the Funds12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the adviser and/or its affiliates), costs of holding shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of the Fund’s business. Additionally, each Fund shall be responsible for itsnon-operating expenses, including brokerage commissions and fees and expenses associated with each Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through a Fund’s payment of such expenses and a corresponding reduction in the fee payable to the Adviser, provided, however, that if the amount of expenses paid by a Fund exceeds the fee payable to the Adviser, the Adviser will reimburse that Fund for such amount. For all Funds, except BetaBuilders1-5 Year U.S. Aggregate Bond ETF, the Management Agreement replaced the Investment Advisory Agreement, Administration Agreement and Expense Limitation Agreement mentioned below.
B. Investment Advisory Fee — Prior to November 1, 2019, pursuant to an Investment Advisory Agreement for all Funds, except the BetaBuilders1-5 Year U.S. Aggregate Bond ETF, JPMIM managed the investments of each Fund. For such services, JPMIM was paid an investment advisory fee which was accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund was as follows:
| | | | |
Core Plus Bond ETF | | | 0.30 | % |
Corporate Bond Research Enhanced ETF | | | 0.14 | |
Global Bond Opportunities ETF | | | 0.55 | |
High Yield Research Enhanced ETF | | | 0.30 | |
Municipal ETF | | | 0.24 | |
U.S. Aggregate Bond ETF | | | 0.07 | |
Ultra-Short Income ETF | | | 0.15 | |
Ultra-Short Municipal Income ETF | | | 0.15 | |
USD Emerging Markets Sovereign Bond ETF | | | 0.32 | |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
C. Administration Fee — JPMIM provides administration services to the Funds. Pursuant to each fund’s Management Agreement, such services were provided for the BetaBuilders1-5 Year U.S. Aggregate Bond ETF for the period ended February 29, 2020 and for the remainder of the Funds effective November 1, 2019. JPMIM is compensated under the Management Agreement as described in Note 3.A. Prior to November 1, 2019, pursuant to an Administration Agreement for all Funds, except the BetaBuilders1-5 Year U.S. Aggregate Bond ETF, JPMIM provided similar administration services to the Funds. In consideration of these services, JPMIM received a fee that was accrued daily and paid monthly by each Fund at an annual rate of 0.075% of each Fund’s respective average daily net assets.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’sub-administrator (the“Sub-administrator”). For its services asSub-administrator, effective November 1, 2019, JPMCB receives a portion of the management fees payable to JPMIM. Prior to November 1, 2019, JPMCB received a portion of the fees payable to the Administrator.
D. Custodian, Accounting and Transfer Agent Fees — JPMCB provides custody, accounting and transfer agency services to the Funds. For performing these services, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses. For the period ended February 29, 2020 for BetaBuilders1-5 Year U.S. Aggregate Bond ETF and effective November 1, 2019 for the remainder of the Funds, JPMIM paid JPMCB for these services as described in Note 3.A. Prior to November 1, 2019, the Funds, except BetaBuilders1-5 Year U.S. Aggregate Bond ETF, paid JPMCB transaction and asset-based fees that varied according to the number of transactions and
| | | | | | |
| | | |
| 244 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
position, plusout-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian, Accounting and Transfer Agent fees on the SOP. 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 March 1, 2019 through October 31, 2019, 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. Effective November 1, 2019, these fees are paid to JPMIM to offset certain custodian charges incurred by JPMIM covered under the Management Agreement. Prior to November 1, 2019, these fees were used to offset certain custodian charges incurred by the Fund for these transactions. For the period March 1, 2019 through October 31, 2019, the amount of transaction fees paid by the Authorized Participants to the Funds that were used to reimburse custodian fees were as follows:
| | | | |
Core Plus Bond ETF | | $ | 200 | |
Corporate Bond Research Enhanced ETF | | | 600 | |
Global Bond Opportunities ETF | | | 1,100 | |
High Yield Research Enhanced ETF | | | 200 | |
Municipal ETF | | | 2,200 | |
U.S. Aggregate Bond ETF | | | 3,300 | |
Ultra-Short Income ETF | | | 10,700 | |
Ultra-Short Municipal Income ETF | | | 5,200 | |
USD Emerging Markets Sovereign Bond ETF | | | 600 | |
Such amounts are included in expense reimbursements fromnon-affiliates in the SOP.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the SOP. Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the SOP.
E. Collateral Management Fees — JPMCB provides derivatives collateral management services for Global Bond Opportunities ETF. Effective November 1, 2019, the fees for such services are paid to JPMCB by JPMIM as described in Note 3.A. Prior to November 1, 2019, the fees paid to JPMCB for such services were paid by the Funds. The amount paid directly to JPMCB by the Funds for the services is included in Collateral management fees on the SOP.
F. Waivers and Reimbursements — Prior to November 1, 2019, the Adviser had contractually agreed to waive fees and/or reimburse the Funds, except BetaBuilders1-5 Year U.S. Aggregate Bond ETF, to the extent that total annual operating expenses, (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses), exceeded the percentages of each Funds’ respective average daily net assets as shown in the table below:
| | | | |
| | | Expense Cap | |
Core Plus Bond ETF | | | 0.40 | % |
Corporate Bond Research Enhanced ETF | | | 0.14 | |
Global Bond Opportunities ETF | | | 0.55 | |
High Yield Research Enhanced ETF | | | 0.24 | ( 1 ) |
Municipal ETF | | | 0.24 | |
U.S. Aggregate Bond ETF | | | 0.07 | |
Ultra-Short Income ETF | | | 0.18 | |
Ultra-Short Municipal Income ETF | | | 0.18 | |
USD Emerging Markets Sovereign Bond ETF | | | 0.39 | |
| ( 1 ) | Effective September 9, 2019, the contractual expense limitation for High Yield Research Enhanced ETF was decreased from 0.40% to 0.24%. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 245 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The expense limitation agreements were in effect for the period March 1, 2019 through October 31, 2019. For the period March 1, 2019 through October 31, 2019, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds 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 Fees | | | Administration
Fees | | | Total | | | Contractual
Reimbursements | |
Core Plus Bond ETF | | $ | 55,480 | | | $ | 14,665 | | | $ | 70,145 | | | $ | 28,505 | |
Corporate Bond Research Enhanced ETF | | | 26,034 | | | | 14,114 | | | | 40,148 | | | | 111,044 | |
Global Bond Opportunities ETF | | | 192,871 | | | | 94,845 | | | | 287,716 | | | | — | |
High Yield Research Enhanced ETF | | | 115,216 | | | | 76,811 | | | | 192,027 | | | | — | |
Municipal ETF | | | 53,639 | | | | 17,251 | | | | 70,890 | | | | 86,636 | |
U.S. Aggregate Bond ETF | | | 81,270 | | | | 88,043 | | | | 169,313 | | | | 117,928 | |
Ultra-Short Income ETF | | | 2,255,731 | | | | 1,503,821 | | | | 3,759,552 | | | | — | |
Ultra-Short Municipal Income ETF | | | 99,435 | | | | 50,843 | | | | 150,278 | | | | 38,963 | |
USD Emerging Markets Sovereign Bond ETF | | | 100,000 | | | | 32,480 | | | | 132,480 | | | | — | |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). For the period ended February 29, 2020 for BetaBuilders1-5 Year U.S. Aggregate Bond ETF and effective November 1, 2019 for the remainder of the Funds, the fees for affiliated money market funds are covered under the Management Agreement as described in Note 3.A. Prior to November 1, 2019, for each Fund, except the BetaBuilders1-5 Year U.S. Aggregate Bond ETF, the Adviser had contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective fees and expenses of the affiliated money market funds on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral.
The amounts of these waivers resulting from investments in these money market funds for the period March 1, 2019 through October 31, 2019 were as follows:
| | | | |
Core Plus Bond ETF | | $ | 3,182 | |
Corporate Bond Research Enhanced ETF | | | 312 | |
Global Bond Opportunities ETF | | | 8,588 | |
High Yield Research Enhanced ETF | | | 3,855 | |
Municipal ETF | | | 1,564 | |
U.S. Aggregate Bond ETF | | | 903 | |
Ultra-Short Income ETF | | | 220,305 | |
Ultra-Short Municipal Income ETF | | | 2,252 | |
USD Emerging Markets Sovereign Bond ETF | | | 357 | |
G. Distribution Services — 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 each Fund. JPMDS receives no fees for their distribution services under their respective distribution agreements with the Trust (the “Distribution Agreements”). Although the Trust does not pay any fees under the Distribution Agreements, JPMIM pays JPMDS for certain distribution related services.
H. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule38a-1 under the 1940 Act. For the year period February 29, 2020 for BetaBuilders1-5 Year U.S. Aggregate Bond ETF and effective November 1, 2019 for the remainder of the Funds, fees associated with the Office of the Chief Compliance Officer are paid for by JPMIM as described in Note 3.A. Prior to November 1, 2019, each Fund, excluding the BetaBuilders1-5 Year U.S. Aggregate Bond ETF, along with affiliated funds, made reimbursement payments, on apro-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 SOP.
During the year ended February 29, 2020, the Corporate Bond Research Enhanced ETF, High Yield Research Enhanced ETF, Global Bond Opportunities ETF, Municipal ETF and Ultra-Short Income ETF purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| | | | | | |
| | | |
| 246 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
4. Investment Transactions
During the period ended February 29, 2020, purchases and sales of investments (excluding short-term investments) were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases
(excluding U.S.
Government) | | | Sales
(excluding U.S.
Government) | | | Purchases
of U.S.
Government | | | Sales of
U.S.
Government | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | $ | 21,309,852 | | | $ | 6,317,674 | | | $ | 32,924,337 | | | $ | 11,795,771 | |
Core Plus Bond ETF | | | 43,535,589 | | | | 25,031,887 | | | | 5,303,203 | | | | 1,788,695 | |
Corporate Bond Research Enhanced ETF | | | 22,009,970 | | | | 16,109,800 | | | | 3,054,737 | | | | 3,514,765 | |
Global Bond Opportunities ETF | | | 154,406,784 | | | | 164,198,608 | | | | — | | | | 2,181,312 | |
High Yield Research Enhanced ETF | | | 218,889,389 | | | | 202,333,710 | | | | — | | | | — | |
Municipal ETF | | | 35,365,445 | | | | 18,676,857 | | | | — | | | | — | |
U.S. Aggregate Bond ETF | | | 338,395,258 | | | | 90,351,021 | | | | 213,953,583 | | | | 45,244,438 | |
Ultra-Short Income ETF | | | 6,035,753,128 | | | | 2,317,290,908 | | | | 981,630,617 | | | | 630,852,306 | |
Ultra-Short Municipal Income ETF | | | 232,677,199 | | | | 133,251,380 | | | | — | | | | — | |
USD Emerging Markets Sovereign Bond ETF | | | 61,610,254 | | | | 37,124,747 | | | | — | | | | — | |
For the year ended February 29, 2020, there were noin-kind transactions associated with creations and redemptions.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 29, 2020 were as follows:
| | | | | | | | | | | | | | | | |
| | | Aggregate Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | $ | 36,404,601 | | | $ | 988,362 | | | $ | 2,462 | | | $ | 985,900 | |
Core Plus Bond ETF | | | 57,213,604 | | | | 2,222,150 | | | | 137,638 | | | | 2,084,512 | |
Corporate Bond Research Enhanced ETF | | | 31,796,398 | | | | 2,988,641 | | | | 34,578 | | | | 2,954,063 | |
Global Bond Opportunities ETF | | | 159,681,362 | | | | 7,319,483 | | | | 4,832,157 | | | | 2,487,326 | |
High Yield Research Enhanced ETF | | | 173,322,206 | | | | 2,032,123 | | | | 3,671,209 | | | | (1,639,086 | ) |
Municipal ETF | | | 53,876,798 | | | | 3,125,617 | | | | — | | | | 3,125,617 | |
U.S. Aggregate Bond ETF | | | 517,667,950 | | | | 20,057,440 | | | | 146,913 | | | | 19,910,527 | |
Ultra-Short Income ETF | | | 11,422,188,903 | | | | 44,593,582 | | | | 801,533 | | | | 43,792,049 | |
Ultra-Short Municipal Income ETF | | | 209,652,916 | | | | 636,649 | | | | 1,093 | | | | 635,556 | |
USD Emerging Markets Sovereign Bond ETF | | | 87,502,978 | | | | 3,728,628 | | | | 1,587,735 | | | | 2,140,893 | |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to callable bonds, wash sale loss deferrals, mark to market of futures contracts and mark to market of forward foreign currency contracts.
The tax character of distributions paid during the period ended February 29, 2020 was as follows:
| | | | | | | | | | | | | | | | |
| | | Ordinary
Income* | | | Net
Long-Term
Capital Gains | | | Tax Exempt
Income | | | Total
Distributions
Paid | |
BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | $ | 786,431 | | | $ | — | | | $ | — | | | $ | 786,431 | |
Core Plus Bond ETF | | | 1,106,186 | | | | 85,096 | | | | — | | | | 1,191,282 | |
Corporate Bond Research Enhanced ETF | | | 1,566,538 | | | | — | | | | — | | | | 1,566,538 | |
Global Bond Opportunities ETF | | | 8,337,390 | | | | — | | | | — | | | | 8,337,390 | |
High Yield Research Enhanced ETF | | | 8,310,507 | | | | — | | | | — | | | | 8,310,507 | |
Municipal ETF | | | 561,565 | | | | — | | | | 852,229 | | | | 1,413,794 | |
U.S. Aggregate Bond ETF | | | 7,057,507 | | | | — | | | | — | | | | 7,057,507 | |
Ultra-Short Income ETF | | | 218,564,137 | | | | — | | | | — | | | | 218,564,137 | |
Ultra-Short Municipal Income ETF | | | 1,980 | | | | — | | | | 1,866,877 | | | | 1,868,857 | |
USD Emerging Markets Sovereign Bond ETF | | | 3,288,107 | | | | — | | | | — | | | | 3,288,107 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 247 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The tax character of distributions paid during the year ended February 28, 2019 was as follows:
| | | | | | | | | | | | | | | | |
| | | Ordinary Income* | | | Net Long-Term Capital Gains | | | Tax Exempt Income | | | Total Distributions Paid | |
Core Plus Bond ETF | | $ | 63,565 | | | $ | — | | | $ | — | | | $ | 63,565 | |
Corporate Bond Research Enhanced ETF | | | 218,355 | | | | — | | | | — | | | | 218,355 | |
Global Bond Opportunities ETF | | | 9,465,447 | | | | 518,430 | | | | — | | | | 9,983,877 | |
High Yield Research Enhanced ETF | | | 7,004,942 | | | | — | | | | — | | | | 7,004,942 | |
Municipal ETF | | | 4,314 | | | | — | | | | 244,491 | | | | 248,805 | |
U.S. Aggregate Bond ETF | | | 336,622 | | | | — | | | | — | | | | 336,622 | |
Ultra-Short Income ETF | | | 68,091,573 | | | | 2,323 | | | | — | | | | 68,093,896 | |
Ultra-Short Municipal Income ETF | | | 7,575 | | | | — | | | | 255,464 | | | | 263,039 | |
USD Emerging Markets Sovereign Bond ETF | | | 2,651,785 | | | | — | | | | — | | | | 2,651,785 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 29, 2020, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | Current
Distributable
Ordinary
Income | | | Current
Distributable
Long-Term
Capital Gain
(Tax Basis Capital
Loss Carryover) | | | Tax
Exempt
Income | | | Unrealized
Appreciation
(Depreciation) | |
BetaBuilders1-5 Year U.S. Aggregate Bond ETF | | $ | 122,244 | | | $ | — | | | $ | — | | | $ | 985,900 | |
Core Plus Bond ETF | | | 441,094 | | | | 96,274 | | | | — | | | | 2,083,280 | |
Corporate Bond Research Enhanced ETF | | | 340,760 | | | | 64,566 | | | | — | | | | 2,943,560 | |
Global Bond Opportunities ETF | | | 712,069 | | | | (3,142,408 | ) | | | — | | | | 1,011,316 | |
High Yield Research Enhanced ETF | | | 735,767 | | | | 312,250 | | | | — | | | | (1,877,458 | ) |
Municipal ETF | | | 98,357 | | | | 15,589 | | | | 85,692 | | | | 3,126,148 | |
U.S. Aggregate Bond ETF | | | 1,518,045 | | | | 62,607 | | | | — | | | | 19,910,453 | |
Ultra-Short Income ETF | | | 21,148,801 | | | | — | | | | — | | | | 43,717,557 | |
Ultra-Short Municipal Income ETF | | | — | | | | — | | | | 226,859 | | | | 635,977 | |
USD Emerging Markets Sovereign Bond ETF | | | 344,360 | | | | (324,559 | ) | | | — | | | | 2,140,729 | |
For the Funds the cumulative timing differences primarily consist of callable bonds, wash sale loss deferrals, mark to market of forward foreign currency contracts, mark to market of futures contracts, straddle loss deferrals, post-October capital loss deferrals and distributions payable.
As of February 29, 2020, the following Funds had the following net capital loss carryforwards:
| | | | | | | | |
| | | Capital Loss Carryforward | |
| | | Short-Term | | | Long-Term | |
Global Bond Opportunities ETF | | $ | 959,701 | | | $ | 2,182,707 | |
USD Emerging Markets Sovereign Bond ETF | | | 324,559 | | | | — | |
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year.
For the year ended February 29, 2020, the Funds deferred to March 1, 2020 the following net capital losses of:
| | | | | | | | |
| | | Net Capital Losses (Gains) | |
| | | Short-Term | | | Long-Term | |
Global Bond Opportunities ETF | | $ | 439,019 | | | $ | 445,832 | |
Ultra-Short Municipal Income ETF | | | 27,516 | | | | (2,048 | ) |
During the year ended February 29, 2020, the following Funds utilized capital loss carryforwards as follows:
| | | | | | | | |
| | | Capital Loss Utilized | |
| | | Short-Term | | | Long-Term | |
Global Bond Opportunities ETF | | $ | 223,858 | | | $ | — | |
High Yield Research Enhanced ETF | | | 278,732 | | | | 77,763 | |
USD Emerging Markets Sovereign Bond ETF | | | 337,778 | | | | — | |
| | | | | | |
| | | |
| 248 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
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. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding and act as executing or clearing broker for investment transactions on behalf of the Funds. 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 equity 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%, for BetaBuilders1-5 Year U.S. Aggregate Bond ETF, Corporate Bond Research Enhanced ETF, Global Bond Opportunities ETF, High Yield Research Enhanced ETF, U.S. Aggregate Bond ETF, Ultra-Short Income ETF and USD Emerging Markets Sovereign Bond ETF, 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 fee to compensate the relevant fund for market impact expenses relating to investing in portfolio securities. Such variable fees, if any, are included in “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. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of February 29, 2020, the Adviser owns shares representing more than 10% of net assets of the following Funds:
| | | | |
| | | % of Ownership | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | 68 | % |
Core Plus Bond ETF | | | 49 | |
Corporate Bond Research Enhanced ETF | | | 79 | |
Municipal ETF | | | 50 | |
USD Emerging Markets Sovereign Bond ETF | | | 55 | |
Significant shareholder transactions by the Adviser may impact the Funds’ performance.
The Core Plus Bond ETF, Global Bond Opportunities ETF, U.S. Aggregate Bond ETF and Ultra-Short Income ETF are subject to risks associated with securities with contractual cash flows including asset backed and mortgage-related securities such as collateralized mortgage obligations, mortgage-pass-through securities and commercial mortgage-backed securities, including securities backed bysub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value,pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
The High Yield Research Enhanced 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.
Global Bond Opportunities ETF’s and USD Emerging Markets Sovereign Bond ETF’s investments in sovereign and corporate debt obligations within emerging market countries may be subject to potentially higher risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic instability in these markets may have disruptive effects on the market prices of the Funds’ investments and the income they generate, as well as the Funds’ ability to repatriate such amounts.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Global Bond Opportunities ETF is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Fund such as swaps, forward foreign currency exchange contracts and TBA securities.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 249 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
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. The Funds invest in floating rate loans and other floating rate debt securities. Although these investments are generally less sensitive to interest rate changes than other fixed rate instruments, the value of floating rate loans and other floating rate investments may decline if their interest rates do not rise as quickly, or as much, as general interest rates. Many factors can cause interest rates to rise. Some examples include central bank monetary policy, rising inflation rates and general economic conditions. The Funds may face a heightened level of interest rate risk due to certain changes in monetary policy. The ability of the issuers of debt to meet their obligations may be affected by economic and political developments in a specific industry or region.
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period depending on the Funds. Such concentrations may subject each Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
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 Funds’ holdings. During such periods, investors may incur significant losses if shares are sold.
BetaBuilders1-5 Year U.S. Aggregate Bond ETF and USD Emerging Markets Sovereign Bond ETF may not track the return of their underlying index for a number of reasons and therefore may not achieve their investment objective. For example, the Funds incur a number of operating expenses not applicable to their underlying index, and incur costs in buying and selling securities, especially when rebalancing the Funds’ securities holdings to reflect changes in the composition of the underlying index. In addition, each Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, the Funds’ return may differ from the return of the underlying index.
The London InterBank Offered Rate (“LIBOR”) is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. The regulatory authority that oversees financial services firms and financial markets in the U.K. has announced that, after the end of 2021, it would no longer persuade or compel contributing banks to make rate submissions for purposes of determining the LIBOR rate. As a result, it is possible that commencing in 2022, LIBOR may no longer be available or no longer deemed an appropriate reference rate upon which to determine the interest rate on or impacting certain loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s portfolio. In light of this eventuality, public and private sector industry initiatives are currently underway to identify new or alternative reference rates to be used in place of LIBOR. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain investments of a Fund and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, negatively impact a Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Subsequent Events
Subsequent to February 29, 2020, High Yield Research Enhanced ETF had net redemptions of $44,002,872. This amount represented 26% of the Fund’s net assets as of February 29, 2020.
On April 27, 2020, USD Emerging Markets Sovereign Bond ETF wrote off $114,052 of interest from Ecuadorian bonds of which $59,106 was receivable as of February 29, 2020.
| | | | | | |
| | | |
| 250 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of each of the ten funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of each of the funds listed in the table below (ten of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter collectively referred to as the “Funds”) as of February 29, 2020, the related statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 29, 2020, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| | |
| JPMorgan BetaBuilders1-5 Year U.S. Aggregate Bond ETF (1) | | JPMorgan Core Plus Bond ETF (2) |
| JPMorgan Corporate Bond Research Enhanced ETF (3) | | JPMorgan Global Bond Opportunities ETF (4) |
| JPMorgan High Yield Research Enhanced ETF (4) | | JPMorgan Municipal ETF (5) |
| JPMorgan U.S. Aggregate Bond ETF (3) | | JPMorgan Ultra-Short Income ETF (4) |
| JPMorgan Ultra-Short Municipal Income ETF (6) | | JPMorgan USD Emerging Markets Sovereign Bond ETF (4) |
| (1) | Statement of operations and statement of changes in net assets for the period March 12, 2019 (commencement of operations) through February 29, 2020 |
| (2) | Statement of operations for the year ended February 29, 2020, and statement of changes in net assets for the year ended February 29, 2020 and the period January 28, 2019 (commencement of operations) through February 28, 2019 |
| (3) | Statement of operations for the year ended February 29, 2020, and statement of changes in net assets for the year ended February 29, 2020 and the period December 12, 2018 (commencement of operations) through February 28, 2019 |
| (4) | Statement of operations for the year ended February 29, 2020 and statement of changes in net assets for the years ended February 29, 2020 and February 28, 2019 |
| (5) | Statement of operations for the year ended February 29, 2020, and statement of changes in net assets for the year ended February 29, 2020 and the period October 29, 2018 (commencement of operations) through February 28, 2019 |
| (6) | Statement of operations for the year ended February 29, 2020, and statement of changes in net assets for the year ended February 29, 2020 and the period October 16, 2018 (commencement of operations) through February 28, 2019 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
April 28, 2020
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 251 | |
TRUSTEES
(Unaudited)
The Funds’ Statements of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| | | | | | | | |
Name (Year of Birth;
Positions With
the Funds since) | | Principal Occupation
During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (1) | | | Other Directorships Held
During the Past 5 Years |
Independent Trustees | | | | | | | | |
| | | |
Gary L. French (1951);
Trustee of the Trust since 2014 | | Real Estate Investor (2011–present); Consultant to the Mutual Fund Industry (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011–2017). | | | 39 | | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
| | | |
| Robert J. Grassi (1957); Trustee of the Trust since 2014 | | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | | 39 | | | None. |
| | | |
| Thomas P. Lemke (1954); Trustee of the Trust since 2014 | | Retired; Executive Vice President and General Counsel, Legg Mason (2005-2013). | | | 39 | | | SEI family of funds (Independent Trustee of Advisors’ Inner Circle Fund III (20 portfolios) (from February 2014 to present); Independent Trustee of Winton Diversified Opportunities Fund (from December 2014 to 2018); Independent Trustee of Gallery Trust (from August 2015 to present); Independent Trustee of Schroder Series Trust (from 2017 to present) Independent Trustee of Schroder Global Series Trust (from February 2017 to present); Independent Trustee of O’Connor EQUUS (May 2014-April 2016), Independent Trustee of Winton Series Trust (December 2014-March 2017); Independent Trustee of AXA Premier VIP Trust (2014-June 2017); Independent Director of The Victory Funds (or their predecessor funds) (35 portfolios) (2014-March 2015); Symmetry Panoramic Trust (16 portfolios) (2018-present). |
| | | |
| Lawrence R. Maffia (1950); Trustee of the Trust since 2014 | | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | | 39 | | | Director, ICI Mutual Insurance Company (1999-2013). |
| | | |
| Emily A. Youssouf (1951); Trustee of the Trust since 2014 | | Clinical Professor, NYU Schack Institute of Real Estate (2009-present); Board Member(2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee(2005-2018), Member of Finance Committee (2005-2018), and Chair of IT Committee(2016-2018), NYC Health and Hospitals Corporation; Board Member and Member of the Audit Committee and Related Parties Committee (2013-2018), Chair of Finance Committee (2019-present) and Member of the Enterprise Risk Management Committee(2015-2018), PennyMac Financial Services, Inc. | | | 39 | | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit and Finance Committee of the Transit Center Foundation (2015-2019). |
Interested Trustee | | | | | | | | |
| | | |
| Robert Deutsch (2) (1957); Chairman and Trustee of the Trust since 2014 | | Retired; Head of the Global ETF Business for JPMorgan Asset Management (2013-2017); Head of the Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | | 39 | | | Board of Directors of the JUST Capital Foundation (2017–present). |
| (1) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. Thirty three series of the Trust have commenced operations. |
| (2) | Mr. Deutsch is an interested trustee because he was an employee of the Adviser until August 2017. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
| | | | | | |
| | | |
| 252 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
OFFICERS
(Unaudited)
| | |
Name (Year of Birth),
Positions Held with
the Trusts (Since) | | Principal Occupations During Past 5 Years |
| |
Joanna Gallegos (1975), President and Principal Executive Officer (2017) | | Managing Director, Head of J.P. Morgan Asset Management’s U.S. Exchange Traded Funds business. Previously, Head of J.P. Morgan Asset Management’s ETF Product Development team from August 2013 to July 2017. |
| |
Lauren A. Paino (1973), Treasurer and Principal Financial Officer (2016)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. |
| |
Brian S. Shlissel (1964), Vice President (2016) | | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014). |
| |
Paul Shield (1960), Vice President and Assistant Treasurer (2016) | | Managing Director and head of Business Management for JPMorgan Asset Management’s Exchange Traded Fund platform since 2013. |
| |
| Elizabeth A. Davin (1964), Secretary (2018)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. |
| |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
| |
Jessica K. Ditullio (1962), Assistant Secretary (2014)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
| |
Anthony Geron (1971), Assistant Secretary (2019)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
| |
Carmine Lekstutis (1980), Assistant Secretary (2014)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. |
| |
Keri E. Riemer (1976), Assistant Secretary (2019)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016). |
| |
Gregory S. Samuels (1980), Assistant Secretary (2014)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. |
| |
| Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan Lewis & Bockius (law firm) from 2012 to 2016. |
| |
| Frederick J. Cavaliere (1978), Assistant Treasurer (2015)* | | Executive Director, J.P. Morgan Investment Management Inc. since February 2016; formerly, Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2010 to February 2016. Mr. Cavaliere has been with JPMorgan since May 2006. |
| |
Timothy J. Clemens (1975), Assistant Treasurer (2019)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. |
| |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from 2012 to May 2014. |
| |
Shannon Gaines (1977), Assistant Treasurer (2019)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. |
The contact address for each of officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| ** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 253 | |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund Shares and (2) ongoing costs, primarily management fees. The examples assume that you had a $1,000 investment at the beginning of the reporting period, September 1, 2019 and continued to hold your shares at the end of the reporting period, February 29, 2020.
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 titled “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
September 1, 2019 | | | Ending
Account Value
February 29, 2020 | | | Annualized
Expense
Ratio (1) | | | Expenses
Paid During
the Period | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |
Actual | | $ | 1,000.00 | | | $ | 1,022.90 | | | | 0.05 | % | | $ | 0.25 | |
Hypothetical | | | 1,000.00 | | | | 1,024.61 | | | | 0.05 | | | | 0.25 | |
JPMorgan Core Plus Bond ETF | |
Actual | | | 1,000.00 | | | | 1,032.80 | | | | 0.38 | | | | 1.92 | |
Hypothetical | | | 1,000.00 | | | | 1,022.97 | | | | 0.38 | | | | 1.91 | |
JPMorgan Corporate Bond Research Enhanced ETF | |
Actual | | | 1,000.00 | | | | 1,040.30 | | | | 0.14 | | | | 0.71 | |
Hypothetical | | | 1,000.00 | | | | 1,024.17 | | | | 0.14 | | | | 0.70 | |
JPMorgan Global Bond Opportunities ETF | |
Actual | | | 1,000.00 | | | | 1,011.30 | | | | 0.52 | | | | 2.60 | |
Hypothetical | | | 1,000.00 | | | | 1,022.28 | | | | 0.52 | | | | 2.61 | |
JPMorgan High Yield Research Enhanced ETF
(formerly known as JPMorgan Disciplined High Yield ETF) | |
Actual | | | 1,000.00 | | | | 1,006.50 | | | | 0.24 | | | | 1.20 | |
Hypothetical | | | 1,000.00 | | | | 1,023.67 | | | | 0.24 | | | | 1.21 | |
JPMorgan Municipal ETF | |
Actual | | | 1,000.00 | | | | 1,033.10 | | | | 0.23 | | | | 1.16 | |
Hypothetical | | | 1,000.00 | | | | 1,023.72 | | | | 0.23 | | | | 1.16 | |
JPMorgan U.S. Aggregate Bond ETF | |
Actual | | | 1,000.00 | | | | 1,033.20 | | | | 0.07 | | | | 0.35 | |
Hypothetical | | | 1,000.00 | | | | 1,024.52 | | | | 0.07 | | | | 0.35 | |
JPMorgan Ultra-Short Income ETF | |
Actual | | | 1,000.00 | | | | 1,013.70 | | | | 0.17 | | | | 0.85 | |
Hypothetical | | | 1,000.00 | | | | 1,024.02 | | | | 0.17 | | | | 0.86 | |
JPMorgan Ultra-Short Municipal Income ETF | |
Actual | | | 1,000.00 | | | | 1,008.10 | | | | 0.17 | | | | 0.85 | |
Hypothetical | | | 1,000.00 | | | | 1,024.02 | | | | 0.17 | | | | 0.86 | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | |
Actual | | | 1,000.00 | | | | 1,024.00 | | | | 0.39 | | | | 1.96 | |
Hypothetical | | | 1,000.00 | | | | 1,022.92 | | | | 0.39 | | | | 1.96 | |
| (1) | Expenses are equal to each Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| | | | | | |
| | | |
| 254 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 29, 2020. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2020. The information necessary to complete your income tax returns for the calendar year ending December 31, 2020 will be provided under separate cover.
Long Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended February 29, 2020:
| | | | |
| | | Long-Term
Capital Gain
Distribution | |
Core Plus Bond ETF | | $ | 85,096 | |
Tax-Exempt Income
Each Fund listed below had the following amount, or maximum allowable amount, of dividends paid from investment income that are exempt from federal income tax for the fiscal year ended February 29, 2020:
| | | | |
| | | Exempt
Distributions
Paid | |
Municipal ETF | | $ | 852,229 | |
Ultra-Short Municipal Income ETF | | | 1,866,877 | |
Qualified Interest Income (QII) and Short-Term Capital Gain
Each fund listed below paid the following amount, or maximum allowable amount, of ordinary distributions treated as qualified interest income and short-term capital gain for the fiscal year ended February 29, 2020 (amounts in thousands):
| | | | | | | | |
| | | Qualified
Interest
Income | | | Short-Term
Capital Gain | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | $ | 657,088 | | | $ | — | |
Core Plus Bond ETF | | | 884,529 | | | | 177,208 | |
Corporate Bond Research Enhanced ETF | | | 889,135 | | | | 518,547 | |
Global Bond Opportunities ETF | | | 3,191,280 | | | | — | |
High Yield Research Enhanced ETF | | | 6,611,259 | | | | — | |
U.S. Aggregate Bond ETF | | | 5,407,005 | | | | 456,816 | |
Ultra-Short Income ETF | | | 109,084,761 | | | | — | |
USD Emerging Markets Sovereign Bond ETF | | | 5,189 | | | | — | |
Each fund listed below had the following percentage, or the maximum allowable percentage, of income earned from direct U.S. Treasury Obligations for the fiscal year ended February 29, 2020:
| | | | |
| | | Income
from U.S.
Treasury
Obligations | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | | | 49.6 | % |
Core Plus Bond ETF | | | 14.9 | |
Corporate Bond Research Enhanced ETF | | | 0.5 | |
Global Bond Opportunities ETF | | | 0.5 | |
U.S. Aggregate Bond ETF | | | 27.4 | |
Ultra-Short Income ETF | | | 4.3 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 255 | |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co.
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.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC onForm N-PORT. Prior to March 31, 2019, each Fund filed 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 Funds’ Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found 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 Funds’ 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 Funds’ 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 Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ 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.
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| | | | |
| | © JPMorgan Chase & Co., 2020. All rights reserved. February 2020. | | AN-FIETF-220 |
Annual Report
J.P. Morgan Exchange-Traded Funds
February 29, 2020
JPMorgan BetaBuilders MSCI US REIT ETF
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website www.jpmorganfunds.com and you will be notified by mail each time a report is posted and provided with a website to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action.
You may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermediary (such as a broker dealer, bank, or retirement plan).
Alternatively, you may elect to receive paper copies of all future reports free of charge by contacting your financial intermediary. Your election to receive paper reports will apply to all funds held within your account(s).
CONTENTS
Investments in the 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 the 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 the 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 Fund’s prospectus for a discussion of the Fund’s investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about the 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 at net asset value) through a brokerage account, and are not individually subscribed and redeemed from the Fund. Shares may only be subscribed and redeemed directly from the Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
PRESIDENT’S LETTER
March 27, 2020
Dear Shareholder,
Amid an unprecedented global response to the COVID-19 pandemic, we at J.P. Morgan Asset Management sincerely hope that you and those you love are healthy and safe and that your community remains vigilant, resilient and supportive during this time of great uncertainty.
| | |
 | | “We believe one of the greatest advantages we have is our global scale and international operations, giving us the ability to shift work and resources as needed.” – Joanna M. Gallegos |
At JPMorgan Chase we have resiliency plans in place for various scenarios, and we have been reviewing and applying those plans as necessary. The firm is monitoring the COVID-19 situation closely, and we continue to implement protocols and processes in response to the spread of the virus. We continue to take steps based on recommendations from relevant authorities aimed at protecting our employees, clients and businesses.
We regularly plan and exercise against various events and coordinate closely with regulators, vendors and industry parties, among others, striving for seamless and consistent execution. Throughout each year, we test our resiliency capabilities and core functions. Past events, such as hurricanes or other emergencies, have helped to prepare us for rare events,
including multi-day outages. Our technology teams and systems employ distributed operating models and our client services have extensive capabilities through multiple global call centers and an array of digital channels.
We believe one of the greatest advantages we have is our global scale and international operations, giving us the ability to shift work and resources as needed. Our follow-the-sun model for many of our core functions and worldwide locations means that we can serve clients around the clock, often via multiple sites simultaneously.
We want to reassure you that everyone at J.P. Morgan Asset Management is committing their energy, knowledge and resources to the crisis at hand and it is our deepest hope that together we remain healthy in all respects. Thank you for your continued trust in our firm.
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
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 1 | |
JPMorgan BetaBuilders MSCI US REIT ETF
MARKET OVERVIEW
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
The real estate equity sector largely provided positive returns and outperformed the broader U.S. equity market during the reporting period. Real estate investment trusts (“REITs”) benefitted from falling interest rates in 2019 as well as from investors seeking higher yielding assets.
Financial markets largely rallied in the first months of the reporting period, but investor concerns about slowing global economic growth and an increase in U.S.-China trade tensions drove an increase in market volatility and weighed down asset prices toward the middle of the period.
By late 2019 and into early 2020, financial markets strengthened on the back of positive developments in U.S.-China trade negotiations. However, increasing investor concerns about the potential impact of theCOVID-19 virus put downward pressure on U.S. equity prices at the end of the period. For the twelve months ended February 29, 2020, the S&P 500 Index returned 8.19% and the MSCI US REIT Index returned 4.15%.
| | | | | | |
| | | |
| 2 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
JPMorgan BetaBuilders MSCI US REIT ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited)
| | | | |
| REPORTING PERIOD RETURN: | | | |
| JPMorgan BetaBuilders MSCI US REIT ETF Net Asset Value* | | | 4.06% | |
| Market Price** | | | 4.18% | |
| MSCI US REIT Index | | | 4.15% | |
| |
| Net Assets as of 2/29/2020 | | $ | 1,206,297,493 | |
INVESTMENT OBJECTIVE***
The JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the MSCI US REIT Index (the “Underlying Index”).
INVESTMENT APPROACH
The Underlying Index is a free-float adjustedmarket-cap weighted index made up of the stocks of publicly traded equity real estate investment trusts (REITs). Using a passive investment approach, the Fund attempts to replicate the Underlying Index as closely as possible and invests at least 80% of its assets in securities included in the Underlying Index.
HOW DID THE MARKET PERFORM?
The real estate sector provided positive returns during the reporting period. REITs benefitted from falling interest rates in 2019 as well as from investors seeking higher yielding assets. However, February closed out with a broadsell-off in financial markets amid investor concerns about the global impact of the
COVID-19 virus. For the twelve months ended February 29, 2020, the S&P 500 Index returned 8.19% and the MSCI US REIT Index returned 4.15%.
HOW DID THE FUND PERFORM?
For the twelve months ended February 29, 2020, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.
The Fund’s and the Underlying Index’s exposures to the specialized and residential REIT sectors were leading contributors to absolute performance. The Fund’s and the Underlying Index’s exposures to the hotel & resort REIT and retail sectors were leading detractors from absolute performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the specialized and residential REIT sectors and the smallest allocations were to the diversified and the hotel & resorts REIT sectors.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 3 | |
JPMorgan BetaBuilders MSCI US REIT ETF
FUND COMMENTARY
TWELVE MONTHS ENDED FEBRUARY 29, 2020 (Unaudited) (continued)
| | | | | | | | |
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | |
| | 1. | | | Prologis, Inc. | | | 6.4 | % |
| | 2. | | | Equinix, Inc. | | | 5.0 | |
| | 3. | | | Simon Property Group, Inc. | | | 3.9 | |
| | 4. | | | Public Storage | | | 3.4 | |
| | 5. | | | Welltower, Inc. | | | 3.1 | |
| | 6. | | | AvalonBay Communities, Inc. | | | 2.9 | |
| | 7. | | | Equity Residential | | | 2.9 | |
| | 8. | | | Digital Realty Trust, Inc. | | | 2.6 | |
| | 9. | | | Realty Income Corp. | | | 2.4 | |
| | 10. | | | Ventas, Inc. | | | 2.1 | |
| | | | |
PORTFOLIO COMPOSITION BY SECTOR**** | |
Apartments | | | 23.5 | % |
Industrial | | | 17.2 | |
Health Care | | | 11.9 | |
Office | | | 11.8 | |
Diversified | | | 8.6 | |
Storage | | | 8.4 | |
Shopping Centers | | | 5.2 | |
Regional Malls | | | 4.5 | |
Hotels | | | 4.1 | |
Short-Term Investments | | | 4.8 | |
| * | | 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 $82.62 as of February 29, 2020. |
| ** | | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the Cboe BZX Exchange, Inc. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. As of February 29, 2020, the closing price was $82.73. |
| *** | | 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 February 29, 2020. The Fund’s composition is subject to change. |
| | | | | | |
| | | |
| 4 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNSAS OF FEBRUARY 29, 2020 (Unaudited) | |
| | | INCEPTION DATE | | | 1 YEAR | | | SINCE INCEPTION | |
Net Asset Value | | | June 15, 2018 | | | | 4.06% | | | | 7.89% | |
Market Price | | | | | | | 4.18% | | | | 7.97% | |
LIFE OF FUND PERFORMANCE(6/15/18 TO 2/29/20)
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 June 15, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders MSCI US REIT ETF and the MSCI US REIT Index from June 15, 2018 to February 29, 2020. 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 MSCI US REIT 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 Underlying Index is a free-float adjusted market-cap weighted index designed to measure the performance of U.S. equity real estate investment trust (REIT) securities. The Underlying Index is made up of the stocks of publicly traded U.S. equity REITs, as determined by MSCI Inc., the index provider. To be included
initially in the Underlying Index, an equity REIT must meet certain criteria established by the index provider, including meeting a minimum market capitalization threshold as well as a liquidity threshold based on a number of factors, including trading volume and frequency of trading. Equity REITs in the Underlying Index tend to be small- and mid-cap stocks, and may include Health Care REITs, Hotel & Resort REITs, Industrial REITs, Office REITs, Residential REITs, Retail REITs, Diversified REITs and certain Specialized REITs. Specialized REITs that may be included in the Underlying Index own and/or operate (i) storage and self-storage facilities, (ii) data centers, (iii) correctional facilities, (iv) theaters, (v) casinos and gaming facilities or (vi) restaurants.
Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 5 | |
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020
| | | | | | | | |
| Investments | | Shares | | | Value ($) | |
COMMON STOCKS — 99.5% | | | | | | | | |
|
Apartments — 24.6% | |
Agree Realty Corp., REIT(a) | | | 55,010 | | | | 3,950,818 | |
American Campus Communities, Inc., REIT | | | 178,216 | | | | 7,741,703 | |
American Homes 4 Rent, Class A, REIT | | | 350,283 | | | | 9,068,827 | |
Apartment Investment & Management Co., Class A, REIT | | | 193,105 | | | | 9,238,143 | |
AvalonBay Communities, Inc., REIT | | | 181,144 | | | | 36,335,675 | |
Camden Property Trust, REIT | | | 125,592 | | | | 13,310,240 | |
Equity LifeStyle Properties, Inc., REIT | | | 224,354 | | | | 15,330,109 | |
Equity Residential, REIT | | | 481,653 | | | | 36,172,140 | |
Essential Properties Realty Trust, Inc., REIT | | | 105,101 | | | | 2,407,864 | |
Essex Property Trust, Inc., REIT | | | 85,709 | | | | 24,286,502 | |
Front Yard Residential Corp., REIT | | | 66,390 | | | | 841,825 | |
Getty Realty Corp., REIT | | | 45,423 | | | | 1,287,288 | |
Independence Realty Trust, Inc., REIT | | | 117,892 | | | | 1,563,248 | |
Investors Real Estate Trust, REIT | | | 15,077 | | | | 1,062,175 | |
Invitation Homes, Inc., REIT | | | 697,380 | | | | 20,007,832 | |
Mid-America Apartment Communities, Inc., REIT | | | 147,945 | | | | 19,123,371 | |
National Retail Properties, Inc., REIT | | | 222,617 | | | | 11,320,074 | |
NexPoint Residential Trust, Inc., REIT | | | 25,975 | | | | 1,155,887 | |
Preferred Apartment Communities, Inc., Class A, REIT | | | 50,945 | | | | 486,015 | |
Realty Income Corp., REIT | | | 422,722 | | | | 30,600,846 | |
Spirit Realty Capital, Inc., REIT | | | 129,351 | | | | 5,885,471 | |
STORE Capital Corp., REIT | | | 289,317 | | | | 9,506,957 | |
Sun Communities, Inc., REIT | | | 120,210 | | | | 18,377,705 | |
UDR, Inc., REIT | | | 380,095 | | | | 17,096,673 | |
| | | | | | | | |
| | | | | | | 296,157,388 | |
| | | | | | | | |
|
Diversified — 8.9% | |
Alexander & Baldwin, Inc., REIT | | | 89,034 | | | | 1,673,839 | |
American Assets Trust, Inc., REIT | | | 66,100 | | | | 2,739,845 | |
American Finance Trust, Inc., REIT(a) | | | 138,472 | | | | 1,440,109 | |
Armada Hoffler Properties, Inc., REIT | | | 71,884 | | | | 1,204,776 | |
Colony Capital, Inc., REIT | | | 600,083 | | | | 2,376,329 | |
CoreCivic, Inc., REIT | | | 144,038 | | | | 2,133,203 | |
CorePoint Lodging, Inc., REIT | | | 41,982 | | | | 334,177 | |
Cousins Properties, Inc., REIT | | | 190,352 | | | | 6,793,663 | |
Duke Realty Corp., REIT | | | 476,745 | | | | 15,479,910 | |
EPR Properties, REIT | | | 101,762 | | | | 6,028,381 | |
Four Corners Property Trust, Inc., REIT | | | 89,387 | | | | 2,564,513 | |
Gaming and Leisure Properties, Inc., REIT | | | 264,537 | | | | 11,816,868 | |
GEO Group, Inc. (The), REIT | | | 157,296 | | | | 2,302,813 | |
Gladstone Commercial Corp., REIT | | | 40,505 | | | | 764,329 | |
Global Net Lease, Inc., REIT | | | 116,029 | | | | 2,140,735 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., REIT(a) | | | 85,200 | | | | 2,892,540 | |
iStar, Inc., REIT(a) | | | 80,632 | | | | 1,219,962 | |
Lexington Realty Trust, REIT | | | 289,346 | | | | 3,000,518 | |
One Liberty Properties, Inc., REIT | | | 19,358 | | | | 466,528 | |
PS Business Parks, Inc., REIT | | | 26,689 | | | | 3,964,651 | |
UMH Properties, Inc., REIT | | | 47,688 | | | | 691,953 | |
VICI Properties, Inc., REIT | | | 597,933 | | | | 14,984,201 | |
| | | | | | | | |
| Investments | | Shares | | | Value ($) | |
| |
|
Diversified — continued | |
Washington, REIT | | | 104,533 | | | | 2,806,711 | |
Whitestone, REIT | | | 47,432 | | | | 582,939 | |
WP Carey, Inc., REIT(a) | | | 223,445 | | | | 17,296,877 | |
| | | | | | | | |
| | | | | | | 107,700,370 | |
| | | | | | | | |
|
Health Care — 12.5% | |
CareTrust REIT, Inc., REIT | | | 123,939 | | | | 2,586,607 | |
Community Healthcare Trust, Inc., REIT | | | 24,862 | | | | 1,184,177 | |
Diversified Healthcare Trust, REIT | | | 253,369 | | | | 1,593,691 | |
Global Medical REIT, Inc., REIT | | | 52,826 | | | | 737,979 | |
Healthcare Realty Trust, Inc., REIT | | | 173,458 | | | | 5,949,609 | |
Healthcare Trust of America, Inc., Class A, REIT | | | 268,724 | | | | 8,368,065 | |
Healthpeak Properties, Inc., REIT | | | 641,962 | | | | 20,311,678 | |
LTC Properties, Inc., REIT | | | 51,559 | | | | 2,311,390 | |
Medical Properties Trust, Inc., REIT | | | 671,128 | | | | 14,180,935 | |
National Health Investors, Inc., REIT | | | 57,017 | | | | 4,659,999 | |
New Senior Investment Group, Inc., REIT | | | 107,606 | | | | 653,168 | |
Omega Healthcare Investors, Inc., REIT | | | 283,400 | | | | 11,222,640 | |
Physicians Realty Trust, REIT | | | 244,283 | | | | 4,607,177 | |
Sabra Health Care REIT, Inc., REIT | | | 251,232 | | | | 4,911,586 | |
Universal Health Realty Income Trust, REIT | | | 16,950 | | | | 1,825,854 | |
Ventas, Inc., REIT | | | 483,444 | | | | 25,994,784 | |
Welltower, Inc., REIT | | | 526,275 | | | | 39,375,896 | |
| | | | | | | | |
| | | | | | | 150,475,235 | |
| | | | | | | | |
|
Hotels — 4.3% | |
Apple Hospitality REIT, Inc., REIT(a) | | | 275,828 | | | | 3,605,072 | |
Ashford Hospitality Trust, Inc., REIT | | | 125,816 | | | | 271,763 | |
Braemar Hotels & Resorts, Inc., REIT | | | 33,958 | | | | 249,931 | |
Chatham Lodging Trust, REIT | | | 60,862 | | | | 848,416 | |
DiamondRock Hospitality Co., REIT | | | 259,658 | | | | 2,368,081 | |
Hersha Hospitality Trust, REIT(a) | | | 41,207 | | | | 475,117 | |
Host Hotels & Resorts, Inc., REIT | | | 930,191 | | | | 13,469,166 | |
MGM Growth Properties LLC, Class A, REIT | | | 147,609 | | | | 4,236,378 | |
Park Hotels & Resorts, Inc., REIT | | | 280,225 | | | | 5,116,909 | |
Pebblebrook Hotel Trust, REIT(a) | | | 149,239 | | | | 3,016,120 | |
RLJ Lodging Trust, REIT | | | 222,735 | | | | 2,942,329 | |
Ryman Hospitality Properties, Inc., REIT | | | 63,391 | | | | 4,406,308 | |
Service Properties Trust, REIT(a) | | | 213,443 | | | | 3,859,050 | |
Summit Hotel Properties, Inc., REIT | | | 136,401 | | | | 1,264,437 | |
Sunstone Hotel Investors, Inc., REIT | | | 291,641 | | | | 3,193,469 | |
Xenia Hotels & Resorts, Inc., REIT | | | 146,098 | | | | 2,185,626 | |
| | | | | | | | |
| | | | | | | 51,508,172 | |
| | | | | | | | |
|
Industrial — 18.0% | |
CoreSite Realty Corp., REIT | | | 48,881 | | | | 5,070,426 | |
CyrusOne, Inc., REIT | | | 146,818 | | | | 8,894,234 | |
Digital Realty Trust, Inc., REIT(a) | | | 270,714 | | | | 32,515,459 | |
EastGroup Properties, Inc., REIT | | | 49,818 | | | | 6,263,617 | |
Equinix, Inc., REIT | | | 109,764 | | | | 62,872,819 | |
First Industrial Realty Trust, Inc., REIT | | | 164,658 | | | | 6,339,333 | |
Industrial Logistics Properties Trust, REIT | | | 84,542 | | | | 1,746,638 | |
Innovative Industrial Properties, Inc., REIT(a) | | | 21,518 | | | | 1,978,365 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 6 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | |
| Investments | | Shares | | | Value ($) | |
COMMON STOCKS — continued | |
|
Industrial — continued | |
Monmouth Real Estate Investment Corp., REIT | | | 119,492 | | | | 1,696,786 | |
Prologis, Inc., REIT | | | 953,345 | | | | 80,347,917 | |
STAG Industrial, Inc., REIT | | | 172,448 | | | | 4,825,095 | |
Terreno Realty Corp., REIT | | | 86,914 | | | | 4,768,971 | |
| | | | | | | | |
| | | | | | | 217,319,660 | |
| | | | | | | | |
|
Office — 12.3% | |
Alexandria Real Estate Equities, Inc., REIT | | | 149,352 | | | | 22,683,582 | |
Boston Properties, Inc., REIT | | | 200,547 | | | | 25,858,530 | |
Brandywine Realty Trust, REIT | | | 228,528 | | | | 3,103,410 | |
City Office REIT, Inc., REIT | | | 70,748 | | | | 820,677 | |
Columbia Property Trust, Inc., REIT | | | 151,619 | | | | 2,859,534 | |
Corporate Office Properties Trust, REIT | | | 145,342 | | | | 3,682,966 | |
Douglas Emmett, Inc., REIT | | | 216,059 | | | | 8,249,133 | |
Easterly Government Properties, Inc., REIT | | | 96,186 | | | | 2,286,341 | |
Empire State Realty Trust, Inc., Class A, REIT | | | 198,350 | | | | 2,320,695 | |
Equity Commonwealth, REIT | | | 158,138 | | | | 4,975,021 | |
Franklin Street Properties Corp., REIT(a) | | | 139,080 | | | | 991,640 | |
Highwoods Properties, Inc., REIT | | | 134,557 | | | | 6,038,918 | |
Hudson Pacific Properties, Inc., REIT | | | 200,985 | | | | 6,487,796 | |
JBG SMITH Properties, REIT | | | 165,267 | | | | 6,061,994 | |
Kilroy Realty Corp., REIT | | | 137,499 | | | | 9,994,802 | |
Mack-Cali Realty Corp., REIT | | | 117,450 | | | | 2,229,201 | |
Office Properties Income Trust, REIT | | | 52,782 | | | | 1,537,540 | |
Paramount Group, Inc., REIT | | | 242,366 | | | | 2,944,747 | |
Piedmont Office Realty Trust, Inc., Class A, REIT(a) | | | 163,143 | | | | 3,522,257 | |
SL Green Realty Corp., REIT | | | 103,904 | | | | 8,150,230 | |
VEREIT, Inc., REIT | | | 1,384,809 | | | | 11,992,446 | |
Vornado Realty Trust, REIT | | | 222,782 | | | | 11,936,660 | |
| | | | | | | | |
| | | | | | | 148,728,120 | |
| | | | | | | | |
|
Regional Malls — 4.7% | |
Macerich Co. (The), REIT(a) | | | 115,243 | | | | 2,353,262 | |
Simon Property Group, Inc., REIT | | | 398,003 | | | | 48,986,209 | |
Tanger Factory Outlet Centers, Inc., REIT(a) | | | 99,620 | | | | 1,193,448 | |
Taubman Centers, Inc., REIT | | | 79,404 | | | | 4,133,772 | |
Washington Prime Group, Inc., REIT(a) | | | 72,900 | | | | 200,475 | |
| | | | | | | | |
| | | | | | | 56,867,166 | |
| | | | | | | | |
|
Shopping Centers — 5.4% | |
Acadia Realty Trust, REIT | | | 112,774 | | | | 2,575,758 | |
Alexander’s, Inc., REIT | | | 2,981 | | | | 927,091 | |
Brixmor Property Group, Inc., REIT | | | 386,311 | | | | 7,034,723 | |
Cedar Realty Trust, Inc., REIT | | | 115,459 | | | | 299,039 | |
Federal Realty Investment Trust, REIT | | | 97,954 | | | | 11,395,968 | |
Kimco Realty Corp., REIT | | | 547,642 | | | | 9,501,589 | |
Kite Realty Group Trust, REIT | | | 108,920 | | | | 1,759,058 | |
Regency Centers Corp., REIT(a) | | | 217,333 | | | | 12,483,607 | |
Retail Opportunity Investments Corp., REIT | | | 150,449 | | | | 2,256,735 | |
Retail Properties of America, Inc., Class A, REIT | | | 277,114 | | | | 2,901,384 | |
| | | | | | | | |
| Investments | | Shares | | | Value ($) | |
| | | | | | | | |
|
Shopping Centers — continued | |
Retail Value, Inc., REIT | | | 21,443 | | | | 595,901 | |
RPT Realty, REIT | | | 104,249 | | | | 1,351,067 | |
Saul Centers, Inc., REIT | | | 17,977 | | | | 773,191 | |
Seritage Growth Properties, Class A, REIT(a) | | | 45,379 | | | | 1,560,130 | |
SITE Centers Corp., REIT | | | 201,093 | | | | 2,314,580 | |
Urban Edge Properties, REIT(a) | | | 157,229 | | | | 2,547,110 | |
Urstadt Biddle Properties, Inc., Class A, REIT | | | 38,770 | | | | 799,050 | |
Weingarten Realty Investors, REIT | | | 158,546 | | | | 4,269,644 | |
| | | | | | | | |
| | | | | | | 65,345,625 | |
| | | | | | | | |
|
Storage — 8.8% | |
Americold Realty Trust, REIT | | | 236,282 | | | | 7,246,769 | |
CubeSmart, REIT | | | 251,044 | | | | 7,599,102 | |
Extra Space Storage, Inc., REIT(a) | | | 167,977 | | | | 16,858,172 | |
Iron Mountain, Inc., REIT(a) | | | 372,430 | | | | 11,325,596 | |
Jernigan Capital, Inc., REIT | | | 28,842 | | | | 516,848 | |
Life Storage, Inc., REIT | | | 60,515 | | | | 6,530,174 | |
National Storage Affiliates Trust, REIT | | | 76,951 | | | | 2,596,327 | |
Public Storage, REIT | | | 203,907 | | | | 42,641,032 | |
QTS Realty Trust, Inc., Class A, REIT(a) | | | 75,365 | | | | 4,233,252 | |
Rexford Industrial Realty, Inc., REIT | | | 143,862 | | | | 6,728,426 | |
| | | | | | | | |
| | | | | | | 106,275,698 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,282,861,544) | | | | 1,200,377,434 | |
| | | | | |
SHORT-TERM INVESTMENTS — 5.1% | |
|
INVESTMENT COMPANIES — 0.9% | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44%(b)(c)(Cost $10,488,851) | | | 10,488,851 | | | | 10,488,851 | |
| | | | | | | | |
|
INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED — 4.2% | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.73%(b)(c) | | | 45,995,600 | | | | 46,004,799 | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51%(b)(c) | | | 4,817,421 | | | | 4,817,421 | |
| | | | | | | | |
TOTAL INVESTMENT OF CASH COLLATERAL FROM SECURITIES LOANED
(Cost $50,822,220) | | | | 50,822,220 | |
| | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $61,311,071) | | | | 61,311,071 | |
| | | | | | | | |
Total Investments — 104.6%
(Cost $1,344,172,615) | | | | 1,261,688,505 | |
Liabilities in Excess of
Other Assets — (4.6)% | | | | (55,391,012 | ) |
| | | | | |
Net Assets — 100.0% | | | | 1,206,297,493 | |
| | | | | |
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 7 | |
JPMorgan BetaBuilders MSCI US REIT ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF FEBRUARY 29, 2020 (continued)
| | |
| Abbreviations |
| REIT | | RealEstate Investment Trust |
| (a) | | Thesecurity or a portion of this security is on loan at February 29, 2020. The total value of securities on loan at February 29, 2020 is $48,212,796. |
| (b) | | Investmentin an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (c) | | Therate shown is the current yield as of February 29, 2020. |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of February 29, 2020: | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Trading
Currency | | | Notional Amount
($) | | | Value and
Unrealized
Appreciation
(Depreciation) ($) | |
Long Contracts | |
DJ US Real Estate Index | | | 166 | | | | 03/2020 | | | | USD | | | | 5,731,980 | | | | (230,899 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | |
| Abbreviations |
| USD | | UnitedStates Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 8 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
STATEMENT OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2020
| | | | |
| | | JPMorgan
BetaBuilders MSCI
US REIT ETF | |
ASSETS: | |
Investments innon-affiliates, at value | | $ | 1,200,377,434 | |
Investments in affiliates, at value | | | 10,488,851 | |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | | | 50,822,220 | |
Deposits at broker for futures contracts | | | 476,000 | |
Receivables: | | | | |
Investment securities sold | | | 4,013,766 | |
Fund shares sold | | | 2,117,231 | |
Dividends fromnon-affiliates | | | 902,981 | |
Dividends from affiliates | | | 10,298 | |
Securities lending income (See Note 2.D.) | | | 20,809 | |
| | | | |
Total Assets | | | 1,269,229,590 | |
| | | | |
|
LIABILITIES: | |
Payables: | | | | |
Due to custodian | | | 1,345 | |
Investment securities purchased | | | 11,682,726 | |
Collateral received on securities loaned (See Note 2.D.) | | | 50,822,220 | |
Variation margin on futures contracts | | | 306,193 | |
Accrued liabilities: | | | | |
Management fees (See Note 3.A.) | | | 105,203 | |
Other | | | 14,410 | |
| | | | |
Total Liabilities | | | 62,932,097 | |
| | | | |
Net Assets | | $ | 1,206,297,493 | |
| | | | |
|
NET ASSETS: | |
Paid-in-Capital | | $ | 1,286,421,516 | |
Total distributable earnings (loss) | | | (80,124,023 | ) |
| | | | |
Total Net Assets | | $ | 1,206,297,493 | |
| | | | |
| |
Outstanding number of shares
(unlimited number of shares authorized — par value $0.0001) | | | 14,600,000 | |
| | | | |
Net asset value, per share | | $ | 82.62 | |
| | | | |
| |
Cost of investments innon-affiliates | | $ | 1,282,861,544 | |
Cost of investments in affiliates | | | 10,488,851 | |
Investment securities on loan, at value (See Note 2.D.) | | | 48,212,796 | |
Cost of investment of cash collateral (See Note 2.D.) | | | 50,822,220 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 9 | |
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED FEBRUARY 29, 2020
| | | | |
| | | JPMorgan
BetaBuilders MSCI
US REIT ETF | |
INVESTMENT INCOME: | | | | |
Interest income fromnon-affiliates | | $ | 2,367 | |
Dividend income fromnon-affiliates | | | 18,784,680 | |
Dividend income from affiliates | | | 44,701 | |
Income from securities lending (net) (See Note 2.D.) | | | 110,605 | |
| | | | |
Total investment income | | | 18,942,353 | |
| | | | |
| |
EXPENSES: | | | | |
Management fees (See Note 3.A.) | | | 420,636 | |
Investment advisory fees (See Note 3.B.) | | | 300,955 | |
Administration fees (See Note 3.C.) | | | 188,096 | |
Interest expense to affiliates | | | 38 | |
Professional fees | | | 30,491 | |
Trustees’ and Chief Compliance Officer’s fees | | | 4,738 | |
Shareholder communication costs | | | 25,770 | |
Registration and filing fees | | | 16,095 | |
Custodian, Accounting and Transfer Agent fees (See Note 3.D.) | | | 38,688 | |
Insurance expense | | | 1,109 | |
Offering costs (See Note 2.F.) | | | 4,660 | |
Other | | | 613 | |
| | | | |
Total expenses | | | 1,031,889 | |
| | | | |
Less fee waived (See Note 3.E.) | | | (323,004 | ) |
Less expense reimbursements fromnon-affiliates (See Note 3.D.) | | | (14,800 | ) |
| | | | |
Net expenses | | | 694,085 | |
| | | | |
Net investment income (loss) | | | 18,248,268 | |
| | | | |
| |
REALIZED/UNREALIZED GAINS (LOSSES): | | | | |
Net realized gain (loss) on transactions from: | | | | |
Investments innon-affiliates | | | (776,124 | ) |
In-kind redemptions of investments innon-affiliates | | | 23,031,262 | |
Futures contracts | | | (387,763 | ) |
| | | | |
Net realized gain (loss) | | | 21,867,375 | |
| | | | |
Change in net unrealized appreciation/depreciation on: | | | | |
Investments innon-affiliates | | | (88,943,801 | ) |
Futures contracts | | | (278,923 | ) |
| | | | |
Change in net unrealized appreciation/depreciation | | | (89,222,724 | ) |
| | | | |
Net realized/unrealized gains (losses) | | | (67,355,349 | ) |
| | | | |
Change in net assets resulting from operations | | $ | (49,107,081 | ) |
| | | | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 10 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
| | | | | | | | |
| | | JPMorgan BetaBuilders MSCI US REIT ETF | |
| | | Year Ended
February 29, 2020 | | | Period Ended
February 28, 2019 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | |
Net investment income (loss) | | $ | 18,248,268 | | | $ | 2,151,788 | |
Net realized gain (loss) | | | 21,867,375 | | | | 1,203,906 | |
Change in net unrealized appreciation/depreciation | | | (89,222,724 | ) | | | 6,507,715 | |
| | | | | | | | |
Change in net assets resulting from operations | | | (49,107,081 | ) | | | 9,863,409 | |
| | | | | | | | |
|
DISTRIBUTIONS TO SHAREHOLDERS: | |
Total distributions to shareholders | | | (15,092,951 | ) | | | (1,574,130 | ) |
| | | | | | | | |
|
CAPITAL TRANSACTIONS: | |
Change in net assets resulting from capital transactions | | | 1,134,468,601 | | | | 127,739,645 | |
| | | | | | | | |
|
NET ASSETS: | |
Change in net assets | | | 1,070,268,569 | | | | 136,028,924 | |
Beginning of period | | | 136,028,924 | | | | — | |
| | | | | | | | |
End of period | | $ | 1,206,297,493 | | | $ | 136,028,924 | |
| | | | | | | | |
| | |
CAPITAL TRANSACTIONS: | | | | | | | | |
Proceeds from shares issued | | $ | 1,284,582,953 | | | $ | 141,407,612 | |
Cost of shares Redeemed | | | (150,114,352 | ) | | | (13,667,967 | ) |
| | | | | | | | |
Total change in net assets resulting from capital transactions | | $ | 1,134,468,601 | | | $ | 127,739,645 | |
| | | | | | | | |
|
SHARE TRANSACTIONS: | |
Issued | | | 14,625,000 | | | | 1,850,000 | |
Redeemed | | | (1,700,000 | ) | | | (175,000 | ) |
| | | | | | | | |
Net increase in shares from share transactions | | | 12,925,000 | | | | 1,675,000 | |
| | | | | | | | |
| (a) | Commencement of operations was June 15, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 11 | |
FINANCIAL HIGHLIGHTS
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 | | | Total
distributions | |
| | | | | | | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Year Ended February 29, 2020 | | $ | 81.21 | | | $ | 2.55 | | | $ | 0.80 | (g) | | $ | 3.35 | | | $ | (1.85 | ) | | $ | (0.09 | ) | | $ | (1.94 | ) |
June 15, 2018 (h) through February 28, 2019 | | | 75.67 | | | | 1.85 | | | | 5.10 | | | | 6.95 | | | | (1.35 | ) | | | (0.06 | ) | | | (1.41 | ) |
| (a) | Annualized for periods less than one year, unless otherwise indicated. |
| (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) | Prior to December 9, 2019, market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, 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 was the midpoint of the bid/ask spread at the close of business on the listing exchange of the fund. Effective December 9, 2019, the closing price was used to calculate the market price return; however, any prices used in the calculation for market price return prior to December 9, 2019, would have used the midpoint of the bid/ask spread at the close of business on the exchange. |
| (f) | Prior to November 1, 2019, the Fund may have waived fees if expenses exceeded the expense cap. On November 1, 2019, the Fund adopted a unitary fee structure where a management fee is accrued by the fund based on prior day net assets and other expenses are paid by the Advisor. |
| (g) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented in the Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
| (h) | Commencement of operations. |
| (i) | Since the Shares of the Fund did not trade in the secondary market until the day after the Fund’s inception, for the period from the inception to the first day of secondary market trading, the NAV is used as a proxy for the secondary market trading price to calculate the market returns. |
| (j) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | |
| | | |
| 12 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios/Supplemental data | |
| | | | | | | | | | | | | | | | Ratios to average net assets (a) | | | | |
Net asset
value,
end of
period | | | 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 (f) | | | Portfolio
turnover
rate (c) | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| $ | 82.62 | | | $ | 82.73 | | | | 4.06 | % | | | 4.18 | % | | $ | 1,206,297,493 | | | | 0.11 | % | | | 2.88 | % | | | 0.16 | % | | | 5 | % |
| | 81.21 | | | | 81.22 | | | | 9.40 | | | | 9.41 | (i) | | | 136,028,924 | | | | 0.11 | (j) | | | 3.37 | | | | 0.40 | (j) | | | 5 | |
SEE NOTES TO FINANCIAL STATEMENTS.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 13 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020
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 anopen-end management investment company. JPMorgan BetaBuilders MSCI US REIT ETF (the “Fund” or the “MSCI US REIT ETF”) is a separate diversified series of the Trust covered in this report.
The Fund commenced operations on June 15, 2018. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the MSCI US REIT Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Fund.
Shares of the Fund are listed and traded at market price on the Cboe BZX Exchange, Inc. Market prices for the Fund’s shares may be different from its net asset value (“NAV”). The Fund issues and redeems its shares on a continuous basis, through JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, typically 25,000 shares, referred to as “Creation Units”.
Creation Units are issued and redeemed principallyin-kind for a basket of securities. A cash amount may be substituted if the Fund has sizeable exposure to market or sponsor restricted securities. 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 Fund (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of 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 (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) 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 — Investments are valued in accordance with GAAP and the Fund’s valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (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 their market value 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 Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. 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.
A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAV of the Fund is calculated on a valuation date.
Investments inopen-end investment companies excluding exchange-traded funds (“ETFs”), (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts 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.
| | | | | | |
| | | |
| 14 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
The various inputs that are used in determining the valuation of the Fund’s 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 Fund’s 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 (“SOI”):
| | | | | | | | | | | | | | | | |
| | | Level 1
Quoted prices | | | Level 2 Other significant observable inputs | | | Level 3 Significant unobservable inputs | | | Total | |
Total Investments in Securities (a) | | $ | 1,261,688,505 | | | $ | — | | | $ | — | | | $ | 1,261,688,505 | |
| | | | | | | | | | | | | | | | |
Depreciation in Other Financial Instruments | |
Futures Contracts (a) | | $ | (230,899 | ) | | $ | — | | | $ | — | | | $ | (230,899 | ) |
| | | | | | | | | | | | | | | | |
| (a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. |
B. Restricted Securities — Certain securities held by the Fund 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, as amended (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 NAV of the Fund.
As of February 29, 2020, the Fund had no investments in restricted securities.
C. Futures Contracts — The Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Fund also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining cash balance for liquidity.
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 on the Statement of Operations (“SOP”). 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 on the SOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOI, while cash deposited, which is considered restricted, is recorded on the Statement of Assets and Liabilities (“SAL”). A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the SAL.
The use of futures contracts exposes the Fund to equity price 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 SAL, 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).
Derivatives Volume
The table below discloses the volume of the Fund’s futures contracts activity during the year ended February 29, 2020: Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
| | | | |
Futures Contracts — Equity: | | | | |
Average Notional Balance Long | | $ | 3,127,767 | |
Ending Notional Balance Long | | | 5,731,980 | |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 15 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
D. Securities Lending — The Fund is authorized to engage in securities lending in order to generate additional income. The Fund is able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Fund, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Fund retains loan fees and the interest on cash collateral investments but is required to pay the borrower a rebate for the use of cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Fund). Upon termination of a loan, the Fund is required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Fund or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the SOP as Income from securities lending (net). The Fund also receives payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the SOP.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans ofnon-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans ofnon-U.S. securities), subject to certaindeminimisamounts.
The value of securities out on loan is recorded as an asset on the SAL. The value of the cash collateral received is recorded as a liability on the SAL and details of collateral investments are disclosed on the SOI.
The Fund bears the risk of loss associated with the collateral investments and is not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
The following table presents the Fund’s value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collated received or posted by the Fund as of February 29, 2020.
| | | | | | | | | | | | |
| | | Investment Securities
on Loan, at value,
Presented on the
Statement of Assets
and Liabilities | | | Cash Collateral
Posted by Borrower* | | | Net Amount Due
to Counterparty
(not less than zero) | |
| | $ | 48,212,796 | | | $ | (48,212,796 | ) | | $ | — | |
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Fund from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Fund’s investment in JPMorgan U.S. Government Money Market Fund in the amount of $3,627. JPMIM voluntarily waived management fees and investment advisory fees charged to the Fund to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.15% to 0.06%. The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the SOP as Income from securities lending (net).
E. Investment Transactions with Affiliates— The Fund invested in Underlying Funds which are advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. For the purposes of the financial statements, the Fund assumes the issuers listed in the table below to be affiliated issuers. The Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 1.73% (a)(b) | | $ | — | | | $ | 175,000,000 | | | $ | 129,000,000 | | | $ | 4,799 | * | | $ | — | | | $ | 46,004,799 | | | | 45,995,600 | | | $ | 180,791 | * | | $ | — | |
| | | | | | |
| | | |
| 16 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the year ended February 29, 2020 | |
| Security Description | | Value at
February 28,
2019 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain
(Loss) | | | Change in
Unrealized
Appreciation/
(Depreciation) | | | Value at
February 29,
2020 | | | Shares at
February 29,
2020 | | | Dividend
Income | | | Capital Gain
Distributions | |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 1.51% (a)(b) | | $ | 132,381 | | | $ | 133,961,900 | | | $ | 129,276,860 | | | $ | — | | | $ | — | | | $ | 4,817,421 | | | | 4,817,421 | | | $ | 94,646 | * | | $ | — | |
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.44% (a)(b) | | | 1,275,554 | | | | 45,624,402 | | | | 36,411,105 | | | | — | | | | — | | | | 10,488,851 | | | | 10,488,851 | | | | 44,701 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,407,935 | | | $ | 354,586,302 | | | $ | 294,687,965 | | | $ | 4,799 | | | $ | — | | | $ | 61,311,071 | | | | | | | $ | 320,138 | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of February 29, 2020. |
| * | Amount is included on the SOP as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
F. Offering and Organizational Costs — Total offering costs of $16,048 incurred in connection with the offering of shares of the Fund 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 Fund, if any, are recorded as an expense at the time the Fund commenced operations. For the year ended February 29, 2020, total offering costs amortized were $4,660.
Costs paid in connection with the organization of the Fund, if any, were recorded as an expense at the time the Fund commenced operations and are included as part of Professional fees on the SOP.
G. 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 theex-dividend date or when the Fund first learns of the dividend.
To the extent such information is publicly available, the Fund records distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Fund adjusts the estimated amounts of the components of distributions (and consequently its net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
H. Allocation of Expenses — Prior to November 1, 2019, expenses directly attributable to the Fund were charged directly to the Fund, while the expenses attributable to more than one fund of the Trust were allocated among the applicable funds.
I. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined that as of February 29, 2020, no liability for Federal income tax is required in the Fund’s 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. The Fund’s Federal tax returns since inception remain subject to examination by the Internal Revenue Service.
J. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid quarterly. Net realized capital gains, if any, are distributed by the Fund 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.
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 17 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The following amounts were reclassified within the capital accounts:
| | | | | | | | | | | | |
| | | Paid-in-Capital | | | Accumulated undistributed
(distributions in
excess of) net investment
income | | | Accumulated
net realized
gains (losses) | |
| | $ | 23,336,790 | | | $ | 824,362 | | | $ | (24,161,152 | ) |
The reclassifications for the Fund relate primarily to redemptionsin-kind.
3. Fees and Other Transactions with Affiliates
A. Management Fee —Effective November 1, 2019, JPMIM manages the investments of the Fund pursuant to the Management Agreement. For such services, JPMIM is paid a fee, which is accrued daily and paid monthly at an annual rate of 0.11% of the Fund’s average daily net assets. Under the Management Agreement, JPMIM is responsible for substantially all expenses of the Fund (including expenses of the Trust relating to the Fund) except for the management fee, payments under the Fund’s12b-1 plan (if any), interest expenses, dividend and interest expenses related to short sales, taxes, acquired fund fees and expenses (other than fees for funds advised by the adviser and/or its affiliates), costs of holdings shareholder meetings, and litigation and potential litigation and other extraordinary expenses not incurred in the ordinary course of the Fund’s business. Additionally, the Fund shall be responsible for itsnon-operating expenses, including brokerage commissions and fees associated with the Fund’s securities lending program, if applicable. For the avoidance of doubt, the Adviser’s payment of such expenses may be accomplished through the Fund’s payment of such expenses and a corresponding reduction of the fee payable to the Adviser, provided, however, that if the amount of expenses paid by the Fund exceeds the fee payable to the Adviser, the Adviser will reimburse the Fund for such amount. The Management Agreement replaced the Investment Advisory Agreement, Administration Agreement and Expense Limitation Agreement mentioned below.
B. Investment Advisory Fee — Prior to November 1, 2019, pursuant to an Investment Advisory Agreement, JPMIM managed the investments of the Fund. For such services, JPMIM was paid a fee which was accrued daily and paid monthly at an annual rate of 0.12% of the Fund’s average daily net assets.
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.E.
C. Administration Fee — Effective November 1, 2019, JPMIM provides administration services to the Fund pursuant to the Management Agreement for the Fund and is compensated as described in Note 3.A. Prior to November 1, 2019, pursuant to an Administration Agreement, JPMIM provided certain administration services to the Fund. In consideration of these services, JPMIM received a fee that was accrued daily and paid monthly at an annual rate of 0.075% of the Fund’s net assets.
The Administrator waived administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Fund’ssub-administrator (the“Sub-administrator”). For its services asSub-administrator, effective November 1, 2019, JPMCB receives a portion of the fees payable to JPMIM. Prior to November 1, 2019, JPMCB received a portion of the fees payable to the Administrator.
D. Custodian, Accounting and Transfer Agent Fees — JPMCB provides custody, accounting and transfer agency services to the Fund. For performing these services, effective November 1, 2019, JPMIM pays JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plusout-of-pocket expenses as described in Note 3.A. Prior to November 1, 2019, the Fund paid JPMCB transaction and asset-based fees that varied according to the number of transactions and positions, plusout-of-pocket expenses. The amount paid directly to JPMCB by the Fund for custody services are included in the Custodian, Accounting and Transfer Agent fees on the SOP. 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 March 1, 2019 through October 31, 2019, the Fund paid no transfer agency fees to JPMCB.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of fund shares. Effective November 1, 2019, these fees are paid to JPMIM to offset certain custodian charges incurred by JPMIM covered under the Management Agreement. Prior to November 1, 2019, these fees were used to offset certain custodian charges incurred by the Fund for these transactions. For the period March 1, 2019 through October 31, 2019, the amount of transaction fees paid by the Authorized Participants to the Fund that were used to reimburse custodian fees were $14,800.
Such amounts are included in expense reimbursements fromnon-affiliates on the SOP.
Interest income earned on cash balances at the custodian, if any, is included in income from affiliates on the SOP. Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the SOP.
E. Waivers and Reimbursements — Prior to November 1, 2019, JPMIM had contractually agreed to waive fees and/or reimburse the Fund to the extent that total annual operating expenses, (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses), exceed 0.11% of the Fund’s average daily net assets.
| | | | | | |
| | | |
| 18 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
The contractual expense limitation was in effect for the period March 1, 2019 through October 31, 2019.
For the period March 1, 2019 through October 31, 2019, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
| | | | | | | | | | | | |
| | | Contractual Waivers | |
| | | Investment
Advisory Fees | | | Administration
Fees | | | Total | |
| | $ | 193,089 | | | $ | 128,726 | | | $ | 321,815 | |
Additionally, the Fund may invest in one or more money market funds advised by the Adviser (affiliated money market funds). Effective November 1, 2019, the fees for the affiliated money market funds are covered under the Management Agreement as described in Note 3.A Prior to November 1, 2019, JPMIM contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective fees and expenses of the affiliated money market funds incurred by the Fund because of the Fund’s investment in such money market funds, except for investments of securities lending collateral.
The amount of the waivers resulting from investments in the money market fund for the period March 1, 2019 through October 31, 2019 was $1,189.
F. Distribution Services— The Distributor or its agent distributes Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. JPMDS receives no fees for their distribution services under their respective distribution agreements with the Trust (the “Distribution Agreements”). Although the Trust does not pay any fees under the Distribution Agreements, JPMIM pays JPMDS for certain distribution related services.
G. Other— Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.
The Board designated and appointed a Chief Compliance Officer to the Fund pursuant to Rule38a-1 under the 1940 Act. Effective November 1, 2019, the fees associated with the Office of the Chief Compliance Officer are paid by JPMIM as described in Note 3.A. Prior to November 1, 2019, the Fund, along with affiliated funds, made reimbursement payments, on apro-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 SOP.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Fund to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended February 29, 2020, purchases and sales of investments (excluding short-term investments) were as follows:
| | | | | | | | |
| | | Purchases
(excluding U.S.
Government) | | | Sales
(excluding U.S.
Government) | |
| | $ | 51,196,767 | | | $ | 28,432,894 | |
During the year ended February 29, 2020, there were no purchases or sales of U.S. Government securities.
For the year ended February 29, 2020,in-kind transactions associated with creations and redemptions were as follows:
| | | | | | | | |
| | | In-Kind
Creations | | | In-Kind
Redemptions | |
| | $ | 1,262,940,805 | | | $ | 148,236,400 | |
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at February 29, 2020 were as follows:
| | | | | | | | | | | | | | | | |
| | | Aggregate
Cost | | | Gross
Unrealized
Appreciation | | | Gross
Unrealized
Depreciation | | | Net Unrealized
Appreciation
(Depreciation) | |
| | $ | 1,345,696,108 | | | $ | 13,098,503 | | | $ | 97,337,005 | | | $ | (84,238,502 | ) |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended February 29, 2020 was as follows:
| | | | | | | | | | | | |
| | | Ordinary
Income* | | | Net
Long-Term
Capital Gains | | | Total
Distributions
Paid | |
| | $ | 13,846,312 | | | $ | 1,246,639 | | | $ | 15,092,951 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
| | | | | | | | |
| | | |
| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 19 | |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The tax character of distributions paid during the year ended February 28, 2019 was as follows:
| | | | | | | | | | | | |
| | | Ordinary
Income* | | | Net Long-Term
Capital Gains | | | Total
Distributions
Paid | |
| | $ | 1,480,354 | | | $ | 93,776 | | | $ | 1,574,130 | |
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of February 29, 2020, the estimated components of net assets (excludingpaid-in-capital) on a tax basis were as follows:
| | | | | | | | |
| | | Current
Distributable
Ordinary
Income | | | Unrealized
Appreciation
(Depreciation) | |
| | $ | 5,892,994 | | | $ | (84,238,502 | ) |
The cumulative timing differences primarily consist of post-October capital loss deferrals and wash sale loss deferrals.
At February 29, 2020, the Fund did not have any net capital loss carryforwards.
Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 29, 2020, the Fund deferred to March 1, 2020 the following net capital losses of:
| | | | | | | | |
| | | Net Capital Losses | |
| | | Short-Term | | | Long-Term | |
| | $ | 1,306,840 | | | $ | 471,676 | |
6. Capital Share Transactions
The Trust issues and redeems shares of the Fund 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 Fund may only be purchased or redeemed by Authorized Participants. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Fund’s shares outstanding, and act as executing or clearing broker for investment transactions on behalf of the Fund. 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.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that has not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
Significant shareholder transactions by the Adviser may impact the Fund’s performance.
Because the Fund may invest a significant portion of its assets in REITs, the Fund may be subject to certain risks similar to those associated with direct investments in real estate. REITs may be affected by changes in the value of their underlying properties and by defaults by tenants. REITs depend generally on their ability to generate cash flow to make distributions to shareholders, and certain REITs have self-liquidation provisions by which mortgages held may be paid in full and distributions of capital returns may be made at any time.
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 Fund may not track the return of the underlying index for a number of reasons and therefore may not achieve its investment objective. For example, the Fund incurs a number of operating expenses not applicable to its underlying index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of the underlying index. In addition, a Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, the Fund’s return differs from the return of the underlying index.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Fund’s original investment. Derivatives also expose the Fund to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund to sell or otherwise close a derivatives position could expose the Fund to losses.
| | | | | | |
| | | |
| 20 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
NOTES TO FINANCIAL STATEMENTS
AS OF FEBRUARY 29, 2020 (continued)
The Fund is subject to infectious disease epidemics/pandemics risk. Recently, the worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of the Fund’s investments, increase the Fund’s volatility, negatively impact the Fund’s arbitrage and pricing mechanisms, exacerbate other pre-existing political, social and economic risks to the Fund and negatively impact broad segments of businesses and populations. The Fund’s operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Fund invests, or the issuers of such instruments, in ways that could also have a significant negative impact on the Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
| | | | | | | | |
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 21 | |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Exchange-Traded Fund Trust and Shareholders of JPMorgan BetaBuilders MSCI US REIT ETF
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of portfolio investments, of JPMorgan BetaBuilders MSCI US REIT ETF (one of the funds constituting J.P. Morgan Exchange-Traded Fund Trust, hereafter referred to as the “Fund”) as of February 29, 2020, the related statement of operations for the year ended February 29, 2020 and the statements of changes in net assets and the financial highlights for the year ended February 29, 2020 and for the period June 15, 2018 (commencement of operations) through February 28, 2019, including the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of February 29, 2020, the results of its operations for the year ended February 29, 2020, and the changes in its net assets and the financial highlights for the year ended February 29, 2020 and for the period June 15, 2018 (commencement of operations) through February 28, 2019 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of February 29, 2020 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
New York, New York
April 28, 2020
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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| 22 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
TRUSTEES
(Unaudited)
The Funds’ Statements of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling1-844-457-6383 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| | | | | | | | |
Name (Year of Birth;
Positions With
the Funds since) | | Principal Occupation
During Past 5 Years | | Number of
Funds in Fund
Complex Overseen
by Trustee (1) | | | Other Directorships Held
During the Past 5 Years |
Independent Trustees | | | | | | | | |
| | | |
Gary L. French (1951);
Trustee of the Trust since 2014 | | Real Estate Investor (2011–present); Consultant to the Mutual Fund Industry (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011–2017). | | | 39 | | | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
| | | |
| Robert J. Grassi (1957); Trustee of the Trust since 2014 | | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | | | 39 | | | None. |
| | | |
| Thomas P. Lemke (1954); Trustee of the Trust since 2014 | | Retired; Executive Vice President and General Counsel, Legg Mason (2005-2013). | | | 39 | | | SEI family of funds (Independent Trustee of Advisors’ Inner Circle Fund III (20 portfolios) (from February 2014 to present); Independent Trustee of Winton Diversified Opportunities Fund (from December 2014 to 2018); Independent Trustee of Gallery Trust (from August 2015 to present); Independent Trustee of Schroder Series Trust (from 2017 to present) Independent Trustee of Schroder Global Series Trust (from February 2017 to present); Independent Trustee of O’Connor EQUUS (May 2014-April 2016), Independent Trustee of Winton Series Trust (December 2014-March 2017); Independent Trustee of AXA Premier VIP Trust (2014-June 2017); Independent Director of The Victory Funds (or their predecessor funds) (35 portfolios) (2014-March 2015); Symmetry Panoramic Trust (16 portfolios) (2018-present). |
| | | |
| Lawrence R. Maffia (1950); Trustee of the Trust since 2014 | | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | | | 39 | | | Director, ICI Mutual Insurance Company (1999-2013). |
| | | |
| Emily A. Youssouf (1951); Trustee of the Trust since 2014 | | Clinical Professor, NYU Schack Institute of Real Estate (2009-present); Board Member(2005-2018), Chair of Capital Committee (2006-2016), Chair of Audit Committee(2005-2018), Member of Finance Committee (2005-2018), and Chair of IT Committee(2016-2018), NYC Health and Hospitals Corporation; Board Member and Member of the Audit Committee and Related Parties Committee (2013-2018), Chair of Finance Committee (2019-present) and Member of the Enterprise Risk Management Committee(2015-2018), PennyMac Financial Services, Inc. | | | 39 | | | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit and Finance Committee of the Transit Center Foundation (2015-2019). |
Interested Trustee | | | | | | | | |
| | | |
| Robert Deutsch (2) (1957); Chairman and Trustee of the Trust since 2014 | | Retired; Head of the Global ETF Business for JPMorgan Asset Management (2013-2017); Head of the Global Liquidity Business for JPMorgan Asset Management (2003-2013). | | | 39 | | | Board of Directors of the JUST Capital Foundation (2017–present). |
| (1) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. Thirty three series of the Trust have commenced operations. |
| (2) | Mr. Deutsch is an interested trustee because he was an employee of the Adviser until August 2017. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 23 | |
OFFICERS
(Unaudited)
| | |
Name (Year of Birth),
Positions Held with
the Trusts (Since) | | Principal Occupations During Past 5 Years |
| |
Joanna Gallegos (1975), President and Principal Executive Officer (2017) | | Managing Director, Head of J.P. Morgan Asset Management’s U.S. Exchange Traded Funds business. Previously, Head of J.P. Morgan Asset Management’s ETF Product Development team from August 2013 to July 2017. |
| |
Lauren A. Paino (1973), Treasurer and Principal Financial Officer (2016)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since August 2013. |
| |
Brian S. Shlissel (1964), Vice President (2016) | | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) (from 2014 to present); Managing Director and Head of Mutual Fund Services, Allianz Global Investors; President and Chief Executive Officer, Allianz Global Investors Mutual Funds and PIMCO Closed-End Funds (from 1999 to 2014). |
| |
Paul Shield (1960), Vice President and Assistant Treasurer (2016) | | Managing Director and head of Business Management for JPMorgan Asset Management’s Exchange Traded Fund platform since 2013. |
| |
| Elizabeth A. Davin (1964), Secretary (2018)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. |
| |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
| |
Jessica K. Ditullio (1962), Assistant Secretary (2014)** | | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. |
| |
Anthony Geron (1971), Assistant Secretary (2019)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. |
| |
Carmine Lekstutis (1980), Assistant Secretary (2014)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2015; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2011 to February 2015. |
| |
Keri E. Riemer (1976), Assistant Secretary (2019)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2019; Counsel, Seward & Kissel LLP (law firm) (2016-2019); Associate, Seward & Kissel LLP (2011-2016). |
| |
Gregory S. Samuels (1980), Assistant Secretary (2014)* | | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2010 to February 2014. |
| |
| Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)* | | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan Lewis & Bockius (law firm) from 2012 to 2016. |
| |
| Frederick J. Cavaliere (1978), Assistant Treasurer (2015)* | | Executive Director, J.P. Morgan Investment Management Inc. since February 2016; formerly, Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since September 2010 to February 2016. Mr. Cavaliere has been with JPMorgan since May 2006. |
| |
Timothy J. Clemens (1975), Assistant Treasurer (2019)* | | Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since February 2016; Vice President, JPMorgan Funds Management, Inc. from October 2013 to January 2016. |
| |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | | Managing Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since May 2014; formerly Executive Director, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) from 2012 to May 2014. |
| |
Shannon Gaines (1977), Assistant Treasurer (2019)** | | Vice President, J.P. Morgan Investment Management Inc. (formerly JPMorgan Funds Management, Inc.) since January 2014. |
The contact address for each of officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| ** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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| 24 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on your purchase and sales of Fund shares and (2) ongoing costs, including investment advisory fees, administration fees and other Fund expenses. 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 September 1, 2019 and continued to hold your shares at the end of the reporting period, February 29, 2020.
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.
| | | | | | | | | | | | | | | | |
| | | Beginning Account Value September 1, 2019 | | | Ending Account Value February 29, 2020 | | | Annualized Expense Ratio (1) | | | Expenses Paid During
the Period | |
JPMorgan BetaBuilders MSCI US REIT ETF | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 950.20 | | | | 0.11 | % | | $ | 0.53 | |
Hypothetical | | $ | 1,000.00 | | | $ | 1,024.32 | | | | 0.11 | % | | $ | 0.55 | |
| (1) | Expenses are equal to each Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
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| FEBRUARY 29, 2020 | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | | | | 25 | |
TAX LETTER
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended February 29, 2020. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2020. The information necessary to complete your income tax returns for the calendar year ending December 31, 2020 will be provided under separate cover.
Long-Term Capital Gain
The Fund distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the period ended February 29, 2020:
| | | | |
| | | Long-Term
Capital Gain
Distribution | |
| | $ | 1,246,639 | * |
| * | Included in this amount is unrecaptured Section 1250 gains of $284,566. |
Section 199A Income
The Fund had the following amount, or maximum allowable amount, of ordinary income distributions treated as section 199A dividends for the period ended February 29, 2020:
Qualified Dividend Income (QDI)
The Fund had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the period ended February 29, 2020:
| | | | |
| | | Qualified
Dividend
Income | |
| | $ | 50,301 | |
| | | | | | |
| | | |
| 26 | | | | J.P. MORGAN EXCHANGE-TRADED FUNDS | | FEBRUARY 29, 2020 |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co.
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 onForm N-PORT. Prior to March 31, 2019, the Fund filed 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 Form N-PORT and Form N-Q are available on the SEC’s website at http://www.sec.gov. The Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of the Fund’s policies and procedures with respect to the disclosure of the 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.
J.P. Morgan Asset Management is the brand name for the asset management businesses of JPMorgan Chase & Co. and its affiliates worldwide.
| | | | |
| | © JPMorgan Chase & Co., 2020. All rights reserved. February 2020. | | AN-RETF-220 |
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 13(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.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the 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. |
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(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)). |
The audit committee financial experts are Gary L. French, Robert J. Grassi, Thomas P. Lemke, Lawrence R. Maffia and EmilyA. Youssouf, each of which is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(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.
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.
AUDIT FEES
2020 – $646,000
2019 – $491,000
(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.
AUDIT-RELATED FEES
2020 – $64,752
2019 – $59,500
Audit-related fees consist of security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(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.
TAX FEES
2020 – $156,012
2019 – $140,826
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 29, 2020 and 2019, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(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.
ALL OTHER FEES
2020 – $0
2019 – $0
(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.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be
pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(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.
2020 – 0.0%
2019 – 0.0%
(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.
Not applicable.
(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.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2019 – $27.9 million
2018 – $32.2 million
(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.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
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.
The registrant has a separately designated Audit Committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The members of the Audit Committee are Gary L. French, Robert J. Grassi, Thomas P. Lemke, Lawrence R. Maffia and Emily A. Youssouf.
(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.
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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. 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.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of theSarbanes- Oxley Act of 2002 attached hereto.
(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 May 6, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ Joanna M. Gallegos |
| | Joanna M. Gallegos |
| | President and Principal Executive Officer |
| | May 6, 2020 |
| | |
| By: | | /s/ Lauren A. Paino |
| | Lauren A. Paino |
| | Treasurer and Principal Financial Officer |
| | May 6, 2020 |
