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:
Elizabeth A. Davin, Esq. | Jon S. Rand, Esq. | |
JPMorgan Chase & Co. | Dechert LLP | |
1111 Polaris Parkway | 1095 Avenue of the Americas | |
Columbus, OH 43240 | New York, NY 10036 |
Registrant’s telephone number, including area code: 1-844-457-6383
Date of fiscal year end: Last Day of February
Date of reporting period: March 1, 2022 through February 28, 2023
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Reports. Not Applicable. Notices do not incorporate disclosures from the shareholder reports.
Fund | Ticker | Listing Exchange |
JPMorgan Core Plus Bond ETF | JCPB | Cboe BZX Exchange, Inc. |
JPMorgan Income ETF | JPIE | NYSE Arca |
JPMorgan International Bond Opportunities ETF | JPIB | Cboe BZX Exchange, Inc. |
JPMorgan Municipal ETF | JMUB | Cboe BZX Exchange, Inc. |
JPMorgan Short Duration Core Plus ETF | JSCP | NYSE Arca |
JPMorgan Ultra-Short Income ETF | JPST | NYSE Arca |
JPMorgan Ultra-Short Municipal Income ETF | JMST | Cboe BZX Exchange, Inc. |
1 | |
2 | |
3 | |
6 | |
8 | |
11 | |
13 | |
16 | |
18 | |
20 | |
215 | |
226 | |
230 | |
259 | |
260 | |
263 | |
265 | |
266 | |
267 |
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.
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 1-844-457-6383 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.
April 11, 2023 (Unaudited)
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel |
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 1 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
2 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (8.74)% |
Market Price ** | (8.84)% |
Bloomberg U.S. Aggregate Index | (9.72)% |
Net Assets as of 2/28/2023 | $762,673,581 |
Duration as of 2/28/2023 | 6.4 Years |
Fund Ticker | JCPB |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 30.1% |
Asset-Backed Securities | 16.1 |
Mortgage-Backed Securities | 15.6 |
U.S. Treasury Obligations | 14.8 |
Commercial Mortgage-Backed Securities | 5.3 |
Collateralized Mortgage Obligations | 3.7 |
Others (each less than 1.0%) | 0.2 |
Short-Term Investments | 14.2 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 3 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
4 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Core Plus Bond ETF | |||
Net Asset Value | January 28, 2019 | (8.74)% | 0.94% |
Market Price | (8.84) | 0.97 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 5 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (3.82)% |
Market Price ** | (3.52)% |
Bloomberg U.S. Aggregate Index | (9.72)% |
Net Assets as of 2/28/2023 | $348,910,890 |
Duration as of 2/28/2023 | 4.1 Years |
Fund Ticker | JPIE |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 42.6% |
Asset-Backed Securities | 23.7 |
Commercial Mortgage-Backed Securities | 15.3 |
Mortgage-Backed Securities | 7.8 |
Collateralized Mortgage Obligations | 6.9 |
Foreign Government Securities | 2.6 |
Short-Term Investments | 1.1 |
6 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Income ETF | |||
Net Asset Value | October 28, 2021 | (3.82)% | (3.86)% |
Market Price | (3.52) | (3.33) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 7 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (1.81)% |
Market Price ** | (1.43)% |
Bloomberg Multiverse ex-USA (USD Hedged) Index | (6.70)% |
Net Assets as of 2/28/2023 | $284,507,436 |
Duration as of 2/28/2023 | 3.5 Years |
Fund Ticker | JPIB |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 65.0% |
Foreign Government Securities | 29.3 |
Asset-Backed Securities | 2.3 |
Commercial Mortgage-Backed Securities | 1.7 |
Collateralized Mortgage Obligations | 1.2 |
Others (each less than 1.0%) | 0.3 |
Short-Term Investments | 0.2 |
PORTFOLIO COMPOSITION BY COUNTRY AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
United States | 16.0% |
United Kingdom | 10.5 |
France | 9.7 |
Spain | 7.7 |
Brazil | 6.6 |
Italy | 6.5 |
Australia | 5.9 |
Germany | 5.4 |
Canada | 4.4 |
Mexico | 2.9 |
Portugal | 2.4 |
Netherlands | 2.2 |
Luxembourg | 1.9 |
Switzerland | 1.8 |
Ireland | 1.5 |
South Africa | 1.5 |
Belgium | 1.4 |
Japan | 1.1 |
New Zealand | 1.0 |
Others (each less than 1.0%) | 9.4 |
Short-Term Investments | 0.2 |
8 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 9 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan International Bond Opportunities ETF | ||||
Net Asset Value | April 5, 2017 | (1.81)% | 2.16% | 2.47% |
Market Price | (1.43) | 2.22 | 2.54 |
10 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (3.89)% |
Market Price ** | (3.88)% |
Bloomberg U.S. 1-15 Year Blend (1-17) Municipal Bond Index | (2.98)% |
Net Assets as of 2/28/2023 | $408,142,543 |
Duration as of 2/28/2023 | 5.7 Years |
Fund Ticker | JMUB |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Municipal Bonds | 92.9% |
Short-Term Investments | 7.1 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 11 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Municipal ETF | |||
Net Asset Value | October 29, 2018 | (3.89)% | 2.37% |
Market Price | (3.88) | 2.39 |
12 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (3.01)% |
Market Price ** | (3.11)% |
Bloomberg 1-5 Year Government/Credit Index | (4.00)% |
Net Assets as of 2/28/2023 | $190,421,997 |
Duration as of 2/28/2023 | 2.6 Years |
Fund Ticker | JSCP |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 42.2% |
Asset-Backed Securities | 20.0 |
U.S. Treasury Obligations | 14.0 |
Mortgage-Backed Securities | 9.8 |
Commercial Mortgage-Backed Securities | 6.7 |
Collateralized Mortgage Obligations | 5.2 |
Foreign Government Securities | 1.1 |
Others (each less than 1.0%) | 0.1 |
Short-Term Investments | 0.9 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 13 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
14 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Short Duration Core Plus ETF | |||
Net Asset Value | March 1, 2021 | (3.01)% | (2.32)% |
Market Price | (3.11) | (2.37) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 15 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | 2.01% |
Market Price ** | 2.00% |
ICE BofAML 3-Month US Treasury Bill Index | 2.12% |
Net Assets as of 2/28/2023 | $25,144,500,767 |
Duration as of 2/28/2023 | 0.6 Years |
Fund Ticker | JPST |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Financials | 29.4% |
Asset-Backed Securities | 6.9 |
U.S. Treasury Obligations | 2.0 |
Utilities | 2.0 |
Consumer Discretionary | 1.5 |
Health Care | 1.4 |
Consumer Staples | 1.1 |
Industrials | 1.0 |
Others (each less than 1.0%) | 3.7 |
Short-Term Investments | 51.0 |
16 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan Ultra-Short Income ETF | ||||
Net Asset Value | May 17, 2017 | 2.01% | 1.89% | 1.85% |
Market Price | 2.00 | 1.88 | 1.86 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 17 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | 1.01% |
Market Price ** | 0.97% |
Bloomberg 1-Year Municipal Bond Index | (0.36)% |
Net Assets as of 2/28/2023 | $2,520,461,501 |
Duration as of 2/28/2023 | 0.6 Years |
Fund Ticker | JMST |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Municipal Bonds | 94.3% |
Short-Term Investments | 5.7 |
18 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan Ultra-Short Municipal Income ETF | |||
Net Asset Value | October 16, 2018 | 1.01% | 1.30% |
Market Price | 0.97 | 1.29 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 19 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 31.0% | ||
Aerospace & Defense — 0.4% | ||
Boeing Co. (The) | ||
2.75%, 2/1/2026 | 14,000 | 12,975 |
2.20%, 2/4/2026 | 95,000 | 86,293 |
3.10%, 5/1/2026 | 35,000 | 32,585 |
2.70%, 2/1/2027 | 65,000 | 58,878 |
5.93%, 5/1/2060 | 40,000 | 37,353 |
Bombardier, Inc. (Canada) 6.00%, 2/15/2028 (a) | 85,000 | 79,640 |
BWX Technologies, Inc. 4.13%, 4/15/2029 (a) | 130,000 | 113,425 |
Howmet Aerospace, Inc. | ||
5.13%, 10/1/2024 | 142,000 | 140,422 |
5.95%, 2/1/2037 | 14,000 | 13,719 |
Lockheed Martin Corp. | ||
4.50%, 5/15/2036 | 125,000 | 119,140 |
4.70%, 5/15/2046 | 100,000 | 94,502 |
Precision Castparts Corp. 4.38%, 6/15/2045 | 154,000 | 137,382 |
Raytheon Technologies Corp. | ||
4.13%, 11/16/2028 | 735,000 | 699,600 |
1.90%, 9/1/2031 | 250,000 | 195,438 |
2.38%, 3/15/2032 | 95,000 | 76,570 |
5.15%, 2/27/2033 | 165,000 | 164,168 |
4.50%, 6/1/2042 | 100,000 | 89,890 |
3.03%, 3/15/2052 | 350,000 | 241,526 |
5.38%, 2/27/2053 | 144,000 | 144,626 |
Spirit AeroSystems, Inc. | ||
7.50%, 4/15/2025 (a) | 33,000 | 32,970 |
9.38%, 11/30/2029 (a) | 163,000 | 172,169 |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | 355,000 | 350,295 |
Triumph Group, Inc. | ||
8.88%, 6/1/2024 (a) | 100,000 | 104,033 |
6.25%, 9/15/2024 (a) | 10,000 | 9,988 |
7.75%, 8/15/2025 | 16,000 | 15,320 |
Wesco Aircraft Holdings, Inc. 9.00%, 11/15/2026 (a) | 20,000 | 13,484 |
3,236,391 | ||
Airlines — 0.2% | ||
American Airlines, Inc. | ||
11.75%, 7/15/2025 (a) | 105,000 | 115,162 |
5.50%, 4/20/2026 (a) | 410,000 | 399,032 |
5.75%, 4/20/2029 (a) | 390,000 | 370,935 |
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 28,153 | 27,114 |
Delta Air Lines, Inc. 7.38%, 1/15/2026 | 105,000 | 108,045 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Airlines — continued | ||
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | 171,000 | 171,000 |
United Airlines Holdings, Inc. | ||
5.00%, 2/1/2024 | 20,000 | 19,814 |
4.88%, 1/15/2025 | 16,000 | 15,547 |
1,226,649 | ||
Auto Components — 0.3% | ||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | 200,000 | 185,092 |
Allison Transmission, Inc. | ||
5.88%, 6/1/2029 (a) | 266,000 | 252,035 |
3.75%, 1/30/2031 (a) | 75,000 | 62,250 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 275,000 | 254,188 |
6.88%, 7/1/2028 | 120,000 | 107,694 |
5.00%, 10/1/2029 | 75,000 | 60,511 |
Aptiv plc 5.40%, 3/15/2049 | 25,000 | 21,792 |
Clarios Global LP 6.25%, 5/15/2026 (a) | 237,000 | 232,615 |
Cooper-Standard Automotive, Inc. | ||
4.50% (PIK), 3/31/2027 (a) (b) | 43,500 | 44,843 |
10.63% (PIK), 5/15/2027 (a) (b) | 30,000 | 18,006 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 365,000 | 336,793 |
4.50%, 2/15/2032 | 40,000 | 31,881 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 | 19,000 | 18,287 |
4.88%, 3/15/2027 | 120,000 | 111,324 |
5.00%, 7/15/2029 | 220,000 | 191,400 |
5.25%, 7/15/2031 | 335,000 | 285,169 |
Icahn Enterprises LP | ||
6.38%, 12/15/2025 | 247,000 | 243,784 |
5.25%, 5/15/2027 | 125,000 | 115,631 |
Lear Corp. 2.60%, 1/15/2032 | 10,000 | 7,560 |
2,580,855 | ||
Automobiles — 0.1% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 590,000 | 678,543 |
General Motors Co. 5.95%, 4/1/2049 | 25,000 | 22,430 |
Hyundai Capital America | ||
0.80%, 1/8/2024 (a) | 170,000 | 163,139 |
1.50%, 6/15/2026 (a) | 40,000 | 35,040 |
3.00%, 2/10/2027 (a) | 200,000 | 182,882 |
1,082,034 |
20 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — 5.9% | ||
ABN AMRO Bank NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (a) (c) | 500,000 | 416,723 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (a) (c) | 200,000 | 151,912 |
ASB Bank Ltd. (New Zealand) 2.38%, 10/22/2031 (a) | 200,000 | 157,872 |
Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023 | 200,000 | 194,856 |
Banco Santander SA (Spain) 2.75%, 5/28/2025 | 200,000 | 187,381 |
Bank of America Corp. | ||
(SOFR + 0.41%), 0.52%, 6/14/2024 (c) | 400,000 | 393,636 |
3.88%, 8/1/2025 | 203,000 | 197,161 |
(SOFR + 1.01%), 1.20%, 10/24/2026 (c) | 700,000 | 622,889 |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (c) | 40,000 | 37,591 |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c) | 436,000 | 409,207 |
(ICE LIBOR USD 3 Month + 1.51%), 3.71%, 4/24/2028 (c) | 1,205,000 | 1,120,933 |
(ICE LIBOR USD 3 Month + 1.37%), 3.59%, 7/21/2028 (c) | 261,000 | 240,619 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (c) | 390,000 | 381,446 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (c) | 454,000 | 413,223 |
(SOFR + 1.06%), 2.09%, 6/14/2029 (c) | 635,000 | 533,905 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | 660,000 | 514,401 |
(SOFR + 1.37%), 1.92%, 10/24/2031 (c) | 50,000 | 38,755 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | 690,000 | 560,504 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (c) | 340,000 | 275,752 |
(SOFR + 1.22%), 2.30%, 7/21/2032 (c) | 1,550,000 | 1,212,171 |
(SOFR + 1.21%), 2.57%, 10/20/2032 (c) | 140,000 | 111,467 |
(SOFR + 2.16%), 5.02%, 7/22/2033 (c) | 225,000 | 216,473 |
(ICE LIBOR USD 3 Month + 1.32%), 4.08%, 4/23/2040 (c) | 112,000 | 94,156 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (c) | 150,000 | 102,749 |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (c) | 259,000 | 259,410 |
Bank of Montreal (Canada) 1.50%, 1/10/2025 | 370,000 | 344,764 |
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (a) | 250,000 | 245,381 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Bank of Nova Scotia (The) (Canada) | ||
(ICE LIBOR USD 3 Month + 2.65%), 7.45%, 4/12/2023 (c) (d) (e) (f) | 50,000 | 48,500 |
2.20%, 2/3/2025 | 112,000 | 105,525 |
3.45%, 4/11/2025 | 300,000 | 288,095 |
Banque Federative du Credit Mutuel SA (France) | ||
3.75%, 7/20/2023 (a) | 250,000 | 248,544 |
4.52%, 7/13/2025 (a) | 320,000 | 312,709 |
4.94%, 1/26/2026 (a) | 200,000 | 197,192 |
1.60%, 10/4/2026 (a) | 200,000 | 174,217 |
Barclays plc (United Kingdom) | ||
5.20%, 5/12/2026 | 200,000 | 194,755 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.30%), 7.39%, 11/2/2028 (c) | 400,000 | 420,733 |
BNP Paribas SA (France) (SOFR + 1.61%), 1.90%, 9/30/2028 (a) (c) | 200,000 | 168,537 |
Canadian Imperial Bank of Commerce (Canada) 3.30%, 4/7/2025 | 105,000 | 100,726 |
Citigroup, Inc. | ||
Series P, (ICE LIBOR USD 3 Month + 3.91%), 5.95%, 5/15/2025 (c) (e) (f) | 115,000 | 112,378 |
(SOFR + 1.37%), 4.14%, 5/24/2025 (c) | 81,000 | 79,505 |
(SOFR + 0.69%), 2.01%, 1/25/2026 (c) | 444,000 | 414,065 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (c) | 408,000 | 408,003 |
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | 550,000 | 516,784 |
Series VAR, (SOFR + 1.28%), 3.07%, 2/24/2028 (c) | 645,000 | 585,365 |
(ICE LIBOR USD 3 Month + 1.39%), 3.67%, 7/24/2028 (c) | 1,200,000 | 1,111,656 |
(ICE LIBOR USD 3 Month + 1.19%), 4.07%, 4/23/2029 (c) | 595,000 | 553,859 |
(ICE LIBOR USD 3 Month + 1.34%), 3.98%, 3/20/2030 (c) | 500,000 | 456,002 |
(SOFR + 1.42%), 2.98%, 11/5/2030 (c) | 25,000 | 21,281 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (c) | 155,000 | 144,077 |
(SOFR + 2.11%), 2.57%, 6/3/2031 (c) | 120,000 | 98,439 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (c) | 490,000 | 393,457 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) | 515,000 | 406,382 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (c) | 55,000 | 38,063 |
Citizens Financial Group, Inc. 2.50%, 2/6/2030 | 11,000 | 9,106 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | 250,000 | 229,415 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 21 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 0.89%), 1.25%, 1/26/2027 (a) (c) | 250,000 | 220,647 |
5.30%, 7/12/2028 (a) | 990,000 | 984,593 |
(USD Swap Semi 5 Year + 1.64%), 4.00%, 1/10/2033 (a) (c) | 250,000 | 224,107 |
Danske Bank A/S (Denmark) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.45%), 3.77%, 3/28/2025 (a) (c) | 200,000 | 195,719 |
(ICE LIBOR USD 3 Month + 1.59%), 3.24%, 12/20/2025 (a) (c) | 200,000 | 190,083 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (c) | 271,000 | 272,666 |
Fifth Third Bancorp 3.65%, 1/25/2024 | 70,000 | 69,003 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 3.03%), 7.34%, 11/3/2026 (c) | 250,000 | 260,537 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | 200,000 | 174,964 |
(ICE LIBOR USD 3 Month + 1.55%), 4.04%, 3/13/2028 (c) | 600,000 | 560,075 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (c) | 305,000 | 298,241 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | 1,370,000 | 1,159,726 |
(SOFR + 1.29%), 2.21%, 8/17/2029 (c) | 1,200,000 | 994,743 |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (c) | 200,000 | 179,199 |
(SOFR + 1.19%), 2.80%, 5/24/2032 (c) | 700,000 | 558,780 |
(SOFR + 1.41%), 2.87%, 11/22/2032 (c) | 250,000 | 198,039 |
(SOFR + 2.87%), 5.40%, 8/11/2033 (c) | 200,000 | 191,686 |
6.10%, 1/14/2042 | 230,000 | 245,410 |
ING Groep NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.86%), 3.88%, 5/16/2027 (c) (d) (e) (f) | 200,000 | 153,520 |
Intesa Sanpaolo SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (a) (c) | 200,000 | 133,968 |
KeyCorp 2.25%, 4/6/2027 | 57,000 | 50,749 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.51%, 3/18/2026 (c) | 200,000 | 190,800 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (c) | 200,000 | 194,717 |
3.78%, 3/2/2025 | 269,000 | 260,470 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.06%, 9/12/2025 (c) | 565,000 | 559,670 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | 560,000 | 489,930 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.53%), 5.47%, 2/22/2031 (c) | 200,000 | 198,003 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.85%, 1/19/2033 (c) | 200,000 | 161,458 |
Mizuho Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 5.41%, 9/13/2028 (c) | 580,000 | 577,599 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.87%), 2.17%, 5/22/2032 (c) | 225,000 | 173,431 |
National Australia Bank Ltd. (Australia) 3.38%, 1/14/2026 | 250,000 | 238,115 |
NatWest Group plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (c) | 300,000 | 294,531 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | 200,000 | 207,807 |
(ICE LIBOR USD 3 Month + 1.91%), 5.08%, 1/27/2030 (c) | 200,000 | 191,473 |
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (a) | 200,000 | 186,318 |
Nordea Bank Abp (Finland) 5.38%, 9/22/2027 (a) | 200,000 | 199,445 |
PNC Financial Services Group, Inc. (The) | ||
2.55%, 1/22/2030 | 439,000 | 373,355 |
(SOFR + 0.98%), 2.31%, 4/23/2032 (c) | 50,000 | 40,614 |
(SOFR + 1.93%), 5.07%, 1/24/2034 (c) | 220,000 | 212,729 |
Royal Bank of Canada (Canada) | ||
4.65%, 1/27/2026 (d) | 45,000 | 43,901 |
4.24%, 8/3/2027 | 425,000 | 408,154 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 0.99%), 1.67%, 6/14/2027 (c) | 200,000 | 174,600 |
(ICE LIBOR USD 3 Month + 1.40%), 3.82%, 11/3/2028 (c) | 200,000 | 181,724 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | 1,625,000 | 1,644,862 |
Societe Generale SA (France) | ||
4.25%, 4/14/2025 (a) | 200,000 | 191,751 |
22 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
4.75%, 11/24/2025 (a) | 200,000 | 192,708 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) | 200,000 | 177,192 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c) | 200,000 | 201,801 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (a) (c) | 200,000 | 174,768 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.30%), 2.80%, 1/19/2028 (a) (c) | 1,200,000 | 1,064,955 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 6.45%, 1/10/2029 (a) (c) | 970,000 | 979,447 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (a) (c) | 430,000 | 438,658 |
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (c) | 200,000 | 191,735 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (a) (c) | 400,000 | 432,328 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (a) | 893,000 | 912,514 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.75%, 7/19/2023 | 53,000 | 52,685 |
5.52%, 1/13/2028 | 255,000 | 254,326 |
5.71%, 1/13/2030 | 255,000 | 256,960 |
5.77%, 1/13/2033 | 200,000 | 201,626 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
1.05%, 9/12/2025 (a) | 60,000 | 53,544 |
4.95%, 9/15/2027 (a) | 200,000 | 197,076 |
Swedbank AB (Sweden) 5.34%, 9/20/2027 (a) | 200,000 | 197,455 |
Toronto-Dominion Bank (The) (Canada) | ||
5.10%, 1/9/2026 | 200,000 | 199,388 |
2.00%, 9/10/2031 | 385,000 | 302,559 |
4.46%, 6/8/2032 | 120,000 | 112,948 |
Truist Bank 4.05%, 11/3/2025 | 60,000 | 58,326 |
Truist Financial Corp. (SOFR + 1.85%), 5.12%, 1/26/2034 (c) | 480,000 | 467,066 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
UniCredit SpA (Italy) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (a) (c) | 200,000 | 174,420 |
US Bancorp | ||
3.00%, 7/30/2029 | 97,000 | 85,035 |
(SOFR + 2.11%), 4.97%, 7/22/2033 (c) | 150,000 | 143,067 |
Wells Fargo & Co. | ||
3.55%, 9/29/2025 | 227,000 | 217,260 |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | 913,000 | 853,265 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (c) | 90,000 | 86,810 |
3.00%, 10/23/2026 | 360,000 | 332,286 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (c) | 325,000 | 300,949 |
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (c) | 1,481,000 | 1,370,300 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (c) | 320,000 | 311,558 |
(SOFR + 1.26%), 2.57%, 2/11/2031 (c) | 250,000 | 208,090 |
(SOFR + 1.50%), 3.35%, 3/2/2033 (c) | 640,000 | 541,122 |
(SOFR + 2.10%), 4.90%, 7/25/2033 (c) | 430,000 | 410,709 |
4.90%, 11/17/2045 | 25,000 | 22,099 |
Westpac Banking Corp. (Australia) | ||
2.85%, 5/13/2026 | 175,000 | 163,150 |
1.95%, 11/20/2028 | 30,000 | 25,627 |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (c) (d) | 375,000 | 353,415 |
44,703,846 | ||
Beverages — 0.4% | ||
Anheuser-Busch Cos. LLC (Belgium) | ||
4.70%, 2/1/2036 | 540,000 | 506,860 |
4.90%, 2/1/2046 | 815,000 | 747,579 |
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.38%, 4/15/2038 | 295,000 | 263,783 |
4.44%, 10/6/2048 | 40,000 | 34,524 |
Coca-Cola Co. (The) 2.60%, 6/1/2050 | 50,000 | 33,482 |
Constellation Brands, Inc. | ||
4.65%, 11/15/2028 | 345,000 | 333,837 |
4.50%, 5/9/2047 | 120,000 | 100,912 |
Diageo Capital plc (United Kingdom) 3.88%, 4/29/2043 | 430,000 | 357,610 |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | 150,000 | 112,809 |
Keurig Dr Pepper, Inc. 3.40%, 11/15/2025 | 38,000 | 36,187 |
PepsiCo, Inc. 4.65%, 2/15/2053 | 250,000 | 244,703 |
2,772,286 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 23 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Biotechnology — 0.6% | ||
AbbVie, Inc. | ||
2.95%, 11/21/2026 | 73,000 | 67,369 |
3.20%, 11/21/2029 | 421,000 | 372,355 |
4.05%, 11/21/2039 | 1,174,000 | 990,237 |
4.63%, 10/1/2042 | 75,000 | 66,507 |
4.25%, 11/21/2049 | 230,000 | 191,522 |
Amgen, Inc. | ||
1.65%, 8/15/2028 | 175,000 | 146,447 |
4.05%, 8/18/2029 | 610,000 | 568,677 |
5.25%, 3/2/2030 (g) | 175,000 | 174,146 |
5.25%, 3/2/2033 (g) | 250,000 | 248,258 |
3.15%, 2/21/2040 | 127,000 | 93,374 |
5.60%, 3/2/2043 (g) | 409,000 | 403,901 |
5.65%, 3/2/2053 (g) | 445,000 | 441,337 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 100,000 | 60,500 |
Gilead Sciences, Inc. | ||
2.95%, 3/1/2027 | 195,000 | 180,613 |
1.65%, 10/1/2030 | 118,000 | 93,374 |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | 200,000 | 171,000 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 80,000 | 62,284 |
4,331,901 | ||
Building Products — 0.2% | ||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | 350,000 | 293,834 |
Griffon Corp. 5.75%, 3/1/2028 | 310,000 | 285,293 |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | 200,000 | 187,876 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 185,000 | 154,604 |
Masco Corp. 1.50%, 2/15/2028 | 25,000 | 20,673 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 215,000 | 180,501 |
Standard Industries, Inc. | ||
5.00%, 2/15/2027 (a) | 20,000 | 18,477 |
4.75%, 1/15/2028 (a) | 195,000 | 175,198 |
4.38%, 7/15/2030 (a) | 395,000 | 328,837 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 205,000 | 188,600 |
1,833,893 | ||
Capital Markets — 2.2% | ||
Ameriprise Financial, Inc. 4.00%, 10/15/2023 | 47,000 | 46,636 |
Bank of New York Mellon Corp. (The) | ||
3.25%, 5/16/2027 | 160,000 | 149,847 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
(SOFR + 1.42%), 4.29%, 6/13/2033 (c) | 180,000 | 167,407 |
Charles Schwab Corp. (The) | ||
0.90%, 3/11/2026 | 30,000 | 26,433 |
2.75%, 10/1/2029 | 46,000 | 39,961 |
Coinbase Global, Inc. 3.63%, 10/1/2031 (a) | 125,000 | 75,385 |
Credit Suisse AG (Switzerland) | ||
1.00%, 5/5/2023 | 534,000 | 528,505 |
3.70%, 2/21/2025 | 310,000 | 288,571 |
Credit Suisse Group AG (Switzerland) | ||
(SOFR + 0.98%), 1.31%, 2/2/2027 (a) (c) | 250,000 | 201,460 |
(SOFR + 5.02%), 9.02%, 11/15/2033 (a) (c) | 250,000 | 262,544 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 53,000 | 54,496 |
Deutsche Bank AG (Germany) (SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 150,000 | 146,625 |
Goldman Sachs Group, Inc. (The) | ||
3.50%, 4/1/2025 | 280,000 | 269,742 |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | 201,000 | 193,237 |
3.50%, 11/16/2026 | 571,000 | 535,995 |
3.85%, 1/26/2027 | 135,000 | 127,714 |
(SOFR + 0.80%), 1.43%, 3/9/2027 (c) | 1,085,000 | 956,308 |
(SOFR + 1.51%), 4.39%, 6/15/2027 (c) | 117,000 | 112,897 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 150,000 | 134,039 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | 420,000 | 390,121 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (c) | 1,815,000 | 1,457,630 |
(SOFR + 1.41%), 3.10%, 2/24/2033 (c) | 940,000 | 774,807 |
(SOFR + 1.51%), 3.21%, 4/22/2042 (c) | 160,000 | 116,106 |
(SOFR + 1.63%), 3.44%, 2/24/2043 (c) | 18,000 | 13,431 |
LPL Holdings, Inc. 4.00%, 3/15/2029 (a) | 120,000 | 105,577 |
Macquarie Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (a) (c) | 200,000 | 194,978 |
Morgan Stanley | ||
(SOFR + 1.16%), 3.62%, 4/17/2025 (c) | 190,000 | 185,603 |
3.88%, 1/27/2026 | 330,000 | 318,123 |
3.13%, 7/27/2026 | 130,000 | 120,977 |
3.63%, 1/20/2027 | 191,000 | 180,554 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (c) | 210,000 | 185,407 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (c) | 614,000 | 547,592 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (c) | 303,000 | 287,825 |
(ICE LIBOR USD 3 Month + 1.34%), 3.59%, 7/22/2028 (c) | 760,000 | 701,517 |
24 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 1.73%), 5.12%, 2/1/2029 (c) | 480,000 | 471,364 |
(ICE LIBOR USD 3 Month + 1.63%), 4.43%, 1/23/2030 (c) | 573,000 | 539,395 |
(SOFR + 1.14%), 2.70%, 1/22/2031 (c) | 70,000 | 58,479 |
(SOFR + 1.18%), 2.24%, 7/21/2032 (c) | 80,000 | 62,228 |
(SOFR + 1.20%), 2.51%, 10/20/2032 (c) | 2,038,000 | 1,613,043 |
(SOFR + 1.29%), 2.94%, 1/21/2033 (c) | 315,000 | 257,764 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (c) | 380,000 | 371,290 |
(SOFR + 1.49%), 3.22%, 4/22/2042 (c) | 285,000 | 211,840 |
MSCI, Inc. 4.00%, 11/15/2029 (a) | 115,000 | 101,787 |
Northern Trust Corp. 3.95%, 10/30/2025 | 60,000 | 58,031 |
Nuveen LLC 4.00%, 11/1/2028 (a) | 160,000 | 150,532 |
S&P Global, Inc. | ||
2.70%, 3/1/2029 (a) | 456,000 | 400,461 |
1.25%, 8/15/2030 | 500,000 | 386,163 |
2.90%, 3/1/2032 (a) | 112,000 | 95,862 |
3.25%, 12/1/2049 | 223,000 | 163,657 |
State Street Corp. (SOFR + 1.72%), 5.82%, 11/4/2028 (c) | 135,000 | 138,205 |
UBS Group AG (Switzerland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (c) | 585,000 | 506,987 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.75%), 4.75%, 5/12/2028 (a) (c) | 200,000 | 192,538 |
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (a) (c) | 950,000 | 812,932 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (a) (c) | 200,000 | 157,172 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (a) (c) | 200,000 | 187,217 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 3.18%, 2/11/2043 (a) (c) | 200,000 | 144,806 |
16,979,803 | ||
Chemicals — 0.4% | ||
Avient Corp. 7.13%, 8/1/2030 (a) | 235,000 | 235,588 |
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | 150,000 | 138,358 |
CF Industries, Inc. | ||
5.15%, 3/15/2034 | 60,000 | 55,823 |
4.95%, 6/1/2043 | 70,000 | 58,745 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Chemicals — continued | ||
Chemours Co. (The) | ||
5.38%, 5/15/2027 | 65,000 | 59,192 |
5.75%, 11/15/2028 (a) | 310,000 | 272,268 |
CVR Partners LP 6.13%, 6/15/2028 (a) | 70,000 | 62,179 |
Ecolab, Inc. | ||
3.25%, 12/1/2027 | 52,000 | 48,380 |
2.13%, 2/1/2032 | 75,000 | 59,849 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 165,000 | 142,313 |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | 200,000 | 175,898 |
International Flavors & Fragrances, Inc. | ||
1.83%, 10/15/2027 (a) | 116,000 | 97,117 |
3.27%, 11/15/2040 (a) | 25,000 | 17,143 |
3.47%, 12/1/2050 (a) | 13,000 | 8,550 |
LYB International Finance III LLC 3.38%, 10/1/2040 | 40,000 | 28,722 |
NOVA Chemicals Corp. (Canada) 5.25%, 6/1/2027 (a) | 310,000 | 279,000 |
Nutrien Ltd. (Canada) | ||
2.95%, 5/13/2030 | 80,000 | 68,279 |
3.95%, 5/13/2050 | 190,000 | 144,835 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 375,000 | 324,938 |
Sherwin-Williams Co. (The) 4.50%, 6/1/2047 | 15,000 | 12,568 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 145,000 | 126,762 |
WR Grace Holdings LLC | ||
5.63%, 10/1/2024 (a) | 85,000 | 84,975 |
4.88%, 6/15/2027 (a) | 255,000 | 234,317 |
2,735,799 | ||
Commercial Services & Supplies — 0.4% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 165,000 | 135,223 |
ADT Security Corp. (The) | ||
4.13%, 6/15/2023 | 26,000 | 25,838 |
4.13%, 8/1/2029 (a) | 300,000 | 258,144 |
4.88%, 7/15/2032 (a) | 20,000 | 17,152 |
Allied Universal Holdco LLC 4.63%, 6/1/2028 (a) | 200,000 | 166,330 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 155,000 | 142,709 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 230,000 | 203,703 |
GFL Environmental, Inc. (Canada) | ||
3.75%, 8/1/2025 (a) | 105,000 | 98,831 |
5.13%, 12/15/2026 (a) | 55,000 | 52,656 |
4.00%, 8/1/2028 (a) | 285,000 | 248,010 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 25 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Commercial Services & Supplies — continued | ||
4.75%, 6/15/2029 (a) | 110,000 | 97,823 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 510,000 | 435,081 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 282,000 | 272,482 |
3.38%, 8/31/2027 (a) | 305,000 | 263,792 |
Stericycle, Inc. | ||
5.38%, 7/15/2024 (a) | 85,000 | 83,752 |
3.88%, 1/15/2029 (a) | 120,000 | 102,871 |
Waste Management, Inc. 1.50%, 3/15/2031 | 170,000 | 130,868 |
2,735,265 | ||
Communications Equipment — 0.1% | ||
CommScope Technologies LLC 6.00%, 6/15/2025 (a) | 105,000 | 100,629 |
CommScope, Inc. 6.00%, 3/1/2026 (a) | 397,000 | 382,534 |
483,163 | ||
Construction & Engineering — 0.1% | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 230,000 | 201,601 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 235,000 | 196,111 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 165,000 | 150,139 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 150,000 | 127,393 |
675,244 | ||
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. 2.40%, 7/15/2031 | 70,000 | 55,845 |
Consumer Finance — 0.8% | ||
AerCap Ireland Capital DAC (Ireland) | ||
1.15%, 10/29/2023 | 450,000 | 436,665 |
2.45%, 10/29/2026 | 310,000 | 273,287 |
3.00%, 10/29/2028 | 450,000 | 383,451 |
American Express Co. | ||
4.90%, 2/13/2026 | 130,000 | 128,981 |
2.55%, 3/4/2027 | 540,000 | 488,813 |
5.85%, 11/5/2027 | 270,000 | 277,938 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.13%, 10/1/2023 (a) | 170,000 | 169,397 |
5.25%, 5/15/2024 (a) | 250,000 | 246,016 |
2.88%, 2/15/2025 (a) | 328,000 | 305,075 |
5.50%, 1/15/2026 (a) | 60,000 | 58,061 |
2.13%, 2/21/2026 (a) | 275,000 | 240,892 |
4.25%, 4/15/2026 (a) | 25,000 | 23,200 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
Capital One Financial Corp. (SOFR + 1.27%), 2.62%, 11/2/2032 (c) | 100,000 | 77,554 |
Ford Motor Credit Co. LLC | ||
4.39%, 1/8/2026 | 200,000 | 188,122 |
4.27%, 1/9/2027 | 830,000 | 751,663 |
4.13%, 8/17/2027 | 500,000 | 445,479 |
4.00%, 11/13/2030 | 250,000 | 208,363 |
3.63%, 6/17/2031 | 200,000 | 158,446 |
General Motors Financial Co., Inc. | ||
3.80%, 4/7/2025 | 35,000 | 33,674 |
3.60%, 6/21/2030 | 60,000 | 51,533 |
2.70%, 6/10/2031 | 25,000 | 19,545 |
John Deere Capital Corp. 4.75%, 1/20/2028 | 200,000 | 198,978 |
Navient Corp. | ||
6.13%, 3/25/2024 | 130,000 | 129,032 |
5.88%, 10/25/2024 | 20,000 | 19,441 |
OneMain Finance Corp. | ||
6.88%, 3/15/2025 | 90,000 | 87,861 |
7.13%, 3/15/2026 | 389,000 | 378,151 |
6.63%, 1/15/2028 | 95,000 | 88,465 |
Park Aerospace Holdings Ltd. (Ireland) | ||
4.50%, 3/15/2023 (a) | 305,000 | 304,746 |
5.50%, 2/15/2024 (a) | 208,000 | 205,518 |
6,378,347 | ||
Containers & Packaging — 0.4% | ||
Ardagh Packaging Finance plc | ||
5.25%, 4/30/2025 (a) | 200,000 | 193,350 |
4.13%, 8/15/2026 (a) | 400,000 | 364,000 |
Ball Corp. 3.13%, 9/15/2031 | 55,000 | 44,046 |
Canpack SA (Poland) 3.88%, 11/15/2029 (a) | 200,000 | 160,000 |
Crown Americas LLC 4.25%, 9/30/2026 | 13,000 | 12,063 |
Graphic Packaging International LLC | ||
4.75%, 7/15/2027 (a) | 108,000 | 101,165 |
3.50%, 3/15/2028 (a) | 90,000 | 78,743 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 240,000 | 228,275 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 400,000 | 402,500 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 245,000 | 238,263 |
Packaging Corp. of America 3.05%, 10/1/2051 | 85,000 | 55,550 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 295,000 | 257,343 |
Sealed Air Corp. 4.00%, 12/1/2027 (a) | 115,000 | 103,608 |
26 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Containers & Packaging — continued | ||
TriMas Corp. 4.13%, 4/15/2029 (a) | 106,000 | 92,220 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (h) | 450,000 | 425,250 |
WRKCo, Inc. 4.65%, 3/15/2026 | 30,000 | 29,376 |
2,785,752 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 5.13%, 6/1/2029 | 220,000 | 205,975 |
University of Miami Series 2022, 4.06%, 4/1/2052 | 40,000 | 33,687 |
239,662 | ||
Diversified Financial Services — 0.1% | ||
EDP Finance BV (Portugal) 1.71%, 1/24/2028 (a) | 250,000 | 208,732 |
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (a) | 200,000 | 170,848 |
Shell International Finance BV (Netherlands) | ||
2.88%, 11/26/2041 | 200,000 | 147,032 |
3.63%, 8/21/2042 | 200,000 | 163,108 |
3.75%, 9/12/2046 | 141,000 | 112,034 |
3.13%, 11/7/2049 | 25,000 | 17,918 |
3.00%, 11/26/2051 | 200,000 | 138,454 |
958,126 | ||
Diversified Telecommunication Services — 1.1% | ||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | 200,000 | 165,186 |
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 154,912 |
AT&T, Inc. | ||
1.65%, 2/1/2028 | 450,000 | 382,301 |
2.55%, 12/1/2033 | 870,000 | 666,115 |
3.50%, 6/1/2041 | 260,000 | 195,188 |
3.65%, 6/1/2051 | 65,000 | 46,370 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 545,000 | 493,906 |
5.38%, 6/1/2029 (a) | 100,000 | 89,195 |
4.75%, 3/1/2030 (a) | 1,024,000 | 861,153 |
4.50%, 8/15/2030 (a) | 464,000 | 381,649 |
4.25%, 2/1/2031 (a) | 1,080,000 | 866,916 |
4.50%, 5/1/2032 | 485,000 | 383,853 |
4.50%, 6/1/2033 (a) | 135,000 | 105,030 |
Embarq Corp. 8.00%, 6/1/2036 | 13,000 | 5,595 |
ESC Co., Intelsat Jackson Holdings, Ltd. 8.50%, 10/15/2024 ‡ (a) (i) | 28,000 | 3 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Telecommunication Services — continued | ||
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 115,000 | 106,846 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 354,000 | 307,978 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 130,000 | 95,225 |
4.00%, 2/15/2027 (a) | 1,000,000 | 767,900 |
Series G, 6.88%, 1/15/2028 | 3,000 | 1,860 |
Sprint Capital Corp. 8.75%, 3/15/2032 | 240,000 | 285,718 |
Telecom Italia Capital SA (Italy) 6.00%, 9/30/2034 | 134,000 | 111,957 |
Telecom Italia SpA (Italy) 5.30%, 5/30/2024 (a) | 200,000 | 194,766 |
Verizon Communications, Inc. | ||
2.10%, 3/22/2028 | 25,000 | 21,578 |
4.33%, 9/21/2028 | 75,000 | 71,852 |
4.02%, 12/3/2029 | 184,000 | 169,704 |
2.55%, 3/21/2031 | 585,000 | 478,523 |
2.36%, 3/15/2032 | 463,000 | 363,988 |
3.40%, 3/22/2041 | 30,000 | 22,614 |
3.85%, 11/1/2042 | 125,000 | 98,605 |
2.88%, 11/20/2050 | 75,000 | 47,196 |
3.70%, 3/22/2061 | 30,000 | 21,090 |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a) | 75,000 | 57,534 |
8,022,306 | ||
Electric Utilities — 1.9% | ||
AEP Transmission Co. LLC | ||
Series N, 2.75%, 8/15/2051 | 50,000 | 32,107 |
Series O, 4.50%, 6/15/2052 | 200,000 | 177,340 |
Alabama Power Co. 3.05%, 3/15/2032 | 200,000 | 170,322 |
American Electric Power Co., Inc. 2.03%, 3/15/2024 | 40,000 | 38,525 |
Baltimore Gas and Electric Co. | ||
3.20%, 9/15/2049 | 295,000 | 208,508 |
2.90%, 6/15/2050 | 50,000 | 33,413 |
Commonwealth Edison Co. 5.30%, 2/1/2053 | 618,000 | 614,245 |
Connecticut Light and Power Co. (The) 4.00%, 4/1/2048 | 46,000 | 38,584 |
DTE Electric Co. | ||
Series A, 4.00%, 4/1/2043 | 90,000 | 75,166 |
5.40%, 4/1/2053 | 80,000 | 80,660 |
Duke Energy Carolinas LLC 3.20%, 8/15/2049 | 34,000 | 24,036 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 27 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Duke Energy Indiana LLC | ||
Series YYY, 3.25%, 10/1/2049 | 125,000 | 88,653 |
2.75%, 4/1/2050 | 395,000 | 247,497 |
Duquesne Light Holdings, Inc. 2.53%, 10/1/2030 (a) | 148,000 | 117,657 |
Edison International 6.95%, 11/15/2029 | 245,000 | 257,222 |
Emera US Finance LP (Canada) | ||
2.64%, 6/15/2031 | 660,000 | 518,886 |
4.75%, 6/15/2046 | 50,000 | 39,287 |
Enel Finance International NV (Italy) 2.25%, 7/12/2031 (a) | 200,000 | 150,727 |
Entergy Arkansas LLC | ||
4.00%, 6/1/2028 | 13,000 | 12,281 |
2.65%, 6/15/2051 | 274,000 | 170,467 |
Entergy Louisiana LLC | ||
2.40%, 10/1/2026 | 69,000 | 62,211 |
1.60%, 12/15/2030 | 500,000 | 382,975 |
Entergy Mississippi LLC 3.50%, 6/1/2051 | 20,000 | 14,509 |
Entergy Texas Restoration Funding II LLC Series A-2, 3.70%, 12/15/2035 | 215,000 | 190,550 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 535,000 | 417,895 |
Eversource Energy 4.60%, 7/1/2027 | 31,000 | 30,200 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 970,000 | 883,847 |
FirstEnergy Transmission LLC 4.55%, 4/1/2049 (a) | 90,000 | 74,899 |
Florida Power & Light Co. | ||
5.10%, 4/1/2033 | 288,000 | 287,533 |
3.70%, 12/1/2047 | 60,000 | 47,493 |
5.30%, 4/1/2053 | 70,000 | 69,651 |
Indiana Michigan Power Co. Series K, 4.55%, 3/15/2046 | 50,000 | 42,522 |
ITC Holdings Corp. | ||
4.95%, 9/22/2027 (a) | 182,000 | 179,521 |
2.95%, 5/14/2030 (a) | 405,000 | 345,506 |
Kentucky Utilities Co. 5.13%, 11/1/2040 | 74,000 | 70,614 |
MidAmerican Energy Co. 3.65%, 4/15/2029 | 46,000 | 42,632 |
Mid-Atlantic Interstate Transmission LLC 4.10%, 5/15/2028 (a) | 430,000 | 406,635 |
Monongahela Power Co. 4.10%, 4/15/2024 (a) | 100,000 | 98,135 |
NextEra Energy Capital Holdings, Inc. | ||
5.00%, 7/15/2032 | 60,000 | 57,759 |
5.05%, 2/28/2033 | 1,320,000 | 1,277,129 |
5.25%, 2/28/2053 | 80,000 | 76,574 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Northern States Power Co. | ||
2.60%, 6/1/2051 | 70,000 | 44,931 |
4.50%, 6/1/2052 | 50,000 | 45,146 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 21,000 | 20,941 |
2.45%, 12/2/2027 (a) | 60,000 | 50,586 |
5.75%, 1/15/2028 | 260,000 | 245,076 |
3.38%, 2/15/2029 (a) | 70,000 | 56,837 |
5.25%, 6/15/2029 (a) | 395,000 | 351,550 |
Ohio Power Co. | ||
Series P, 2.60%, 4/1/2030 | 50,000 | 42,251 |
Series R, 2.90%, 10/1/2051 | 65,000 | 42,978 |
Oklahoma Gas and Electric Co. 5.40%, 1/15/2033 | 100,000 | 100,345 |
Oncor Electric Delivery Co. LLC | ||
4.55%, 9/15/2032 | 210,000 | 202,601 |
3.10%, 9/15/2049 | 50,000 | 35,142 |
Pacific Gas and Electric Co. | ||
1.70%, 11/15/2023 | 30,000 | 29,122 |
3.25%, 2/16/2024 | 75,000 | 73,335 |
3.45%, 7/1/2025 | 17,000 | 15,973 |
2.95%, 3/1/2026 | 110,000 | 101,037 |
4.65%, 8/1/2028 | 100,000 | 92,706 |
4.50%, 7/1/2040 | 130,000 | 101,841 |
4.20%, 6/1/2041 | 30,000 | 22,521 |
4.25%, 3/15/2046 | 78,000 | 55,777 |
PacifiCorp | ||
4.15%, 2/15/2050 | 118,000 | 97,569 |
3.30%, 3/15/2051 | 120,000 | 85,702 |
PG&E Corp. | ||
5.00%, 7/1/2028 | 106,000 | 96,783 |
5.25%, 7/1/2030 | 205,000 | 182,963 |
PG&E Recovery Funding LLC Series A-3, 5.54%, 7/15/2047 (d) | 185,000 | 191,350 |
PG&E Wildfire Recovery Funding LLC | ||
Series A-2, 4.26%, 6/1/2036 | 25,000 | 23,161 |
Series A-4, 5.21%, 12/1/2047 | 40,000 | 39,826 |
Series A-5, 5.10%, 6/1/2052 | 70,000 | 70,736 |
PPL Electric Utilities Corp. 5.25%, 5/15/2053 | 70,000 | 69,004 |
Public Service Co. of Colorado Series 36, 2.70%, 1/15/2051 | 45,000 | 29,271 |
Public Service Co. of Oklahoma Series K, 3.15%, 8/15/2051 | 150,000 | 99,914 |
28 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Public Service Electric and Gas Co. | ||
3.00%, 5/15/2027 | 50,000 | 46,305 |
2.05%, 8/1/2050 | 68,000 | 38,657 |
Southern California Edison Co. | ||
5.30%, 3/1/2028 | 719,000 | 715,614 |
Series G, 2.50%, 6/1/2031 | 775,000 | 636,617 |
Series C, 3.60%, 2/1/2045 | 35,000 | 25,491 |
Series C, 4.13%, 3/1/2048 | 238,000 | 189,092 |
Series 20A, 2.95%, 2/1/2051 | 430,000 | 276,650 |
Southwestern Electric Power Co. | ||
Series N, 1.65%, 3/15/2026 | 45,000 | 40,246 |
3.25%, 11/1/2051 | 210,000 | 141,170 |
Southwestern Public Service Co. | ||
3.30%, 6/15/2024 | 29,000 | 28,251 |
4.50%, 8/15/2041 | 74,000 | 64,563 |
Tucson Electric Power Co. | ||
1.50%, 8/1/2030 | 448,000 | 345,733 |
4.85%, 12/1/2048 | 232,000 | 204,039 |
5.50%, 4/15/2053 | 115,000 | 113,416 |
Union Electric Co. | ||
3.90%, 4/1/2052 | 45,000 | 36,077 |
5.45%, 3/15/2053 (g) | 80,000 | 79,991 |
Vistra Operations Co. LLC | ||
5.50%, 9/1/2026 (a) | 65,000 | 62,081 |
5.63%, 2/15/2027 (a) | 260,000 | 246,381 |
5.00%, 7/31/2027 (a) | 300,000 | 278,686 |
4.38%, 5/1/2029 (a) | 275,000 | 237,571 |
4.30%, 7/15/2029 (a) | 90,000 | 80,990 |
Wisconsin Public Service Corp. 4.75%, 11/1/2044 | 69,000 | 61,620 |
14,820,589 | ||
Electrical Equipment — 0.1% | ||
Eaton Corp. 4.00%, 11/2/2032 | 200,000 | 183,217 |
EnerSys 4.38%, 12/15/2027 (a) | 65,000 | 59,010 |
Regal Rexnord Corp. | ||
6.05%, 2/15/2026 (a) | 68,000 | 67,455 |
6.05%, 4/15/2028 (a) | 135,000 | 132,004 |
6.30%, 2/15/2030 (a) | 57,000 | 55,768 |
6.40%, 4/15/2033 (a) | 79,000 | 77,734 |
Sensata Technologies BV 5.00%, 10/1/2025 (a) | 40,000 | 38,915 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 160,000 | 139,006 |
753,109 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Arrow Electronics, Inc. 2.95%, 2/15/2032 | 20,000 | 16,071 |
Coherent Corp. 5.00%, 12/15/2029 (a) | 175,000 | 153,317 |
Corning, Inc. 3.90%, 11/15/2049 | 75,000 | 56,518 |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | 145,000 | 128,320 |
354,226 | ||
Energy Equipment & Services — 0.1% | ||
Baker Hughes Holdings LLC 2.06%, 12/15/2026 | 70,000 | 62,569 |
Halliburton Co. 3.80%, 11/15/2025 | 12,000 | 11,605 |
Oceaneering International, Inc. 4.65%, 11/15/2024 | 120,000 | 115,509 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 215,000 | 211,528 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (a) | 14,000 | 13,154 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 170,000 | 172,975 |
USA Compression Partners LP 6.88%, 4/1/2026 | 140,000 | 134,175 |
721,515 | ||
Entertainment — 0.7% | ||
Activision Blizzard, Inc. | ||
1.35%, 9/15/2030 | 230,000 | 179,590 |
2.50%, 9/15/2050 | 259,000 | 161,499 |
Cinemark USA, Inc. | ||
5.88%, 3/15/2026 (a) | 75,000 | 68,666 |
5.25%, 7/15/2028 (a) | 40,000 | 33,610 |
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 2,000 | 1,925 |
6.50%, 5/15/2027 (a) | 485,000 | 476,876 |
4.75%, 10/15/2027 (a) | 365,000 | 328,701 |
Netflix, Inc. | ||
4.88%, 4/15/2028 | 308,000 | 298,597 |
5.38%, 11/15/2029 (a) | 88,000 | 86,604 |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 115,000 | 108,523 |
Walt Disney Co. (The) | ||
2.00%, 9/1/2029 | 250,000 | 208,692 |
3.80%, 3/22/2030 | 450,000 | 418,418 |
3.50%, 5/13/2040 | 350,000 | 282,840 |
Warnermedia Holdings, Inc. | ||
3.76%, 3/15/2027 (a) | 1,650,000 | 1,513,602 |
4.28%, 3/15/2032 (a) | 1,290,000 | 1,113,672 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 29 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Entertainment — continued | ||
5.14%, 3/15/2052 (a) | 80,000 | 62,712 |
WMG Acquisition Corp. 3.88%, 7/15/2030 (a) | 100,000 | 84,820 |
5,429,347 | ||
Equity Real Estate Investment Trusts (REITs) — 0.5% | ||
Alexandria Real Estate Equities, Inc. | ||
1.88%, 2/1/2033 | 53,000 | 39,284 |
5.15%, 4/15/2053 | 30,000 | 27,837 |
American Tower Corp. | ||
1.45%, 9/15/2026 | 85,000 | 73,909 |
2.95%, 1/15/2051 | 25,000 | 15,087 |
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | 32,000 | 29,777 |
Camden Property Trust 3.15%, 7/1/2029 | 130,000 | 115,385 |
Corporate Office Properties LP 2.25%, 3/15/2026 | 94,000 | 83,829 |
Crown Castle, Inc. 2.90%, 3/15/2027 | 270,000 | 245,277 |
Equinix, Inc. 3.90%, 4/15/2032 | 80,000 | 70,692 |
ERP Operating LP 3.25%, 8/1/2027 | 31,000 | 28,682 |
Essex Portfolio LP 2.65%, 3/15/2032 | 45,000 | 35,713 |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (a) | 90,000 | 80,860 |
Healthpeak Properties Interim, Inc. | ||
2.13%, 12/1/2028 | 64,000 | 54,115 |
3.00%, 1/15/2030 | 87,000 | 74,893 |
Iron Mountain, Inc. | ||
4.88%, 9/15/2027 (a) | 315,000 | 289,939 |
5.00%, 7/15/2028 (a) | 385,000 | 348,972 |
Life Storage LP 2.20%, 10/15/2030 | 88,000 | 70,169 |
Mid-America Apartments LP 4.20%, 6/15/2028 | 100,000 | 95,181 |
National Retail Properties, Inc. 3.60%, 12/15/2026 | 39,000 | 36,268 |
Office Properties Income Trust | ||
4.50%, 2/1/2025 | 88,000 | 80,962 |
3.45%, 10/15/2031 | 35,000 | 23,362 |
Prologis LP 1.75%, 7/1/2030 | 149,000 | 118,955 |
Public Storage 2.25%, 11/9/2031 | 90,000 | 72,442 |
Realty Income Corp. | ||
4.13%, 10/15/2026 | 44,000 | 42,421 |
3.25%, 1/15/2031 | 9,000 | 7,844 |
Regency Centers LP 3.70%, 6/15/2030 | 135,000 | 119,409 |
RHP Hotel Properties LP 4.75%, 10/15/2027 | 390,000 | 358,566 |
Sabra Health Care LP 3.20%, 12/1/2031 | 120,000 | 89,157 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Equity Real Estate Investment Trusts (REITs) — continued | ||
SBA Communications Corp. 3.13%, 2/1/2029 | 390,000 | 322,023 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (a) | 150,000 | 143,507 |
Simon Property Group LP 3.25%, 9/13/2049 | 31,000 | 21,434 |
UDR, Inc. 2.10%, 8/1/2032 | 45,000 | 33,899 |
VICI Properties LP | ||
5.63%, 5/1/2024 (a) | 67,000 | 66,519 |
3.50%, 2/15/2025 (a) | 90,000 | 85,015 |
4.50%, 9/1/2026 (a) | 95,000 | 88,633 |
4.25%, 12/1/2026 (a) | 30,000 | 27,821 |
4.63%, 12/1/2029 (a) | 20,000 | 17,919 |
WP Carey, Inc. 2.25%, 4/1/2033 | 145,000 | 109,119 |
3,644,876 | ||
Food & Staples Retailing — 0.2% | ||
7-Eleven, Inc. | ||
0.95%, 2/10/2026 (a) | 65,000 | 57,268 |
1.80%, 2/10/2031 (a) | 160,000 | 122,840 |
2.50%, 2/10/2041 (a) | 14,000 | 9,141 |
2.80%, 2/10/2051 (a) | 50,000 | 31,099 |
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 1,040,000 | 977,600 |
4.88%, 2/15/2030 (a) | 20,000 | 17,946 |
Alimentation Couche-Tard, Inc. (Canada) | ||
3.44%, 5/13/2041 (a) | 5,000 | 3,558 |
3.63%, 5/13/2051 (a) | 10,000 | 6,796 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 251,000 | 238,021 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | 125,000 | 66,250 |
Sysco Corp. 2.40%, 2/15/2030 | 250,000 | 208,770 |
1,739,289 | ||
Food Products — 0.2% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 230,000 | 189,340 |
Campbell Soup Co. 4.15%, 3/15/2028 | 170,000 | 162,315 |
Cargill, Inc. 4.38%, 4/22/2052 (a) | 150,000 | 133,052 |
Darling Ingredients, Inc. | ||
5.25%, 4/15/2027 (a) | 50,000 | 48,108 |
6.00%, 6/15/2030 (a) | 100,000 | 96,624 |
General Mills, Inc. 4.15%, 2/15/2043 | 200,000 | 171,568 |
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 155,000 | 136,027 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 64,000 | 62,159 |
30 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (a) | 82,000 | 79,853 |
5.50%, 12/15/2029 (a) | 385,000 | 352,323 |
1,431,369 | ||
Gas Utilities — 0.2% | ||
AmeriGas Partners LP | ||
5.50%, 5/20/2025 | 23,000 | 21,863 |
5.88%, 8/20/2026 | 10,000 | 9,424 |
5.75%, 5/20/2027 | 80,000 | 73,998 |
Atmos Energy Corp. | ||
5.50%, 6/15/2041 | 52,000 | 51,501 |
5.75%, 10/15/2052 | 35,000 | 36,691 |
Boston Gas Co. 3.00%, 8/1/2029 (a) | 37,000 | 31,909 |
CenterPoint Energy Resources Corp. 5.40%, 3/1/2033 | 420,000 | 424,876 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 100,000 | 91,545 |
Southern California Gas Co. Series XX, 2.55%, 2/1/2030 | 33,000 | 27,939 |
Southwest Gas Corp. 4.05%, 3/15/2032 | 480,000 | 427,654 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 175,000 | 152,019 |
1,349,419 | ||
Health Care Equipment & Supplies — 0.1% | ||
Abbott Laboratories 4.75%, 11/30/2036 | 190,000 | 188,915 |
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 176,000 | 161,920 |
Becton Dickinson and Co. 3.70%, 6/6/2027 | 145,000 | 136,919 |
DH Europe Finance II SARL 3.25%, 11/15/2039 | 40,000 | 31,840 |
Hologic, Inc. 3.25%, 2/15/2029 (a) | 115,000 | 99,164 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 415,000 | 345,892 |
5.25%, 10/1/2029 (a) | 55,000 | 45,138 |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | 85,000 | 76,720 |
1,086,508 | ||
Health Care Providers & Services — 1.6% | ||
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 251,000 | 235,232 |
5.00%, 4/15/2029 (a) | 175,000 | 159,273 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 85,000 | 71,349 |
Aetna, Inc. | ||
4.13%, 11/15/2042 | 70,000 | 56,855 |
4.75%, 3/15/2044 | 200,000 | 175,011 |
3.88%, 8/15/2047 | 735,000 | 553,469 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
Centene Corp. 4.63%, 12/15/2029 | 916,000 | 837,675 |
Cigna Group (The) 2.38%, 3/15/2031 | 135,000 | 109,909 |
CommonSpirit Health | ||
1.55%, 10/1/2025 | 13,000 | 11,780 |
2.78%, 10/1/2030 | 13,000 | 10,889 |
3.91%, 10/1/2050 | 15,000 | 11,423 |
Community Health Systems, Inc. | ||
5.63%, 3/15/2027 (a) | 455,000 | 399,338 |
4.75%, 2/15/2031 (a) | 85,000 | 65,662 |
CVS Health Corp. | ||
2.88%, 6/1/2026 | 10,000 | 9,300 |
4.30%, 3/25/2028 | 237,000 | 226,573 |
5.13%, 2/21/2030 | 100,000 | 98,192 |
5.25%, 2/21/2033 | 1,070,000 | 1,053,250 |
4.78%, 3/25/2038 | 290,000 | 263,447 |
2.70%, 8/21/2040 | 50,000 | 33,778 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 500,000 | 412,085 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 180,000 | 165,251 |
4.75%, 2/1/2030 | 345,000 | 305,383 |
4.63%, 4/1/2031 | 75,000 | 64,129 |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | 20,000 | 4,684 |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | 50,000 | 35,482 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 220,000 | 216,556 |
5.38%, 9/1/2026 | 155,000 | 152,753 |
4.50%, 2/15/2027 | 210,000 | 201,306 |
5.63%, 9/1/2028 | 1,850,000 | 1,829,453 |
3.50%, 9/1/2030 | 37,000 | 31,813 |
5.50%, 6/15/2047 | 300,000 | 269,796 |
3.50%, 7/15/2051 | 35,000 | 22,792 |
MultiCare Health System 2.80%, 8/15/2050 | 10,000 | 5,891 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 10,000 | 7,071 |
New York and Presbyterian Hospital (The) 2.61%, 8/1/2060 | 5,000 | 2,907 |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 110,000 | 90,927 |
Owens & Minor, Inc. 4.50%, 3/31/2029 (a) | 220,000 | 168,850 |
Quest Diagnostics, Inc. 2.95%, 6/30/2030 | 55,000 | 47,466 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 260,000 | 247,621 |
5.13%, 11/1/2027 | 270,000 | 253,835 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 31 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
4.63%, 6/15/2028 | 490,000 | 443,337 |
4.25%, 6/1/2029 | 990,000 | 866,943 |
UnitedHealth Group, Inc. | ||
3.38%, 4/15/2027 | 91,000 | 85,771 |
5.35%, 2/15/2033 | 850,000 | 869,528 |
4.63%, 11/15/2041 | 232,000 | 214,611 |
3.25%, 5/15/2051 | 255,000 | 182,624 |
5.88%, 2/15/2053 | 254,000 | 273,993 |
11,855,263 | ||
Health Care Technology — 0.0% ^ | ||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 200,000 | 190,294 |
Hotels, Restaurants & Leisure — 0.9% | ||
1011778 BC ULC (Canada) | ||
5.75%, 4/15/2025 (a) | 50,000 | 49,688 |
3.88%, 1/15/2028 (a) | 257,000 | 228,694 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 222,000 | 208,125 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 192,000 | 169,932 |
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | 480,000 | 476,008 |
Carnival Corp. | ||
9.88%, 8/1/2027 (a) | 110,000 | 111,979 |
4.00%, 8/1/2028 (a) | 810,000 | 684,806 |
Cedar Fair LP | ||
6.50%, 10/1/2028 | 230,000 | 222,813 |
5.25%, 7/15/2029 | 250,000 | 228,038 |
Hilton Domestic Operating Co., Inc. | ||
5.38%, 5/1/2025 (a) | 25,000 | 24,686 |
5.75%, 5/1/2028 (a) | 285,000 | 276,394 |
3.75%, 5/1/2029 (a) | 120,000 | 104,046 |
4.88%, 1/15/2030 | 290,000 | 266,075 |
International Game Technology plc 6.25%, 1/15/2027 (a) | 200,000 | 196,084 |
Las Vegas Sands Corp. 2.90%, 6/25/2025 | 205,000 | 190,007 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 170,000 | 142,669 |
MGM Resorts International | ||
6.75%, 5/1/2025 | 130,000 | 130,321 |
5.50%, 4/15/2027 | 351,000 | 333,683 |
Royal Caribbean Cruises Ltd. | ||
11.50%, 6/1/2025 (a) | 10,000 | 10,651 |
8.25%, 1/15/2029 (a) | 502,000 | 519,782 |
9.25%, 1/15/2029 (a) | 502,000 | 532,486 |
Sands China Ltd. (Macau) | ||
4.30%, 1/8/2026 (h) | 250,000 | 229,938 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
2.80%, 3/8/2027 (h) | 200,000 | 169,000 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 63,000 | 63,668 |
Starbucks Corp. 3.35%, 3/12/2050 | 5,000 | 3,560 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 260,000 | 229,632 |
Travel + Leisure Co. 5.65%, 4/1/2024 (h) | 25,000 | 24,695 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 139,000 | 138,626 |
Wynn Las Vegas LLC | ||
4.25%, 5/30/2023 (a) | 200,000 | 199,400 |
5.50%, 3/1/2025 (a) | 75,000 | 72,773 |
Wynn Macau Ltd. (Macau) 5.63%, 8/26/2028 (a) | 200,000 | 169,000 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 440,000 | 393,624 |
Yum! Brands, Inc. 4.63%, 1/31/2032 | 460,000 | 406,612 |
7,207,495 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 55,000 | 47,988 |
Lennar Corp. 4.50%, 4/30/2024 | 6,000 | 5,920 |
MDC Holdings, Inc. | ||
3.85%, 1/15/2030 | 30,000 | 24,979 |
2.50%, 1/15/2031 | 125,000 | 92,111 |
Newell Brands, Inc. | ||
6.63%, 9/15/2029 | 300,000 | 297,223 |
5.63%, 4/1/2036 (h) | 50,000 | 42,347 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 420,000 | 359,062 |
869,630 | ||
Household Products — 0.2% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 145,000 | 135,031 |
4.13%, 10/15/2030 | 165,000 | 137,466 |
Colgate-Palmolive Co. 3.70%, 8/1/2047 | 100,000 | 87,326 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 165,000 | 143,996 |
4.38%, 3/31/2029 (a) | 275,000 | 233,135 |
Kimberly-Clark Corp. 3.20%, 4/25/2029 | 139,000 | 126,543 |
Spectrum Brands, Inc. | ||
5.75%, 7/15/2025 | 135,000 | 132,370 |
5.00%, 10/1/2029 (a) | 95,000 | 81,873 |
5.50%, 7/15/2030 (a) | 195,000 | 172,438 |
1,250,178 |
32 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. | ||
5.25%, 6/1/2026 (a) | 238,000 | 228,112 |
5.13%, 3/15/2028 (a) | 55,000 | 48,793 |
Constellation Energy Generation LLC | ||
3.25%, 6/1/2025 | 37,000 | 35,173 |
5.80%, 3/1/2033 | 240,000 | 242,739 |
6.25%, 10/1/2039 | 85,000 | 87,457 |
5.75%, 10/1/2041 | 120,000 | 116,495 |
5.60%, 6/15/2042 | 215,000 | 206,873 |
965,642 | ||
Insurance — 0.2% | ||
AIA Group Ltd. (Hong Kong) 3.20%, 3/11/2025 (a) | 200,000 | 191,163 |
Alleghany Corp. 3.25%, 8/15/2051 | 50,000 | 35,791 |
Aon Corp. 5.35%, 2/28/2033 | 165,000 | 164,938 |
Athene Global Funding | ||
1.45%, 1/8/2026 (a) | 20,000 | 17,577 |
2.95%, 11/12/2026 (a) | 44,000 | 39,407 |
Berkshire Hathaway Finance Corp. | ||
2.85%, 10/15/2050 | 60,000 | 40,511 |
2.50%, 1/15/2051 | 340,000 | 213,589 |
3.85%, 3/15/2052 | 395,000 | 318,898 |
Equitable Financial Life Global Funding 1.70%, 11/12/2026 (a) | 25,000 | 21,785 |
F&G Global Funding 1.75%, 6/30/2026 (a) | 10,000 | 8,858 |
Great-West Lifeco Finance 2018 LP (Canada) 4.58%, 5/17/2048 (a) | 20,000 | 16,931 |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 42,000 | 40,898 |
MetLife, Inc. | ||
4.13%, 8/13/2042 | 79,000 | 67,382 |
5.00%, 7/15/2052 | 150,000 | 143,715 |
New York Life Global Funding 3.00%, 1/10/2028 (a) | 51,000 | 46,689 |
New York Life Insurance Co. 4.45%, 5/15/2069 (a) | 50,000 | 41,992 |
Pacific Life Insurance Co. (ICE LIBOR USD 3 Month + 2.80%), 4.30%, 10/24/2067 (a) (c) | 27,000 | 21,020 |
Principal Financial Group, Inc. 3.70%, 5/15/2029 | 45,000 | 41,808 |
Progressive Corp. (The) | ||
3.00%, 3/15/2032 | 200,000 | 173,034 |
4.35%, 4/25/2044 | 42,000 | 36,136 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
Prudential Financial, Inc. | ||
3.88%, 3/27/2028 | 32,000 | 30,541 |
3.91%, 12/7/2047 | 70,000 | 55,260 |
Teachers Insurance & Annuity Association of America 4.27%, 5/15/2047 (a) | 40,000 | 34,246 |
Travelers Cos., Inc. (The) 5.35%, 11/1/2040 | 16,000 | 16,216 |
W R Berkley Corp. 3.55%, 3/30/2052 | 45,000 | 32,081 |
1,850,466 | ||
Interactive Media & Services — 0.1% | ||
Alphabet, Inc. 2.05%, 8/15/2050 | 200,000 | 121,025 |
Meta Platforms, Inc. 3.85%, 8/15/2032 | 380,000 | 341,449 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | 175,000 | 175,235 |
637,709 | ||
Internet & Direct Marketing Retail — 0.2% | ||
Amazon.com, Inc. | ||
3.15%, 8/22/2027 | 201,000 | 187,671 |
1.50%, 6/3/2030 | 410,000 | 328,862 |
3.60%, 4/13/2032 | 400,000 | 366,186 |
3.10%, 5/12/2051 | 40,000 | 28,660 |
3.95%, 4/13/2052 | 315,000 | 264,468 |
Go Daddy Operating Co. LLC 5.25%, 12/1/2027 (a) | 110,000 | 104,100 |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 13,000 | 6,630 |
1,286,577 | ||
IT Services — 0.2% | ||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 210,000 | 172,868 |
Black Knight InfoServ LLC 3.63%, 9/1/2028 (a) | 90,000 | 77,850 |
Block, Inc. 3.50%, 6/1/2031 | 430,000 | 347,397 |
Fidelity National Information Services, Inc. 2.25%, 3/1/2031 | 195,000 | 153,393 |
Fiserv, Inc. 3.20%, 7/1/2026 | 170,000 | 158,606 |
Gartner, Inc. 3.75%, 10/1/2030 (a) | 130,000 | 110,064 |
Global Payments, Inc. | ||
3.20%, 8/15/2029 | 160,000 | 136,042 |
2.90%, 5/15/2030 | 40,000 | 32,916 |
2.90%, 11/15/2031 | 75,000 | 59,475 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 240,000 | 218,634 |
Visa, Inc. 2.70%, 4/15/2040 | 150,000 | 112,376 |
1,579,621 | ||
Leisure Products — 0.0% ^ | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 15,000 | 13,223 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 33 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Leisure Products — continued | ||
Mattel, Inc. | ||
3.38%, 4/1/2026 (a) | 70,000 | 64,225 |
5.88%, 12/15/2027 (a) | 65,000 | 63,476 |
140,924 | ||
Life Sciences Tools & Services — 0.1% | ||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | 120,000 | 104,184 |
Syneos Health, Inc. 3.63%, 1/15/2029 (a) | 180,000 | 148,371 |
Thermo Fisher Scientific, Inc. | ||
1.75%, 10/15/2028 | 20,000 | 16,870 |
2.60%, 10/1/2029 | 241,000 | 208,616 |
478,041 | ||
Machinery — 0.2% | ||
Amsted Industries, Inc. 5.63%, 7/1/2027 (a) | 65,000 | 62,157 |
Caterpillar, Inc. | ||
4.30%, 5/15/2044 | 178,000 | 163,991 |
3.25%, 4/9/2050 | 200,000 | 153,394 |
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 260,000 | 263,900 |
Deere & Co. 3.90%, 6/9/2042 | 120,000 | 106,068 |
Hillenbrand, Inc. 3.75%, 3/1/2031 | 145,000 | 118,622 |
Illinois Tool Works, Inc. 3.90%, 9/1/2042 | 15,000 | 12,960 |
Otis Worldwide Corp. 2.06%, 4/5/2025 | 190,000 | 177,243 |
Parker-Hannifin Corp. | ||
3.25%, 3/1/2027 | 92,000 | 85,529 |
4.25%, 9/15/2027 | 300,000 | 287,014 |
Stanley Black & Decker, Inc. 2.75%, 11/15/2050 | 10,000 | 5,988 |
Terex Corp. 5.00%, 5/15/2029 (a) | 165,000 | 151,485 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 250,000 | 226,483 |
Xylem, Inc. 1.95%, 1/30/2028 | 30,000 | 25,769 |
1,840,603 | ||
Media — 1.5% | ||
Charter Communications Operating LLC | ||
2.25%, 1/15/2029 | 665,000 | 533,011 |
2.30%, 2/1/2032 | 1,250,000 | 919,539 |
3.50%, 6/1/2041 | 85,000 | 55,618 |
3.50%, 3/1/2042 | 90,000 | 58,079 |
3.70%, 4/1/2051 | 40,000 | 24,459 |
3.90%, 6/1/2052 | 95,000 | 60,033 |
Clear Channel Outdoor Holdings, Inc. 5.13%, 8/15/2027 (a) | 502,000 | 448,035 |
Comcast Corp. | ||
4.15%, 10/15/2028 | 110,000 | 105,168 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
2.65%, 2/1/2030 | 230,000 | 197,968 |
4.25%, 10/15/2030 | 194,000 | 184,149 |
1.95%, 1/15/2031 | 80,000 | 64,119 |
1.50%, 2/15/2031 | 450,000 | 347,463 |
5.50%, 11/15/2032 | 210,000 | 215,792 |
3.90%, 3/1/2038 | 95,000 | 81,476 |
3.25%, 11/1/2039 | 313,000 | 244,045 |
4.00%, 3/1/2048 | 45,000 | 36,174 |
2.89%, 11/1/2051 | 670,000 | 433,887 |
2.45%, 8/15/2052 | 110,000 | 65,249 |
2.94%, 11/1/2056 | 1,348,000 | 845,498 |
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 187,000 | 181,177 |
5.38%, 2/1/2028 (a) | 215,000 | 179,331 |
6.50%, 2/1/2029 (a) | 400,000 | 339,040 |
4.50%, 11/15/2031 (a) | 200,000 | 141,996 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 211,000 | 188,638 |
Discovery Communications LLC 4.00%, 9/15/2055 | 45,000 | 29,098 |
DISH DBS Corp. | ||
5.00%, 3/15/2023 | 215,000 | 214,462 |
5.88%, 11/15/2024 | 916,000 | 858,228 |
7.75%, 7/1/2026 | 290,000 | 225,112 |
5.25%, 12/1/2026 (a) | 175,000 | 146,562 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 110,000 | 92,407 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | 135,000 | 100,231 |
Gray Television, Inc. 4.75%, 10/15/2030 (a) | 100,000 | 73,318 |
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 360,000 | 339,293 |
8.38%, 5/1/2027 | 25,000 | 22,000 |
5.25%, 8/15/2027 (a) | 260,000 | 226,257 |
Lamar Media Corp. | ||
3.75%, 2/15/2028 | 215,000 | 190,321 |
4.00%, 2/15/2030 | 35,000 | 30,100 |
News Corp. 3.88%, 5/15/2029 (a) | 325,000 | 278,509 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 300,000 | 278,620 |
4.75%, 11/1/2028 (a) | 105,000 | 91,798 |
Outfront Media Capital LLC | ||
6.25%, 6/15/2025 (a) | 25,000 | 24,791 |
5.00%, 8/15/2027 (a) | 181,000 | 163,352 |
Paramount Global 4.95%, 1/15/2031 | 50,000 | 44,820 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 160,000 | 127,517 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 115,000 | 92,083 |
34 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 150,000 | 116,730 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 110,000 | 100,925 |
4.00%, 7/15/2028 (a) | 810,000 | 692,550 |
5.50%, 7/1/2029 (a) | 160,000 | 144,400 |
4.13%, 7/1/2030 (a) | 105,000 | 85,337 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 255,000 | 219,303 |
TEGNA, Inc. 5.00%, 9/15/2029 | 140,000 | 124,208 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 140,000 | 132,913 |
4.50%, 5/1/2029 (a) | 280,000 | 236,162 |
Videotron Ltd. (Canada) | ||
5.38%, 6/15/2024 (a) | 37,000 | 36,599 |
5.13%, 4/15/2027 (a) | 120,000 | 112,200 |
11,600,150 | ||
Metals & Mining — 0.5% | ||
Alcoa Nederland Holding BV | ||
5.50%, 12/15/2027 (a) | 200,000 | 193,806 |
6.13%, 5/15/2028 (a) | 200,000 | 196,682 |
Arconic Corp. 6.13%, 2/15/2028 (a) | 375,000 | 368,438 |
ATI, Inc. 5.88%, 12/1/2027 | 195,000 | 185,754 |
BHP Billiton Finance USA Ltd. (Australia) 4.90%, 2/28/2033 | 100,000 | 99,598 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 175,000 | 167,665 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 125,000 | 126,266 |
5.88%, 6/1/2027 | 295,000 | 286,289 |
FMG Resources August 2006 Pty. Ltd. (Australia) | ||
4.50%, 9/15/2027 (a) | 100,000 | 92,000 |
5.88%, 4/15/2030 (a) | 135,000 | 127,112 |
Freeport-McMoRan, Inc. | ||
5.00%, 9/1/2027 | 45,000 | 43,751 |
4.25%, 3/1/2030 | 97,000 | 87,846 |
4.63%, 8/1/2030 | 300,000 | 276,854 |
5.40%, 11/14/2034 | 183,000 | 172,250 |
Glencore Funding LLC (Australia) | ||
4.63%, 4/29/2024 (a) | 90,000 | 88,775 |
3.88%, 10/27/2027 (a) | 40,000 | 37,318 |
2.50%, 9/1/2030 (a) | 37,000 | 29,982 |
2.85%, 4/27/2031 (a) | 435,000 | 355,902 |
2.63%, 9/23/2031 (a) | 102,000 | 81,246 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | 205,000 | 176,553 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
Novelis Corp. 4.75%, 1/30/2030 (a) | 255,000 | 224,020 |
Nucor Corp. 2.98%, 12/15/2055 | 50,000 | 32,306 |
Rio Tinto Finance USA Ltd. (Australia) | ||
7.13%, 7/15/2028 | 59,000 | 64,739 |
5.20%, 11/2/2040 | 20,000 | 19,951 |
Rio Tinto Finance USA plc (Australia) 4.13%, 8/21/2042 | 40,000 | 34,765 |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | 20,000 | 18,284 |
United States Steel Corp. 6.88%, 3/1/2029 | 147,000 | 147,068 |
Vale Overseas Ltd. (Brazil) 3.75%, 7/8/2030 | 20,000 | 17,319 |
3,752,539 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% | ||
Great Ajax Operating Partnership LP Series QIB, 8.88%, 9/1/2027 (a) | 1,000,000 | 951,304 |
Multiline Retail — 0.1% | ||
Macy's Retail Holdings LLC 5.88%, 4/1/2029 (a) | 110,000 | 99,920 |
Nordstrom, Inc. 4.38%, 4/1/2030 | 230,000 | 181,412 |
Target Corp. 4.80%, 1/15/2053 | 280,000 | 261,649 |
542,981 | ||
Multi-Utilities — 0.2% | ||
Ameren Corp. | ||
1.95%, 3/15/2027 | 20,000 | 17,615 |
3.50%, 1/15/2031 | 291,000 | 255,825 |
Berkshire Hathaway Energy Co. | ||
5.15%, 11/15/2043 | 94,000 | 88,869 |
2.85%, 5/15/2051 | 40,000 | 25,980 |
4.60%, 5/1/2053 | 20,000 | 17,496 |
Consolidated Edison Co. of New York, Inc. | ||
Series E, 4.65%, 12/1/2048 | 60,000 | 52,746 |
Series A, 4.13%, 5/15/2049 | 41,000 | 33,197 |
Consumers Energy Co. 4.63%, 5/15/2033 | 205,000 | 199,131 |
PG&E Energy Recovery Funding LLC Series A-3, 2.82%, 7/15/2046 | 70,000 | 49,591 |
Puget Sound Energy, Inc. 5.76%, 7/15/2040 | 140,000 | 141,019 |
San Diego Gas & Electric Co. 2.95%, 8/15/2051 | 170,000 | 112,654 |
Southern Co. Gas Capital Corp. | ||
4.40%, 5/30/2047 | 100,000 | 80,991 |
Series 21A, 3.15%, 9/30/2051 | 170,000 | 114,036 |
1,189,150 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 35 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — 2.5% | ||
Aker BP ASA (Norway) 3.10%, 7/15/2031 (a) | 250,000 | 204,680 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 135,000 | 136,344 |
5.75%, 3/1/2027 (a) | 110,000 | 103,841 |
5.75%, 1/15/2028 (a) | 90,000 | 84,488 |
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 220,000 | 221,631 |
5.38%, 3/1/2030 (a) | 125,000 | 113,813 |
Apache Corp. 4.38%, 10/15/2028 | 179,000 | 162,865 |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | 250,000 | 254,375 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 195,000 | 190,100 |
BP Capital Markets America, Inc. | ||
3.02%, 1/16/2027 | 106,000 | 98,537 |
3.94%, 9/21/2028 | 220,000 | 209,234 |
1.75%, 8/10/2030 | 730,000 | 584,512 |
2.72%, 1/12/2032 | 557,000 | 466,734 |
4.81%, 2/13/2033 | 930,000 | 913,503 |
3.06%, 6/17/2041 | 130,000 | 96,201 |
3.00%, 2/24/2050 | 174,000 | 117,918 |
2.77%, 11/10/2050 | 55,000 | 35,478 |
2.94%, 6/4/2051 | 67,000 | 44,473 |
3.00%, 3/17/2052 | 480,000 | 322,283 |
BP Capital Markets plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (c) (e) (f) | 85,000 | 81,038 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (c) (e) (f) | 155,000 | 142,033 |
Buckeye Partners LP | ||
3.95%, 12/1/2026 | 180,000 | 159,158 |
4.13%, 12/1/2027 | 175,000 | 151,483 |
Cameron LNG LLC 3.70%, 1/15/2039 (a) | 20,000 | 16,375 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 200,000 | 200,669 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 469,000 | 425,622 |
4.00%, 3/1/2031 | 135,000 | 116,323 |
3.25%, 1/31/2032 | 240,000 | 192,358 |
Chesapeake Energy Corp. | ||
5.88%, 2/1/2029 (a) | 200,000 | 187,058 |
6.75%, 4/15/2029 (a) | 115,000 | 111,407 |
Chevron Corp. 2.00%, 5/11/2027 | 21,000 | 18,805 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 260,000 | 250,728 |
CNX Resources Corp. 7.25%, 3/14/2027 (a) | 182,000 | 180,504 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (a) | 405,000 | 372,600 |
5.88%, 1/15/2030 (a) | 35,000 | 30,100 |
ConocoPhillips Co. | ||
3.80%, 3/15/2052 | 300,000 | 238,177 |
4.03%, 3/15/2062 | 233,000 | 184,424 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 30,000 | 28,116 |
Crescent Energy Finance LLC 7.25%, 5/1/2026 (a) | 185,000 | 171,125 |
Crestwood Midstream Partners LP | ||
5.75%, 4/1/2025 | 100,000 | 96,996 |
5.63%, 5/1/2027 (a) | 185,000 | 171,125 |
8.00%, 4/1/2029 (a) | 90,000 | 89,550 |
DT Midstream, Inc. | ||
4.13%, 6/15/2029 (a) | 360,000 | 308,700 |
4.30%, 4/15/2032 (a) | 80,000 | 70,900 |
Energy Transfer LP | ||
4.15%, 9/15/2029 | 150,000 | 136,641 |
5.75%, 2/15/2033 | 120,000 | 118,054 |
5.80%, 6/15/2038 | 100,000 | 93,694 |
5.35%, 5/15/2045 | 45,000 | 38,374 |
EnLink Midstream Partners LP | ||
4.85%, 7/15/2026 | 280,000 | 265,398 |
5.60%, 4/1/2044 | 9,000 | 7,335 |
Enterprise Products Operating LLC | ||
2.80%, 1/31/2030 | 37,000 | 31,684 |
5.35%, 1/31/2033 | 110,000 | 109,932 |
3.30%, 2/15/2053 | 30,000 | 20,350 |
EQM Midstream Partners LP | ||
4.13%, 12/1/2026 | 90,000 | 80,086 |
7.50%, 6/1/2027 (a) | 160,000 | 156,800 |
6.50%, 7/1/2027 (a) | 160,000 | 151,534 |
5.50%, 7/15/2028 | 170,000 | 151,725 |
4.75%, 1/15/2031 (a) | 195,000 | 158,437 |
Exxon Mobil Corp. | ||
4.23%, 3/19/2040 | 400,000 | 359,304 |
3.10%, 8/16/2049 | 220,000 | 157,980 |
Flex Intermediate Holdco LLC | ||
3.36%, 6/30/2031 (a) | 64,000 | 51,652 |
4.32%, 12/30/2039 (a) | 20,000 | 14,771 |
Genesis Energy LP | ||
6.25%, 5/15/2026 | 275,000 | 260,672 |
8.00%, 1/15/2027 | 110,000 | 107,581 |
36 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Gray Oak Pipeline LLC | ||
2.00%, 9/15/2023 (a) | 44,000 | 43,110 |
2.60%, 10/15/2025 (a) | 112,000 | 101,347 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 235,000 | 228,392 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 105,000 | 102,183 |
5.50%, 10/15/2030 (a) | 100,000 | 90,000 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 400,000 | 362,000 |
Holly Energy Partners LP 6.38%, 4/15/2027 (a) | 135,000 | 130,912 |
Kinder Morgan, Inc. 3.25%, 8/1/2050 | 75,000 | 47,515 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 220,000 | 203,326 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 210,000 | 195,861 |
MPLX LP | ||
2.65%, 8/15/2030 | 70,000 | 57,436 |
5.00%, 3/1/2033 | 175,000 | 164,190 |
5.65%, 3/1/2053 | 55,000 | 50,643 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | 95,000 | 90,717 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (a) | 10,000 | 8,266 |
NuStar Logistics LP | ||
5.75%, 10/1/2025 | 60,000 | 57,857 |
5.63%, 4/28/2027 | 395,000 | 367,697 |
Occidental Petroleum Corp. | ||
8.88%, 7/15/2030 | 150,000 | 170,377 |
6.63%, 9/1/2030 | 385,000 | 395,587 |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 50,000 | 44,523 |
Range Resources Corp. | ||
4.88%, 5/15/2025 | 45,000 | 43,902 |
8.25%, 1/15/2029 | 355,000 | 364,319 |
Sabine Pass Liquefaction LLC | ||
5.63%, 3/1/2025 | 90,000 | 89,896 |
5.88%, 6/30/2026 | 20,000 | 20,118 |
4.50%, 5/15/2030 | 894,000 | 837,448 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 45,000 | 43,416 |
6.63%, 1/15/2027 | 285,000 | 271,106 |
Southwestern Energy Co. | ||
5.70%, 1/23/2025 (h) | 2,000 | 1,982 |
8.38%, 9/15/2028 | 130,000 | 136,013 |
5.38%, 3/15/2030 | 215,000 | 196,398 |
Spectra Energy Partners LP 4.50%, 3/15/2045 | 15,000 | 12,420 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Summit Midstream Holdings LLC 8.50%, 10/15/2026 (a) | 185,000 | 175,657 |
Suncor Energy, Inc. (Canada) 6.80%, 5/15/2038 | 83,000 | 88,467 |
Sunoco LP | ||
6.00%, 4/15/2027 | 185,000 | 181,762 |
5.88%, 3/15/2028 | 100,000 | 95,974 |
4.50%, 5/15/2029 | 180,000 | 157,971 |
Tallgrass Energy Partners LP | ||
7.50%, 10/1/2025 (a) | 45,000 | 44,789 |
6.00%, 3/1/2027 (a) | 140,000 | 129,989 |
5.50%, 1/15/2028 (a) | 55,000 | 49,397 |
6.00%, 12/31/2030 (a) | 280,000 | 241,455 |
6.00%, 9/1/2031 (a) | 40,000 | 34,181 |
Targa Resources Corp. 5.20%, 7/1/2027 | 31,000 | 30,480 |
TotalEnergies Capital International SA (France) | ||
3.46%, 7/12/2049 | 84,000 | 64,046 |
3.13%, 5/29/2050 | 80,000 | 57,251 |
TransCanada PipeLines Ltd. (Canada) 5.10%, 3/15/2049 | 48,000 | 43,589 |
Valero Energy Corp. 2.15%, 9/15/2027 | 25,000 | 21,995 |
Venture Global Calcasieu Pass LLC 3.88%, 8/15/2029 (a) | 460,000 | 396,750 |
Vital Energy, Inc. 9.50%, 1/15/2025 | 135,000 | 136,089 |
Western Midstream Operating LP | ||
4.50%, 3/1/2028 | 225,000 | 208,125 |
4.75%, 8/15/2028 | 30,000 | 27,825 |
Williams Cos., Inc. (The) | ||
2.60%, 3/15/2031 | 1,525,000 | 1,237,464 |
5.40%, 3/4/2044 | 50,000 | 45,906 |
19,226,507 | ||
Personal Products — 0.1% | ||
Edgewell Personal Care Co. | ||
5.50%, 6/1/2028 (a) | 295,000 | 275,474 |
4.13%, 4/1/2029 (a) | 70,000 | 59,698 |
Estee Lauder Cos., Inc. (The) 2.60%, 4/15/2030 | 258,000 | 223,571 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 200,000 | 187,843 |
746,586 | ||
Pharmaceuticals — 0.8% | ||
Astrazeneca Finance LLC (United Kingdom) 2.25%, 5/28/2031 | 230,000 | 191,487 |
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026 (a) | 263,000 | 196,652 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 37 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
8.50%, 1/31/2027 (a) | 88,000 | 46,300 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 402,000 | 349,619 |
5.75%, 8/15/2027 (a) | 30,000 | 19,900 |
5.00%, 1/30/2028 (a) | 30,000 | 12,935 |
4.88%, 6/1/2028 (a) | 280,000 | 174,651 |
5.00%, 2/15/2029 (a) | 175,000 | 75,347 |
Bayer US Finance II LLC (Germany) 3.38%, 7/15/2024 (a) | 70,000 | 68,003 |
Bristol-Myers Squibb Co. | ||
4.13%, 6/15/2039 | 164,000 | 146,364 |
2.35%, 11/13/2040 | 280,000 | 191,454 |
3.70%, 3/15/2052 | 220,000 | 173,900 |
Catalent Pharma Solutions, Inc. 3.13%, 2/15/2029 (a) | 225,000 | 194,211 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (h) | 215,000 | 205,297 |
Eli Lilly & Co. | ||
4.70%, 2/27/2033 | 185,000 | 184,028 |
2.25%, 5/15/2050 | 70,000 | 43,970 |
4.95%, 2/27/2063 | 200,000 | 198,832 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 200,000 | 177,130 |
Merck & Co., Inc. 2.75%, 12/10/2051 | 170,000 | 113,679 |
Organon & Co. | ||
4.13%, 4/30/2028 (a) | 200,000 | 176,540 |
5.13%, 4/30/2031 (a) | 200,000 | 169,750 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (h) | 80,000 | 60,214 |
Pfizer, Inc. | ||
2.63%, 4/1/2030 | 230,000 | 200,714 |
4.40%, 5/15/2044 | 400,000 | 369,675 |
Roche Holdings, Inc. 2.08%, 12/13/2031 (a) | 600,000 | 486,489 |
Royalty Pharma plc 1.20%, 9/2/2025 | 16,000 | 14,325 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 145,000 | 134,979 |
Takeda Pharmaceutical Co. Ltd. (Japan) | ||
5.00%, 11/26/2028 | 1,000,000 | 987,346 |
3.03%, 7/9/2040 | 200,000 | 146,500 |
Zoetis, Inc. | ||
2.00%, 5/15/2030 | 245,000 | 200,784 |
5.60%, 11/16/2032 | 284,000 | 294,121 |
6,005,196 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Real Estate Management & Development — 0.0% ^ | ||
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 75,000 | 60,962 |
Realogy Group LLC 5.75%, 1/15/2029 (a) | 105,000 | 75,389 |
136,351 | ||
Road & Rail — 0.4% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 170,000 | 160,430 |
4.75%, 4/1/2028 (a) | 95,000 | 84,313 |
5.38%, 3/1/2029 (a) | 55,000 | 49,508 |
Burlington Northern Santa Fe LLC | ||
3.55%, 2/15/2050 | 78,000 | 59,953 |
3.05%, 2/15/2051 | 155,000 | 106,920 |
Canadian Pacific Railway Co. (Canada) 3.10%, 12/2/2051 | 250,000 | 170,614 |
CSX Corp. | ||
3.25%, 6/1/2027 | 20,000 | 18,650 |
4.50%, 11/15/2052 | 100,000 | 86,806 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 300,000 | 256,500 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 275,000 | 244,898 |
Kansas City Southern 2.88%, 11/15/2029 | 925,000 | 801,811 |
Norfolk Southern Corp. 3.95%, 10/1/2042 | 50,000 | 41,097 |
Penske Truck Leasing Co. LP 1.20%, 11/15/2025 (a) | 46,000 | 40,706 |
Triton Container International Ltd. (Bermuda) 1.15%, 6/7/2024 (a) | 200,000 | 186,900 |
Uber Technologies, Inc. 7.50%, 5/15/2025 (a) | 155,000 | 156,571 |
Union Pacific Corp. 4.95%, 5/15/2053 | 120,000 | 114,838 |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (a) | 175,000 | 177,548 |
2,758,063 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 220,000 | 217,494 |
ams-OSRAM AG (Austria) 7.00%, 7/31/2025 (a) | 250,000 | 237,500 |
Analog Devices, Inc. | ||
3.50%, 12/5/2026 | 25,000 | 23,725 |
2.95%, 10/1/2051 | 107,000 | 73,616 |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | 355,000 | 330,183 |
Intel Corp. | ||
5.20%, 2/10/2033 | 400,000 | 392,524 |
5.63%, 2/10/2043 | 1,105,000 | 1,078,508 |
5.70%, 2/10/2053 | 190,000 | 185,663 |
KLA Corp. | ||
4.65%, 7/15/2032 | 280,000 | 273,348 |
38 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
3.30%, 3/1/2050 | 280,000 | 203,340 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 85,000 | 68,394 |
Microchip Technology, Inc. 0.97%, 2/15/2024 | 25,000 | 23,892 |
NVIDIA Corp. 2.00%, 6/15/2031 | 455,000 | 367,899 |
NXP BV (China) | ||
3.25%, 5/11/2041 | 70,000 | 48,401 |
3.13%, 2/15/2042 | 180,000 | 120,634 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 75,000 | 65,913 |
QUALCOMM, Inc. | ||
4.25%, 5/20/2032 | 55,000 | 52,644 |
4.50%, 5/20/2052 | 35,000 | 31,141 |
TSMC Arizona Corp. (Taiwan) 2.50%, 10/25/2031 | 960,000 | 790,080 |
TSMC Global Ltd. (Taiwan) 1.00%, 9/28/2027 (a) | 380,000 | 317,965 |
Xilinx, Inc. 2.38%, 6/1/2030 | 39,000 | 32,861 |
4,935,725 | ||
Software — 0.4% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 260,000 | 224,364 |
Microsoft Corp. | ||
2.92%, 3/17/2052 | 340,000 | 244,606 |
2.68%, 6/1/2060 | 250,000 | 161,996 |
NCR Corp. | ||
5.75%, 9/1/2027 (a) | 115,000 | 111,462 |
5.00%, 10/1/2028 (a) | 205,000 | 176,516 |
5.13%, 4/15/2029 (a) | 175,000 | 149,454 |
6.13%, 9/1/2029 (a) | 161,000 | 156,573 |
Oracle Corp. | ||
2.65%, 7/15/2026 | 583,000 | 532,728 |
2.30%, 3/25/2028 | 15,000 | 13,017 |
4.90%, 2/6/2033 | 245,000 | 231,400 |
3.80%, 11/15/2037 | 150,000 | 118,772 |
3.65%, 3/25/2041 | 115,000 | 84,685 |
3.95%, 3/25/2051 | 15,000 | 10,774 |
5.55%, 2/6/2053 | 150,000 | 137,450 |
4.38%, 5/15/2055 | 55,000 | 41,720 |
Roper Technologies, Inc. 1.75%, 2/15/2031 | 355,000 | 273,773 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 150,000 | 141,151 |
VMware, Inc. 4.65%, 5/15/2027 | 105,000 | 101,334 |
Workday, Inc. 3.70%, 4/1/2029 | 172,000 | 157,071 |
3,068,846 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — 0.6% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 186,000 | 166,447 |
Bath & Body Works, Inc. | ||
7.50%, 6/15/2029 | 518,000 | 519,896 |
6.88%, 11/1/2035 | 235,000 | 207,409 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 295,000 | 216,334 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 185,000 | 158,865 |
Home Depot, Inc. (The) | ||
3.90%, 12/6/2028 | 112,000 | 107,164 |
1.88%, 9/15/2031 | 370,000 | 292,990 |
4.50%, 9/15/2032 | 350,000 | 337,424 |
4.25%, 4/1/2046 | 301,000 | 260,264 |
4.95%, 9/15/2052 | 206,000 | 197,884 |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | 190,000 | 158,753 |
Lowe's Cos., Inc. | ||
1.70%, 10/15/2030 | 170,000 | 132,584 |
4.25%, 4/1/2052 | 315,000 | 248,026 |
5.63%, 4/15/2053 | 235,000 | 224,934 |
O'Reilly Automotive, Inc. | ||
1.75%, 3/15/2031 | 73,000 | 56,741 |
4.70%, 6/15/2032 | 90,000 | 85,756 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 219,000 | 184,039 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 500,000 | 455,103 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 200,000 | 165,000 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 275,000 | 240,619 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 290,000 | 258,100 |
10.75%, 4/15/2027 (a) | 23,000 | 17,613 |
4,691,945 | ||
Technology Hardware, Storage & Peripherals — 0.3% | ||
Apple, Inc. | ||
2.20%, 9/11/2029 | 46,000 | 39,521 |
1.25%, 8/20/2030 | 450,000 | 353,604 |
4.38%, 5/13/2045 | 429,000 | 393,985 |
2.65%, 2/8/2051 | 500,000 | 333,497 |
3.95%, 8/8/2052 | 120,000 | 102,226 |
2.85%, 8/5/2061 | 500,000 | 324,830 |
Dell International LLC | ||
4.90%, 10/1/2026 | 30,000 | 29,339 |
5.30%, 10/1/2029 | 200,000 | 193,241 |
Seagate HDD Cayman | ||
4.09%, 6/1/2029 | 150,000 | 129,420 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 39 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Technology Hardware, Storage & Peripherals — continued | ||
3.13%, 7/15/2029 | 335,000 | 269,314 |
9.63%, 12/1/2032 (a) | 140,000 | 153,038 |
2,322,015 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
Hanesbrands, Inc. | ||
4.63%, 5/15/2024 (a) | 13,000 | 12,991 |
4.88%, 5/15/2026 (a) | 130,000 | 120,053 |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 100,000 | 96,116 |
229,160 | ||
Thrifts & Mortgage Finance — 0.3% | ||
BPCE SA (France) | ||
3.50%, 10/23/2027 (a) | 500,000 | 455,001 |
5.13%, 1/18/2028 (a) | 745,000 | 729,790 |
(SOFR + 1.73%), 3.12%, 10/19/2032 (a) (c) | 250,000 | 193,184 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 305,000 | 280,600 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 60,000 | 51,773 |
3.63%, 3/1/2029 (a) | 300,000 | 241,144 |
1,951,492 | ||
Tobacco — 0.4% | ||
Altria Group, Inc. | ||
2.45%, 2/4/2032 | 80,000 | 60,387 |
3.40%, 2/4/2041 | 145,000 | 97,186 |
3.88%, 9/16/2046 | 95,000 | 63,629 |
BAT Capital Corp. (United Kingdom) | ||
3.56%, 8/15/2027 | 141,000 | 128,404 |
4.39%, 8/15/2037 | 600,000 | 465,731 |
4.54%, 8/15/2047 | 665,000 | 477,175 |
Imperial Brands Finance plc (United Kingdom) 6.13%, 7/27/2027 (a) | 285,000 | 287,276 |
Philip Morris International, Inc. | ||
3.13%, 3/2/2028 | 49,000 | 44,810 |
5.75%, 11/17/2032 | 820,000 | 829,546 |
5.38%, 2/15/2033 | 405,000 | 398,198 |
4.38%, 11/15/2041 | 345,000 | 285,784 |
4.13%, 3/4/2043 | 100,000 | 78,971 |
3,217,097 | ||
Trading Companies & Distributors — 0.3% | ||
Air Lease Corp. | ||
3.38%, 7/1/2025 | 92,000 | 86,746 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Trading Companies & Distributors — continued | ||
1.88%, 8/15/2026 | 50,000 | 43,643 |
Aviation Capital Group LLC | ||
4.13%, 8/1/2025 (a) | 110,000 | 103,297 |
1.95%, 1/30/2026 (a) | 50,000 | 44,170 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 565,000 | 532,230 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 170,000 | 144,588 |
United Rentals North America, Inc. | ||
5.25%, 1/15/2030 | 455,000 | 428,838 |
3.88%, 2/15/2031 | 185,000 | 158,340 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 85,000 | 85,771 |
7.25%, 6/15/2028 (a) | 285,000 | 288,806 |
1,916,429 | ||
Transportation Infrastructure — 0.0% ^ | ||
Transurban Finance Co. Pty. Ltd. (Australia) 2.45%, 3/16/2031 (a) | 12,000 | 9,492 |
Wireless Telecommunication Services — 0.3% | ||
Hughes Satellite Systems Corp. | ||
5.25%, 8/1/2026 | 85,000 | 81,388 |
6.63%, 8/1/2026 | 105,000 | 98,831 |
Rogers Communications, Inc. (Canada) 4.55%, 3/15/2052 (a) | 40,000 | 31,902 |
Sprint LLC | ||
7.88%, 9/15/2023 | 8,000 | 8,075 |
7.13%, 6/15/2024 | 30,000 | 30,378 |
7.63%, 3/1/2026 | 225,000 | 233,663 |
T-Mobile USA, Inc. | ||
2.63%, 2/15/2029 | 28,000 | 23,817 |
3.38%, 4/15/2029 | 1,250,000 | 1,103,925 |
2.55%, 2/15/2031 | 67,000 | 54,683 |
5.20%, 1/15/2033 | 250,000 | 243,816 |
1,910,478 | ||
Total Corporate Bonds (Cost $251,178,800) | 236,461,363 | |
Asset-Backed Securities — 16.5% | ||
ACC Trust Series 2022-1, Class C, 3.24%, 10/20/2025 (a) | 1,000,000 | 962,837 |
ACHV ABS TRUST Series 2023-1PL, Class C, 7.42%, 3/18/2030 (a) | 1,977,000 | 1,973,591 |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class B, 5.99%, 12/18/2037 (a) (j) | 250,000 | 242,188 |
40 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Air Canada Pass-Through Trust (Canada) Series 2017-1, Class AA, 3.30%, 1/15/2030 (a) | 384,800 | 329,851 |
American Airlines Pass-Through Trust Series 2015-2, Class A, 4.00%, 9/22/2027 | 186,866 | 165,096 |
American Credit Acceptance Receivables Trust | ||
Series 2020-2, Class C, 3.88%, 4/13/2026 (a) | 120,249 | 119,768 |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | 300,000 | 261,464 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 506,000 | 489,951 |
American Homes 4 Rent Trust | ||
Series 2014-SFR3, Class B, 4.20%, 12/17/2036 (a) | 125,000 | 121,456 |
Series 2015-SFR1, Class E, 5.64%, 4/17/2052 (a) | 150,000 | 147,422 |
Series 2015-SFR1, Class F, 5.89%, 4/17/2052 (a) | 400,000 | 387,984 |
Series 2015-SFR2, Class A, 3.73%, 10/17/2052 (a) | 89,714 | 86,205 |
AMSR Trust | ||
Series 2020-SFR1, Class E, 3.22%, 4/17/2037 (a) | 500,000 | 461,549 |
Series 2020-SFR2, Class E2, 4.28%, 7/17/2037 (a) | 375,000 | 353,116 |
Series 2020-SFR3, Class E2, 2.76%, 9/17/2037 (a) | 350,000 | 314,593 |
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (a) | 1,500,000 | 1,342,519 |
Series 2020-SFR4, Class E2, 2.46%, 11/17/2037 (a) | 425,000 | 374,759 |
Series 2021-SFR3, Class C, 1.80%, 10/17/2038 (a) | 1,000,000 | 854,815 |
Series 2022-SFR1, Class F, 6.02%, 3/17/2039 (a) | 750,000 | 679,960 |
Series 2022-SFR3, Class E2, 4.00%, 10/17/2039 (a) | 1,000,000 | 838,187 |
Series 2023-SFR1, Class E2, 4.00%, 4/17/2040 (a) (g) | 2,085,000 | 1,713,271 |
Aqua Finance Trust Series 2019-A, Class B, 3.47%, 7/16/2040 (a) | 237,254 | 219,485 |
Avid Automobile Receivables Trust Series 2019-1, Class D, 4.03%, 7/15/2026 (a) | 300,000 | 299,108 |
British Airways Pass-Through Trust (United Kingdom) Series 2013-1, Class A, 4.63%, 6/20/2024 (a) | 111,430 | 109,348 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 547,470 | 515,390 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 214,752 | 192,851 |
Series 2021-1A, Class B, 2.92%, 4/15/2036 ‡ (a) | 478,870 | 413,999 |
Series 2021-1A, Class C, 5.07%, 4/15/2036 ‡ (a) | 219,686 | 191,126 |
BXG Receivables Note Trust Series 2020-A, Class C, 4.22%, 2/28/2036 (a) | 1,957,725 | 1,777,527 |
CarNow Auto Receivables Trust Series 2021-1A, Class C, 2.16%, 2/17/2026 (a) | 200,000 | 195,201 |
Carvana Auto Receivables Trust Series 2019-4A, Class D, 3.07%, 7/15/2025 (a) | 104,859 | 103,451 |
Cascade MH Asset Trust Series 2019-MH1, Class B, 5.00%, 11/25/2044 ‡ (a) (j) | 401,843 | 362,373 |
Continental Finance Credit Card ABS Master Trust Series 2022-A, Class A, 6.19%, 10/15/2030 (a) | 825,000 | 788,005 |
CoreVest American Finance Trust | ||
Series 2019-1, Class E, 5.61%, 3/15/2052 (a) (j) | 551,000 | 506,118 |
Series 2019-2, Class E, 5.25%, 6/15/2052 (a) (j) | 650,000 | 568,805 |
Series 2019-3, Class E, 4.75%, 10/15/2052 (a) (j) | 570,000 | 486,442 |
CPS Auto Receivables Trust | ||
Series 2022-D, Class D, 8.73%, 1/16/2029 (a) | 1,000,000 | 1,009,436 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 723,000 | 705,519 |
Series 2022-C, Class C, 5.28%, 4/15/2030 (a) | 1,000,000 | 981,926 |
Credit Acceptance Auto Loan Trust | ||
Series 2020-1A, Class C, 2.59%, 6/15/2029 (a) | 750,000 | 745,836 |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | 1,000,000 | 983,565 |
DataBank Issuer Series 2021-1A, Class A2, 2.06%, 2/27/2051 (a) | 250,000 | 222,027 |
Delta Air Lines Pass-Through Trust Series 2019-1, Class AA, 3.20%, 4/25/2024 | 15,000 | 14,691 |
Diamond Resorts Owner Trust | ||
Series 2021-1A, Class A, 1.51%, 11/21/2033 (a) | 218,855 | 201,057 |
Series 2021-1A, Class D, 3.83%, 11/21/2033 (a) | 191,978 | 171,968 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 41 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Drive Auto Receivables Trust Series 2020-2, Class D, 3.05%, 5/15/2028 | 750,000 | 732,384 |
DT Auto Owner Trust | ||
Series 2020-2A, Class D, 4.73%, 3/16/2026 (a) | 500,000 | 493,019 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 1,350,000 | 1,394,823 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 1,440,000 | 1,421,471 |
Elara HGV Timeshare Issuer LLC | ||
Series 2021-A, Class C, 2.09%, 8/27/2035 (a) | 464,859 | 407,136 |
Series 2021-A, Class D, 3.32%, 8/27/2035 (a) | 166,021 | 146,488 |
Exeter Automobile Receivables Trust | ||
Series 2020-2A, Class C, 3.28%, 5/15/2025 (a) | 48,580 | 48,450 |
Series 2020-2A, Class D, 4.73%, 4/15/2026 (a) | 400,000 | 396,877 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 1,000,000 | 993,190 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 1,000,000 | 1,009,619 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 1,291,000 | 1,333,083 |
Series 2022-4A, Class E, 8.23%, 3/15/2030 (a) | 1,000,000 | 901,202 |
FHF Trust | ||
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 191,610 | 183,879 |
Series 2022-2A, Class A, 6.14%, 12/15/2027 (a) | 1,290,139 | 1,275,387 |
FirstKey Homes Trust | ||
Series 2022-SFR3, Class D, 3.50%, 7/17/2026 (a) | 1,250,000 | 1,122,570 |
Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | 2,201,000 | 2,014,661 |
Series 2020-SFR2, Class E, 2.67%, 10/19/2037 (a) | 1,000,000 | 905,044 |
Series 2020-SFR2, Class F1, 3.02%, 10/19/2037 (a) | 1,000,000 | 896,480 |
Series 2020-SFR2, Class F2, 3.12%, 10/19/2037 (a) | 560,000 | 500,237 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (a) | 500,000 | 427,810 |
Series 2021-SFR1, Class F1, 3.24%, 8/17/2038 (a) | 600,000 | 514,182 |
Series 2021-SFR2, Class E1, 2.26%, 9/17/2038 (a) | 635,000 | 535,541 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-SFR2, Class E2, 2.36%, 9/17/2038 (a) | 814,000 | 683,401 |
Series 2022-SFR1, Class E2, 5.00%, 5/17/2039 (a) | 2,000,000 | 1,784,404 |
Series 2022-SFR2, Class E2, 4.50%, 7/17/2039 (a) | 492,000 | 419,867 |
Flagship Credit Auto Trust | ||
Series 2020-4, Class D, 2.18%, 2/16/2027 (a) | 280,000 | 260,081 |
Series 2021-4, Class C, 1.96%, 12/15/2027 (a) | 500,000 | 456,844 |
Series 2022-3, Class E, 7.95%, 10/15/2029 (a) | 1,000,000 | 882,918 |
FMC GMSR Issuer Trust | ||
Series 2021-GT1, Class B, 4.36%, 7/25/2026 (a) (j) | 900,000 | 688,772 |
Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 600,000 | 527,419 |
Series 2022-GT2, Class B, 10.07%, 7/25/2027 (a) | 1,000,000 | 919,653 |
FNMA, Grantor Trust Series 2017-T1, Class A, 2.90%, 6/25/2027 | 1,093,338 | 1,013,529 |
Foundation Finance Trust | ||
Series 2020-1A, Class B, 4.62%, 7/16/2040 (a) | 300,000 | 276,792 |
Series 2020-1A, Class C, 5.75%, 7/16/2040 (a) | 1,450,000 | 1,318,414 |
Series 2021-1A, Class C, 2.99%, 5/15/2041 (a) | 536,000 | 448,646 |
FREED ABS Trust | ||
Series 2021-2, Class C, 1.94%, 6/19/2028 (a) | 191,506 | 187,215 |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | 700,000 | 643,976 |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 500,000 | 499,551 |
Series 2022-4FP, Class C, 8.59%, 12/18/2029 (a) | 1,000,000 | 1,005,073 |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 1,000,000 | 846,267 |
GLS Auto Receivables Issuer Trust | ||
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 1,000,000 | 931,203 |
Series 2021-2A, Class E, 2.87%, 5/15/2028 (a) | 1,500,000 | 1,283,459 |
Series 2022-3A, Class E, 8.35%, 10/15/2029 (a) | 750,000 | 693,179 |
42 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
HGI CRE CLO Ltd. (Cayman Islands) | ||
Series 2022-FL3, Class B, 7.01%, 4/20/2037 (a) (j) | 1,000,000 | 960,359 |
Series 2022-FL3, Class E, 8.71%, 4/20/2037 (a) (j) | 663,500 | 627,046 |
Hilton Grand Vacations Trust | ||
Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | 317,339 | 301,722 |
Series 2022-2A, Class D, 8.73%, 1/25/2037 (a) | 544,148 | 525,166 |
Series 2020-AA, Class C, 6.42%, 2/25/2039 (a) | 208,571 | 204,372 |
HIN Timeshare Trust | ||
Series 2020-A, Class D, 5.50%, 10/9/2039 (a) | 86,673 | 79,927 |
Series 2020-A, Class E, 6.50%, 10/9/2039 (a) | 390,029 | 360,388 |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | 701,266 | 660,430 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (a) | 958,444 | 882,488 |
Lendingpoint Asset Securitization Trust Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 1,000,000 | 858,260 |
Lendmark Funding Trust | ||
Series 2019-2A, Class C, 3.72%, 4/20/2028 (a) | 100,000 | 92,242 |
Series 2019-2A, Class D, 5.24%, 4/20/2028 (a) | 700,000 | 611,960 |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | 870,000 | 681,624 |
Series 2021-2A, Class B, 2.37%, 4/20/2032 (a) | 1,000,000 | 821,670 |
LP LMS Asset Securitization Trust, 6.17%, 10/15/2028 ‡ | 550,000 | 532,400 |
Mariner Finance Issuance Trust | ||
Series 2019-AA, Class D, 5.44%, 7/20/2032 (a) | 1,500,000 | 1,374,383 |
Series 2020-AA, Class D, 5.75%, 8/21/2034 (a) | 1,070,000 | 931,525 |
Series 2021-AA, Class D, 3.83%, 3/20/2036 (a) | 351,000 | 281,773 |
Series 2022-AA, Class D, 9.10%, 10/20/2037 (a) | 650,000 | 649,091 |
Marlette Funding Trust Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | 980,000 | 979,803 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 1,584,000 | 1,571,271 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
MVW LLC | ||
Series 2020-1A, Class C, 4.21%, 10/20/2037 (a) | 127,494 | 119,384 |
Series 2020-1A, Class D, 7.14%, 10/20/2037 (a) | 1,274,944 | 1,213,209 |
Series 2019-2A, Class B, 2.44%, 10/20/2038 (a) | 59,009 | 54,771 |
Series 2022-2A, Class C, 7.62%, 10/21/2041 (a) | 922,880 | 930,428 |
Series 2022-2A, Class D, 9.00%, 10/21/2041 (a) | 2,302,189 | 2,278,214 |
MVW Owner Trust Series 2019-1A, Class C, 3.33%, 11/20/2036 (a) | 36,006 | 33,475 |
New Residential Mortgage Loan Trust | ||
Series 2022-SFR1, Class D, 3.30%, 2/17/2039 (a) | 340,000 | 301,058 |
Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 420,000 | 371,131 |
NMEF Funding LLC Series 2021-A, Class C, 2.58%, 12/15/2027 (a) | 600,000 | 568,894 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2020-PLS1, Class A, 3.84%, 12/25/2025 (a) | 191,956 | 176,998 |
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 711,714 | 632,381 |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 197,930 | 175,498 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 1,047,571 | 931,616 |
NRZ FHT Excess LLC Series 2020-FHT1, Class A, 4.21%, 11/25/2025 (a) | 826,583 | 765,784 |
Octane Receivables Trust | ||
Series 2020-1A, Class C, 2.89%, 3/20/2026 (a) | 350,000 | 334,722 |
Series 2022-2A, Class C, 6.29%, 7/20/2028 (a) | 1,390,000 | 1,373,463 |
Series 2022-2A, Class D, 7.70%, 2/20/2030 (a) | 2,000,000 | 2,006,698 |
OneMain Direct Auto Receivables Trust Series 2019-1A, Class B, 3.95%, 11/14/2028 (a) | 1,000,000 | 937,060 |
Oportun Funding XIV LLC | ||
Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 1,600,000 | 1,506,326 |
Series 2021-A, Class C, 3.44%, 3/8/2028 (a) | 380,000 | 354,852 |
Oportun Issuance Trust | ||
Series 2022-2, Class C, 9.36%, 10/9/2029 (a) | 1,500,000 | 1,506,083 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 43 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2022-3, Class C, 10.15%, 1/8/2030 (a) | 762,000 | 742,341 |
Series 2021-B, Class B, 1.96%, 5/8/2031 (a) | 400,000 | 356,323 |
Series 2021-B, Class C, 3.65%, 5/8/2031 (a) | 100,000 | 89,232 |
Series 2022-A, Class C, 7.40%, 6/9/2031 (a) | 755,000 | 696,222 |
Pagaya AI Debt Selection Trust Series 2021-1, Class B, 2.13%, 11/15/2027 (a) | 499,794 | 476,082 |
PFP Ltd. (Cayman Islands) | ||
Series 2021-7, Class C, 6.24%, 4/14/2038 (a) (j) | 164,992 | 154,500 |
Series 2021-7, Class D, 6.99%, 4/14/2038 (a) (j) | 169,992 | 159,385 |
Prestige Auto Receivables Trust | ||
Series 2018-1A, Class D, 4.14%, 10/15/2024 (a) | 60,156 | 60,137 |
Series 2022-1A, Class C, 7.09%, 8/15/2028 (a) | 1,200,000 | 1,211,220 |
PRET LLC | ||
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (h) | 584,294 | 544,267 |
Series 2021-RN3, Class A1, 1.84%, 9/25/2051 (a) (h) | 793,771 | 727,081 |
Pretium Mortgage Credit Partners I LLC Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (h) | 327,535 | 307,341 |
Progress Residential | ||
Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 450,000 | 386,544 |
Series 2021-SFR3, Class E2, 2.69%, 5/17/2026 (a) | 645,000 | 555,121 |
Progress Residential Trust | ||
Series 2022-SFR2, Class E2, 4.80%, 4/17/2027 (a) | 651,000 | 585,519 |
Series 2020-SFR3, Class E, 2.30%, 10/17/2027 (a) | 2,300,000 | 2,075,235 |
Series 2020-SFR3, Class G, 4.11%, 10/17/2027 (a) | 500,000 | 454,482 |
Series 2020-SFR1, Class C, 2.18%, 4/17/2037 (a) | 2,100,000 | 1,944,895 |
Series 2020-SFR1, Class E, 3.03%, 4/17/2037 (a) | 425,000 | 395,735 |
Series 2020-SFR1, Class F, 3.43%, 4/17/2037 (a) | 450,000 | 417,248 |
Series 2020-SFR2, Class D, 3.87%, 6/17/2037 (a) | 750,000 | 712,705 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-SFR2, Class E2, 2.65%, 4/19/2038 (a) | 400,000 | 344,943 |
Series 2021-SFR5, Class E1, 2.21%, 7/17/2038 (a) | 950,000 | 803,995 |
Series 2021-SFR5, Class E2, 2.36%, 7/17/2038 (a) | 270,000 | 228,267 |
Series 2022-SFR3, Class F, 6.60%, 4/17/2039 (a) | 665,000 | 631,355 |
Series 2022-SFR5, Class E2, 6.86%, 6/17/2039 (a) | 388,000 | 360,130 |
Series 2023-SFR1, Class E2, 6.60%, 3/17/2040 (a) | 796,000 | 742,705 |
Series 2021-SFR7, Class E1, 2.59%, 8/17/2040 (a) | 793,000 | 653,046 |
Series 2022-SFR1, Class E2, 3.99%, 2/17/2041 (a) | 750,000 | 628,963 |
ReadyCap Lending Small Business Loan Trust Series 2019-2, Class A, 7.25%, 12/27/2044 (a) (j) | 69,018 | 65,869 |
Regional Management Issuance Trust | ||
Series 2020-1, Class C, 3.80%, 10/15/2030 (a) | 300,000 | 268,818 |
Series 2021-1, Class D, 5.07%, 3/17/2031 (a) | 500,000 | 424,829 |
Series 2022-2B, Class B, 8.51%, 11/17/2032 (a) | 1,227,000 | 1,235,023 |
Santander Revolving Auto Loan Trust Series 2019-A, Class D, 3.45%, 1/26/2032 (a) | 150,000 | 138,917 |
SCF Equipment Leasing LLC Series 2022-2A, Class E, 6.50%, 6/20/2035 (a) | 1,112,000 | 870,233 |
Sierra Timeshare Receivables Funding LLC | ||
Series 2020-2A, Class D, 6.59%, 7/20/2037 (a) | 572,651 | 547,796 |
Series 2021-1A, Class D, 3.17%, 11/20/2037 (a) | 261,637 | 238,324 |
Series 2022-1A, Class D, 6.00%, 10/20/2038 (a) | 518,331 | 487,974 |
Series 2022-3A, Class D, 10.52%, 7/20/2039 (a) | 808,214 | 812,947 |
Series 2022-2A, Class D, 9.22%, 6/20/2040 (a) | 494,047 | 480,781 |
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (a) | 633,491 | 571,275 |
Theorem Funding Trust Series 2022-2A, Class A, 6.06%, 12/15/2028 (a) | 385,369 | 381,918 |
Tricon American Homes Series 2020-SFR1, Class E, 3.54%, 7/17/2038 (a) | 300,000 | 274,844 |
44 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
United Airlines Pass-Through Trust | ||
Series 2014-1, Class A, 4.00%, 4/11/2026 | 117,728 | 110,202 |
Series 2016-2, Class A, 3.10%, 10/7/2028 | 7,357 | 6,335 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 12,137 | 10,374 |
United Auto Credit Securitization Trust | ||
Series 2022-2, Class C, 5.81%, 5/10/2027 (a) | 856,000 | 844,503 |
Series 2022-2, Class E, 10.00%, 4/10/2029 (a) | 1,000,000 | 950,305 |
Upstart Securitization Trust Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 915,571 | 897,701 |
Upstart Structured Pass-Through Trust Series 2022-4A, Class A, 7.01%, 11/15/2030 (a) | 1,164,820 | 1,166,736 |
US Airways Pass-Through Trust Series 2011-1, Class A, 7.13%, 10/22/2023 | 12,183 | 12,196 |
US Auto Funding Trust Series 2022-1A, Class D, 9.14%, 7/15/2027 (a) | 1,000,000 | 931,367 |
USASF Receivables LLC | ||
Series 2020-1A, Class B, 3.22%, 5/15/2024 (a) | 19,460 | 19,441 |
Series 2020-1A, Class D, 9.35%, 3/15/2027 (a) | 750,000 | 755,957 |
VCAT LLC | ||
Series 2021-NPL1, Class A1, 2.29%, 12/26/2050 (a) (h) | 179,704 | 170,162 |
Series 2021-NPL5, Class A1, 1.87%, 8/25/2051 (a) (h) | 570,228 | 520,482 |
Veros Auto Receivables Trust Series 2021-1, Class B, 1.49%, 10/15/2026 (a) | 300,000 | 286,042 |
VOLT XCII LLC Series 2021-NPL1, Class A1, 1.89%, 2/27/2051 (a) (h) | 1,093,459 | 986,565 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (a) (h) | 663,033 | 599,196 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (a) (h) | 217,990 | 200,611 |
Westgate Resorts LLC | ||
Series 2020-1A, Class C, 6.21%, 3/20/2034 (a) | 90,177 | 89,091 |
Series 2022-1A, Class B, 2.29%, 8/20/2036 (a) | 176,632 | 166,130 |
Series 2022-1A, Class D, 3.84%, 8/20/2036 (a) | 706,529 | 655,666 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 500,000 | 455,294 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-3A, Class E, 3.42%, 4/15/2027 (a) | 2,500,000 | 2,168,662 |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | 1,000,000 | 967,946 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 905,000 | 903,420 |
Total Asset-Backed Securities (Cost $130,468,739) | 126,088,928 | |
Mortgage-Backed Securities — 16.1% | ||
FHLMC Gold Pools, 30 Year Pool # G60855, 4.50%, 12/1/2045 | 70,479 | 69,419 |
FHLMC Gold Pools, Other | ||
Pool # WN2203, 3.75%, 8/1/2032 | 1,200,000 | 1,136,224 |
Pool # N31271, 4.50%, 1/1/2036 | 13,604 | 13,193 |
FHLMC UMBS, 30 Year | ||
Pool # QA5045, 4.00%, 11/1/2049 | 75,817 | 71,845 |
Pool # QB1397, 2.50%, 7/1/2050 | 2,263,068 | 1,923,312 |
Pool # SD1464, 3.00%, 5/1/2052 | 1,077,928 | 951,505 |
Pool # SD1303, 4.50%, 7/1/2052 | 1,628,817 | 1,572,189 |
Pool # SD1725, 4.00%, 10/1/2052 (g) | 1,980,674 | 1,863,279 |
Pool # QF3433, 5.00%, 11/1/2052 (g) | 1,969,379 | 1,947,936 |
FNMA UMBS, 20 Year Pool # MA3004, 4.00%, 5/1/2037 | 345,597 | 331,455 |
FNMA UMBS, 30 Year | ||
Pool # AL2374, 4.00%, 12/1/2041 | 101,379 | 98,511 |
Pool # AL4244, 4.00%, 7/1/2042 | 116,587 | 114,447 |
Pool # BM1164, 3.50%, 12/1/2045 | 80,834 | 75,146 |
Pool # MA3073, 4.50%, 7/1/2047 | 18,969 | 18,609 |
Pool # BK4769, 5.00%, 8/1/2048 | 338,642 | 338,690 |
Pool # BN5013, 5.00%, 1/1/2049 | 112,021 | 112,349 |
Pool # BO1073, 4.50%, 6/1/2049 | 28,012 | 27,169 |
Pool # BO3039, 3.00%, 7/1/2049 | 164,009 | 145,587 |
Pool # BN6475, 4.00%, 7/1/2049 | 7,795 | 7,421 |
Pool # BO2562, 4.00%, 7/1/2049 | 82,147 | 78,256 |
Pool # BO4519, 4.00%, 8/1/2049 | 3,509 | 3,334 |
Pool # BO2203, 3.50%, 9/1/2049 | 243,401 | 223,914 |
Pool # FS1186, 3.50%, 1/1/2050 | 1,758,311 | 1,617,935 |
Pool # CA5702, 2.50%, 5/1/2050 | 1,380,492 | 1,180,873 |
Pool # BU0070, 2.50%, 10/1/2051 | 955,726 | 811,498 |
Pool # FM9961, 3.00%, 12/1/2051 | 482,298 | 424,654 |
Pool # CB2637, 2.50%, 1/1/2052 | 488,840 | 415,430 |
Pool # BV0273, 3.00%, 1/1/2052 | 301,485 | 266,609 |
Pool # CB2670, 3.00%, 1/1/2052 | 452,774 | 398,644 |
Pool # BV3930, 3.00%, 2/1/2052 | 587,826 | 517,975 |
Pool # BV0295, 3.50%, 2/1/2052 | 640,506 | 592,582 |
Pool # FS1954, 3.00%, 3/1/2052 | 1,885,247 | 1,685,184 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 45 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BW6017, 3.50%, 5/1/2052 | 593,908 | 545,219 |
Pool # FS3536, 4.50%, 8/1/2052 (g) | 1,994,785 | 1,926,433 |
Pool # FS2588, 4.50%, 8/1/2052 | 1,654,747 | 1,598,239 |
Pool # CB4830, 4.50%, 9/1/2052 | 1,419,430 | 1,382,378 |
Pool # FS3829, 4.50%, 9/1/2052 | 1,397,888 | 1,350,130 |
Pool # CB4837, 5.00%, 10/1/2052 | 1,492,327 | 1,495,451 |
Pool # BX0627, 5.00%, 11/1/2052 (g) | 1,990,554 | 1,968,882 |
Pool # CB5413, 4.00%, 12/1/2052 | 1,994,027 | 1,876,467 |
Pool # CB5428, 4.50%, 12/1/2052 | 1,994,950 | 1,933,002 |
FNMA, Other | ||
Pool # AM8846, 2.68%, 5/1/2025 | 140,752 | 134,029 |
Pool # AM0414, 2.87%, 9/1/2027 | 397,782 | 374,731 |
Pool # AN7560, 2.90%, 12/1/2027 | 183,017 | 169,052 |
Pool # BL2367, 3.48%, 5/1/2029 | 536,244 | 505,057 |
Pool # BS1577, 1.82%, 2/1/2030 | 856,742 | 722,584 |
Pool # BS6827, 4.19%, 5/1/2030 | 914,299 | 894,968 |
Pool # BS4878, 2.44%, 6/1/2030 | 593,437 | 519,017 |
Pool # 387898, 3.71%, 8/1/2030 | 744,567 | 702,847 |
Pool # BS5171, 2.51%, 10/1/2030 | 1,925,000 | 1,678,264 |
Pool # BS5985, 3.99%, 11/1/2030 | 425,000 | 410,392 |
Pool # BL9645, 1.50%, 1/1/2031 | 100,000 | 80,179 |
Pool # BL9627, 1.56%, 1/1/2031 | 500,000 | 402,899 |
Pool # BS1731, 1.82%, 1/1/2031 | 972,756 | 807,986 |
Pool # BS1304, 1.54%, 3/1/2031 | 1,500,000 | 1,202,283 |
Pool # BS2422, 1.67%, 7/1/2031 | 1,200,000 | 966,030 |
Pool # BS2898, 1.56%, 9/1/2031 | 1,000,000 | 794,586 |
Pool # BS4116, 2.28%, 10/1/2031 | 774,273 | 655,081 |
Pool # BS3612, 1.93%, 11/1/2031 | 1,500,000 | 1,228,181 |
Pool # BS4563, 2.01%, 1/1/2032 | 1,100,000 | 908,524 |
Pool # BS3464, 2.03%, 1/1/2032 | 1,112,000 | 919,043 |
Pool # BM7037, 1.75%, 3/1/2032 (j) | 1,099,644 | 884,335 |
Pool # BS4654, 2.39%, 3/1/2032 | 1,474,916 | 1,261,713 |
Pool # BL6367, 1.82%, 4/1/2032 | 330,000 | 270,223 |
Pool # BS5130, 2.55%, 4/1/2032 | 492,760 | 428,485 |
Pool # BS6301, 3.67%, 8/1/2032 | 945,000 | 892,785 |
Pool # BS6385, 3.89%, 8/1/2032 | 2,481,891 | 2,386,601 |
Pool # BS6448, 3.93%, 8/1/2032 | 1,550,000 | 1,495,261 |
Pool # BS6502, 3.41%, 9/1/2032 | 3,009,119 | 2,796,790 |
Pool # BS6335, 3.75%, 9/1/2032 | 1,030,000 | 979,768 |
Pool # BS6339, 3.80%, 9/1/2032 | 1,056,986 | 1,009,197 |
Pool # BS6347, 4.03%, 9/1/2032 | 350,000 | 335,518 |
Pool # BS6759, 3.97%, 10/1/2032 | 903,653 | 874,247 |
Pool # BL8708, 1.40%, 11/1/2032 | 200,000 | 151,910 |
Pool # BS6995, 4.18%, 11/1/2032 | 1,015,000 | 999,692 |
Pool # BS6849, 4.23%, 11/1/2032 | 797,378 | 786,750 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BS6815, 4.71%, 11/1/2032 | 1,283,000 | 1,314,507 |
Pool # BS6994, 4.85%, 11/1/2032 | 661,000 | 684,853 |
Pool # BS7203, 4.98%, 11/1/2032 | 1,249,000 | 1,293,649 |
Pool # BS7095, 4.80%, 12/1/2032 | 1,023,597 | 1,056,253 |
Pool # BS7663, 4.71%, 1/1/2033 | 2,000,000 | 2,044,385 |
Pool # BS7671, 4.76%, 2/1/2033 | 2,177,000 | 2,243,633 |
Pool # AN6000, 3.21%, 7/1/2033 | 966,948 | 877,560 |
Pool # AN9725, 3.76%, 7/1/2033 | 102,109 | 97,020 |
Pool # BS4197, 2.14%, 12/1/2033 | 500,000 | 412,247 |
Pool # BS6427, 3.75%, 9/1/2034 | 1,010,000 | 941,865 |
Pool # BL3772, 2.92%, 10/1/2034 | 689,025 | 606,295 |
Pool # BS5018, 2.88%, 10/1/2035 | 750,000 | 614,564 |
Pool # AN7345, 3.21%, 11/1/2037 | 631,372 | 554,551 |
Pool # MA1072, 3.50%, 5/1/2042 | 10,183 | 9,483 |
Pool # BF0230, 5.50%, 1/1/2058 | 407,927 | 420,195 |
Pool # BF0400, 4.00%, 8/1/2059 | 722,954 | 677,472 |
Pool # BF0497, 3.00%, 7/1/2060 | 73,336 | 64,320 |
Pool # BF0560, 2.50%, 9/1/2061 | 932,633 | 771,818 |
Pool # BF0562, 3.50%, 9/1/2061 | 930,109 | 841,411 |
Pool # BF0583, 4.00%, 12/1/2061 | 939,842 | 882,077 |
Pool # BF0586, 5.00%, 12/1/2061 | 942,466 | 927,685 |
Pool # BF0617, 2.50%, 3/1/2062 | 309,962 | 256,515 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 3.50%, 3/25/2053 (g) | 5,400,000 | 4,915,266 |
TBA, 4.00%, 3/25/2053 (g) | 3,625,000 | 3,402,402 |
TBA, 4.50%, 3/25/2053 (g) | 3,650,000 | 3,516,547 |
GNMA I, 30 Year | ||
Pool # CO1928, 5.50%, 10/15/2052 | 1,289,244 | 1,304,613 |
Pool # CR2369, 6.00%, 1/15/2053 | 1,818,682 | 1,909,988 |
GNMA II | ||
Pool # CJ7125, ARM, 6.29%, 10/20/2071 (j) | 459,511 | 480,592 |
Pool # CJ7141, ARM, 6.21%, 11/20/2071 (j) | 438,573 | 456,995 |
Pool # CE9384, ARM, 6.25%, 11/20/2071 (j) | 736,743 | 770,307 |
Pool # CE5557, ARM, 6.39%, 11/20/2071 (j) | 100,712 | 106,093 |
Pool # CK2792, ARM, 6.38%, 3/20/2072 (j) | 824,065 | 869,827 |
Pool # CO0363, ARM, 6.54%, 7/20/2072 (j) | 793,819 | 849,580 |
GNMA II, 30 Year | ||
Pool # AJ9020, 4.50%, 10/20/2044 | 33,590 | 32,606 |
Pool # BB3525, 4.00%, 9/20/2047 | 24,006 | 23,006 |
Pool # BM2418, 4.00%, 8/20/2049 | 16,089 | 15,613 |
46 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # BN7049, 4.50%, 8/20/2049 | 147,838 | 144,903 |
Pool # BP7160, 4.50%, 9/20/2049 | 86,560 | 86,995 |
Pool # CC9803, 4.00%, 4/20/2051 | 288,272 | 273,357 |
Pool # MA7534, 2.50%, 8/20/2051 | 4,589,329 | 3,978,915 |
Pool # MA7705, 2.50%, 11/20/2051 | 6,306,578 | 5,461,280 |
Pool # CH7863, 3.50%, 12/20/2051 | 699,954 | 646,901 |
Pool # CI2080, 3.50%, 12/20/2051 | 846,508 | 761,393 |
Pool # CH0876, 3.00%, 1/20/2052 | 110,632 | 99,233 |
Pool # CH0877, 3.00%, 1/20/2052 | 273,442 | 245,184 |
Pool # CH0878, 3.00%, 1/20/2052 | 322,939 | 289,367 |
Pool # CJ3916, 3.00%, 1/20/2052 | 744,182 | 674,644 |
Pool # CK2608, 3.00%, 1/20/2052 | 471,642 | 418,232 |
Pool # CK4909, 3.00%, 1/20/2052 | 97,847 | 87,554 |
Pool # CK4916, 3.00%, 1/20/2052 | 221,345 | 197,650 |
Pool # CJ8184, 3.50%, 1/20/2052 | 627,021 | 576,391 |
Pool # CK4918, 3.50%, 1/20/2052 | 78,291 | 72,454 |
Pool # CK7137, 4.00%, 1/20/2052 | 476,547 | 450,417 |
Pool # CK2667, 3.00%, 2/20/2052 | 625,763 | 553,742 |
Pool # CK2672, 3.50%, 2/20/2052 | 588,970 | 545,056 |
Pool # CM2154, 3.00%, 3/20/2052 | 784,304 | 692,562 |
Pool # CM2278, 3.50%, 4/20/2052 | 857,322 | 792,335 |
Pool # CO4826, 5.00%, 6/20/2052 | 568,336 | 561,877 |
Pool # CO4847, 5.00%, 7/20/2052 | 848,540 | 838,903 |
Pool # MA8200, 4.00%, 8/20/2052 | 1,944,964 | 1,838,306 |
Pool # CO1924, 4.50%, 10/20/2052 | 1,200,915 | 1,176,867 |
Pool # CP8517, 4.50%, 10/20/2052 | 994,743 | 964,988 |
Pool # CO1925, 5.00%, 10/20/2052 | 995,366 | 998,791 |
Total Mortgage-Backed Securities (Cost $128,472,348) | 122,414,473 | |
U.S. Treasury Obligations — 15.3% | ||
U.S. Treasury Bonds | ||
4.50%, 8/15/2039 | 1,534,000 | 1,627,059 |
1.13%, 5/15/2040 | 2,073,000 | 1,312,063 |
4.38%, 5/15/2040 | 370,000 | 385,942 |
1.13%, 8/15/2040 | 6,437,100 | 4,054,116 |
1.38%, 11/15/2040 | 2,866,000 | 1,883,164 |
4.75%, 2/15/2041 | 2,968,000 | 3,244,511 |
2.25%, 5/15/2041 | 4,977,000 | 3,781,548 |
4.38%, 5/15/2041 | 811,000 | 847,020 |
2.75%, 11/15/2042 | 3,551,000 | 2,885,881 |
3.63%, 8/15/2043 | 2,027,000 | 1,887,248 |
3.75%, 11/15/2043 | 2,226,000 | 2,109,483 |
2.88%, 8/15/2045 | 809,000 | 659,777 |
3.38%, 11/15/2048 | 1,609,000 | 1,439,615 |
2.38%, 11/15/2049 | 7,721,000 | 5,693,634 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
2.00%, 2/15/2050 | 358,000 | 242,153 |
1.88%, 2/15/2051 | 2,622,000 | 1,711,879 |
2.38%, 5/15/2051 | 7,764,000 | 5,699,565 |
2.25%, 2/15/2052 | 9,289,000 | 6,623,130 |
4.00%, 11/15/2052 | 702,000 | 714,504 |
U.S. Treasury Notes | ||
2.13%, 2/29/2024 | 156,000 | 151,448 |
1.13%, 2/28/2025 | 565,000 | 525,715 |
0.25%, 8/31/2025 | 1,548,000 | 1,390,297 |
3.88%, 1/15/2026 | 7,383,000 | 7,256,105 |
1.13%, 10/31/2026 | 10,471,000 | 9,327,370 |
0.50%, 8/31/2027 | 6,112,000 | 5,184,217 |
3.13%, 8/31/2027 | 1,895,000 | 1,808,467 |
0.63%, 11/30/2027 | 2,224,000 | 1,884,406 |
1.25%, 3/31/2028 | 180,000 | 156,073 |
1.25%, 4/30/2028 | 4,100,000 | 3,547,621 |
1.25%, 9/30/2028 | 11,493,000 | 9,844,922 |
3.13%, 8/31/2029 | 1,870,000 | 1,765,908 |
0.88%, 11/15/2030 | 430,000 | 343,597 |
1.88%, 2/15/2032 | 5,701,000 | 4,829,593 |
2.75%, 8/15/2032 | 5,487,000 | 4,986,311 |
4.13%, 11/15/2032 | 5,649,000 | 5,739,031 |
U.S. Treasury STRIPS Bonds | ||
2.59%, 5/15/2032 (k) | 2,200,000 | 1,516,127 |
1.68%, 5/15/2033 (k) | 3,205,000 | 2,112,966 |
3.69%, 2/15/2034 (k) | 4,986,000 | 3,187,351 |
4.02%, 8/15/2039 (k) | 511,000 | 256,671 |
4.14%, 2/15/2040 (k) | 2,155,000 | 1,061,487 |
2.44%, 11/15/2040 (k) | 3,172,000 | 1,512,408 |
2.33%, 8/15/2041 (k) | 207,000 | 95,634 |
2.28%, 11/15/2041 (k) | 845,000 | 397,861 |
2.66%, 2/15/2042 (k) | 1,065,000 | 480,764 |
1.41%, 2/15/2045 (k) | 649,000 | 264,569 |
Total U.S. Treasury Obligations (Cost $129,550,804) | 116,429,211 | |
Commercial Mortgage-Backed Securities — 5.4% | ||
BAMLL Re-REMIC Trust | ||
Series 2014-FRR4, Class BK29, PO, 4/27/2023 ‡ (a) | 836,170 | 825,407 |
Series 2014-FRR5, Class AK37, 2.37%, 1/27/2047 (a) (j) | 770,000 | 734,839 |
BB-UBS Trust Series 2012-SHOW, Class E, 4.03%, 11/5/2036 (a) (j) | 225,000 | 198,833 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (a) | 2,000,000 | 1,808,429 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 47 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Cascade Funding Mortgage Trust | ||
Series 2021-FRR1, Class DK45, 0.00%, 2/28/2025 (a) | 380,000 | 308,315 |
Series 2021-FRR1, Class CK45, 1.39%, 2/28/2025 (a) (j) | 500,000 | 435,867 |
Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 (a) (j) | 600,000 | 532,427 |
Series 2021-FRR1, Class CK54, 0.00%, 2/28/2026 (a) | 480,000 | 363,614 |
Series 2021-FRR1, Class DKW1, 0.00%, 2/28/2026 (a) | 430,000 | 315,325 |
Series 2021-FRR1, Class BK98, 0.00%, 8/29/2029 (a) | 1,150,000 | 659,025 |
Series 2021-FRR1, Class BK99, 0.00%, 9/29/2029 (a) | 400,000 | 224,308 |
CSMC OA LLC Series 2014-USA, Class D, 4.37%, 9/15/2037 (a) | 239,000 | 178,304 |
FHLMC, Multi-Family Structured Credit Risk | ||
Series 2021-MN1, Class M1, 6.48%, 1/25/2051 (a) (j) | 1,608,287 | 1,552,522 |
Series 2021-MN1, Class M2, 8.23%, 1/25/2051 (a) (j) | 685,000 | 613,364 |
Series 2021-MN3, Class M1, 6.78%, 11/25/2051 (a) (j) | 482,612 | 466,996 |
Series 2022-MN4, Class M1, 8.73%, 5/25/2052 (a) (j) | 991,652 | 1,010,261 |
Series 2022-MN4, Class M2, 10.98%, 5/25/2052 (a) (j) | 750,000 | 770,922 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KW06, Class A2, 3.80%, 6/25/2028 (j) | 1,750,000 | 1,684,323 |
Series K088, Class A2, 3.69%, 1/25/2029 | 350,000 | 334,532 |
Series K128, Class X3, IO, 2.78%, 4/25/2031 (j) | 550,000 | 88,212 |
Series K142, Class A2, 2.40%, 3/25/2032 | 1,250,000 | 1,058,561 |
Series K-151, Class A2, 3.80%, 10/25/2032 (j) | 1,050,000 | 994,911 |
Series K-153, Class A2, 3.82%, 12/25/2032 (j) | 1,000,000 | 949,087 |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (j) | 4,489,681 | 180,750 |
Series K-1520, Class X3, IO, 3.09%, 4/25/2039 (j) | 550,000 | 137,147 |
Series K145, Class AM, 2.58%, 6/25/2055 | 1,100,000 | 937,806 |
Series Q014, Class X, IO, 2.79%, 10/25/2055 (j) | 1,901,827 | 349,387 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FNMA ACES | ||
Series 2017-M3, Class A2, 2.47%, 12/25/2026 (j) | 264,593 | 242,750 |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (j) | 300,000 | 235,552 |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (j) | 2,700,000 | 2,169,876 |
Series 2022-M1, Class A1, 1.67%, 10/25/2031 (j) | 481,733 | 415,074 |
Series 2022-M3, Class A2, 1.71%, 11/25/2031 (j) | 1,400,000 | 1,117,704 |
Series 2022-M2S, Class A1, 3.75%, 5/25/2032 (j) | 994,970 | 950,597 |
Series 2022-M13, Class A2, 2.59%, 6/25/2032 (j) | 1,372,000 | 1,185,229 |
Series 2020-M53, Class A2, 1.68%, 11/25/2032 (j) | 1,250,000 | 975,694 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 47,509 | 44,683 |
Series 2021-M3, Class X1, IO, 1.94%, 11/25/2033 (j) | 526,959 | 46,084 |
FREMF Mortgage Trust | ||
Series 2018-KL3W, Class CW, 4.23%, 8/25/2025 (a) (j) | 250,000 | 226,574 |
Series 2018-KBX1, Class B, 3.58%, 1/25/2026 (a) (j) | 500,000 | 458,255 |
Series 2021-KHG3, Class BFX, 2.40%, 9/25/2028 (a) (j) | 1,000,000 | 819,853 |
Series 2015-K44, Class B, 3.72%, 1/25/2048 (a) (j) | 200,000 | 191,928 |
Series 2015-K45, Class B, 3.61%, 4/25/2048 (a) (j) | 199,293 | 190,744 |
Series 2015-K48, Class B, 3.65%, 8/25/2048 (a) (j) | 200,000 | 190,554 |
Series 2015-K50, Class B, 3.78%, 10/25/2048 (a) (j) | 200,000 | 190,809 |
Series 2015-K51, Class B, 3.95%, 10/25/2048 (a) (j) | 381,860 | 365,508 |
Series 2016-K52, Class B, 3.93%, 1/25/2049 (a) (j) | 250,000 | 238,866 |
Series 2016-K53, Class C, 4.02%, 3/25/2049 (a) (j) | 70,000 | 66,357 |
Series 2016-K57, Class B, 3.92%, 8/25/2049 (a) (j) | 1,000,000 | 945,927 |
Series 2017-K729, Class B, 3.67%, 11/25/2049 (a) (j) | 300,000 | 287,837 |
Series 2018-K80, Class B, 4.23%, 8/25/2050 (a) (j) | 1,000,000 | 931,437 |
48 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2019-K88, Class C, 4.38%, 2/25/2052 (a) (j) | 1,975,000 | 1,813,688 |
FRR Re-REMIC Trust Series 2018-C1, Class CK43, PO, 2/27/2048 (a) | 612,660 | 491,018 |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | 3,000,000 | 2,609,401 |
JPMCC Re-REMIC Trust Series 2015-FRR2, Class AK39, 2.74%, 8/27/2047 (a) (j) | 944,000 | 864,365 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class F, 7.19%, 4/15/2038 (a) (j) | 600,000 | 580,887 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 7.87%, 10/25/2049 (a) (j) | 2,521,004 | 2,411,604 |
Series 2020-01, Class M7, 6.57%, 3/25/2050 (a) (j) | 140,932 | 139,037 |
Series 2020-01, Class M10, 8.37%, 3/25/2050 (a) (j) | 2,255,000 | 2,146,266 |
Total Commercial Mortgage-Backed Securities (Cost $43,451,340) | 41,257,632 | |
Collateralized Mortgage Obligations — 3.8% | ||
Ajax Mortgage Loan Trust Series 2021-B, Class A, 2.24%, 6/25/2066 (a) (h) | 259,740 | 242,436 |
Anchor Mortgage Trust Series 2021-1, Class A2, 3.65%, 10/25/2026 (a) (h) | 476,191 | 440,312 |
Bayview Financing Trust Series 2021-2F, Class M2, 4.79%, 1/10/2032 ‡ (a) (j) | 50,464 | 50,530 |
Cascade MH Asset Trust | ||
Series 2021-MH1, Class A1, 1.75%, 2/25/2046 (a) | 911,478 | 775,557 |
Series 2022-MH1, Class M, 4.25%, 8/25/2054 ‡ (a) (h) | 976,621 | 775,825 |
CSMC Trust | ||
Series 2021-JR1, Class A1, 2.46%, 9/27/2066 (a) (j) | 455,140 | 433,479 |
Series 2022-JR1, Class A1, 4.27%, 10/25/2066 ‡ (a) (h) | 700,806 | 667,792 |
FHLMC, REMIC | ||
Series 2708, Class ZD, 5.50%, 11/15/2033 | 84,597 | 85,444 |
Series 4302, Class PA, 4.00%, 12/15/2043 | 62,223 | 59,194 |
Series 4281, Class BC, 4.50%, 12/15/2043 (j) | 89,355 | 87,924 |
Series 5141, Class AH, 2.25%, 11/25/2047 | 1,408,155 | 1,242,383 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FNMA, REMIC | ||
Series 2003-7, Class FA, 5.37%, 2/25/2033 (j) | 81,764 | 82,554 |
Series 2013-108, Class GU, 3.00%, 10/25/2033 | 449,038 | 421,119 |
Series 2005-110, Class TY, 5.50%, 12/25/2035 | 51,045 | 51,744 |
Series 2007-89, Class F, 5.20%, 9/25/2037 (j) | 94,459 | 94,546 |
Series 2011-112, Class PB, 4.00%, 11/25/2041 | 115,193 | 108,978 |
GNMA | ||
Series 2012-61, Class FM, 4.99%, 5/16/2042 (j) | 373,437 | 371,676 |
Series 2010-H24, Class FA, 4.74%, 10/20/2060 (j) | 57,144 | 56,802 |
Series 2014-H03, Class FA, 4.99%, 1/20/2064 (j) | 33,847 | 33,762 |
Series 2015-H05, Class FC, 4.87%, 2/20/2065 (j) | 249,158 | 245,900 |
Series 2021-H14, Class CF, 5.83%, 9/20/2071 (j) | 2,939,799 | 2,995,081 |
Home RE Ltd. (Bermuda) | ||
Series 2021-2, Class M1A, 5.73%, 1/25/2034 (a) (j) | 51,172 | 51,130 |
Series 2022-1, Class M1C, 9.98%, 10/25/2034 (a) (j) | 750,000 | 753,668 |
LHOME Mortgage Trust | ||
Series 2021-RTL1, Class A1, 2.09%, 2/25/2026 (a) (j) | 255,000 | 243,001 |
Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 ‡ (a) (h) | 1,320,000 | 1,325,837 |
PMT Credit Risk Transfer Trust Series 2021-1R, Class A, 7.42%, 2/27/2024 (a) (j) | 2,534,953 | 2,496,243 |
PRPM LLC Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (j) | 149,364 | 139,703 |
Radnor RE Ltd. (Bermuda) Series 2022-1, Class M1B, 11.23%, 9/25/2032 (a) (j) | 400,000 | 412,686 |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (h) | 431,112 | 403,960 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class MA, 3.00%, 5/25/2057 | 411,847 | 380,742 |
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 151,501 | 142,300 |
Series 2018-3, Class MA, 3.50%, 8/25/2057 (j) | 60,371 | 57,171 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 49 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2018-3, Class M55D, 4.00%, 8/25/2057 (j) | 278,080 | 263,287 |
Series 2018-2, Class MT, 3.50%, 11/25/2057 | 605,867 | 555,770 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 309,329 | 292,942 |
Series 2019-1, Class MA, 3.50%, 7/25/2058 | 3,065,943 | 2,895,383 |
Series 2019-2, Class MA, 3.50%, 8/25/2058 | 1,578,350 | 1,491,296 |
Series 2020-1, Class MA, 2.50%, 8/25/2059 | 781,729 | 711,658 |
Series 2020-3, Class M5TW, 3.00%, 5/25/2060 | 495,196 | 443,494 |
Series 2020-3, Class TTW, 3.00%, 5/25/2060 | 489,450 | 452,925 |
Series 2021-1, Class BXS, 12.61%, 9/25/2060 (a) (j) | 149,600 | 108,689 |
Series 2022-1, Class MTU, 3.25%, 11/25/2061 | 499,542 | 438,723 |
Thorne Glen, 4.43%, 9/1/2030 (g) | 3,000,000 | 2,949,375 |
Towd Point Mortgage Trust Series 2021-R1, Class A2C, 3.31%, 11/30/2060 (a) | 754,000 | 698,325 |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (j) | 800,000 | 727,840 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (h) | 1,608,435 | 1,398,921 |
Total Collateralized Mortgage Obligations (Cost $30,017,794) | 29,158,107 | |
U.S. Government Agency Securities — 0.2% | ||
Resolution Funding Corp. STRIPS DN, 4.32%, 4/15/2030 (k) (Cost $1,613,417) | 2,195,000 | 1,600,421 |
SHARES | ||
Common Stocks — 0.0% ^ | ||
Oil, Gas & Consumable Fuels — 0.0% ^ | ||
Chesapeake Energy Corp. | 185 | 14,950 |
EP Energy Corp. ‡ * | 275 | 1,925 |
16,875 | ||
Professional Services — 0.0% ^ | ||
NMG, Inc. ‡ * | 1 | 153 |
Wireless Telecommunication Services — 0.0% ^ | ||
Intelsat SA (Luxembourg) ‡ * | 270 | 6,615 |
Total Common Stocks (Cost $10,146) | 23,643 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 0.0% (l) ^ | ||
Ohio — 0.0% ^ | ||
Ohio University, General Receipts, Federally Taxable Rev., 5.59%, 12/1/2114 (Cost $32,774) | 25,000 | 23,601 |
SHARES | ||
Preferred Stocks — 0.0% ^ | ||
Internet & Direct Marketing Retail — 0.0% ^ | ||
MYT Holding LLC Series A, 10.00%, 6/6/2029 ‡ (Cost $2,753) | 2,868 | 2,567 |
NO. OF WARRANTS | ||
Warrants — 0.0% ^ | ||
Diversified Telecommunication Services — 0.0% ^ | ||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ * | 16 | 120 |
Media — 0.0% ^ | ||
Nmg Research Ltd. expiring 9/24/2027, price 1.00 USD (United Kingdom) ‡ * | 78 | 2,340 |
Total Warrants (Cost $1) | 2,460 | |
NO. OF RIGHTS | ||
Rights — 0.0% ^ | ||
Diversified Telecommunication Services — 0.0% ^ | ||
Intelsat Jackson Holdings SA, expiring 12/5/2025 (Luxembourg) ‡ * (Cost $1 ) | 56 | 1 |
SHARES | ||
Short-Term Investments — 14.6% | ||
Investment Companies — 14.6% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (m) (n) (Cost $111,022,635) | 111,022,635 | 111,022,635 |
Total Investments — 102.9% (Cost $825,821,552) | 784,485,042 | |
Liabilities in Excess of Other Assets — (2.9)% | (21,811,461) | |
NET ASSETS — 100.0% | 762,673,581 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
50 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
ACES | Alternative Credit Enhancement Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2023. |
CSMC | Credit Suisse Mortgage Trust |
DN | Discount Notes |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
LIBOR | London Interbank Offered Rate |
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. |
RE | Reinsured |
REMIC | Real Estate Mortgage Investment Conduit |
Re-REMIC | Combined Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
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 |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(d) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $790,686 or 0.10% of the Fund’s net assets as of February 28, 2023 . | |
(e) | Security is an interest bearing note with preferred security characteristics. | |
(f) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
(g) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(h) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(i) | Defaulted security. | |
(j) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(k) | The rate shown is the effective yield as of February 28, 2023. | |
(l) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(m) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(n) | The rate shown is the current yield as of February 28, 2023. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 51 |
AS OF February 28, 2023 (continued)
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 316 | 06/21/2023 | USD | 35,293,250 | (57,445) |
U.S. Treasury Long Bond | 146 | 06/21/2023 | USD | 18,313,875 | (89,134) |
U.S. Treasury Ultra Bond | 189 | 06/21/2023 | USD | 25,644,938 | 176,233 |
U.S. Treasury 2 Year Note | 348 | 06/30/2023 | USD | 70,902,281 | (172,796) |
U.S. Treasury 5 Year Note | 163 | 06/30/2023 | USD | 17,455,008 | (24,787) |
(167,929) | |||||
Short Contracts | |||||
U.S. Treasury 10 Year Note | (2) | 06/21/2023 | USD | (223,375) | 121 |
U.S. Treasury 10 Year Ultra Note | (80) | 06/21/2023 | USD | (9,385,000) | (666) |
U.S. Treasury 5 Year Note | (1) | 06/30/2023 | USD | (107,086) | 99 |
(446) | |||||
(168,375) |
Abbreviations | |
USD | United States Dollar |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
JPY | 409,280,565 | USD | 3,118,546 | Citibank, NA | 3/15/2023 | (106,955) |
JPY | 100,510,647 | USD | 742,508 | Morgan Stanley | 3/15/2023 | (2,925) |
Total unrealized depreciation | (109,880) | |||||
Net unrealized depreciation | (109,880) |
Abbreviations | |
JPY | Japanese Yen |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.61 | USD 2,150,000 | 99,816 | (152,439) | (52,623) |
(*) | 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. |
52 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.IG.38-V1 | 1.00 | Quarterly | 6/20/2027 | 0.68 | USD 11,000,000 | (4,954) | 161,401 | 156,447 |
CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.76 | USD 7,250,000 | 80,158 | 7,696 | 87,854 |
75,204 | 169,097 | 244,301 |
(**) | The Fund, as a seller of credit protection, receives periodic payments and may also receive or pay an upfront premium from or to the protection buyer, and is obligated to make 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. | ||||||||
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 53 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 44.7% | ||
Aerospace & Defense — 0.3% | ||
Bombardier, Inc. 7.50%, 3/15/2025 (a) | 150,000 | 149,899 |
BWX Technologies, Inc. 4.13%, 6/30/2028 (a) | 100,000 | 89,212 |
Spirit AeroSystems, Inc. 9.38%, 11/30/2029 (a) | 227,000 | 239,768 |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | 290,000 | 286,157 |
Triumph Group, Inc. 9.00%, 3/15/2028 (a) (b) | 86,000 | 86,000 |
851,036 | ||
Airlines — 0.4% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 1,135,000 | 1,104,637 |
5.75%, 4/20/2029 (a) | 210,000 | 199,734 |
Mileage Plus Holdings LLC 6.50%, 6/20/2027 (a) | 143,864 | 143,864 |
1,448,235 | ||
Auto Components — 1.2% | ||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | 400,000 | 370,184 |
Allison Transmission, Inc. | ||
4.75%, 10/1/2027 (a) | 25,000 | 23,186 |
5.88%, 6/01/2029 (a) | 515,000 | 487,963 |
3.75%, 1/30/2031 (a) | 185,000 | 153,550 |
American Axle & Manufacturing, Inc. | ||
6.25%, 3/15/2026 | 25,000 | 23,701 |
6.50%, 4/01/2027 | 400,000 | 369,728 |
6.88%, 7/01/2028 | 190,000 | 170,515 |
5.00%, 10/01/2029 | 70,000 | 56,476 |
Clarios Global LP | ||
6.75%, 5/15/2025 (a) | 135,000 | 134,208 |
6.25%, 5/15/2026 (a) | 710,000 | 696,865 |
8.50%, 5/15/2027 (a) | 475,000 | 472,286 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 140,000 | 129,181 |
5.63%, 6/15/2028 | 35,000 | 31,675 |
4.25%, 9/01/2030 | 40,000 | 32,311 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 80,000 | 60,400 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 | 45,000 | 43,313 |
5.00%, 7/15/2029 | 804,000 | 699,480 |
Icahn Enterprises LP 6.25%, 5/15/2026 | 300,000 | 291,000 |
4,246,022 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — 1.8% | ||
Banco do Brasil SA (Brazil) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 6.36%), 9.00%, 6/18/2024 (c) (d) (e) (f) (g) | 200,000 | 202,850 |
Banco Mercantil del Norte SA (Mexico) (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 5.47%), 7.50%, 6/27/2029 (c) (d) (e) (f) (g) | 200,000 | 186,258 |
Bank of America Corp. | ||
Series DD, (ICE LIBOR USD 3 Month + 4.55%), 6.30%, 3/10/2026 (d) (e) (g) | 85,000 | 85,531 |
Series RR, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.76%), 4.38%, 1/27/2027 (d) (e) (g) | 250,000 | 216,600 |
Series TT, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.23%), 6.13%, 4/27/2027 (d) (e) (g) | 185,000 | 180,338 |
Bank of Nova Scotia (The) (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.39%), 8.62%, 10/27/2082 (c) (g) | 600,000 | 634,073 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.43%), 8.00%, 3/15/2029 (c) (d) (e) (g) | 470,000 | 460,694 |
Citigroup, Inc. | ||
Series U, (SOFR + 3.81%), 5.00%, 9/12/2024 (d) (e) (g) | 95,000 | 90,250 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (g) | 100,000 | 89,740 |
Credit Agricole SA (France) (USD Swap Semi 5 Year + 6.19%), 8.12%, 12/23/2025 (a) (c) (d) (e) (g) | 250,000 | 252,738 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (a) (g) | 200,000 | 201,229 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 3.35%), 7.39%, 11/3/2028 (g) | 290,000 | 306,308 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.65%), 4.60%, 12/17/2030 (c) (d) (e) (g) | 200,000 | 161,127 |
ING Groep NV (Netherlands) (USD ICE Swap Rate 5 Year + 4.20%), 6.75%, 4/16/2024 (c) (d) (e) (f) (g) | 200,000 | 195,660 |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (g) | 200,000 | 187,542 |
54 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
Nordea Bank Abp (Finland) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.11%), 6.63%, 3/26/2026 (a) (c) (d) (e) (g) | 200,000 | 193,657 |
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.60%), 6.53%, 1/10/2029 (g) | 720,000 | 728,800 |
Societe Generale SA (France) | ||
(USD ICE Swap Rate 5 Year + 5.87%), 8.00%, 9/29/2025 (a) (c) (d) (e) (g) | 200,000 | 198,996 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (g) | 315,000 | 317,836 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (a) (c) (d) (e) (g) | 200,000 | 210,940 |
Toronto-Dominion Bank (The) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.08%), 8.12%, 10/31/2082 (c) (g) | 950,000 | 991,563 |
Truist Financial Corp. Series Q, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 4.35%), 5.10%, 3/1/2030 (d) (e) (g) | 50,000 | 47,740 |
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (g) | 162,000 | 144,889 |
6,285,359 | ||
Biotechnology — 0.1% | ||
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | 200,000 | 171,000 |
Building Products — 0.5% | ||
Builders FirstSource, Inc. 6.38%, 6/15/2032 (a) | 300,000 | 288,114 |
Griffon Corp. 5.75%, 3/01/2028 | 80,000 | 73,625 |
JELD-WEN, Inc. | ||
6.25%, 5/15/2025 (a) | 45,000 | 43,763 |
4.88%, 12/15/2027 (a) | 125,000 | 104,462 |
Masonite International Corp. 5.38%, 2/1/2028 (a) | 100,000 | 93,795 |
MIWD Holdco II LLC 5.50%, 2/01/2030 (a) | 150,000 | 121,783 |
Standard Industries, Inc. | ||
4.75%, 1/15/2028 (a) | 1,055,000 | 947,868 |
4.38%, 7/15/2030 (a) | 150,000 | 124,875 |
1,798,285 | ||
Capital Markets — 0.1% | ||
Coinbase Global, Inc. 3.38%, 10/01/2028 (a) | 25,000 | 16,375 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
Goldman Sachs Group, Inc. (The) Series R, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.22%), 4.95%, 2/10/2025 (d) (e) (g) | 95,000 | 90,184 |
UBS Group AG (Switzerland) (USD Swap Semi 5 Year + 4.59%), 6.87%, 8/7/2025 (c) (d) (e) (f) (g) | 200,000 | 196,740 |
303,299 | ||
Chemicals — 1.3% | ||
Axalta Coating Systems LLC | ||
4.75%, 6/15/2027 (a) | 200,000 | 184,478 |
3.38%, 2/15/2029 (a) | 600,000 | 498,025 |
Braskem Idesa SAPI (Mexico) 6.99%, 2/20/2032 (a) | 200,000 | 139,500 |
Braskem Netherlands Finance BV (Brazil) 7.25%, 2/13/2033 (a) | 200,000 | 194,690 |
Chemours Co. (The) | ||
5.75%, 11/15/2028 (a) | 775,000 | 680,669 |
4.63%, 11/15/2029 (a) | 70,000 | 56,810 |
Element Solutions, Inc. 3.88%, 9/01/2028 (a) | 365,000 | 314,812 |
NOVA Chemicals Corp. (Canada) | ||
5.25%, 6/01/2027 (a) | 935,000 | 841,500 |
4.25%, 5/15/2029 (a) | 25,000 | 20,699 |
Scotts Miracle-Gro Co. (The) | ||
5.25%, 12/15/2026 | 20,000 | 19,149 |
4.50%, 10/15/2029 | 570,000 | 493,905 |
4.00%, 4/01/2031 | 195,000 | 156,000 |
Trinseo Materials Operating SCA | ||
5.38%, 9/1/2025 (a) | 45,000 | 39,340 |
5.13%, 4/1/2029 (a) | 220,000 | 146,505 |
WR Grace Holdings LLC | ||
4.88%, 6/15/2027 (a) | 475,000 | 436,473 |
5.63%, 8/15/2029 (a) | 475,000 | 380,856 |
4,603,411 | ||
Commercial Services & Supplies — 1.3% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) | 430,000 | 352,400 |
ADT Security Corp. (The) | ||
4.13%, 8/01/2029 (a) | 290,000 | 249,539 |
4.88%, 7/15/2032 (a) | 180,000 | 154,369 |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | 555,000 | 527,116 |
Aramark Services, Inc. 5.00%, 2/01/2028 (a) | 470,000 | 432,730 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 150,000 | 136,382 |
February 28, 2023 | 55 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Commercial Services & Supplies — continued | ||
Garda World Security Corp. 4.63%, 2/15/2027 (a) | 40,000 | 35,426 |
GFL Environmental, Inc. (Canada) | ||
3.75%, 8/01/2025 (a) | 535,000 | 503,569 |
5.13%, 12/15/2026 (a) | 25,000 | 23,935 |
4.00%, 8/01/2028 (a) | 370,000 | 321,978 |
4.38%, 8/15/2029 (a) | 60,000 | 51,941 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 855,000 | 729,400 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 230,000 | 222,237 |
3.38%, 8/31/2027 (a) | 565,000 | 488,664 |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | 250,000 | 214,314 |
4,444,000 | ||
Communications Equipment — 0.4% | ||
CommScope, Inc. | ||
6.00%, 3/01/2026 (a) | 805,000 | 775,668 |
8.25%, 3/01/2027 (a) | 480,000 | 408,000 |
4.75%, 9/01/2029 (a) | 395,000 | 321,925 |
1,505,593 | ||
Construction & Engineering — 0.2% | ||
Bioceanico Sovereign Certificate Ltd. (Paraguay) Zero Coupon, 6/5/2034 (f) | 136,993 | 93,292 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 90,000 | 78,887 |
International Airport Finance SA (Ecuador) 12.00%, 3/15/2033 (f) | 195,594 | 191,154 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 275,000 | 250,232 |
Mexico City Airport Trust (Mexico) 5.50%, 10/31/2046 (f) | 200,000 | 147,788 |
761,353 | ||
Consumer Finance — 1.6% | ||
AerCap Ireland Capital DAC 3.00%, 10/29/2028 | 810,000 | 690,211 |
Avolon Holdings Funding Ltd. (Ireland) 2.88%, 2/15/2025 (a) | 1,140,000 | 1,060,322 |
Ford Motor Credit Co. LLC | ||
2.30%, 2/10/2025 | 1,115,000 | 1,024,649 |
4.27%, 1/9/2027 | 525,000 | 475,449 |
4.13%, 8/17/2027 | 1,875,000 | 1,670,548 |
2.90%, 2/10/2029 | 200,000 | 162,798 |
OneMain Finance Corp. 3.88%, 9/15/2028 | 500,000 | 397,500 |
5,481,477 | ||
Containers & Packaging — 1.1% | ||
Ardagh Packaging Finance plc |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Containers & Packaging — continued | ||
4.13%, 8/15/2026 (a) | 400,000 | 364,000 |
5.25%, 8/15/2027 (a) | 600,000 | 492,750 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 670,000 | 637,267 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 890,000 | 895,562 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 160,000 | 155,600 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 1,030,000 | 898,521 |
TriMas Corp. 4.13%, 4/15/2029 (a) | 65,000 | 56,550 |
Trivium Packaging Finance BV (Netherlands) | ||
5.50%, 8/15/2026 (a) (h) | 200,000 | 189,000 |
8.50%, 8/15/2027 (a) (h) | 250,000 | 237,467 |
3,926,717 | ||
Diversified Consumer Services — 0.1% | ||
Service Corp. International 3.38%, 8/15/2030 | 575,000 | 467,187 |
Diversified Financial Services — 0.1% | ||
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (g) | 500,000 | 494,313 |
Diversified Telecommunication Services — 3.0% | ||
Altice France Holding SA 10.50%, 5/15/2027 (a) | 400,000 | 330,372 |
Altice France SA (France) | ||
8.13%, 2/1/2027 (a) | 400,000 | 374,000 |
5.13%, 7/15/2029 (a) | 650,000 | 503,464 |
CCO Holdings LLC | ||
5.00%, 2/01/2028 (a) | 265,000 | 240,156 |
5.38%, 6/01/2029 (a) | 1,482,000 | 1,321,870 |
6.38%, 9/01/2029 (a) | 380,000 | 354,287 |
4.75%, 3/01/2030 (a) | 2,140,000 | 1,799,676 |
4.50%, 8/15/2030 (a) | 1,577,000 | 1,297,114 |
4.25%, 2/01/2031 (a) | 1,078,000 | 865,311 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (a) | 615,000 | 571,396 |
5.00%, 5/01/2028 (a) | 35,000 | 30,713 |
Intelsat Jackson Holdings SA 6.50%, 3/15/2030 (a) | 805,000 | 700,345 |
Level 3 Financing, Inc. 4.63%, 9/15/2027 (a) | 765,000 | 571,837 |
Lumen Technologies, Inc. 4.00%, 2/15/2027 (a) | 1,105,000 | 848,529 |
Sitios Latinoamerica SAB de CV (Brazil) 5.38%, 4/4/2032 (a) | 200,000 | 175,900 |
Sprint Capital Corp. 8.75%, 3/15/2032 | 235,000 | 279,765 |
56 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 60,000 | 52,290 |
Zayo Group Holdings, Inc. 4.00%, 3/1/2027 (a) | 135,000 | 103,562 |
10,420,587 | ||
Electric Utilities — 1.2% | ||
Electricidad Firme de Mexico Holdings SA de CV (Mexico) 4.90%, 11/20/2026 (a) | 200,000 | 178,037 |
Energuate Trust (Guatemala) 5.88%, 5/3/2027 (f) | 200,000 | 184,975 |
Eskom Holdings SOC Ltd. (South Africa) | ||
6.75%, 8/6/2023 (f) | 200,000 | 197,900 |
7.13%, 2/11/2025 (f) | 200,000 | 196,420 |
FEL Energy VI SARL (Mexico) 5.75%, 12/1/2040 (f) | 184,790 | 153,790 |
Instituto Costarricense de Electricidad (Costa Rica) 6.75%, 10/7/2031 (a) | 200,000 | 190,475 |
NRG Energy, Inc. | ||
6.63%, 1/15/2027 | 20,000 | 19,944 |
5.75%, 1/15/2028 | 955,000 | 900,183 |
5.25%, 6/15/2029 (a) | 60,000 | 53,400 |
3.63%, 2/15/2031 (a) | 245,000 | 189,967 |
Trinidad Generation UnLtd (Trinidad And Tobago) 5.25%, 11/4/2027 (f) | 200,000 | 195,250 |
Vistra Operations Co. LLC | ||
5.13%, 5/13/2025 (a) | 740,000 | 718,917 |
5.00%, 7/31/2027 (a) | 1,058,000 | 982,835 |
4,162,093 | ||
Electrical Equipment — 0.1% | ||
Regal Rexnord Corp. | ||
6.05%, 2/15/2026 (a) | 80,000 | 79,359 |
6.05%, 4/15/2028 (a) | 160,000 | 156,449 |
6.30%, 2/15/2030 (a) | 69,000 | 67,509 |
6.40%, 4/15/2033 (a) | 97,000 | 95,445 |
398,762 | ||
Electronic Equipment, Instruments & Components — 0.4% | ||
CDW LLC 3.25%, 2/15/2029 | 300,000 | 252,767 |
Coherent Corp. 5.00%, 12/15/2029 (a) | 425,000 | 372,343 |
Sensata Technologies, Inc. 3.75%, 2/15/2031 (a) | 1,060,000 | 883,639 |
1,508,749 | ||
Energy Equipment & Services — 0.1% | ||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (f) | 182,114 | 152,143 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Energy Equipment & Services — continued | ||
Nabors Industries, Inc. 5.75%, 2/01/2025 | 95,000 | 90,645 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 150,000 | 147,577 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 65,000 | 66,137 |
456,502 | ||
Entertainment — 0.8% | ||
Live Nation Entertainment, Inc. | ||
5.63%, 3/15/2026 (a) | 25,000 | 24,066 |
6.50%, 5/15/2027 (a) | 665,000 | 653,861 |
4.75%, 10/15/2027 (a) | 1,090,000 | 981,599 |
3.75%, 1/15/2028 (a) | 140,000 | 121,731 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (a) | 720,000 | 660,481 |
WMG Acquisition Corp. | ||
3.75%, 12/01/2029 (a) | 48,000 | 40,520 |
3.88%, 7/15/2030 (a) | 307,000 | 260,398 |
2,742,656 | ||
Equity Real Estate Investment Trusts (REITs) — 0.7% | ||
Iron Mountain, Inc. | ||
5.25%, 3/15/2028 (a) | 135,000 | 124,280 |
5.00%, 7/15/2028 (a) | 115,000 | 104,238 |
5.25%, 7/15/2030 (a) | 425,000 | 370,575 |
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 975,000 | 896,415 |
4.50%, 2/15/2029 (a) | 45,000 | 39,170 |
SBA Communications Corp. 3.88%, 2/15/2027 | 370,000 | 334,848 |
VICI Properties LP | ||
4.25%, 12/1/2026 (a) | 345,000 | 319,936 |
3.75%, 2/15/2027 (a) | 245,000 | 221,841 |
3.88%, 2/15/2029 (a) | 25,000 | 21,738 |
4.63%, 12/1/2029 (a) | 37,000 | 33,150 |
2,466,191 | ||
Food & Staples Retailing — 1.0% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 975,000 | 916,500 |
5.88%, 2/15/2028 (a) | 475,000 | 459,757 |
3.50%, 3/15/2029 (a) | 290,000 | 245,449 |
4.88%, 2/15/2030 (a) | 190,000 | 170,492 |
Performance Food Group, Inc. | ||
5.50%, 10/15/2027 (a) | 500,000 | 474,146 |
4.25%, 8/01/2029 (a) | 475,000 | 414,736 |
Rite Aid Corp. |
February 28, 2023 | 57 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food & Staples Retailing — continued | ||
7.50%, 7/01/2025 (a) | 223,000 | 157,215 |
8.00%, 11/15/2026 (a) | 225,000 | 119,250 |
US Foods, Inc. | ||
4.75%, 2/15/2029 (a) | 369,000 | 332,554 |
4.63%, 6/01/2030 (a) | 116,000 | 101,319 |
3,391,418 | ||
Food Products — 0.7% | ||
Lamb Weston Holdings, Inc. 4.13%, 1/31/2030 (a) | 965,000 | 846,875 |
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 390,000 | 372,450 |
4.63%, 4/15/2030 (a) | 1,145,000 | 992,738 |
Sigma Holdco BV (Netherlands) 7.88%, 5/15/2026 (a) | 200,000 | 159,348 |
2,371,411 | ||
Gas Utilities — 0.1% | ||
AmeriGas Partners LP 5.75%, 5/20/2027 | 215,000 | 198,871 |
Health Care Equipment & Supplies — 0.7% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 895,000 | 823,400 |
Hologic, Inc. 3.25%, 2/15/2029 (a) | 715,000 | 616,545 |
Medline Borrower LP | ||
3.88%, 4/01/2029 (a) | 920,000 | 766,797 |
5.25%, 10/01/2029 (a) | 400,000 | 328,274 |
2,535,016 | ||
Health Care Providers & Services — 2.5% | ||
Acadia Healthcare Co., Inc. | ||
5.50%, 7/1/2028 (a) | 90,000 | 84,346 |
5.00%, 4/15/2029 (a) | 35,000 | 31,855 |
Centene Corp. | ||
4.25%, 12/15/2027 | 155,000 | 143,228 |
4.63%, 12/15/2029 | 760,000 | 695,015 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 806,000 | 785,850 |
5.63%, 3/15/2027 (a) | 235,000 | 206,251 |
6.00%, 1/15/2029 (a) | 220,000 | 190,000 |
5.25%, 5/15/2030 (a) | 69,000 | 55,208 |
DaVita, Inc. | ||
4.63%, 6/01/2030 (a) | 180,000 | 148,351 |
3.75%, 2/15/2031 (a) | 1,020,000 | 770,203 |
Encompass Health Corp. | ||
4.50%, 2/01/2028 | 425,000 | 390,176 |
4.75%, 2/01/2030 | 290,000 | 256,699 |
4.63%, 4/1/2031 | 350,000 | 299,267 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
HCA, Inc. | ||
5.88%, 2/15/2026 | 405,000 | 404,683 |
5.63%, 9/1/2028 | 280,000 | 276,890 |
5.88%, 2/1/2029 | 265,000 | 264,896 |
McKesson Corp. 5.25%, 2/15/2026 | 395,000 | 392,937 |
Owens & Minor, Inc. | ||
4.50%, 3/31/2029 (a) | 190,000 | 145,825 |
6.63%, 4/01/2030 (a) | 165,000 | 135,712 |
Tenet Healthcare Corp. | ||
4.88%, 1/01/2026 | 505,000 | 480,955 |
6.25%, 2/01/2027 | 150,000 | 146,080 |
5.13%, 11/01/2027 | 1,385,000 | 1,302,080 |
4.63%, 6/15/2028 | 1,195,000 | 1,081,199 |
4.25%, 6/1/2029 | 65,000 | 56,920 |
6.13%, 6/15/2030 (a) | 113,000 | 107,631 |
8,852,257 | ||
Health Care Technology — 0.1% | ||
IQVIA, Inc. 5.00%, 5/15/2027 (a) | 200,000 | 190,294 |
Hotels, Restaurants & Leisure — 2.4% | ||
1011778 BC ULC (Canada) | ||
3.88%, 1/15/2028 (a) | 640,000 | 569,509 |
4.38%, 1/15/2028 (a) | 115,000 | 102,819 |
3.50%, 2/15/2029 (a) | 125,000 | 106,006 |
4.00%, 10/15/2030 (a) | 190,000 | 156,925 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 225,000 | 199,139 |
Caesars Entertainment, Inc. | ||
6.25%, 7/01/2025 (a) | 685,000 | 679,304 |
8.13%, 7/01/2027 (a) | 325,000 | 328,250 |
4.63%, 10/15/2029 (a) | 80,000 | 68,425 |
Carnival Corp. | ||
5.75%, 3/1/2027 (a) | 55,000 | 45,245 |
9.88%, 8/1/2027 (a) | 210,000 | 213,778 |
Carnival Holdings Bermuda Ltd. 10.38%, 5/01/2028 (a) | 295,000 | 315,650 |
Cedar Fair LP | ||
5.50%, 5/01/2025 (a) | 270,000 | 266,703 |
5.25%, 7/15/2029 | 190,000 | 173,309 |
Hilton Domestic Operating Co., Inc. 3.75%, 5/01/2029 (a) | 365,000 | 316,473 |
Hilton Worldwide Finance LLC 4.88%, 4/01/2027 | 640,000 | 610,291 |
MGM Resorts International | ||
6.75%, 5/01/2025 | 525,000 | 526,296 |
5.75%, 6/15/2025 | 210,000 | 206,173 |
58 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
4.63%, 9/01/2026 | 220,000 | 204,943 |
Royal Caribbean Cruises Ltd. | ||
11.50%, 6/1/2025 (a) | 100,000 | 106,512 |
11.63%, 8/15/2027 (a) | 309,000 | 329,097 |
8.25%, 1/15/2029 (a) | 63,000 | 65,232 |
9.25%, 1/15/2029 (a) | 65,000 | 68,947 |
Six Flags Entertainment Corp. | ||
4.88%, 7/31/2024 (a) | 230,000 | 225,976 |
5.50%, 4/15/2027 (a) | 465,000 | 439,127 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 15,000 | 15,159 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 290,000 | 256,128 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 375,000 | 373,991 |
Wynn Las Vegas LLC 5.50%, 3/01/2025 (a) | 80,000 | 77,625 |
Wynn Resorts Finance LLC 5.13%, 10/01/2029 (a) | 985,000 | 881,181 |
Yum! Brands, Inc. 4.75%, 1/15/2030 (a) | 585,000 | 533,081 |
8,461,294 | ||
Household Durables — 0.4% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 285,000 | 248,663 |
Newell Brands, Inc. 4.45%, 4/01/2026 (h) | 530,000 | 501,008 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 905,000 | 773,694 |
1,523,365 | ||
Household Products — 0.5% | ||
Central Garden & Pet Co. | ||
5.13%, 2/01/2028 | 225,000 | 209,531 |
4.13%, 10/15/2030 | 175,000 | 145,798 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 437,000 | 381,370 |
4.38%, 3/31/2029 (a) | 497,000 | 421,339 |
Spectrum Brands, Inc. | ||
5.00%, 10/01/2029 (a) | 470,000 | 405,055 |
5.50%, 7/15/2030 (a) | 45,000 | 39,793 |
3.88%, 3/15/2031 (a) | 70,000 | 55,402 |
1,658,288 | ||
Independent Power and Renewable Electricity Producers — 0.1% | ||
Calpine Corp. 4.63%, 2/01/2029 (a) | 230,000 | 194,126 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | 155,000 | 138,725 |
332,851 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Internet & Direct Marketing Retail — 0.0% ^ | ||
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 210,000 | 107,100 |
IT Services — 0.3% | ||
Block, Inc. 3.50%, 6/01/2031 | 540,000 | 436,266 |
Gartner, Inc. 4.50%, 7/01/2028 (a) | 790,000 | 725,241 |
1,161,507 | ||
Leisure Products — 0.2% | ||
Mattel, Inc. 5.88%, 12/15/2027 (a) | 530,000 | 517,572 |
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 185,000 | 150,081 |
667,653 | ||
Machinery — 0.1% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 180,000 | 182,700 |
Terex Corp. 5.00%, 5/15/2029 (a) | 80,000 | 73,447 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 200,000 | 181,187 |
437,334 | ||
Marine — 0.1% | ||
MV24 Capital BV (Brazil) 6.75%, 6/1/2034 (f) | 171,300 | 153,720 |
Media — 4.6% | ||
Charter Communications Operating LLC 5.38%, 4/1/2038 | 100,000 | 83,660 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 1,670,000 | 1,490,475 |
7.75%, 4/15/2028 (a) | 172,000 | 142,738 |
CSC Holdings LLC 6.50%, 2/01/2029 (a) | 1,060,000 | 898,456 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 860,000 | 768,856 |
Discovery Communications LLC 4.95%, 5/15/2042 | 60,000 | 47,353 |
DISH DBS Corp. | ||
5.00%, 3/15/2023 | 150,000 | 149,625 |
5.88%, 11/15/2024 | 3,041,000 | 2,849,204 |
7.75%, 7/01/2026 | 245,000 | 190,181 |
5.25%, 12/01/2026 (a) | 209,000 | 175,037 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 877,000 | 888,599 |
GCI LLC 4.75%, 10/15/2028 (a) | 253,000 | 216,947 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | 137,000 | 101,716 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 210,000 | 190,181 |
4.75%, 10/15/2030 (a) | 666,000 | 488,298 |
iHeartCommunications, Inc. | ||
6.38%, 5/01/2026 | 150,000 | 141,372 |
5.25%, 8/15/2027 (a) | 1,100,000 | 957,243 |
February 28, 2023 | 59 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
4.75%, 1/15/2028 (a) | 110,000 | 92,502 |
Lamar Media Corp. 4.88%, 1/15/2029 | 140,000 | 129,242 |
Midcontinent Communications 5.38%, 8/15/2027 (a) | 40,000 | 36,762 |
News Corp. 3.88%, 5/15/2029 (a) | 560,000 | 479,892 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 230,000 | 213,609 |
4.75%, 11/01/2028 (a) | 1,690,000 | 1,477,517 |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (g) | 305,000 | 262,788 |
Sirius XM Radio, Inc. | ||
5.00%, 8/01/2027 (a) | 1,275,000 | 1,169,812 |
4.00%, 7/15/2028 (a) | 410,000 | 350,550 |
5.50%, 7/01/2029 (a) | 405,000 | 365,512 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 360,000 | 309,604 |
Univision Communications, Inc. | ||
6.63%, 6/01/2027 (a) | 305,000 | 289,561 |
4.50%, 5/01/2029 (a) | 525,000 | 442,804 |
Videotron Ltd. 5.13%, 4/15/2027 (a) | 605,000 | 565,675 |
15,965,771 | ||
Metals & Mining — 0.7% | ||
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (a) | 200,000 | 196,682 |
Arconic Corp. | ||
6.00%, 5/15/2025 (a) | 30,000 | 30,000 |
6.13%, 2/15/2028 (a) | 675,000 | 663,188 |
ATI, Inc. | ||
5.88%, 12/1/2027 | 25,000 | 23,815 |
4.88%, 10/1/2029 | 25,000 | 22,384 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 55,000 | 53,488 |
Cleveland-Cliffs, Inc. 4.63%, 3/1/2029 (a) | 270,000 | 245,995 |
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | 200,000 | 189,947 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.38%, 4/1/2031 (a) | 190,000 | 160,303 |
Freeport-McMoRan, Inc. 4.38%, 8/1/2028 | 160,000 | 148,514 |
Kaiser Aluminum Corp. 4.63%, 3/01/2028 (a) | 115,000 | 99,042 |
Novelis Corp. | ||
4.75%, 1/30/2030 (a) | 609,000 | 535,012 |
3.88%, 8/15/2031 (a) | 161,000 | 130,434 |
2,498,804 | ||
Multiline Retail — 0.2% | ||
NMG Holding Co., Inc. 7.13%, 4/01/2026 (a) | 535,000 | 516,275 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Multiline Retail — continued | ||
Nordstrom, Inc. | ||
4.00%, 3/15/2027 | 100,000 | 87,017 |
4.25%, 8/1/2031 | 110,000 | 80,488 |
683,780 | ||
Oil, Gas & Consumable Fuels — 4.2% | ||
AI Candelaria Spain SA (Colombia) 5.75%, 6/15/2033 (a) | 250,000 | 176,250 |
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 25,000 | 25,249 |
5.75%, 3/01/2027 (a) | 160,000 | 151,041 |
5.75%, 1/15/2028 (a) | 685,000 | 643,044 |
5.38%, 6/15/2029 (a) | 195,000 | 175,500 |
Antero Resources Corp. | ||
8.38%, 7/15/2026 (a) | 20,000 | 20,676 |
7.63%, 2/01/2029 (a) | 120,000 | 120,890 |
5.38%, 3/01/2030 (a) | 155,000 | 141,128 |
BP Capital Markets plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (g) | 75,000 | 68,726 |
Buckeye Partners LP | ||
3.95%, 12/01/2026 | 500,000 | 442,107 |
4.13%, 12/1/2027 | 20,000 | 17,312 |
4.50%, 3/01/2028 (a) | 50,000 | 43,906 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 100,000 | 100,755 |
Cheniere Energy Partners LP | ||
4.50%, 10/1/2029 | 215,000 | 195,115 |
4.00%, 3/1/2031 | 25,000 | 21,541 |
Cheniere Energy, Inc. 4.63%, 10/15/2028 | 485,000 | 449,599 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 785,000 | 760,476 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 175,000 | 168,760 |
Comstock Resources, Inc. 5.88%, 1/15/2030 (a) | 645,000 | 554,700 |
Crestwood Midstream Partners LP | ||
5.75%, 4/01/2025 | 125,000 | 121,245 |
5.63%, 5/01/2027 (a) | 250,000 | 231,250 |
8.00%, 4/01/2029 (a) | 180,000 | 179,100 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 615,000 | 527,362 |
Ecopetrol SA (Colombia) | ||
4.63%, 11/2/2031 | 100,000 | 73,800 |
8.88%, 1/13/2033 | 80,000 | 78,200 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 25,000 | 21,837 |
60 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Energean Israel Finance Ltd. (Israel) | ||
4.88%, 3/30/2026 (f) | 100,000 | 92,081 |
5.38%, 3/30/2028 (f) | 50,000 | 44,875 |
EnLink Midstream Partners LP 4.85%, 7/15/2026 | 25,000 | 23,696 |
EQM Midstream Partners LP | ||
6.00%, 7/01/2025 (a) | 98,000 | 94,569 |
6.50%, 7/01/2027 (a) | 335,000 | 317,275 |
5.50%, 7/15/2028 | 135,000 | 120,488 |
4.75%, 1/15/2031 (a) | 135,000 | 109,688 |
Genesis Energy LP 8.00%, 1/15/2027 | 400,000 | 391,204 |
Greenko Solar Mauritius Ltd. (India) 5.55%, 1/29/2025 (f) | 200,000 | 189,500 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 280,000 | 272,126 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 615,000 | 598,499 |
5.13%, 6/15/2028 (a) | 25,000 | 22,938 |
4.25%, 2/15/2030 (a) | 150,000 | 126,657 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 257,000 | 237,522 |
Leviathan Bond Ltd. (Israel) | ||
6.50%, 6/30/2027 (f) | 150,000 | 142,395 |
6.75%, 6/30/2030 (f) | 50,000 | 46,594 |
Medco Bell Pte. Ltd. (Indonesia) 6.38%, 1/30/2027 (f) | 200,000 | 182,250 |
NuStar Logistics LP | ||
5.63%, 4/28/2027 | 355,000 | 330,462 |
6.38%, 10/01/2030 | 190,000 | 177,888 |
Occidental Petroleum Corp. | ||
8.50%, 7/15/2027 | 275,000 | 295,045 |
6.38%, 9/01/2028 | 155,000 | 156,611 |
8.88%, 7/15/2030 | 390,000 | 442,981 |
Oil and Gas Holding Co. BSCC (The) (Bahrain) 8.38%, 11/7/2028 (f) | 200,000 | 211,000 |
Peru LNG Srl (Peru) 5.38%, 3/22/2030 (f) | 200,000 | 158,250 |
Petroleos del Peru SA (Peru) 5.63%, 6/19/2047 (a) | 200,000 | 132,940 |
Petroleos Mexicanos (Mexico) | ||
6.88%, 8/4/2026 | 50,000 | 47,758 |
6.50%, 3/13/2027 | 200,000 | 181,080 |
5.35%, 2/12/2028 | 300,000 | 253,380 |
5.95%, 1/28/2031 | 330,000 | 251,477 |
10.00%, 2/7/2033 (a) | 350,000 | 335,440 |
6.38%, 1/23/2045 | 410,000 | 256,824 |
Range Resources Corp. |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
8.25%, 1/15/2029 | 273,000 | 280,167 |
4.75%, 2/15/2030 (a) | 8,000 | 7,160 |
SM Energy Co. 6.75%, 9/15/2026 | 170,000 | 164,015 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 160,000 | 167,400 |
5.38%, 2/01/2029 | 150,000 | 140,311 |
5.38%, 3/15/2030 | 190,000 | 173,561 |
Sunoco LP | ||
4.50%, 5/15/2029 | 235,000 | 206,239 |
4.50%, 4/30/2030 | 190,000 | 164,636 |
Tallgrass Energy Partners LP | ||
7.50%, 10/01/2025 (a) | 560,000 | 557,368 |
6.00%, 3/01/2027 (a) | 65,000 | 60,351 |
5.50%, 1/15/2028 (a) | 270,000 | 242,493 |
6.00%, 12/31/2030 (a) | 150,000 | 129,351 |
Targa Resources Partners LP | ||
6.50%, 7/15/2027 | 285,000 | 288,129 |
5.50%, 3/1/2030 | 25,000 | 23,680 |
4.88%, 2/1/2031 | 70,000 | 63,565 |
4.00%, 1/15/2032 | 205,000 | 173,758 |
Transcanada Trust (Canada) (SOFR + 4.42%), 5.50%, 9/15/2079 (g) | 100,000 | 88,185 |
14,683,431 | ||
Paper & Forest Products — 0.1% | ||
Suzano Austria GmbH (Brazil) 7.00%, 3/16/2047 (f) | 200,000 | 199,000 |
Personal Products — 0.4% | ||
Coty, Inc. | ||
5.00%, 4/15/2026 (a) | 416,000 | 395,720 |
4.75%, 1/15/2029 (a) | 60,000 | 54,021 |
Edgewell Personal Care Co. 5.50%, 6/01/2028 (a) | 780,000 | 728,372 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 240,000 | 225,412 |
1,403,525 | ||
Pharmaceuticals — 1.3% | ||
Bausch Health Americas, Inc. 9.25%, 4/01/2026 (a) | 675,000 | 504,716 |
Bausch Health Cos., Inc. | ||
5.50%, 11/01/2025 (a) | 975,000 | 847,958 |
9.00%, 12/15/2025 (a) | 700,000 | 554,344 |
5.75%, 8/15/2027 (a) | 715,000 | 474,286 |
5.00%, 2/15/2029 (a) | 450,000 | 193,749 |
5.25%, 1/30/2030 (a) | 70,000 | 30,194 |
February 28, 2023 | 61 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
Cheplapharm Arzneimittel GmbH (Germany) 5.50%, 1/15/2028 (a) | 250,000 | 221,189 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (h) | 345,000 | 329,430 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 200,000 | 177,130 |
Organon & Co. 4.13%, 4/30/2028 (a) | 1,100,000 | 970,970 |
Teva Pharmaceutical Finance Netherlands III BV (Israel) 3.15%, 10/1/2026 | 50,000 | 43,469 |
4,347,435 | ||
Real Estate Management & Development — 0.1% | ||
GLP Pte. Ltd. (Singapore) 3.88%, 6/4/2025 (f) | 200,000 | 163,788 |
Realogy Group LLC | ||
5.75%, 1/15/2029 (a) | 123,000 | 88,312 |
5.25%, 4/15/2030 (a) | 65,000 | 44,525 |
296,625 | ||
Road & Rail — 0.8% | ||
Avis Budget Car Rental LLC | ||
4.75%, 4/01/2028 (a) | 670,000 | 594,626 |
5.38%, 3/01/2029 (a) | 285,000 | 256,544 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 180,000 | 153,900 |
Hertz Corp. (The) 5.00%, 12/01/2029 (a) | 650,000 | 539,649 |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | 105,000 | 93,581 |
Transnet SOC Ltd. (South Africa) 8.25%, 2/6/2028 (a) | 200,000 | 200,500 |
Uber Technologies, Inc. | ||
7.50%, 5/15/2025 (a) | 245,000 | 247,484 |
7.50%, 9/15/2027 (a) | 450,000 | 456,259 |
4.50%, 8/15/2029 (a) | 325,000 | 287,326 |
2,829,869 | ||
Semiconductors & Semiconductor Equipment — 0.3% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 115,000 | 113,690 |
Entegris Escrow Corp. | ||
4.75%, 4/15/2029 (a) | 95,000 | 86,377 |
5.95%, 6/15/2030 (a) | 255,000 | 237,174 |
Entegris, Inc. 4.38%, 4/15/2028 (a) | 290,000 | 256,611 |
ON Semiconductor Corp. 3.88%, 9/01/2028 (a) | 440,000 | 386,690 |
1,080,542 | ||
Software — 0.8% | ||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | 25,000 | 24,213 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Software — continued | ||
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 315,000 | 249,147 |
Clarivate Science Holdings Corp. 3.88%, 7/01/2028 (a) | 670,000 | 578,168 |
NCR Corp. | ||
5.75%, 9/01/2027 (a) | 55,000 | 53,308 |
5.13%, 4/15/2029 (a) | 1,310,000 | 1,118,769 |
6.13%, 9/1/2029 (a) | 25,000 | 24,313 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 750,000 | 705,757 |
2,753,675 | ||
Specialty Retail — 1.1% | ||
Asbury Automotive Group, Inc. | ||
4.50%, 3/01/2028 | 65,000 | 58,166 |
4.63%, 11/15/2029 (a) | 545,000 | 473,916 |
4.75%, 3/01/2030 | 50,000 | 43,318 |
Bath & Body Works, Inc. | ||
7.50%, 6/15/2029 | 85,000 | 85,311 |
6.75%, 7/1/2036 | 115,000 | 98,756 |
Gap, Inc. (The) 3.63%, 10/01/2029 (a) | 230,000 | 168,667 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 30,000 | 25,762 |
Lithia Motors, Inc. 3.88%, 6/01/2029 (a) | 400,000 | 334,216 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 204,000 | 171,433 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 1,400,000 | 1,274,288 |
SRS Distribution, Inc. | ||
4.63%, 7/01/2028 (a) | 516,000 | 451,490 |
6.13%, 7/01/2029 (a) | 100,000 | 83,629 |
6.00%, 12/01/2029 (a) | 24,000 | 20,045 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 660,000 | 587,400 |
3,876,397 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Seagate HDD Cayman 4.09%, 6/1/2029 | 300,000 | 258,840 |
Thrifts & Mortgage Finance — 1.7% | ||
BPCE SA (France) | ||
(SOFR + 2.10%), 5.97%, 1/18/2027 (a) (g) | 4,678,000 | 4,672,339 |
5.13%, 1/18/2028 (a) | 725,000 | 710,198 |
Nationstar Mortgage Holdings, Inc. 5.50%, 8/15/2028 (a) | 130,000 | 110,419 |
Rocket Mortgage LLC 3.63%, 3/01/2029 (a) | 578,000 | 464,605 |
5,957,561 |
62 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Tobacco — 0.1% | ||
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | 310,000 | 289,828 |
Trading Companies & Distributors — 1.3% | ||
Air Lease Corp. 5.85%, 12/15/2027 | 1,075,000 | 1,069,920 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 365,000 | 343,830 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 1,150,000 | 978,098 |
United Rentals North America, Inc. | ||
4.88%, 1/15/2028 | 1,185,000 | 1,129,542 |
5.25%, 1/15/2030 | 150,000 | 141,375 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 720,000 | 726,527 |
7.25%, 6/15/2028 (a) | 280,000 | 283,739 |
4,673,031 | ||
Wireless Telecommunication Services — 0.9% | ||
Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (f) | 200,000 | 138,475 |
Sprint LLC | ||
7.63%, 2/15/2025 | 250,000 | 256,076 |
7.63%, 3/01/2026 | 2,630,000 | 2,731,258 |
Vodafone Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (g) | 100,000 | 79,368 |
3,205,177 | ||
Total Corporate Bonds (Cost $162,478,998) | 155,988,497 | |
Asset-Backed Securities — 24.9% | ||
ACC Trust Series 2019-2, Class C, 5.24%, 10/21/2024 (a) | 124,983 | 124,842 |
ACHV ABS TRUST Series 2023-1PL, Class A, 6.42%, 3/18/2030 (a) | 300,000 | 300,414 |
Affirm Asset Securitization Trust | ||
Series 2021-Z2, Class A, 1.17%, 11/16/2026 (a) | 321,455 | 308,053 |
Series 2022-A, Class 1D, 5.53%, 5/17/2027 (a) | 595,000 | 558,240 |
Series 2022-Z1, Class A, 4.55%, 6/15/2027 (a) | 263,236 | 258,959 |
Air Canada Pass-Through Trust (Canada) Series 2020-2, Class B, 9.00%, 10/1/2025 (a) | 6,454 | 6,562 |
American Airlines Pass-Through Trust Series 2021-1, Class B, 3.95%, 7/11/2030 | 47,750 | 41,763 |
American Credit Acceptance Receivables Trust | ||
Series 2019-4, Class E, 3.85%, 12/12/2025 (a) | 2,000,000 | 1,970,660 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-1, Class A, 5.45%, 9/14/2026 (a) | 500,000 | 499,420 |
Series 2022-3, Class B, 4.55%, 10/13/2026 (a) | 500,000 | 492,578 |
Series 2022-4, Class B, 6.75%, 10/13/2026 (a) | 200,000 | 202,376 |
Series 2020-4, Class D, 1.77%, 12/14/2026 (a) | 2,410,000 | 2,313,827 |
Series 2020-4, Class E, 3.65%, 12/14/2026 (a) | 600,000 | 581,373 |
Series 2021-2, Class E, 2.54%, 7/13/2027 (a) | 800,000 | 738,342 |
Series 2021-3, Class E, 2.56%, 11/15/2027 (a) | 800,000 | 731,459 |
Series 2022-2, Class D, 4.85%, 6/13/2028 (a) | 230,000 | 218,134 |
Series 2022-2, Class E, 6.57%, 6/13/2028 (a) | 190,000 | 165,594 |
Series 2021-4, Class F, 4.21%, 7/13/2028 (a) | 500,000 | 420,501 |
Series 2022-3, Class C, 4.86%, 10/13/2028 (a) | 290,000 | 282,995 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 267,000 | 258,531 |
Series 2022-4, Class C, 7.86%, 2/15/2029 (a) | 210,000 | 217,012 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (a) | 400,000 | 394,175 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 395,000 | 387,714 |
AMSR Trust Series 2020-SFR1, Class H, 5.30%, 4/17/2037 (a) | 100,000 | 92,767 |
Apidos CLO XXX (Cayman Islands) Series XXXA, Class A1A, 5.93%, 10/18/2031 (a) (i) | 500,000 | 496,171 |
Applebee's Funding LLC | ||
Series 2019-1A, Class A2I, 4.19%, 6/5/2049 (a) | 1,633,500 | 1,585,467 |
Series 2019-1A, Class A2II, 4.72%, 6/5/2049 (a) | 495,000 | 459,135 |
Ares CLO Ltd. (Cayman Islands) | ||
Series 2016-40A, Class A1RR, 5.66%, 1/15/2029 (a) (i) | 1,031,744 | 1,023,323 |
Series 2019-52A, Class A1R, 5.87%, 4/22/2031 (a) (i) | 1,400,000 | 1,385,993 |
Avis Budget Rental Car Funding AESOP LLC | ||
Series 2020-1A, Class C, 3.02%, 8/20/2026 (a) | 461,000 | 420,037 |
Series 2022-3A, Class A, 4.62%, 2/20/2027 (a) | 943,000 | 917,816 |
February 28, 2023 | 63 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Bain Capital Credit CLO (Cayman Islands) Series 2018-1A, Class A1, 5.78%, 4/23/2031 (a) (i) | 250,000 | 247,815 |
Bain Capital Credit CLO Ltd. (Cayman Islands) | ||
Series 2020-3A, Class A1R, 5.98%, 10/23/2034 (a) (i) | 250,000 | 245,570 |
Series 2021-7A, Class A1, 5.96%, 1/22/2035 (a) (i) | 270,000 | 264,397 |
British Airways Pass-Through Trust (United Kingdom) Series 2020-1, Class B, 8.38%, 11/15/2028 (a) | 9,012 | 8,973 |
BSPRT Issuer Ltd. (Cayman Islands) | ||
Series 2021-FL7, Class A, 5.91%, 12/15/2038 (a) (i) | 428,500 | 419,343 |
Series 2021-FL7, Class D, 7.34%, 12/15/2038 (a) (i) | 275,000 | 256,584 |
Series 2021-FL7, Class E, 7.99%, 12/15/2038 (a) (i) | 265,000 | 244,600 |
Business Jet Securities LLC Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 73,104 | 68,821 |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) Series 2014-3RA, Class A1A, 5.86%, 7/27/2031 (a) (i) | 1,487,749 | 1,474,617 |
Carlyle US CLO Ltd. (Cayman Islands) Series 2018-1A, Class A1, 5.83%, 4/20/2031 (a) (i) | 1,350,000 | 1,335,844 |
Conn's Receivables Funding LLC Series 2022-A, Class B, 9.52%, 12/15/2026 (a) | 800,000 | 797,731 |
CoreVest American Finance Trust | ||
Series 2019-1, Class E, 5.61%, 3/15/2052 (a) (i) | 300,000 | 275,563 |
Series 2019-2, Class E, 5.25%, 6/15/2052 (a) (i) | 350,000 | 306,280 |
Series 2019-3, Class E, 4.75%, 10/15/2052 (a) (i) | 350,000 | 298,692 |
CPS Auto Receivables Trust Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 240,000 | 236,426 |
Credit Acceptance Auto Loan Trust | ||
Series 2022-3A, Class A, 6.57%, 10/15/2032 (a) | 250,000 | 254,194 |
Series 2022-3A, Class D, 9.00%, 4/18/2033 (a) | 300,000 | 295,069 |
DB Master Finance LLC Series 2021-1A, Class A23, 2.79%, 11/20/2051 (a) | 296,250 | 237,966 |
Driven Brands Funding LLC Series 2021-1A, Class A2, 2.79%, 10/20/2051 (a) | 1,975,000 | 1,610,350 |
Dryden 68 CLO Ltd. (Cayman Islands) Series 2019-68A, Class AR, 5.96%, 7/15/2035 (a) (i) | 340,000 | 335,018 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
DT Auto Owner Trust | ||
Series 2019-2A, Class E, 4.46%, 5/15/2026 (a) | 750,000 | 742,877 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 2,420,000 | 2,174,283 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (a) | 1,500,000 | 1,350,032 |
Series 2021-2A, Class E, 2.97%, 7/17/2028 (a) | 1,080,000 | 995,661 |
Series 2021-4A, Class E, 3.34%, 7/17/2028 (a) | 1,600,000 | 1,384,017 |
Series 2022-3A, Class C, 7.69%, 7/17/2028 (a) | 374,000 | 386,418 |
Series 2023-1A, Class B, 5.19%, 10/16/2028 (a) | 467,000 | 461,454 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (a) | 525,000 | 517,343 |
Exeter Automobile Receivables Trust | ||
Series 2018-3A, Class F, 6.55%, 8/25/2025 (a) | 2,000,000 | 2,000,969 |
Series 2020-3A, Class E, 3.44%, 8/17/2026 (a) | 2,000,000 | 1,908,394 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 2,000,000 | 1,846,770 |
Series 2023-1A, Class B, 5.72%, 4/15/2027 | 149,000 | 148,728 |
Series 2021-3A, Class D, 1.55%, 6/15/2027 | 500,000 | 455,787 |
Series 2020-3A, Class F, 5.56%, 6/15/2027 (a) | 1,500,000 | 1,457,427 |
Series 2023-1A, Class C, 5.82%, 2/15/2028 | 176,000 | 175,339 |
Series 2021-2A, Class E, 2.90%, 7/17/2028 (a) | 750,000 | 658,942 |
Series 2022-3A, Class D, 6.76%, 9/15/2028 | 400,000 | 397,276 |
Series 2022-4A, Class D, 5.98%, 12/15/2028 | 168,000 | 164,207 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 375,000 | 387,224 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 500,000 | 497,715 |
Series 2023-1A, Class E, 12.07%, 9/16/2030 (a) | 900,000 | 895,824 |
FirstKey Homes Trust Series 2020-SFR1, Class F1, 3.64%, 8/17/2037 (a) | 500,000 | 457,670 |
Flagship Credit Auto Trust | ||
Series 2023-1, Class A3, 5.01%, 8/16/2027 (a) | 133,000 | 131,610 |
64 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2023-1, Class B, 5.05%, 1/18/2028 (a) | 100,000 | 98,806 |
FMC GMSR Issuer Trust Series 2022-GT1, Class B, 7.17%, 4/25/2027 (a) | 300,000 | 263,710 |
FREED ABS Trust | ||
Series 2020-FP1, Class C, 4.37%, 3/18/2027 (a) | 253,693 | 253,693 |
Series 2022-1FP, Class D, 3.35%, 3/19/2029 (a) | 200,000 | 183,993 |
Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | 116,608 | 116,395 |
Series 2022-3FP, Class C, 7.05%, 8/20/2029 (a) | 100,000 | 99,910 |
Series 2022-4FP, Class B, 7.58%, 12/18/2029 (a) | 400,000 | 400,330 |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-21A, Class AR, 5.83%, 4/20/2031 (a) (i) | 320,000 | 316,941 |
GLS Auto Receivables Issuer Trust | ||
Series 2021-4A, Class D, 2.48%, 10/15/2027 (a) | 250,000 | 223,042 |
Series 2021-1A, Class E, 3.14%, 1/18/2028 (a) | 650,000 | 603,652 |
Series 2022-1A, Class D, 3.97%, 1/18/2028 (a) | 250,000 | 232,801 |
Series 2022-2A, Class D, 6.15%, 4/17/2028 (a) | 420,000 | 409,554 |
Series 2021-3A, Class E, 3.20%, 10/16/2028 (a) | 1,000,000 | 842,822 |
Series 2022-2A, Class E, 5.50%, 6/15/2029 (a) | 1,250,000 | 1,035,322 |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 5.93%, 7/20/2031 (a) (i) | 250,000 | 247,777 |
Goldman Home Improvement Trust Issuer Trust Series 2022-GRN1, Class A, 4.50%, 6/25/2052 (a) | 349,483 | 340,791 |
Greenwood Park CLO Ltd. Series 2018-1A, Class A2, 5.80%, 4/15/2031 (a) (i) | 305,000 | 301,856 |
Hertz Vehicle Financing III LLC | ||
Series 2022-3A, Class B, 3.86%, 3/25/2025 (a) | 500,000 | 489,476 |
Series 2023-1A, Class A, 5.49%, 6/25/2027 (a) | 400,000 | 399,078 |
Series 2023-1A, Class C, 6.91%, 6/25/2027 (a) | 292,000 | 291,635 |
Hertz Vehicle Financing LLC | ||
Series 2021-1A, Class A, 1.21%, 12/26/2025 (a) | 263,000 | 244,009 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2022-4A, Class D, 6.56%, 9/25/2026 (a) | 300,000 | 281,762 |
HGI CRE CLO Ltd. (Cayman Islands) Series 2022-FL3, Class E, 8.71%, 4/20/2037 (a) (i) | 195,500 | 184,759 |
Hilton Grand Vacations Trust Series 2022-1D, Class D, 6.79%, 6/20/2034 (a) | 317,339 | 301,722 |
HINNT LLC Series 2022-A, Class D, 6.50%, 5/15/2041 (a) | 597,869 | 563,055 |
LendingClub Loan Certificate Issuer Trust | ||
Series 2022-NP1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 810,943 |
Series 2022-P1, Class CERT, 0.00%, 3/16/2037 ‡ (a) | 50,000 | 742,625 |
Series 2022-P2, Class CERT, 0.00%, 4/15/2037 ‡ (a) | 50,000 | 804,767 |
Lendingpoint Asset Securitization Trust | ||
Series 2022-A, Class D, 4.54%, 6/15/2029 (a) | 1,000,000 | 858,260 |
Series 2022-B, Class A, 4.77%, 10/15/2029 (a) | 168,767 | 166,372 |
Series 2022-C, Class C, 8.68%, 2/15/2030 (a) | 200,000 | 198,988 |
Lendmark Funding Trust | ||
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 1,000,000 | 854,849 |
Series 2021-1A, Class D, 5.05%, 11/20/2031 (a) | 500,000 | 391,738 |
Madison Park Funding XIII Ltd. (Cayman Islands) Series 2014-13A, Class AR2, 5.75%, 4/19/2030 (a) (i) | 296,329 | 294,346 |
Magnetite Ltd. (Cayman Islands) | ||
Series 2012-7A, Class A1R2, 5.59%, 1/15/2028 (a) (i) | 402,256 | 399,710 |
Series 2016-18A, Class AR2, 5.74%, 11/15/2028 (a) (i) | 2,144,326 | 2,124,474 |
Series 2015-15A, Class AR, 5.93%, 7/25/2031 (a) (i) | 400,000 | 397,693 |
Series 2015-12A, Class ARR, 5.89%, 10/15/2031 (a) (i) | 700,000 | 693,730 |
Marlette Funding Trust | ||
Series 2023-1A, Class A, 6.07%, 4/15/2033 (a) | 700,000 | 700,167 |
Series 2023-1A, Class B, 6.50%, 4/15/2033 (a) | 700,000 | 698,984 |
Series 2023-1A, Class C, 7.20%, 4/15/2033 (a) | 350,000 | 349,930 |
ME Funding LLC Series 2019-1, Class A2, 6.45%, 7/30/2049 (a) | 580,500 | 562,449 |
February 28, 2023 | 65 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (a) (i) | 249,788 | 247,547 |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 168,000 | 148,452 |
NRZ Excess Spread-Collateralized Notes | ||
Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 396,703 | 352,483 |
Series 2021-FNT2, Class A, 3.23%, 5/25/2026 (a) | 202,411 | 179,471 |
Series 2021-FHT1, Class A, 3.10%, 7/25/2026 (a) | 89,300 | 78,927 |
Series 2021-GNT1, Class A, 3.47%, 11/25/2026 (a) | 188,452 | 167,592 |
OneMain Direct Auto Receivables Trust Series 2022-1A, Class A1, 4.65%, 3/14/2029 (a) | 294,000 | 285,268 |
OneMain Financial Issuance Trust Series 2018-2A, Class A, 3.57%, 3/14/2033 (a) | 290,000 | 285,286 |
Oportun Issuance Trust | ||
Series 2022-2, Class A, 5.94%, 10/9/2029 (a) | 101,906 | 101,433 |
Series 2022-2, Class D, 11.34%, 10/9/2029 | 863,000 | 849,817 |
Series 2022-3, Class A, 7.45%, 1/8/2030 (a) | 798,145 | 803,650 |
Pagaya AI Debt Selection Trust Series 2021-3, Class C, 3.27%, 5/15/2029 (a) | 1,499,918 | 1,290,525 |
Palmer Square CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1A4, 6.05%, 5/21/2034 (a) (i) | 510,000 | 502,265 |
Planet Fitness Master Issuer LLC Series 2022-1A, Class A2I, 3.25%, 12/5/2051 (a) | 461,512 | 408,269 |
PNMAC GMSR ISSUER TRUST Series 2022-GT1, Class A, 8.73%, 5/25/2027 (a) (i) | 343,000 | 341,305 |
Progress Residential Trust Series 2023-SFR1, Class E1, 6.15%, 3/17/2040 (a) | 736,000 | 679,535 |
Republic Finance Issuance Trust Series 2021-A, Class D, 5.23%, 12/22/2031 (a) | 800,000 | 650,233 |
Santander Bank Auto Credit-Linked Notes | ||
Series 2022-C, Class B, 6.45%, 12/15/2032 (a) | 343,887 | 343,464 |
Series 2022-C, Class C, 6.99%, 12/15/2032 (a) | 298,036 | 297,681 |
Series 2022-C, Class D, 8.20%, 12/15/2032 (a) | 275,110 | 274,806 |
Series 2022-C, Class E, 11.37%, 12/15/2032 (a) | 228,088 | 227,888 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Santander Drive Auto Receivables Trust | ||
Series 2021-3, Class D, 1.33%, 9/15/2027 | 2,000,000 | 1,872,901 |
Series 2022-2, Class B, 3.44%, 9/15/2027 | 210,000 | 203,280 |
Series 2022-2, Class C, 3.76%, 7/16/2029 | 400,000 | 381,966 |
Series 2022-7, Class C, 6.69%, 3/17/2031 | 174,000 | 179,096 |
Service Experts Issuer LLC Series 2021-1A, Class A, 2.67%, 2/2/2032 (a) | 286,375 | 259,937 |
SoFi Consumer Loan Program Trust Series 2023-1S, Class A, 5.81%, 5/15/2031 (a) | 275,000 | 274,987 |
Theorem Funding Trust | ||
Series 2022-2A, Class B, 9.27%, 12/15/2028 (a) | 400,000 | 404,238 |
Series 2022-3A, Class A, 7.60%, 4/15/2029 (a) | 252,334 | 254,395 |
Tricon Residential Trust Series 2022-SFR1, Class E2, 5.74%, 4/17/2039 (a) | 101,000 | 94,492 |
United Airlines Pass-Through Trust | ||
Series 2016-2, Class B, 3.65%, 10/7/2025 | 34,306 | 31,757 |
Series 2016-1, Class B, 3.65%, 1/7/2026 | 28,588 | 26,415 |
Upstart Pass-Through Trust | ||
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 577,432 | 553,624 |
Series 2022-PT2, Class A, 18.46%, 2/20/2030 ‡ (a) (i) | 665,340 | 674,515 |
Series 2022-PT3, Class A, 20.13%, 4/20/2030 ‡ (a) (i) | 419,433 | 422,832 |
Upstart Securitization Trust | ||
Series 2020-3, Class C, 6.25%, 11/20/2030 (a) | 1,000,000 | 977,226 |
Series 2021-2, Class C, 3.61%, 6/20/2031 (a) | 1,500,000 | 1,331,932 |
Series 2022-2, Class B, 6.10%, 5/20/2032 (a) | 500,000 | 485,999 |
Westlake Automobile Receivables Trust | ||
Series 2021-2A, Class E, 2.38%, 3/15/2027 (a) | 1,625,000 | 1,498,782 |
Series 2022-2A, Class C, 4.85%, 9/15/2027 (a) | 504,000 | 492,025 |
Series 2022-2A, Class D, 5.48%, 9/15/2027 (a) | 432,000 | 418,153 |
Series 2023-1A, Class B, 5.41%, 1/18/2028 (a) | 375,000 | 371,894 |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (a) | 405,000 | 403,776 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 437,000 | 436,237 |
Total Asset-Backed Securities (Cost $89,412,724) | 87,007,325 |
66 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — 16.1% | ||
BANK | ||
Series 2022-BNK39, Class XA, IO, 0.43%, 2/15/2055 (i) | 8,073,283 | 231,615 |
Series 2019-BN20, Class D, 2.50%, 9/15/2062 (a) | 700,000 | 438,552 |
Series 2020-BN28, Class XA, IO, 1.76%, 3/15/2063 (i) | 4,149,724 | 405,470 |
Series 2020-BN26, Class E, 2.50%, 3/15/2063 (a) | 320,000 | 176,853 |
BBCMS Mortgage Trust Series 2021-C11, Class XB, IO, 0.97%, 9/15/2054 (i) | 4,500,000 | 302,613 |
Benchmark Mortgage Trust | ||
Series 2021-B26, Class ASB, 2.26%, 6/15/2054 | 800,000 | 689,663 |
Series 2022-B33, Class A5, 3.46%, 3/15/2055 | 800,000 | 707,126 |
Series 2022-B36, Class A5, 4.47%, 7/15/2055 (i) | 800,000 | 760,101 |
Series 2022-B37, Class A5, 5.75%, 11/15/2055 (i) | 604,000 | 635,314 |
BHMS Series 2018-ATLS, Class A, 5.84%, 7/15/2035 (a) (i) | 400,000 | 392,548 |
BLP Commercial Mortgage Trust | ||
Series 2023-IND, Class A, 6.23%, 3/15/2040 (i) | 390,000 | 389,176 |
Series 2023-IND, Class C, 7.23%, 3/15/2040 (i) | 200,000 | 199,591 |
BX Series 2021-MFM1, Class A, 5.38%, 1/15/2034 (a) (i) | 632,972 | 623,068 |
BX Commercial Mortgage Trust | ||
Series 2021-21M, Class A, 5.32%, 10/15/2036 (a) (i) | 372,506 | 364,592 |
Series 2021-VINO, Class A, 5.24%, 5/15/2038 (a) (i) | 360,000 | 352,330 |
Series 2021-XL2, Class A, 5.28%, 10/15/2038 (a) (i) | 787,708 | 768,021 |
Series 2021-ACNT, Class A, 5.44%, 11/15/2038 (a) (i) | 850,000 | 835,632 |
Series 2020-VIV4, Class A, 2.84%, 3/9/2044 (a) | 1,300,000 | 1,089,278 |
Series 2021-VIV5, Class A, 2.84%, 3/9/2044 (a) (i) | 500,000 | 415,886 |
Series 2020-VIVA, Class D, 3.55%, 3/11/2044 (a) (i) | 750,000 | 597,494 |
BX Trust | ||
Series 2022-LBA6, Class A, 5.56%, 1/15/2039 (a) (i) | 155,000 | 152,285 |
Series 2022-FOX2, Class A2, 5.31%, 4/15/2039 (a) (i) | 589,954 | 564,908 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2022-PSB, Class A, 7.01%, 8/15/2039 (a) (i) | 691,994 | 693,079 |
Series 2022-PSB, Class E, 10.90%, 8/15/2039 (a) (i) | 593,138 | 595,369 |
CD Mortgage Trust Series 2018-CD7, Class C, 4.85%, 8/15/2051 (i) | 580,000 | 511,624 |
Citigroup Commercial Mortgage Trust | ||
Series 2013-GC17, Class B, 5.10%, 11/10/2046 (i) | 100,000 | 98,141 |
Series 2014-GC23, Class C, 4.43%, 7/10/2047 (i) | 100,000 | 94,562 |
Series 2018-C5, Class XA, IO, 0.67%, 6/10/2051 (i) | 1,490,143 | 44,304 |
Series 2018-C6, Class XA, IO, 0.77%, 11/10/2051 (i) | 2,149,113 | 71,303 |
Series 2015-GC33, Class B, 4.57%, 9/10/2058 (i) | 65,000 | 61,205 |
Commercial Mortgage Trust Series 2015-PC1, Class B, 4.29%, 7/10/2050 (i) | 65,000 | 60,993 |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 5.57%, 5/15/2036 (a) (i) | 588,536 | 585,581 |
FHLMC Series K-153, Class X1, IO, 0.44%, 12/25/2032 (i) | 16,500,000 | 618,608 |
FHLMC Multiclass Certificates | ||
Series 2020-RR12, Class X, IO, 2.10%, 10/27/2027 (i) | 2,000,000 | 153,019 |
Series 2020-RR06, Class AX, IO, 1.88%, 10/27/2028 (i) | 2,000,000 | 154,086 |
Series 2020-RR14, Class X, IO, 2.13%, 3/27/2034 (i) | 2,500,000 | 398,988 |
Series 2021-RR16, Class X, IO, 0.96%, 10/27/2034 (i) | 5,600,000 | 445,241 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series KC06, Class X1, IO, 0.88%, 6/25/2026 (i) | 5,632,586 | 94,760 |
Series K741, Class X1, IO, 0.57%, 12/25/2027 (i) | 1,446,193 | 32,313 |
Series K742, Class X1, IO, 0.78%, 3/25/2028 (i) | 2,772,328 | 74,458 |
Series K742, Class X3, IO, 2.60%, 4/25/2028 (i) | 5,000,000 | 522,418 |
Series K743, Class X1, IO, 0.93%, 5/25/2028 (i) | 1,655,155 | 65,867 |
Series K744, Class X1, IO, 0.86%, 7/25/2028 (i) | 2,153,430 | 81,091 |
Series K084, Class X3, IO, 2.24%, 11/25/2028 (i) | 751,485 | 77,965 |
February 28, 2023 | 67 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K100, Class X1, IO, 0.65%, 9/25/2029 (i) | 8,158,535 | 283,710 |
Series K104, Class X1, IO, 1.13%, 1/25/2030 (i) | 9,352,971 | 559,223 |
Series K110, Class X1, IO, 1.70%, 4/25/2030 (i) | 8,865,622 | 803,416 |
Series K115, Class X1, IO, 1.33%, 6/25/2030 (i) | 7,979,706 | 599,277 |
Series K119, Class X1, IO, 0.93%, 9/25/2030 (i) | 5,469,542 | 295,304 |
Series K123, Class X1, IO, 0.77%, 12/25/2030 (i) | 18,448,026 | 846,054 |
Series K132, Class X1, IO, 0.51%, 8/25/2031 (i) | 16,896,308 | 583,516 |
Series K-1514, Class X1, IO, 0.58%, 10/25/2034 (i) | 1,188,637 | 55,588 |
Series K-1520, Class X1, IO, 0.47%, 2/25/2036 (i) | 413,091 | 16,631 |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (i) | 1,575,428 | 120,162 |
Series K060, Class X3, IO, 1.90%, 12/25/2044 (i) | 1,950,000 | 117,217 |
Series K065, Class X3, IO, 2.18%, 7/25/2045 (i) | 1,304,230 | 102,224 |
Series K085, Class X3, IO, 2.31%, 12/25/2045 (i) | 1,850,000 | 191,834 |
Series K097, Class X3, IO, 2.02%, 9/25/2046 (i) | 3,000,000 | 301,920 |
Series K083, Class X3, IO, 2.29%, 11/25/2046 (i) | 621,062 | 63,550 |
Series K737, Class X3, IO, 1.77%, 1/25/2048 (i) | 11,779,376 | 677,889 |
Series K121, Class X3, IO, 2.77%, 11/25/2048 (i) | 5,000,000 | 781,543 |
Series K124, Class X3, IO, 2.62%, 2/25/2049 (i) | 5,000,000 | 742,345 |
Series K741, Class X3, IO, 2.45%, 3/25/2049 (i) | 13,766,615 | 1,289,227 |
Series K743, Class X3, IO, 2.95%, 6/25/2049 (i) | 13,000,000 | 1,588,531 |
FIVE Mortgage Trust Series 2023-V1, Class XA, IO, 0.83%, 2/10/2056 (i) | 5,692,000 | 198,265 |
FNMA ACES | ||
Series 2020-M3, Class X1, IO, 0.36%, 2/25/2030 (i) | 3,742,771 | 76,484 |
Series 2022-M2, Class X2, IO, 0.21%, 1/25/2032 (i) | 2,833,544 | 41,859 |
Series 2020-M31, Class AB, 0.50%, 10/25/2032 | 76,878 | 60,525 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FREMF Mortgage Trust | ||
Series 2017-KF36, Class B, 7.22%, 8/25/2024 (a) (i) | 664,846 | 649,782 |
Series 2019-KF60, Class B, 6.92%, 2/25/2026 (a) (i) | 867,854 | 844,032 |
Series 2019-KF72, Class B, 6.67%, 11/25/2026 (a) (i) | 731,330 | 687,653 |
Series 2018-KF54, Class B, 6.77%, 11/25/2028 (i) | 194,192 | 184,103 |
Series 2019-KF59, Class B, 6.92%, 2/25/2029 (a) (i) | 870,741 | 823,206 |
Series 2019-KW09, Class X2A, IO, 0.10%, 5/25/2029 (a) | 19,873,866 | 80,765 |
Series 2019-KW09, Class C, PO, 6/25/2029 (a) | 790,000 | 452,810 |
Series 2019-KW09, Class X2B, IO, 0.10%, 6/25/2029 (a) | 10,000,000 | 46,123 |
Series 2020-KF76, Class B, 7.32%, 1/25/2030 (a) (i) | 874,485 | 837,655 |
Series 2018-KW07, Class B, 4.08%, 10/25/2031 (a) (i) | 300,000 | 246,220 |
Series 2023-KF149, Class CS, 10.46%, 12/25/2032 (a) (i) | 500,000 | 512,325 |
Series 19K-1513, Class X2A, IO, 0.10%, 8/25/2034 (a) | 65,033,346 | 460,904 |
Series 2015-K46, Class C, 3.70%, 4/25/2048 (a) (i) | 100,000 | 95,003 |
Series 2017-K724, Class D, PO, 12/25/2049 (a) | 500,000 | 458,000 |
Series 2018-K730, Class B, 3.80%, 2/25/2050 (a) (i) | 200,000 | 191,561 |
Series 2017-K725, Class C, 3.90%, 2/25/2050 (a) (i) | 500,000 | 485,740 |
Series 2017-K65, Class B, 4.08%, 7/25/2050 (a) (i) | 265,000 | 249,482 |
Series 2019-K91, Class C, 4.26%, 4/25/2051 (a) (i) | 250,000 | 227,618 |
GNMA | ||
Series 2013-72, IO, 0.57%, 11/16/2047 (i) | 8,963,690 | 114,938 |
Series 2015-93, IO, 0.30%, 11/16/2054 (i) | 31,839,957 | 307,724 |
Series 2014-166, Class IH, IO, 0.92%, 10/16/2055 (i) | 11,372,224 | 386,612 |
Series 2015-33, IO, 0.26%, 2/16/2056 (i) | 49,947,168 | 520,040 |
Series 2016-137, IO, 0.52%, 10/16/2056 (i) | 3,219,391 | 89,840 |
Series 2017-53, IO, 0.53%, 11/16/2056 (i) | 4,485,391 | 145,656 |
68 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-114, IO, 0.37%, 3/15/2057 (i) | 5,463,813 | 84,039 |
Series 2017-158, IO, 0.46%, 9/16/2057 (i) | 3,580,194 | 104,739 |
Series 2017-3, IO, 0.55%, 9/16/2058 (i) | 3,331,470 | 89,407 |
Series 2020-184, IO, 0.91%, 11/16/2060 (i) | 6,657,723 | 427,972 |
Series 2021-147, IO, 0.99%, 6/16/2061 (i) | 3,047,217 | 219,312 |
Series 2021-218, IO, 0.96%, 10/16/2061 (i) | 336,416 | 24,547 |
Series 2020-120, IO, 0.76%, 5/16/2062 (i) | 6,036,800 | 353,015 |
Series 2020-100, IO, 0.78%, 5/16/2062 (i) | 5,811,981 | 342,495 |
Series 2020-161, IO, 1.05%, 8/16/2062 (i) | 5,101,991 | 361,627 |
Series 2021-71, IO, 0.87%, 10/16/2062 (i) | 3,676,331 | 238,187 |
Series 2020-190, IO, 1.03%, 11/16/2062 (i) | 841,056 | 62,204 |
Series 2021-35, IO, 0.99%, 12/16/2062 (i) | 3,455,286 | 247,741 |
Series 2021-11, Class IX, IO, 1.16%, 12/16/2062 (i) | 6,550,255 | 519,226 |
Series 2021-35, Class IX, IO, 1.16%, 12/16/2062 | 1,946,142 | 153,828 |
Series 2021-120, IO, 0.99%, 2/16/2063 (i) | 6,586,169 | 489,546 |
Series 2021-170, IO, 0.99%, 5/16/2063 (i) | 2,375,710 | 173,602 |
Series 2021-61, IO, 1.04%, 8/16/2063 (i) | 1,412,911 | 100,493 |
Series 2021-195, Class IX, IO, 1.20%, 8/16/2063 (i) | 1,905,660 | 161,232 |
Series 2021-110, IO, 0.87%, 11/16/2063 (i) | 5,833,784 | 399,274 |
Series 2021-200, IO, 0.87%, 11/16/2063 (i) | 2,054,990 | 144,772 |
Series 2021-180, IO, 0.90%, 11/16/2063 (i) | 4,621,796 | 331,081 |
Series 2021-150, IO, 1.03%, 11/16/2063 (i) | 4,775,215 | 364,292 |
Series 2021-185, IO, 1.10%, 11/16/2063 (i) | 1,518,826 | 122,358 |
Series 2021-220, IO, 0.83%, 12/16/2063 (i) | 11,289,063 | 739,721 |
Series 2022-7, Class SA, IF, IO, 0.00%, 2/16/2064 (i) | 1,378,281 | 91,165 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-224, IO, 0.78%, 4/16/2064 (i) | 1,963,013 | 131,089 |
Series 2022-134, IO, 0.51%, 6/16/2064 (i) | 2,977,164 | 147,635 |
Series 2022-80, IO, 0.59%, 6/16/2064 (i) | 1,187,073 | 62,140 |
Series 2022-62, IO, 0.62%, 6/16/2064 (i) | 1,973,481 | 111,155 |
Series 2022-141, IO, 0.77%, 6/16/2064 (i) | 4,181,852 | 291,546 |
Series 2022-52, IO, 0.77%, 6/16/2064 (i) | 9,863,952 | 591,842 |
Series 2022-210, IO, 0.69%, 7/16/2064 (i) | 2,195,977 | 149,836 |
Series 2022-199, IO, 0.76%, 7/16/2064 (i) | 3,989,627 | 269,816 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class D, 2.75%, 5/10/2049 (a) | 750,000 | 559,848 |
Series 2019-GC40, Class E, 3.00%, 7/10/2052 (a) | 800,000 | 482,824 |
Hudson Yards Mortgage Trust Series 2019-30HY, Class A, 3.23%, 7/10/2039 (a) | 550,000 | 478,390 |
ILPT Commercial Mortgage Trust | ||
Series 2022-LPF2, Class A, 6.81%, 10/15/2039 (a) (i) | 104,962 | 105,225 |
Series 2022-LPF2, Class E, 10.50%, 10/15/2039 (a) (i) | 240,000 | 240,300 |
JPMBB Commercial Mortgage Securities Trust Series 2015-C33, Class C, 4.62%, 12/15/2048 (i) | 150,000 | 135,458 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 5.01%, 12/15/2046 (a) (i) | 1,500,000 | 1,375,354 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C15, Class D, 4.89%, 4/15/2047 (a) (i) | 1,337,000 | 1,249,493 |
Series 2014-C16, Class AS, 4.09%, 6/15/2047 | 600,000 | 579,740 |
Series 2014-C18, Class B, 4.43%, 10/15/2047 (i) | 100,000 | 95,638 |
Series 2016-C31, Class C, 4.27%, 11/15/2049 (i) | 100,000 | 79,306 |
Morgan Stanley Capital I Trust Series 2021-L6, Class C, 3.46%, 6/15/2054 (i) | 350,000 | 262,801 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class E, 2.72%, 12/15/2036 (a) | 400,000 | 354,804 |
MSC Trust Series 2021-ILP, Class A, 5.37%, 11/15/2023 (a) (i) | 239,209 | 233,814 |
February 28, 2023 | 69 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
MTN Commercial Mortgage Trust Series 2022-LPFL, Class A, 5.96%, 3/15/2039 (a) (i) | 1,190,000 | 1,178,277 |
Multi-Family Connecticut Avenue Securities Trust | ||
Series 2019-01, Class M10, 7.87%, 10/25/2049 (a) (i) | 377,216 | 360,846 |
Series 2020-01, Class M10, 8.37%, 3/25/2050 (a) (i) | 1,000,000 | 951,781 |
SLG Office Trust | ||
Series 2021-OVA, Class A, 2.59%, 7/15/2041 (a) | 1,000,000 | 808,223 |
Series 2021-OVA, Class E, 2.85%, 7/15/2041 (a) | 500,000 | 364,832 |
TPGI Trust Series 2021-DGWD, Class A, 5.29%, 6/15/2026 (a) (i) | 400,000 | 390,875 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-1, Class A, 3.59%, 4/25/2048 (a) | 183,266 | 172,106 |
Series 2022-3, Class A, 5.22%, 6/25/2052 (a) (i) | 275,093 | 264,925 |
Series 2022-4, Class A, 5.63%, 8/25/2052 (a) (i) | 574,665 | 555,548 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2018-C44, Class D, 3.00%, 5/15/2051 (a) | 250,000 | 165,478 |
Series 2022-C62, Class C, 4.35%, 4/15/2055 (i) | 150,000 | 115,087 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C13, Class C, 3.91%, 5/15/2045 (i) | 65,000 | 64,485 |
Series 2014-C22, Class C, 3.77%, 9/15/2057 (i) | 100,000 | 91,634 |
Series 2014-C22, Class B, 4.37%, 9/15/2057 (i) | 100,000 | 94,525 |
Total Commercial Mortgage-Backed Securities (Cost $59,696,796) | 56,033,728 | |
Mortgage-Backed Securities — 8.2% | ||
GNMA II, 30 Year | ||
Pool # MA8151, 4.50%, 7/20/2052 | 30 | 29 |
Pool # MA8493, 6.50%, 12/20/2052 | 4,318,709 | 4,424,819 |
Pool # MA8571, 6.00%, 1/20/2053 | 10,067 | 10,229 |
Pool # MA8573, 7.00%, 1/20/2053 | 2,896,824 | 2,985,991 |
GNMA II, Single Family, 30 Year | ||
TBA, 5.50%, 3/15/2047 (b) | 8,483,000 | 8,512,492 |
TBA, 6.00%, 3/15/2053 (b) | 12,379,000 | 12,556,888 |
Total Mortgage-Backed Securities (Cost $28,562,036) | 28,490,448 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — 7.2% | ||
Angel Oak Mortgage Trust I LLC Series 2019-4, Class B2, 5.66%, 7/26/2049 (a) (i) | 800,000 | 739,591 |
CHL Mortgage Pass-Through Trust Series 2006-OA5, Class 2A1, 5.02%, 4/25/2046 (i) | 155,191 | 127,766 |
Connecticut Avenue Securities Trust | ||
Series 2019-R01, Class 2B1, 8.97%, 7/25/2031 (a) (i) | 1,500,000 | 1,548,793 |
Series 2019-R07, Class 1B1, 8.02%, 10/25/2039 (a) (i) | 670,000 | 664,989 |
Series 2023-R02, Class 1M1, 6.79%, 1/25/2043 (a) (i) | 318,182 | 320,297 |
Series 2023-R02, Class 1M2, 7.84%, 1/25/2043 (a) (i) | 550,000 | 552,868 |
Series 2023-R02, Class 1B1, 10.04%, 1/25/2043 (a) (i) | 350,000 | 354,649 |
Deephaven Residential Mortgage Trust Series 2022-2, Class A1, 4.30%, 3/25/2067 (a) (i) | 126,077 | 118,122 |
FHLMC STACR REMIC Trust | ||
Series 2021-HQA1, Class M2, 6.73%, 8/25/2033 (a) (i) | 2,000,000 | 1,953,176 |
Series 2022-DNA3, Class M1B, 7.38%, 4/25/2042 (a) (i) | 500,000 | 500,628 |
FHLMC STACR Trust Series 2019-DNA2, Class B1, 8.97%, 3/25/2049 (a) (i) | 1,000,000 | 1,039,808 |
FHLMC Structured Agency Credit Risk Debt Notes | ||
Series 2017-DNA2, Class B1, 9.77%, 10/25/2029 (i) | 250,000 | 270,252 |
Series 2017-DNA3, Class B1, 9.07%, 3/25/2030 (i) | 250,000 | 265,134 |
FNMA, Connecticut Avenue Securities | ||
Series 2017-C01, Class 1B1, 10.37%, 7/25/2029 (i) | 1,650,000 | 1,823,914 |
Series 2017-C02, Class 2B1, 10.12%, 9/25/2029 (i) | 2,120,000 | 2,345,014 |
Series 2017-C04, Class 2B1, 9.67%, 11/25/2029 (i) | 1,650,000 | 1,785,616 |
Series 2017-C05, Class 1B1, 8.22%, 1/25/2030 (i) | 450,000 | 468,322 |
Series 2017-C06, Class 1B1, 8.77%, 2/25/2030 (i) | 450,000 | 473,384 |
Series 2017-C07, Class 1B1, 8.62%, 5/25/2030 (i) | 790,000 | 838,052 |
Series 2018-C01, Class 1B1, 8.17%, 7/25/2030 (i) | 750,000 | 781,650 |
Series 2018-C03, Class 1B1, 8.37%, 10/25/2030 (i) | 788,000 | 828,256 |
70 | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2021-R02, Class 2B1, 7.78%, 11/25/2041 (a) (i) | 64,000 | 60,972 |
Series 2021-R02, Class 2B2, 10.68%, 11/25/2041 (a) (i) | 26,000 | 23,874 |
FWD Securitization Trust Series 2020-INV1, Class A1, 2.24%, 1/25/2050 (a) (i) | 521,637 | 470,103 |
GNMA | ||
Series 2014-181, Class SL, IF, IO, 1.00%, 12/20/2044 (i) | 535,799 | 45,694 |
Series 2017-134, Class SD, IF, IO, 1.60%, 9/20/2047 (i) | 535,573 | 55,953 |
Series 2019-52, Class SA, IF, IO, 1.50%, 4/20/2049 (i) | 790,379 | 63,292 |
Series 2021-78, Class IB, IO, 3.00%, 5/20/2051 | 1,029,901 | 145,952 |
Series 2021-107, Class XI, IO, 3.00%, 6/20/2051 | 1,532,648 | 211,829 |
Series 2021-117, Class ES, IF, IO, 1.70%, 7/20/2051 (i) | 1,780,515 | 184,486 |
Series 2021-142, Class XI, IO, 3.00%, 8/20/2051 | 159,009 | 22,628 |
Series 2021-154, Class SD, IF, IO, 1.70%, 9/20/2051 (i) | 549,406 | 62,338 |
Series 2021-188, Class IJ, IO, 3.00%, 10/20/2051 | 3,193,597 | 455,909 |
LHOME Mortgage Trust Series 2023-RTL1, Class A1, 7.87%, 1/25/2028 ‡ (a) (h) | 1,160,000 | 1,165,129 |
MFA Trust | ||
Series 2022-RTL1, Class A1, 5.07%, 4/26/2027 (a) (h) | 270,000 | 251,566 |
Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (a) (h) | 260,000 | 259,277 |
Series 2021-NQM1, Class A1, 1.15%, 4/25/2065 (a) (i) | 159,670 | 141,157 |
New Residential Mortgage Loan Trust Series 2019-NQM5, Class A1, 2.71%, 11/25/2059 (a) (i) | 204,695 | 186,149 |
PNMAC GMSR ISSUER TRUST Series 2018-GT2, Class A, 7.27%, 8/25/2025 (a) (i) | 280,000 | 274,715 |
PRET LLC Series 2022-NPL4, Class A1, 6.56%, 8/25/2052 (a) (h) | 181,271 | 177,254 |
PRPM LLC Series 2021-11, Class A2, 4.58%, 11/25/2026 (a) (h) | 1,000,000 | 879,721 |
RCO VI Mortgage LLC Series 2022-1, Class A1, 3.00%, 1/25/2027 (a) (h) | 183,992 | 172,404 |
STACR Trust | ||
Series 2018-HRP2, Class M3, 7.02%, 2/25/2047 (a) (i) | 262,934 | 263,607 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2018-DNA3, Class B1, 8.52%, 9/25/2048 (a) (i) | 300,000 | 309,353 |
Starwood Mortgage Residential Trust Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a) | 250,000 | 195,063 |
Verus Securitization Trust Series 2023-1, Class A1, 5.85%, 12/25/2067 (a) (h) | 900,000 | 889,984 |
VM Master Issuer LLC Series 2022-1, Class B, 6.88%, 5/24/2025 ‡ (a) (i) | 500,000 | 454,900 |
Total Collateralized Mortgage Obligations (Cost $25,526,704) | 25,223,590 | |
Foreign Government Securities — 2.7% | ||
Banque Centrale de Tunisie 5.75%, 1/30/2025 (f) | 200,000 | 135,287 |
Dominican Republic Government Bond | ||
5.50%, 2/22/2029 (f) | 150,000 | 138,778 |
7.05%, 2/3/2031 (a) | 360,000 | 359,662 |
6.00%, 2/22/2033 (a) | 150,000 | 135,731 |
6.00%, 2/22/2033 (f) | 150,000 | 135,731 |
6.40%, 6/5/2049 (f) | 150,000 | 124,388 |
5.88%, 1/30/2060 (f) | 150,000 | 111,966 |
Federal Republic of Nigeria | ||
6.50%, 11/28/2027 (f) | 600,000 | 495,000 |
7.38%, 9/28/2033 (f) | 400,000 | 290,000 |
8.25%, 9/28/2051 (a) | 200,000 | 138,000 |
Federative Republic of Brazil 3.75%, 9/12/2031 | 200,000 | 168,100 |
Gabonese Republic 7.00%, 11/24/2031 (f) | 200,000 | 162,000 |
Hashemite Kingdom of Jordan | ||
5.85%, 7/7/2030 (f) | 200,000 | 180,500 |
7.38%, 10/10/2047 (f) | 200,000 | 174,912 |
Islamic Republic of Pakistan 6.00%, 4/8/2026 (f) | 200,000 | 88,522 |
Kingdom of Bahrain 5.45%, 9/16/2032 (f) | 200,000 | 180,000 |
Republic of Angola | ||
8.25%, 5/9/2028 (f) | 200,000 | 184,750 |
8.00%, 11/26/2029 (f) | 400,000 | 362,000 |
9.13%, 11/26/2049 (f) | 200,000 | 169,500 |
Republic of Armenia 3.60%, 2/2/2031 (f) | 200,000 | 153,225 |
Republic of Colombia 3.00%, 1/30/2030 | 200,000 | 150,100 |
Republic of Costa Rica | ||
6.13%, 2/19/2031 (f) | 200,000 | 193,412 |
7.00%, 4/4/2044 (f) | 400,000 | 381,825 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (f) | 200,000 | 189,000 |
5.75%, 12/31/2032 (f) (h) | 298,472 | 270,547 |
February 28, 2023 | 71 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
6.13%, 6/15/2033 (f) | 600,000 | 516,000 |
Republic of Ecuador | ||
5.50%, 7/31/2030 (f) (h) | 190,000 | 91,711 |
2.50%, 7/31/2035 (f) (h) | 30,000 | 10,478 |
Republic of El Salvador | ||
6.38%, 1/18/2027 (f) | 250,000 | 131,688 |
7.12%, 1/20/2050 (f) | 150,000 | 66,825 |
Republic of Ghana | ||
6.38%, 2/11/2027 (f) (j) | 200,000 | 76,000 |
8.75%, 3/11/2061 (f) (j) | 200,000 | 72,750 |
Republic of Iraq | ||
6.75%, 3/9/2023 (f) | 200,000 | 199,240 |
5.80%, 1/15/2028 (f) | 312,500 | 286,387 |
Republic of Kenya | ||
7.00%, 5/22/2027 (f) | 200,000 | 179,000 |
8.00%, 5/22/2032 (f) | 200,000 | 170,750 |
Republic of Namibia 5.25%, 10/29/2025 (f) | 200,000 | 188,000 |
Republic of Paraguay 5.40%, 3/30/2050 (a) | 200,000 | 167,350 |
Republic of Rwanda 5.50%, 8/9/2031 (a) | 200,000 | 150,287 |
Republic of Senegal | ||
6.25%, 5/23/2033 (f) | 500,000 | 411,875 |
6.75%, 3/13/2048 (f) | 200,000 | 140,250 |
Republic of Serbia 6.50%, 9/26/2033 (a) | 200,000 | 194,500 |
Republic of South Africa | ||
5.88%, 4/20/2032 | 200,000 | 177,750 |
6.25%, 3/8/2041 | 100,000 | 83,500 |
Republic of Turkey 9.38%, 1/19/2033 | 200,000 | 193,000 |
Republic of Uzbekistan 5.38%, 2/20/2029 (f) | 200,000 | 183,350 |
State of Mongolia 4.45%, 7/7/2031 (f) | 200,000 | 160,022 |
Sultanate of Oman Government Bond | ||
6.25%, 1/25/2031 (f) | 400,000 | 403,200 |
6.50%, 3/8/2047 (f) | 200,000 | 186,500 |
Total Foreign Government Securities (Cost $10,737,582) | 9,513,349 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 1.2% | ||
Investment Companies — 1.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (k) (l) (Cost $4,011,399) | 4,009,381 | 4,011,385 |
Total Investments — 105.0% (Cost $380,426,239) | 366,268,322 | |
Liabilities in Excess of Other Assets — (5.0)% | (17,357,432) | |
NET ASSETS — 100.0% | 348,910,890 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ACES | Alternative Credit Enhancement Securities |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
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 28, 2023. 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. |
LIBOR | London Interbank Offered Rate |
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. |
REMIC | Real Estate Mortgage Investment Conduit |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
72 | February 28, 2023 |
(b) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(c) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $4,072,838 or 1.17% of the Fund’s net assets as of February 28, 2023 . | |
(d) | Security is an interest bearing note with preferred security characteristics. | |
(e) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
(f) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(g) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(h) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. |
(j) | Defaulted security. | |
(k) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(l) | The rate shown is the current yield as of February 28, 2023. |
SECURITY DESCRIPTION | PRINCIPAL AMOUNT($) | VALUE($) |
FNMA / FHLMC UMBS, Single Family, 30 Year TBA, 5.00%, 3/25/2053(a) | (12,390,000) | (12,186,727) |
(Proceeds received of $12,334,603) | (12,186,727) |
Abbreviations | |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Ultra Note | 93 | 06/21/2023 | USD | 10,910,063 | (6,203) |
U.S. Treasury Long Bond | 4 | 06/21/2023 | USD | 501,750 | (2,220) |
U.S. Treasury Ultra Bond | 7 | 06/21/2023 | USD | 949,813 | 9,774 |
U.S. Treasury 2 Year Note | 210 | 06/30/2023 | USD | 42,785,859 | (83,452) |
U.S. Treasury 5 Year Note | 582 | 06/30/2023 | USD | 62,324,016 | (53,767) |
(135,868) |
February 28, 2023 | 73 |
AS OF February 28, 2023 (continued)
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
U.S. Treasury 10 Year Note | (38) | 06/21/2023 | USD | (4,244,125) | 2,576 |
U.S. Treasury 10 Year Ultra Note | (15) | 06/21/2023 | USD | (1,759,688) | 672 |
U.S. Treasury Ultra Bond | (1) | 06/21/2023 | USD | (135,688) | (1,416) |
1,832 | |||||
(134,036) |
Abbreviations | |
USD | United States Dollar |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
JPY | 864,824,671 | USD | 6,588,889 | Citibank, NA | 3/15/2023 | (225,288) |
JPY | 47,526,497 | USD | 353,504 | HSBC Bank, NA | 3/15/2023 | (3,792) |
Total unrealized depreciation | (229,080) | |||||
Net unrealized depreciation | (229,080) |
Abbreviations | |
JPY | Japanese Yen |
USD | United States Dollar |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.61 | USD 11,104,000 | (245,111) | (26,669) | (271,780) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.61 | USD 13,825,000 | (206,218) | (132,161) | (338,379) |
(451,329) | (158,830) | (610,159) |
(*) | 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. | ||||||||
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
74 | February 28, 2023 |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
February 28, 2023 | 75 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 61.7% | ||
Australia — 0.9% | ||
APA Infrastructure Ltd. 2.00%, 7/15/2030 (a) | EUR 150,000 | 133,949 |
Commonwealth Bank of Australia | ||
2.69%, 3/11/2031 (b) (c) | 650,000 | 512,011 |
3.78%, 3/14/2032 (b) (c) | 200,000 | 167,913 |
Glencore Funding LLC | ||
4.13%, 5/30/2023 (b) | 450,000 | 448,510 |
2.85%, 4/27/2031 (b) | 450,000 | 368,174 |
2.63%, 9/23/2031 (b) | 1,099,000 | 875,385 |
Westpac Banking Corp. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (c) (d) | 75,000 | 66,329 |
2,572,271 | ||
Austria — 0.1% | ||
ams-OSRAM AG 6.00%, 7/31/2025 (a) | EUR 400,000 | 399,811 |
Belgium — 1.4% | ||
Anheuser-Busch Cos. LLC | ||
4.70%, 2/1/2036 | 520,000 | 488,087 |
4.90%, 2/1/2046 | 314,000 | 288,024 |
Anheuser-Busch InBev SA/NV 3.70%, 4/2/2040 (a) | EUR 200,000 | 193,658 |
Anheuser-Busch InBev Worldwide, Inc. 4.44%, 10/6/2048 | 344,000 | 296,906 |
KBC Group NV | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (b) (d) | 200,000 | 197,365 |
(EUR Swap Annual 5 Year + 1.25%), 1.62%, 9/18/2029 (a) (d) | EUR 300,000 | 299,480 |
Ontex Group NV 3.50%, 7/15/2026 (a) | EUR 400,000 | 366,087 |
Sarens Finance Co. NV 5.75%, 2/21/2027 (a) | EUR 400,000 | 349,089 |
Solvay Finance SACA (EUR Swap Annual 5 Year + 3.70%), 5.42%, 11/12/2023 (a) (d) (e) (f) | EUR 100,000 | 105,643 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Belgium — continued | ||
Solvay SA (EUR Swap Annual 5 Year + 3.92%), 4.25%, 12/4/2023 (a) (d) (e) (f) | EUR 800,000 | 836,488 |
Telenet Finance Luxembourg Notes SARL 3.50%, 3/1/2028 (a) | EUR 500,000 | 476,489 |
3,897,316 | ||
Brazil — 0.2% | ||
Guara Norte SARL 5.20%, 6/15/2034 (b) | 295,935 | 247,232 |
Klabin Austria GmbH 7.00%, 4/3/2049 (a) | 200,000 | 194,287 |
Suzano Austria GmbH | ||
3.75%, 1/15/2031 | 48,000 | 40,380 |
7.00%, 3/16/2047 (a) | 200,000 | 199,000 |
680,899 | ||
Canada — 0.8% | ||
Bank of Nova Scotia (The) | ||
2.45%, 2/2/2032 | 420,000 | 337,915 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (c) (d) | 570,000 | 498,626 |
Emera US Finance LP 2.64%, 6/15/2031 | 272,000 | 213,844 |
Emera, Inc. Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (d) | 236,000 | 226,435 |
Federation des Caisses Desjardins du Quebec (SOFRINDX + 1.09%), 5.28%, 1/23/2026 (b) (d) | 510,000 | 504,733 |
TransCanada PipeLines Ltd. 2.50%, 10/12/2031 | 500,000 | 396,537 |
Transcanada Trust Series 16-A, (ICE LIBOR USD 3 Month + 4.64%), 5.87%, 8/15/2076 (d) | 57,000 | 54,152 |
2,232,242 | ||
Chile — 0.1% | ||
Alfa Desarrollo SpA 4.55%, 9/27/2051 (b) | 338,761 | 248,989 |
Kenbourne Invest SA 6.88%, 11/26/2024 (b) | 200,000 | 180,100 |
429,089 |
76 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
China — 0.7% | ||
Country Garden Holdings Co. Ltd. 3.13%, 10/22/2025 (a) | 530,000 | 340,525 |
Huarong Finance 2017 Co. Ltd. 4.25%, 11/7/2027 (a) | 200,000 | 167,000 |
Huarong Finance 2019 Co. Ltd. 2.13%, 9/30/2023 (a) | 200,000 | 193,288 |
Longfor Group Holdings Ltd. 4.50%, 1/16/2028 (a) | 300,000 | 249,994 |
NXP BV | ||
5.55%, 12/1/2028 | 772,000 | 770,552 |
2.65%, 2/15/2032 | 40,000 | 31,216 |
3.25%, 5/11/2041 | 300,000 | 207,431 |
1,960,006 | ||
Colombia — 0.1% | ||
AI Candelaria Spain SA 5.75%, 6/15/2033 (b) | 250,000 | 176,250 |
Denmark — 0.1% | ||
Danske Bank A/S (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (d) | 262,000 | 263,610 |
France — 9.2% | ||
Accor SA 3.00%, 2/4/2026 (a) (g) | EUR 600,000 | 602,495 |
Airbus SE | ||
1.63%, 6/9/2030 (a) | EUR 1,100,000 | 1,002,136 |
1.38%, 5/13/2031 (a) | EUR 300,000 | 260,868 |
Altice France SA 3.38%, 1/15/2028 (a) | EUR 1,000,000 | 813,107 |
Autoroutes du Sud de la France SA 1.13%, 4/20/2026 (a) | EUR 800,000 | 780,104 |
AXA SA (EURIBOR 3 Month + 3.75%), 3.38%, 7/6/2047 (a) (d) | EUR 600,000 | 591,518 |
Banijay Entertainment SASU 3.50%, 3/1/2025 (a) | EUR 725,000 | 725,761 |
Banque Federative du Credit Mutuel SA 3.75%, 7/20/2023 (b) | 715,000 | 710,835 |
BNP Paribas SA 3.50%, 3/1/2023 (b) | 1,000,000 | 1,000,000 |
BPCE SA | ||
5.15%, 7/21/2024 (b) | 600,000 | 590,602 |
4.88%, 4/1/2026 (b) | 450,000 | 435,306 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
France — continued | ||
(SOFR + 2.10%), 5.97%, 1/18/2027 (b) (d) | 638,000 | 637,228 |
(EURIBOR 3 Month + 1.00%), 0.50%, 9/15/2027 (a) (d) | EUR 400,000 | 366,247 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (d) | 480,000 | 367,540 |
(SOFR + 1.73%), 3.12%, 10/19/2032 (b) (d) | 250,000 | 193,184 |
Burger King France SAS (EURIBOR 3 Month + 4.75%), 7.23%, 11/1/2026 (a) (d) | EUR 250,000 | 263,103 |
Casino Guichard Perrachon SA 4.50%, 3/7/2024 (a) (g) | EUR 400,000 | 343,719 |
CGG SA 7.75%, 4/1/2027 (a) | EUR 434,000 | 404,823 |
Chrome Bidco SASU 3.50%, 5/31/2028 (a) | EUR 739,000 | 635,061 |
Credit Agricole SA | ||
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (d) | 1,000,000 | 882,588 |
2.00%, 3/25/2029 (a) | EUR 200,000 | 179,985 |
Credit Mutuel Arkea SA (EURIBOR ICE Swap Rate 5 Year + 1.45%), 1.88%, 10/25/2029 (a) (d) | EUR 300,000 | 298,874 |
Electricite de France SA | ||
(EUR Swap Annual 6 Year + 3.44%), 4.00%, 7/4/2024 (a) (d) (e) (f) | EUR 1,000,000 | 1,013,277 |
(EUR Swap Annual 5 Year + 3.97%), 3.38%, 6/15/2030 (a) (d) (e) (f) | EUR 600,000 | 485,167 |
Elis SA 1.63%, 4/3/2028 (a) | EUR 900,000 | 811,547 |
Faurecia SE | ||
3.13%, 6/15/2026 (a) | EUR 600,000 | 588,600 |
2.38%, 6/15/2027 (a) | EUR 600,000 | 543,429 |
3.75%, 6/15/2028 (a) | EUR 500,000 | 464,859 |
iliad SA 1.88%, 2/11/2028 (a) | EUR 700,000 | 607,249 |
Loxam SAS | ||
2.88%, 4/15/2026 (a) | EUR 300,000 | 285,186 |
4.50%, 2/15/2027 (b) | EUR 288,000 | 281,613 |
Lune Holdings SARL 5.63%, 11/15/2028 (a) | EUR 375,000 | 329,717 |
Orange SA | ||
(EUR Swap Annual 5 Year + 2.36%), 2.38%, 1/15/2025 (a) (d) (e) (f) | EUR 200,000 | 199,135 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 77 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
France — continued | ||
(EUR Swap Annual 5 Year + 3.99%), 5.00%, 10/1/2026 (a) (d) (e) (f) | EUR 400,000 | 421,904 |
(EURIBOR ICE Swap Rate 5 Year + 2.18%), 1.75%, 12/19/2026 (a) (d) (e) (f) | EUR 200,000 | 187,008 |
(EUR Swap Annual 5 Year + 2.10%), 1.75%, 7/15/2028 (a) (d) (e) (f) | EUR 700,000 | 612,993 |
Paprec Holding SA | ||
4.00%, 3/31/2025 (a) | EUR 100,000 | 101,250 |
3.50%, 7/1/2028 (a) | EUR 373,000 | 333,371 |
Parts Europe SA 6.50%, 7/16/2025 (a) | EUR 400,000 | 426,253 |
Quatrim SASU 5.88%, 1/15/2024 (a) | EUR 500,000 | 498,605 |
Renault SA | ||
1.25%, 6/24/2025 (a) | EUR 400,000 | 388,747 |
2.00%, 9/28/2026 (a) | EUR 600,000 | 566,398 |
1.13%, 10/4/2027 (a) | EUR 800,000 | 693,979 |
Rexel SA 2.13%, 6/15/2028 (a) | EUR 500,000 | 463,628 |
Societe Generale SA | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.39%), 9.38%, 11/22/2027 (b) (c) (d) (e) (f) | 211,000 | 222,542 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.51%), 5.38%, 11/18/2030 (b) (c) (d) (e) (f) | 525,000 | 432,705 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.34%, 1/21/2033 (b) (d) | 501,000 | 405,845 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.95%), 6.69%, 1/10/2034 (b) (d) | 580,000 | 591,678 |
7.37%, 1/10/2053 (b) | 336,000 | 339,267 |
SPIE SA 2.63%, 6/18/2026 (a) | EUR 500,000 | 496,146 |
TotalEnergies Capital International SA 3.13%, 5/29/2050 | 50,000 | 35,782 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
France — continued | ||
TotalEnergies SE (EUR Swap Annual 5 Year + 1.77%), 1.75%, 4/4/2024 (a) (d) (e) (f) | EUR 750,000 | 759,040 |
Vallourec SA 8.50%, 6/30/2026 (a) | EUR 500,000 | 531,361 |
26,203,365 | ||
Germany — 5.2% | ||
Bertelsmann SE & Co. KGaA (EUR Swap Annual 5 Year + 2.64%), 3.00%, 4/23/2075 (a) (d) | EUR 100,000 | 104,960 |
BK LC Lux Finco1 SARL 5.25%, 4/30/2029 (a) | EUR 700,000 | 656,622 |
Cheplapharm Arzneimittel GmbH | ||
3.50%, 2/11/2027 (a) | EUR 300,000 | 280,831 |
4.38%, 1/15/2028 (a) | EUR 450,000 | 421,258 |
Commerzbank AG (EUR Swap Annual 5 Year + 4.35%), 4.00%, 12/5/2030 (a) (d) | EUR 500,000 | 502,725 |
CT Investment GmbH 5.50%, 4/15/2026 (a) | EUR 206,000 | 192,960 |
Deutsche Bank AG | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 (d) | 1,075,000 | 1,050,814 |
(SOFR + 2.26%), 3.74%, 1/7/2033 (d) | 450,000 | 344,778 |
Deutsche Lufthansa AG | ||
2.00%, 7/14/2024 (a) | EUR 400,000 | 409,330 |
2.88%, 2/11/2025 (a) | EUR 1,000,000 | 1,014,070 |
Deutsche Telekom International Finance BV 2.49%, 9/19/2023 (b) | 250,000 | 246,599 |
Douglas GmbH 6.00%, 4/8/2026 (a) | EUR 700,000 | 648,944 |
Hapag-Lloyd AG 2.50%, 4/15/2028 (a) | EUR 400,000 | 387,118 |
IHO Verwaltungs GmbH | ||
3.75% (Cash), 9/15/2026 (a) (h) | EUR 125,000 | 119,906 |
3.88% (Cash), 5/15/2027 (a) (h) (i) | EUR 500,000 | 469,224 |
Nidda Healthcare Holding GmbH 7.50%, 8/21/2026 (a) | EUR 500,000 | 517,612 |
Renk AG 5.75%, 7/15/2025 (a) | EUR 300,000 | 312,322 |
Schaeffler AG | ||
2.88%, 3/26/2027 (a) | EUR 450,000 | 443,809 |
3.38%, 10/12/2028 (a) | EUR 200,000 | 187,213 |
78 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Germany — continued | ||
Techem Verwaltungsgesellschaft 674 mbH 6.00%, 7/30/2026 (a) | EUR 219,799 | 223,183 |
Techem Verwaltungsgesellschaft 675 mbH 2.00%, 7/15/2025 (a) | EUR 900,000 | 875,871 |
thyssenkrupp AG | ||
2.88%, 2/22/2024 (a) | EUR 600,000 | 625,151 |
2.50%, 2/25/2025 (a) | EUR 200,000 | 206,780 |
TK Elevator Midco GmbH 4.38%, 7/15/2027 (a) | EUR 300,000 | 286,372 |
TUI Cruises GmbH 6.50%, 5/15/2026 (a) | EUR 350,000 | 329,165 |
Volkswagen International Finance NV | ||
(EUR Swap Annual 5 Year + 3.75%), 3.50%, 6/17/2025 (a) (d) (e) (f) | EUR 400,000 | 393,782 |
(EUR Swap Annual 10 Year + 3.98%), 4.62%, 6/27/2028 (a) (d) (e) (f) | EUR 200,000 | 191,972 |
3.25%, 11/18/2030 (a) | EUR 600,000 | 584,295 |
Vonovia Finance BV 2.25%, 4/7/2030 (a) | EUR 1,100,000 | 987,507 |
ZF Europe Finance BV | ||
2.00%, 2/23/2026 (a) | EUR 800,000 | 768,102 |
2.50%, 10/23/2027 (a) | EUR 300,000 | 275,488 |
ZF Finance GmbH | ||
2.25%, 5/3/2028 (a) | EUR 200,000 | 176,524 |
3.75%, 9/21/2028 (a) | EUR 500,000 | 469,061 |
14,704,348 | ||
India — 0.2% | ||
Greenko Dutch BV 3.85%, 3/29/2026 (b) | 191,000 | 168,295 |
Greenko Power II Ltd. 4.30%, 12/13/2028 (b) | 405,875 | 342,914 |
NTPC Ltd. 3.75%, 4/3/2024 (a) | 200,000 | 195,225 |
706,434 | ||
Indonesia — 0.3% | ||
Indonesia Asahan Aluminium Persero PT 5.45%, 5/15/2030 (b) | 200,000 | 197,252 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Indonesia — continued | ||
Pertamina Persero PT 3.65%, 7/30/2029 (b) | 400,000 | 363,044 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara 4.13%, 5/15/2027 (a) | 200,000 | 189,163 |
749,459 | ||
Ireland — 1.5% | ||
AerCap Ireland Capital DAC | ||
2.45%, 10/29/2026 | 300,000 | 264,472 |
3.00%, 10/29/2028 | 569,000 | 484,852 |
AIB Group plc (EUR Swap Annual 5 Year + 2.15%), 1.88%, 11/19/2029 (a) (d) | EUR 750,000 | 740,481 |
Avolon Holdings Funding Ltd. | ||
3.95%, 7/1/2024 (b) | 126,000 | 121,838 |
2.88%, 2/15/2025 (b) | 265,000 | 246,479 |
2.13%, 2/21/2026 (b) | 940,000 | 823,413 |
4.25%, 4/15/2026 (b) | 140,000 | 129,919 |
4.38%, 5/1/2026 (b) | 60,000 | 55,817 |
Bank of Ireland Group plc (EUR Swap Annual 5 Year + 7.92%), 7.50%, 5/19/2025 (a) (c) (d) (e) (f) | EUR 300,000 | 312,550 |
eircom Finance DAC 3.50%, 5/15/2026 (a) | EUR 1,000,000 | 990,272 |
4,170,093 | ||
Israel — 0.2% | ||
Energean Israel Finance Ltd. | ||
4.88%, 3/30/2026 (a) | 156,000 | 143,647 |
5.38%, 3/30/2028 (a) | 150,475 | 135,051 |
Leviathan Bond Ltd. | ||
6.13%, 6/30/2025 (a) | 200,000 | 193,600 |
6.50%, 6/30/2027 (a) | 165,554 | 157,160 |
629,458 | ||
Italy — 4.4% | ||
Assicurazioni Generali SpA | ||
2.43%, 7/14/2031 (a) | EUR 200,000 | 175,007 |
(EURIBOR 3 Month + 5.35%), 5.50%, 10/27/2047 (a) (d) | EUR 200,000 | 212,206 |
Atlantia SpA | ||
1.63%, 2/3/2025 (a) | EUR 300,000 | 297,992 |
1.88%, 7/13/2027 (a) | EUR 350,000 | 325,807 |
1.88%, 2/12/2028 (a) | EUR 400,000 | 356,502 |
Enel Finance International NV | ||
1.38%, 7/12/2026 (b) | 1,460,000 | 1,266,975 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 79 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Italy — continued | ||
3.50%, 4/6/2028 (b) | 200,000 | 179,599 |
1.88%, 7/12/2028 (b) | 425,000 | 348,465 |
0.50%, 6/17/2030 (a) | EUR 200,000 | 161,267 |
0.88%, 1/17/2031 (a) | EUR 493,000 | 401,370 |
2.25%, 7/12/2031 (b) | 536,000 | 403,949 |
5.00%, 6/15/2032 (b) | 200,000 | 182,602 |
Enel SpA | ||
Series 63.5, (EUR Swap Annual 5 Year + 2.58%), 3.38%, 8/24/2026 (a) (d) (e) (f) | EUR 800,000 | 768,585 |
Series 9.5Y, (EUR Swap Annual 5 Year + 2.01%), 1.88%, 6/8/2030 (a) (d) (e) (f) | EUR 300,000 | 227,273 |
Eni SpA 4.25%, 5/9/2029 (b) | 250,000 | 230,483 |
Guala Closures SpA 3.25%, 6/15/2028 (a) | EUR 384,000 | 342,695 |
Infrastrutture Wireless Italiane SpA 1.88%, 7/8/2026 (a) | EUR 500,000 | 483,320 |
Intesa Sanpaolo SpA | ||
(EUR Swap Annual 5 Year + 7.19%), 7.75%, 1/11/2027 (a) (c) (d) (e) (f) | EUR 676,000 | 707,998 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.75%), 4.95%, 6/1/2042 (b) (d) | 200,000 | 133,968 |
Lottomatica SpA 5.13%, 7/15/2025 (a) | EUR 732,000 | 774,236 |
Pro-Gest SpA 3.25%, 12/15/2024 (a) | EUR 577,000 | 457,135 |
Rossini SARL 6.75%, 10/30/2025 (a) | EUR 400,000 | 425,136 |
Saipem Finance International BV | ||
3.75%, 9/8/2023 (a) | EUR 200,000 | 210,482 |
2.63%, 1/7/2025 (a) | EUR 300,000 | 304,600 |
Shiba Bidco SpA 4.50%, 10/31/2028 (a) | EUR 550,000 | 492,974 |
TeamSystem SpA 3.50%, 2/15/2028 (a) | EUR 300,000 | 281,637 |
Telecom Italia SpA | ||
2.88%, 1/28/2026 (a) | EUR 200,000 | 194,635 |
3.63%, 5/25/2026 (a) | EUR 400,000 | 399,811 |
2.38%, 10/12/2027 (a) | EUR 1,350,000 | 1,205,332 |
UniCredit SpA | ||
(EURIBOR ICE Swap Rate 5 Year + 7.33%), 7.50%, 6/3/2026 (a) (c) (d) (e) (f) | EUR 300,000 | 311,757 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Italy — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (d) | 200,000 | 174,420 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 3.13%, 6/3/2032 (b) (d) | 200,000 | 156,592 |
12,594,810 | ||
Japan — 1.0% | ||
Mitsubishi UFJ Financial Group, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (d) | 707,000 | 626,647 |
Sumitomo Mitsui Financial Group, Inc. 3.75%, 7/19/2023 | 157,000 | 156,066 |
Takeda Pharmaceutical Co. Ltd. | ||
5.00%, 11/26/2028 | 1,110,000 | 1,095,953 |
1.00%, 7/9/2029 | EUR 363,000 | 318,632 |
2.05%, 3/31/2030 | 546,000 | 445,209 |
3.03%, 7/9/2040 | 270,000 | 197,774 |
2,840,281 | ||
Kazakhstan — 0.1% | ||
KazMunayGas National Co. JSC 5.75%, 4/19/2047 (a) | 380,000 | 303,240 |
Kuwait — 0.1% | ||
MEGlobal Canada ULC 5.00%, 5/18/2025 (b) | 200,000 | 195,725 |
Luxembourg — 1.8% | ||
Altice Finco SA 4.75%, 1/15/2028 (a) | EUR 500,000 | 407,616 |
Altice France Holding SA | ||
8.00%, 5/15/2027 (a) | EUR 350,000 | 293,380 |
8.00%, 5/15/2027 (b) | EUR 123,000 | 103,102 |
ARD Finance SA 5.00% (Cash), 6/30/2027 (a) (h) (i) | EUR 200,000 | 162,109 |
Herens Midco SARL 5.25%, 5/15/2029 (a) | EUR 403,000 | 290,065 |
INEOS Finance plc 3.38%, 3/31/2026 (a) | EUR 247,000 | 239,046 |
Matterhorn Telecom SA 3.13%, 9/15/2026 (a) | EUR 775,000 | 744,140 |
Monitchem HoldCo 3 SA 5.25%, 3/15/2025 (a) | EUR 400,000 | 416,218 |
80 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Luxembourg — continued | ||
PLT VII Finance SARL 4.63%, 1/5/2026 (a) | EUR 650,000 | 638,692 |
SELP Finance SARL, REIT 0.88%, 5/27/2029 (a) | EUR 900,000 | 740,914 |
SES SA | ||
(EUR Swap Annual 5 Year + 3.19%), 2.87%, 5/27/2026 (a) (d) (e) (f) | EUR 400,000 | 355,937 |
0.88%, 11/4/2027 (a) | EUR 130,000 | 116,870 |
Summer BC Holdco A SARL 9.25%, 10/31/2027 (a) | EUR 180,211 | 157,677 |
Summer BC Holdco B SARL 5.75%, 10/31/2026 (a) | EUR 500,000 | 469,090 |
5,134,856 | ||
Malaysia — 0.1% | ||
Petronas Capital Ltd. 3.40%, 4/28/2061 (b) | 436,000 | 305,554 |
Mexico — 0.8% | ||
BBVA Bancomer SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.65%), 5.12%, 1/18/2033 (b) (c) (d) | 200,000 | 179,537 |
Cemex SAB de CV (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.53%), 5.12%, 6/8/2026 (b) (d) (e) (f) | 488,000 | 440,664 |
Fomento Economico Mexicano SAB de CV 3.50%, 1/16/2050 | 150,000 | 112,809 |
Petroleos Mexicanos 5.95%, 1/28/2031 | 1,908,000 | 1,453,992 |
Southern Copper Corp. 5.88%, 4/23/2045 | 140,000 | 140,683 |
2,327,685 | ||
Morocco — 0.1% | ||
OCP SA 6.88%, 4/25/2044 (a) | 200,000 | 181,750 |
Netherlands — 2.1% | ||
ABN AMRO Bank NV | ||
4.75%, 7/28/2025 (b) | 200,000 | 194,380 |
(EUR Swap Annual 5 Year + 4.67%), 4.37%, 9/22/2025 (a) (c) (d) (e) (f) | EUR 200,000 | 194,617 |
4.80%, 4/18/2026 (b) | 200,000 | 192,200 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Netherlands — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.90%), 3.32%, 3/13/2037 (b) (d) | 400,000 | 303,824 |
Cooperatieve Rabobank UA | ||
3.88%, 9/26/2023 (b) | 250,000 | 247,889 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.00%, 9/24/2026 (b) (d) | 365,000 | 323,885 |
(EUR Swap Annual 5 Year + 4.68%), 4.37%, 6/29/2027 (a) (c) (d) (e) (f) | EUR 400,000 | 378,657 |
ING Groep NV (SOFR + 1.83%), 4.02%, 3/28/2028 (d) | 710,000 | 666,767 |
Nobel Bidco BV 3.13%, 6/15/2028 (a) | EUR 336,000 | 246,822 |
Q-Park Holding I BV 2.00%, 3/1/2027 (a) | EUR 500,000 | 441,247 |
Sigma Holdco BV 5.75%, 5/15/2026 (a) | EUR 400,000 | 338,747 |
Titan Holdings II BV 5.13%, 7/15/2029 (a) | EUR 768,000 | 639,697 |
Trivium Packaging Finance BV 3.75%, 8/15/2026 (a) (g) | EUR 700,000 | 676,531 |
UPC Holding BV 3.88%, 6/15/2029 (a) | EUR 500,000 | 446,984 |
Ziggo Bond Co. BV 3.38%, 2/28/2030 (a) | EUR 800,000 | 640,966 |
5,933,213 | ||
New Zealand — 0.1% | ||
ANZ New Zealand Int'l Ltd. 2.55%, 2/13/2030 (b) | 490,000 | 413,137 |
Norway — 0.4% | ||
DNB Bank ASA (UK Government Bond 1 Year Note Generic Bid Yield + 1.35%), 2.62%, 6/10/2026 (a) (d) | GBP 1,000,000 | 1,137,699 |
Portugal — 0.8% | ||
EDP - Energias de Portugal SA (EUR Swap Annual 5 Year + 1.84%), 1.70%, 7/20/2080 (a) (d) | EUR 1,000,000 | 951,930 |
EDP Finance BV | ||
3.63%, 7/15/2024 (b) | 675,000 | 656,263 |
1.50%, 11/22/2027 (a) | EUR 750,000 | 713,852 |
2,322,045 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 81 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Spain — 5.6% | ||
Abertis Infraestructuras Finance BV | ||
(EUR Swap Annual 5 Year + 3.69%), 3.25%, 11/24/2025 (a) (d) (e) (f) | EUR 600,000 | 567,972 |
(EUR Swap Annual 5 Year + 3.27%), 2.62%, 1/26/2027 (a) (d) (e) (f) | EUR 100,000 | 87,260 |
Banco Bilbao Vizcaya Argentaria SA (EUR Swap Annual 5 Year + 6.46%), 6.00%, 1/15/2026 (a) (c) (d) (e) (f) | EUR 400,000 | 405,569 |
Banco de Sabadell SA (EUR Swap Annual 1 Year + 0.97%), 0.63%, 11/7/2025 (a) (d) | EUR 300,000 | 299,004 |
Banco Santander SA | ||
5.15%, 8/18/2025 | 1,400,000 | 1,382,628 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (d) | 800,000 | 689,468 |
CaixaBank SA | ||
(EUR Swap Annual 5 Year + 6.22%), 6.37%, 9/19/2023 (a) (c) (d) (e) (f) | EUR 400,000 | 420,910 |
(EUR Swap Annual 5 Year + 6.50%), 6.75%, 6/13/2024 (a) (c) (d) (e) (f) | EUR 400,000 | 417,792 |
1.13%, 3/27/2026 (a) | EUR 1,000,000 | 963,918 |
(EUR Swap Annual 5 Year + 3.62%), 3.75%, 2/15/2029 (a) (d) | EUR 800,000 | 834,145 |
Cellnex Finance Co. SA 2.25%, 4/12/2026 (a) | EUR 500,000 | 489,364 |
Cellnex Telecom SA | ||
1.00%, 4/20/2027 (a) | EUR 500,000 | 453,362 |
1.88%, 6/26/2029 (a) | EUR 400,000 | 346,735 |
Cirsa Finance International SARL 4.75%, 5/22/2025 (a) | EUR 950,000 | 979,695 |
eDreams ODIGEO SA | ||
5.50%, 7/15/2027 (b) | EUR 307,000 | 285,748 |
5.50%, 7/15/2027 (a) | EUR 400,000 | 372,310 |
Grifols SA | ||
1.63%, 2/15/2025 (a) | EUR 550,000 | 543,981 |
2.25%, 11/15/2027 (a) | EUR 1,000,000 | 920,051 |
Grupo Antolin-Irausa SA | ||
3.38%, 4/30/2026 (a) | EUR 100,000 | 89,200 |
3.50%, 4/30/2028 (a) | EUR 100,000 | 78,272 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Spain — continued | ||
Iberdrola International BV (EUR Swap Annual 5 Year + 2.06%), 2.62%, 12/26/2023 (a) (d) (e) (f) | EUR 800,000 | 827,773 |
Kaixo Bondco Telecom SA 5.13%, 9/30/2029 (a) | EUR 392,000 | 356,858 |
Lorca Telecom Bondco SA 4.00%, 9/18/2027 (a) | EUR 1,066,000 | 1,014,757 |
Naturgy Finance BV (EUR Swap Annual 9 Year + 3.08%), 3.38%, 4/24/2024 (a) (d) (e) (f) | EUR 200,000 | 204,136 |
Repsol International Finance BV (EUR Swap Annual 10 Year + 4.20%), 4.50%, 3/25/2075 (a) (d) | EUR 800,000 | 819,929 |
Telefonica Emisiones SA 5.21%, 3/8/2047 | 150,000 | 126,090 |
Telefonica Europe BV | ||
Series NC5, (EUR Swap Annual 5 Year + 2.45%), 3.00%, 9/4/2023 (a) (d) (e) (f) | EUR 100,000 | 104,580 |
(EUR Swap Annual 8 Year + 2.97%), 3.88%, 6/22/2026 (a) (d) (e) (f) | EUR 900,000 | 878,681 |
(EUR Swap Annual 6 Year + 2.87%), 2.88%, 2/24/2028 (a) (d) (e) (f) | EUR 1,000,000 | 872,687 |
15,832,875 | ||
Sweden — 0.8% | ||
Dometic Group AB 3.00%, 5/8/2026 (a) | EUR 400,000 | 373,791 |
Svenska Handelsbanken AB (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.05%), 4.75%, 3/1/2031 (a) (c) (d) (e) (f) | 200,000 | 170,978 |
Verisure Holding AB | ||
3.88%, 7/15/2026 (a) | EUR 275,000 | 263,686 |
3.25%, 2/15/2027 (a) | EUR 900,000 | 823,237 |
Verisure Midholding AB 5.25%, 2/15/2029 (a) | EUR 200,000 | 169,496 |
Volvo Car AB | ||
2.00%, 1/24/2025 (a) | EUR 200,000 | 200,716 |
2.50%, 10/7/2027 (a) | EUR 300,000 | 280,262 |
2,282,166 |
82 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Switzerland — 1.7% | ||
Credit Suisse Group AG | ||
3.80%, 6/9/2023 | 300,000 | 296,400 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (b) (d) | 300,000 | 282,216 |
4.28%, 1/9/2028 (b) | 550,000 | 461,750 |
(SOFR + 3.73%), 4.19%, 4/1/2031 (b) (d) | 274,000 | 217,303 |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (d) | 561,000 | 394,740 |
(SOFR + 5.02%), 9.02%, 11/15/2033 (b) (d) | 250,000 | 262,544 |
Dufry One BV 2.50%, 10/15/2024 (a) | EUR 700,000 | 720,933 |
Holcim Sterling Finance Netherlands BV 2.25%, 4/4/2034 (a) | GBP 300,000 | 259,539 |
Swiss Re Finance Luxembourg SA (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.58%), 5.00%, 4/2/2049 (b) (d) | 200,000 | 190,000 |
UBS Group AG | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (d) | 322,000 | 311,712 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.09%, 2/11/2032 (b) (d) | 280,000 | 215,083 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (d) | 430,000 | 337,920 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.40%), 4.99%, 8/5/2033 (b) (d) | 200,000 | 187,217 |
Zurich Insurance Co. Ltd. (EURIBOR 3 Month + 3.95%), 3.50%, 10/1/2046 (a) (d) | EUR 700,000 | 700,628 |
4,837,985 | ||
Taiwan — 0.3% | ||
TSMC Arizona Corp. 4.25%, 4/22/2032 | 380,000 | 361,828 |
TSMC Global Ltd. 2.25%, 4/23/2031 (b) | 700,000 | 567,791 |
929,619 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Kingdom — 9.9% | ||
888 Acquisitions Ltd. 7.56%, 7/15/2027 (b) | EUR 230,000 | 207,997 |
AstraZeneca plc | ||
0.38%, 6/3/2029 (a) | EUR 700,000 | 605,164 |
4.00%, 9/18/2042 | 490,000 | 427,628 |
Barclays plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (d) | 630,000 | 606,621 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.30%, 8/9/2026 (d) | 398,000 | 392,087 |
Bellis Acquisition Co. plc | ||
3.25%, 2/16/2026 (a) | GBP 100,000 | 99,614 |
4.50%, 2/16/2026 (a) | GBP 200,000 | 205,940 |
BP Capital Markets plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.04%), 4.38%, 6/22/2025 (d) (e) (f) | 204,000 | 194,492 |
(EUR Swap Annual 5 Year + 3.88%), 3.25%, 3/22/2026 (a) (d) (e) (f) | EUR 600,000 | 585,753 |
(EUR Swap Annual 5 Year + 4.12%), 3.63%, 3/22/2029 (a) (d) (e) (f) | EUR 200,000 | 184,751 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.40%), 4.88%, 3/22/2030 (d) (e) (f) | 94,000 | 86,136 |
Centrica plc 4.38%, 3/13/2029 (a) | GBP 200,000 | 224,779 |
Constellation Automotive Financing plc 4.88%, 7/15/2027 (a) | GBP 169,000 | 146,820 |
CPUK Finance Ltd. 4.50%, 8/28/2027 (a) | GBP 400,000 | 408,411 |
EC Finance plc 3.00%, 10/15/2026 (a) | EUR 799,000 | 771,085 |
eG Global Finance plc 4.38%, 2/7/2025 (a) | EUR 600,000 | 554,499 |
Eversholt Funding plc 2.74%, 6/30/2040 (a) | GBP 717,952 | 688,011 |
Gatwick Funding Ltd. 2.50%, 4/15/2030 (a) | GBP 700,000 | 693,459 |
Heathrow Funding Ltd. | ||
1.50%, 10/12/2025 (a) | EUR 800,000 | 787,856 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 83 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
6.75%, 12/3/2026 (a) | GBP 300,000 | 373,693 |
1.50%, 2/11/2030 (a) | EUR 300,000 | 259,935 |
1.88%, 3/14/2034 (a) | EUR 250,000 | 197,497 |
5.88%, 5/13/2041 (a) | GBP 100,000 | 119,833 |
HSBC Holdings plc | ||
(SOFR + 1.54%), 1.64%, 4/18/2026 (d) | 490,000 | 448,891 |
(SOFR + 3.03%), 7.34%, 11/3/2026 (d) | 720,000 | 750,346 |
5.75%, 12/20/2027 (a) | GBP 200,000 | 239,169 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (d) | 380,000 | 371,580 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (d) | 1,270,000 | 1,075,075 |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (d) | 374,000 | 335,102 |
(SOFR + 1.41%), 2.87%, 11/22/2032 (d) | 440,000 | 348,549 |
Iceland Bondco plc 4.63%, 3/15/2025 (a) | GBP 100,000 | 107,234 |
INEOS Quattro Finance 1 plc 3.75%, 7/15/2026 (a) | EUR 400,000 | 363,891 |
INEOS Quattro Finance 2 plc 2.50%, 1/15/2026 (a) | EUR 200,000 | 186,155 |
INEOS Styrolution Group GmbH 2.25%, 1/16/2027 (a) | EUR 300,000 | 268,487 |
International Consolidated Airlines Group SA 1.50%, 7/4/2027 (a) | EUR 600,000 | 518,802 |
Jaguar Land Rover Automotive plc | ||
2.20%, 1/15/2024 (a) | EUR 200,000 | 204,604 |
4.50%, 1/15/2026 (a) | EUR 400,000 | 387,645 |
Lloyds Banking Group plc | ||
4.05%, 8/16/2023 | 415,000 | 412,345 |
4.58%, 12/10/2025 | 200,000 | 192,373 |
National Grid plc | ||
2.18%, 6/30/2026 (a) | EUR 900,000 | 896,663 |
0.25%, 9/1/2028 (a) | EUR 800,000 | 686,234 |
NatWest Group plc | ||
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (d) | 780,000 | 765,781 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.63%), 6.00%, 12/29/2025 (c) (d) (e) (f) | 450,000 | 421,970 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Kingdom — continued | ||
(U.K. Government Bonds 5 Year Note Generic Bid Yield + 4.99%), 5.13%, 5/12/2027 (c) (d) (e) (f) | GBP 276,000 | 288,257 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.27%), 5.52%, 9/30/2028 (d) | 400,000 | 396,055 |
(EURIBOR 3 Month + 0.89%), 0.67%, 9/14/2029 (a) (d) | EUR 1,200,000 | 1,020,469 |
NGG Finance plc (EUR Swap Annual 5 Year + 2.53%), 2.13%, 9/5/2082 (a) (d) | EUR 730,000 | 655,886 |
Pinnacle Bidco plc 5.50%, 2/15/2025 (a) | EUR 500,000 | 497,463 |
Punch Finance plc 6.13%, 6/30/2026 (a) | GBP 438,000 | 467,578 |
RAC Bond Co. plc 5.25%, 11/4/2027 (a) | GBP 554,000 | 549,904 |
Rolls-Royce plc 0.88%, 5/9/2024 (a) | EUR 600,000 | 604,554 |
Santander UK Group Holdings plc | ||
(SOFR + 2.75%), 6.83%, 11/21/2026 (d) | 285,000 | 289,868 |
(SOFR + 0.99%), 1.67%, 6/14/2027 (d) | 900,000 | 785,701 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (d) | 665,000 | 673,128 |
South Eastern Power Networks plc 5.63%, 9/30/2030 (a) | GBP 300,000 | 370,630 |
Standard Chartered plc | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (b) (d) | 312,000 | 299,106 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (b) (d) | 395,000 | 380,181 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.45%), 7.77%, 11/16/2028 (b) (d) | 200,000 | 216,164 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.45%), 6.30%, 1/9/2029 (b) | 214,000 | 218,676 |
84 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United Kingdom — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.85%), 4.64%, 4/1/2031 (b) (d) | 306,000 | 287,547 |
Synthomer plc 3.88%, 7/1/2025 (a) | EUR 500,000 | 491,206 |
Virgin Media Finance plc 3.75%, 7/15/2030 (a) | EUR 500,000 | 408,378 |
Vodafone Group plc | ||
(EUR Swap Annual 5 Year + 3.43%), 4.20%, 10/3/2078 (a) (d) | EUR 300,000 | 288,752 |
(EUR Swap Annual 5 Year + 2.67%), 3.10%, 1/3/2079 (a) (d) | EUR 300,000 | 312,849 |
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (d) | 429,000 | 420,547 |
Series NC10, (EUR Swap Annual 5 Year + 3.48%), 3.00%, 8/27/2080 (a) (d) | EUR 625,000 | 528,916 |
28,254,772 | ||
United States — 10.6% | ||
AbbVie, Inc. 4.25%, 11/21/2049 | 220,000 | 183,195 |
AES Corp. (The) | ||
3.30%, 7/15/2025 (b) | 31,000 | 29,092 |
3.95%, 7/15/2030 (b) | 42,000 | 36,771 |
Aetna, Inc. 2.80%, 6/15/2023 | 595,000 | 590,751 |
Air Lease Corp. | ||
5.30%, 2/1/2028 | 571,000 | 554,789 |
3.13%, 12/1/2030 | 555,000 | 456,317 |
Alexander Funding Trust 1.84%, 11/15/2023 (b) | 70,000 | 67,629 |
American Express Co. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.85%), 3.55%, 9/15/2026 (d) (e) (f) | 104,000 | 88,286 |
American Medical Systems Europe BV 1.63%, 3/8/2031 | EUR 100,000 | 88,783 |
Amgen, Inc. | ||
2.45%, 2/21/2030 | 120,000 | 100,713 |
5.25%, 3/2/2033 (j) | 200,000 | 198,607 |
5.60%, 3/2/2043 (j) | 159,000 | 157,018 |
5.65%, 3/2/2053 (j) | 180,000 | 178,518 |
AT&T, Inc. | ||
3.50%, 9/15/2053 | 130,000 | 89,243 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
3.55%, 9/15/2055 | 99,000 | 67,063 |
Bank of America Corp. | ||
(SOFR + 1.29%), 5.08%, 1/20/2027 (d) | 430,000 | 425,507 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (d) | 560,000 | 454,902 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (d) | 290,000 | 235,200 |
(SOFR + 1.22%), 2.30%, 7/21/2032 (d) | 470,000 | 367,562 |
Berkshire Hathaway Energy Co. 4.60%, 5/1/2053 | 47,000 | 41,115 |
Boeing Co. (The) 5.81%, 5/1/2050 | 205,000 | 195,001 |
BP Capital Markets America, Inc. 2.72%, 1/12/2032 | 881,000 | 738,228 |
Bristol-Myers Squibb Co. 2.95%, 3/15/2032 | 125,000 | 107,913 |
Capital One Financial Corp. Series M, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.16%), 3.95%, 9/1/2026 (d) (e) (f) | 442,000 | 373,004 |
CCO Holdings LLC 5.13%, 5/1/2027 (b) | 140,000 | 129,538 |
CenterPoint Energy, Inc. 2.95%, 3/1/2030 | 280,000 | 239,423 |
CF Industries, Inc. 4.95%, 6/1/2043 | 224,000 | 187,984 |
Charles Schwab Corp. (The) | ||
Series I, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.17%), 4.00%, 6/1/2026 (d) (e) (f) | 312,000 | 283,893 |
Series H, (US Treasury Yield Curve Rate T Note Constant Maturity 10 Year + 3.08%), 4.00%, 12/1/2030 (d) (e) (f) | 320,000 | 270,528 |
Charter Communications Operating LLC | ||
3.70%, 4/1/2051 | 308,000 | 188,333 |
3.90%, 6/1/2052 | 282,000 | 178,204 |
Citigroup, Inc. | ||
Series M, (ICE LIBOR USD 3 Month + 3.42%), 6.30%, 5/15/2024 (d) (e) (f) | 29,000 | 28,311 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 85 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
Series W, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.60%), 4.00%, 12/10/2025 (d) (e) (f) | 160,000 | 146,400 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.42%), 3.88%, 2/18/2026 (d) (e) (f) | 720,000 | 646,128 |
Series Y, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.00%), 4.15%, 11/15/2026 (d) (e) (f) | 620,000 | 532,425 |
(SOFR + 1.17%), 2.56%, 5/1/2032 (d) | 320,000 | 256,952 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (d) | 140,000 | 110,473 |
Comcast Corp. 2.94%, 11/1/2056 | 290,000 | 181,895 |
Conagra Brands, Inc. 0.50%, 8/11/2023 | 430,000 | 420,842 |
Constellation Energy Generation LLC | ||
5.80%, 3/1/2033 | 200,000 | 202,283 |
5.60%, 6/15/2042 | 210,000 | 202,062 |
CVS Health Corp. 5.25%, 2/21/2033 | 370,000 | 364,208 |
Danaher Corp. 2.80%, 12/10/2051 | 85,000 | 56,198 |
Diamondback Energy, Inc. 3.13%, 3/24/2031 | 277,000 | 232,313 |
Discover Bank 4.20%, 8/8/2023 | 655,000 | 651,275 |
Discovery Communications LLC 3.63%, 5/15/2030 | 50,000 | 42,788 |
Duquesne Light Holdings, Inc. 2.78%, 1/7/2032 (b) | 140,000 | 110,109 |
Entergy Texas, Inc. 1.75%, 3/15/2031 | 115,000 | 89,828 |
Enterprise Products Operating LLC 5.35%, 1/31/2033 | 215,000 | 214,867 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 274,000 | 249,664 |
Fidelity National Information Services, Inc. 2.00%, 5/21/2030 | EUR 200,000 | 181,861 |
Fiserv, Inc. 1.63%, 7/1/2030 | EUR 100,000 | 88,225 |
Ford Motor Credit Co. LLC | ||
4.27%, 1/9/2027 | 400,000 | 362,247 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
3.63%, 6/17/2031 | 467,000 | 369,971 |
Freeport-McMoRan, Inc. | ||
4.25%, 3/1/2030 | 218,000 | 197,427 |
5.40%, 11/14/2034 | 523,000 | 492,276 |
General Electric Co. 4.13%, 9/19/2035 (a) | EUR 100,000 | 103,091 |
General Motors Financial Co., Inc. 2.75%, 6/20/2025 | 39,000 | 36,585 |
Georgia Power Co. Series A, 2.10%, 7/30/2023 | 785,000 | 774,494 |
Global Payments, Inc. | ||
2.90%, 11/15/2031 | 265,000 | 210,146 |
5.95%, 8/15/2052 | 344,000 | 318,047 |
Goldman Sachs Group, Inc. (The) | ||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.97%), 3.80%, 5/10/2026 (d) (e) (f) | 10,000 | 8,582 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (d) | 355,000 | 310,961 |
(SOFR + 1.28%), 2.62%, 4/22/2032 (d) | 290,000 | 232,900 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (d) | 190,000 | 149,230 |
(SOFR + 1.26%), 2.65%, 10/21/2032 (d) | 300,000 | 239,200 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (b) | 50,000 | 45,244 |
HCA, Inc. | ||
5.88%, 2/15/2026 | 185,000 | 184,855 |
2.38%, 7/15/2031 | 370,000 | 288,101 |
5.50%, 6/15/2047 | 250,000 | 224,830 |
5.25%, 6/15/2049 | 120,000 | 103,500 |
3.50%, 7/15/2051 | 150,000 | 97,679 |
4.63%, 3/15/2052 (b) | 687,000 | 540,489 |
Healthpeak Properties Interim, Inc., REIT 5.25%, 12/15/2032 | 367,000 | 360,294 |
Hyundai Capital America | ||
3.50%, 11/2/2026 (b) | 555,000 | 515,263 |
3.50%, 11/2/2026 (a) | 150,000 | 139,260 |
Intel Corp. | ||
5.20%, 2/10/2033 | 375,000 | 367,991 |
5.70%, 2/10/2053 | 2,000 | 1,954 |
International Game Technology plc 2.38%, 4/15/2028 (a) | EUR 200,000 | 185,218 |
86 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
United States — continued | ||
Kansas City Southern 3.50%, 5/1/2050 | 90,000 | 65,504 |
Kinder Morgan, Inc. 5.20%, 6/1/2033 | 230,000 | 219,005 |
Metropolitan Life Global Funding I 3.30%, 3/21/2029 (b) | 185,000 | 166,816 |
Morgan Stanley | ||
(SOFR + 0.46%), 5.02%, 1/25/2024 (d) | 598,000 | 597,627 |
(SOFR + 0.62%), 0.73%, 4/5/2024 (d) | 545,000 | 542,224 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (d) | 690,000 | 609,195 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (d) | 315,000 | 299,224 |
(SOFR + 1.73%), 5.12%, 2/1/2029 (d) | 455,000 | 446,814 |
(SOFR + 1.18%), 2.24%, 7/21/2032 (d) | 220,000 | 171,128 |
(SOFR + 1.20%), 2.51%, 10/20/2032 (d) | 173,000 | 136,927 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.43%), 5.95%, 1/19/2038 (d) | 125,000 | 122,135 |
MPLX LP | ||
5.00%, 3/1/2033 | 150,000 | 140,734 |
5.65%, 3/1/2053 | 30,000 | 27,624 |
Netflix, Inc. 5.38%, 11/15/2029 (b) | 357,000 | 351,338 |
Oracle Corp. 5.55%, 2/6/2053 | 250,000 | 229,083 |
Pacific Gas and Electric Co. | ||
3.30%, 3/15/2027 | 366,000 | 333,853 |
6.15%, 1/15/2033 | 460,000 | 454,062 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (b) (g) | 9,000 | 6,774 |
PepsiCo, Inc. 0.75%, 3/18/2027 | EUR 1,100,000 | 1,038,183 |
PNC Financial Services Group, Inc. (The) | ||
Series T, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.60%), 3.40%, 9/15/2026 (d) (e) (f) | 410,000 | 338,824 |
(SOFR + 1.93%), 5.07%, 1/24/2034 (d) | 210,000 | 203,059 |
Regency Centers LP, REIT 2.95%, 9/15/2029 | 95,000 | 79,973 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Roper Technologies, Inc. 2.95%, 9/15/2029 | 446,000 | 387,743 |
Southern California Edison Co. Series J, 0.70%, 8/1/2023 | 460,000 | 451,015 |
Take-Two Interactive Software, Inc. | ||
3.55%, 4/14/2025 | 60,000 | 57,609 |
3.70%, 4/14/2027 | 210,000 | 198,172 |
4.00%, 4/14/2032 | 70,000 | 62,350 |
Thermo Fisher Scientific, Inc. 0.88%, 10/1/2031 | EUR 100,000 | 82,230 |
T-Mobile USA, Inc. | ||
2.63%, 2/15/2029 | 34,000 | 28,921 |
2.55%, 2/15/2031 | 81,000 | 66,109 |
Toyota Motor Credit Corp. 0.50%, 8/14/2023 | 750,000 | 734,626 |
Truist Financial Corp. (SOFR + 1.85%), 5.12%, 1/26/2034 (d) | 90,000 | 87,575 |
Union Electric Co. 3.90%, 4/1/2052 | 80,000 | 64,137 |
Verizon Communications, Inc. | ||
2.55%, 3/21/2031 | 330,000 | 269,936 |
2.36%, 3/15/2032 | 60,000 | 47,169 |
2.65%, 11/20/2040 | 60,000 | 40,638 |
VMware, Inc. 2.20%, 8/15/2031 | 290,000 | 219,915 |
Warnermedia Holdings, Inc. | ||
4.28%, 3/15/2032 (b) | 822,000 | 709,642 |
5.05%, 3/15/2042 (b) | 155,000 | 125,571 |
5.14%, 3/15/2052 (b) | 470,000 | 368,435 |
Wells Fargo & Co. Series BB, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.45%), 3.90%, 3/15/2026 (d) (e) (f) | 340,000 | 304,088 |
30,058,039 | ||
Total Corporate Bonds (Cost $202,458,387) | 175,660,102 | |
Foreign Government Securities — 27.8% | ||
Angola — 0.2% | ||
Republic of Angola | ||
8.00%, 11/26/2029 (a) | 210,000 | 190,050 |
8.75%, 4/14/2032 (b) | 483,000 | 435,908 |
625,958 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 87 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Australia — 4.7% | ||
Commonwealth of Australia | ||
5.50%, 4/21/2023 (a) | AUD 4,688,000 | 3,162,827 |
1.25%, 5/21/2032 | AUD 16,638,000 | 8,954,877 |
3.00%, 3/21/2047 (a) | AUD 2,140,000 | 1,178,352 |
13,296,056 | ||
Bahrain — 0.1% | ||
Kingdom of Bahrain 6.00%, 9/19/2044 (a) | 335,000 | 265,906 |
Brazil — 6.0% | ||
Notas do Tesouro Nacional | ||
10.00%, 1/1/2025 (k) | BRL 40,000,000 | 7,327,979 |
10.00%, 1/1/2027 | BRL 56,000,000 | 9,797,792 |
17,125,771 | ||
Canada — 3.4% | ||
Canada Government Bond | ||
0.50%, 11/1/2023 | CAD 8,500,000 | 6,066,614 |
0.75%, 2/1/2024 | CAD 5,000,000 | 3,538,842 |
9,605,456 | ||
Colombia — 0.2% | ||
Republic of Colombia | ||
3.13%, 4/15/2031 | 460,000 | 332,867 |
5.20%, 5/15/2049 | 520,000 | 343,785 |
676,652 | ||
Costa Rica — 0.1% | ||
Republic of Costa Rica 6.13%, 2/19/2031 (a) | 300,000 | 290,119 |
Cote D'Ivoire — 0.5% | ||
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (a) | 270,000 | 255,150 |
6.13%, 6/15/2033 (a) | 570,000 | 490,200 |
6.88%, 10/17/2040 (b) | EUR 730,000 | 567,509 |
1,312,859 | ||
Dominican Republic — 0.4% | ||
Dominican Republic Government Bond | ||
6.88%, 1/29/2026 (b) | 280,000 | 282,590 |
5.30%, 1/21/2041 (b) | 375,000 | 292,453 |
6.85%, 1/27/2045 (a) | 660,000 | 586,493 |
1,161,536 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ecuador — 0.1% | ||
Republic of Ecuador 2.50%, 7/31/2035 (a) (g) | 537,000 | 187,547 |
Hungary — 0.1% | ||
Hungary Government Bond 6.75%, 9/25/2052 (b) | 394,000 | 403,850 |
Israel — 0.2% | ||
State of Israel Government Bond 3.38%, 1/15/2050 | 570,000 | 421,088 |
Italy — 1.8% | ||
Italian Republic Government Bond | ||
0.88%, 5/6/2024 | 962,000 | 904,467 |
2.38%, 10/17/2024 | 3,295,000 | 3,112,698 |
2.88%, 10/17/2029 | 1,135,000 | 958,603 |
4,975,768 | ||
Kazakhstan — 0.1% | ||
Republic of Kazakhstan 1.50%, 9/30/2034 (b) | EUR 370,000 | 282,089 |
Lebanon — 0.0% ^ | ||
Lebanese Republic | ||
6.65%, 4/22/2024 (a) (k) | �� 227,000 | 15,507 |
6.65%, 11/3/2028 (a) (k) | 226,000 | 15,255 |
30,762 | ||
Mexico — 1.9% | ||
Mex Bonos Desarr Fix Rt | ||
7.75%, 5/29/2031 | MXN 37,280,000 | 1,854,393 |
8.50%, 11/18/2038 | MXN 42,000,000 | 2,144,349 |
United Mexican States | ||
6.35%, 2/9/2035 | 325,000 | 333,775 |
3.77%, 5/24/2061 | 392,000 | 257,324 |
3.75%, 4/19/2071 | 1,433,000 | 926,345 |
5,516,186 | ||
New Zealand — 0.8% | ||
New Zealand Government Bond | ||
4.50%, 4/15/2027 (a) | NZD 952,000 | 585,549 |
2.75%, 4/15/2037 (a) | NZD 3,201,000 | 1,579,978 |
2,165,527 | ||
Nigeria — 0.2% | ||
Federal Republic of Nigeria | ||
7.63%, 11/21/2025 (a) | 300,000 | 270,000 |
7.38%, 9/28/2033 (b) | 327,000 | 237,075 |
507,075 |
88 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Oman — 0.4% | ||
Sultanate of Oman Government Bond | ||
5.63%, 1/17/2028 (a) | 300,000 | 293,587 |
6.25%, 1/25/2031 (a) | 550,000 | 554,400 |
6.75%, 1/17/2048 (a) | 320,000 | 306,800 |
1,154,787 | ||
Paraguay — 0.3% | ||
Republic of Paraguay | ||
5.00%, 4/15/2026 (a) | 302,000 | 294,318 |
4.95%, 4/28/2031 (b) | 550,000 | 516,244 |
810,562 | ||
Philippines — 0.2% | ||
Republic of Philippines | ||
2.95%, 5/5/2045 | 330,000 | 233,511 |
5.50%, 1/17/2048 | 200,000 | 202,522 |
436,033 | ||
Portugal — 1.5% | ||
Portuguese Republic 5.13%, 10/15/2024 (a) | 4,260,000 | 4,242,960 |
Qatar — 0.1% | ||
State of Qatar | ||
5.10%, 4/23/2048 (a) | 245,000 | 241,325 |
4.40%, 4/16/2050 (b) | 200,000 | 179,500 |
420,825 | ||
Romania — 0.4% | ||
Romania Government Bond | ||
6.63%, 9/27/2029 (b) | EUR 776,000 | 830,009 |
4.63%, 4/3/2049 (b) | EUR 276,000 | 212,740 |
7.63%, 1/17/2053 (b) | 148,000 | 159,748 |
1,202,497 | ||
Saudi Arabia — 0.2% | ||
Kingdom of Saudi Arabia 5.00%, 1/18/2053 (b) | 566,000 | 516,475 |
Senegal — 0.2% | ||
Republic of Senegal 6.25%, 5/23/2033 (a) | 660,000 | 543,675 |
Serbia — 0.1% | ||
Republic of Serbia 1.50%, 6/26/2029 (b) | EUR 410,000 | 322,207 |
South Africa — 1.5% | ||
Republic of South Africa | ||
4.30%, 10/12/2028 | 490,000 | 433,650 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
South Africa—continued | ||
8.25%, 3/31/2032 | ZAR 29,250,000 | 1,370,607 |
8.88%, 2/28/2035 | ZAR 39,832,132 | 1,842,771 |
5.75%, 9/30/2049 | 710,000 | 515,637 |
4,162,665 | ||
Spain — 1.7% | ||
Bonos and Obligaciones del Estado | ||
2.75%, 10/31/2024 (a) | EUR 2,790,000 | 2,926,915 |
1.60%, 4/30/2025 (a) | EUR 2,000,000 | 2,042,190 |
4,969,105 | ||
Turkey — 0.1% | ||
Republic of Turkey 9.88%, 1/15/2028 | 350,000 | 354,813 |
United Arab Emirates — 0.3% | ||
United Arab Emirates Government Bond | ||
4.05%, 7/7/2032 (b) | 441,000 | 427,301 |
4.00%, 7/28/2050 (b) | 400,000 | 253,450 |
4.95%, 7/7/2052 (b) | 305,000 | 296,003 |
976,754 | ||
Uruguay — 0.0% ^ | ||
Oriental Republic of Uruguay 5.10%, 6/18/2050 | 88,906 | 87,039 |
Total Foreign Government Securities (Cost $86,702,556) | 79,050,602 | |
Asset-Backed Securities — 2.2% | ||
Cayman Islands — 0.4% | ||
Bain Capital Credit CLO Ltd. Series 2021-7A, Class A1, 5.96%, 1/22/2035 (b) (i) | 250,000 | 244,812 |
Dryden 68 CLO Ltd. Series 2019-68A, Class AR, 5.96%, 7/15/2035 (b) (i) | 290,000 | 285,750 |
Galaxy CLO Ltd. Series 2013-15A, Class ARR, 5.76%, 10/15/2030 (b) (i) | 246,671 | 244,627 |
Neuberger Berman CLO Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (b) (i) | 249,788 | 247,548 |
1,022,737 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 89 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
United States — 1.8% | ||
Accelerated Assets LLC Series 2018-1, Class C, 6.65%, 12/2/2033 (b) | 92,283 | 89,371 |
American Credit Acceptance Receivables Trust | ||
Series 2023-1, Class A, 5.45%, 9/14/2026 (b) | 300,000 | 299,652 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | 267,000 | 263,112 |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | 81,000 | 80,899 |
Chase Funding Trust Series 2003-6, Class 1A7, 4.84%, 11/25/2034 (g) | 61,429 | 60,439 |
Credit-Based Asset Servicing and Securitization LLC Series 2004-CB5, Class M1, 5.53%, 1/25/2034 (i) | 74,665 | 70,158 |
DT Auto Owner Trust | ||
Series 2019-1A, Class D, 3.87%, 11/15/2024 (b) | 5,573 | 5,570 |
Series 2019-1A, Class E, 4.94%, 2/17/2026 (b) | 100,000 | 99,850 |
Exeter Automobile Receivables Trust Series 2018-3A, Class D, 4.35%, 6/17/2024 (b) | 5,712 | 5,710 |
Flagship Credit Auto Trust | ||
Series 2023-1, Class A3, 5.01%, 8/16/2027 (b) | 88,000 | 87,080 |
Series 2023-1, Class B, 5.05%, 1/18/2028 (b) | 66,000 | 65,212 |
FREED ABS Trust Series 2022-3FP, Class B, 5.79%, 8/20/2029 (b) | 670,000 | 664,920 |
GM Financial Automobile Leasing Trust | ||
Series 2023-1, Class A2B, 5.10%, 6/20/2025 (i) | 120,000 | 120,227 |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | 172,000 | 171,890 |
GoldenTree Loan Opportunities Ltd. Series 2015-10A, Class AR, 5.93%, 7/20/2031 (b) (i) | 275,000 | 272,555 |
JetBlue Pass-Through Trust | ||
Series 2019-1, Class B, 8.00%, 11/15/2027 | 137,126 | 135,507 |
Series 2019-1, Class A, 2.95%, 5/15/2028 | 43,294 | 37,118 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Series 2020-1, Class B, 7.75%, 11/15/2028 | 37,192 | 36,511 |
Lendmark Funding Trust Series 2019-2A, Class C, 3.72%, 4/20/2028 (b) | 580,000 | 535,002 |
Progress Residential Series 2021-SFR1, Class E, 2.11%, 4/17/2038 (b) | 250,000 | 215,432 |
Santander Revolving Auto Loan Trust | ||
Series 2019-A, Class C, 3.00%, 1/26/2032 (b) | 150,000 | 139,789 |
Series 2019-A, Class D, 3.45%, 1/26/2032 (b) | 650,000 | 601,972 |
Structured Asset Investment Loan Trust Series 2005-HE3, Class M1, 5.34%, 9/25/2035 (i) | 24,086 | 23,516 |
US Auto Funding Series 2021-1A, Class C, 2.20%, 5/15/2026 (b) | 1,125,000 | 1,074,473 |
5,155,965 | ||
Total Asset-Backed Securities (Cost $6,396,023) | 6,178,702 | |
Commercial Mortgage-Backed Securities — 1.6% | ||
United States — 1.6% | ||
BAMLL Re-REMIC Trust Series 2014-FRR4, Class BK29, PO, 4/27/2023 ‡ (b) | 400,000 | 394,851 |
BANK | ||
Series 2018-BN10, Class C, 4.16%, 2/15/2061 (i) | 70,000 | 59,729 |
Series 2018-BN13, Class C, 4.58%, 8/15/2061 (i) | 118,000 | 99,660 |
Series 2019-BN20, Class C, 3.66%, 9/15/2062 (i) | 176,000 | 140,374 |
Benchmark Mortgage Trust Series 2019-B11, Class C, 3.75%, 5/15/2052 (i) | 315,000 | 253,905 |
BHMS Series 2018-ATLS, Class A, 5.84%, 7/15/2035 (b) (i) | 130,000 | 127,578 |
Cascade Funding Mortgage Trust Series 2021-FRR1, Class BK45, 2.10%, 2/28/2025 (b) (i) | 1,000,000 | 887,378 |
CCUBS Commercial Mortgage Trust Series 2017-C1, Class C, 4.43%, 11/15/2050 (i) | 28,000 | 24,076 |
90 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
CD Mortgage Trust Series 2016-CD2, Class C, 3.98%, 11/10/2049 (i) | 21,000 | 16,997 |
Citigroup Commercial Mortgage Trust Series 2014-GC23, Class C, 4.43%, 7/10/2047 (i) | 21,000 | 19,858 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K033, Class X1, IO, 0.28%, 7/25/2023 (i) | 3,539,462 | 2,042 |
Series K739, Class X1, IO, 1.22%, 9/25/2027 (i) | 2,108,102 | 87,357 |
Series K153, Class X3, IO, 3.78%, 4/25/2035 (i) | 340,000 | 79,326 |
Series K036, Class X3, IO, 2.12%, 12/25/2041 (i) | 2,640,000 | 35,597 |
Series K041, Class X3, IO, 1.64%, 11/25/2042 (i) | 3,470,000 | 77,383 |
Series K054, Class X3, IO, 1.60%, 4/25/2043 (i) | 1,365,000 | 58,075 |
Series K050, Class X3, IO, 1.55%, 10/25/2043 (i) | 1,010,000 | 32,851 |
Series K051, Class X3, IO, 1.61%, 10/25/2043 (i) | 1,395,000 | 53,294 |
Series K052, Class X3, IO, 1.61%, 1/25/2044 (i) | 750,000 | 28,102 |
Series K726, Class X3, IO, 2.15%, 7/25/2044 (i) | 2,890,000 | 66,919 |
Series K067, Class X3, IO, 2.11%, 9/25/2044 (i) | 1,385,000 | 105,638 |
Series K072, Class X3, IO, 2.14%, 12/25/2045 (i) | 400,000 | 33,351 |
Series K089, Class X3, IO, 2.30%, 1/25/2046 (i) | 850,000 | 92,470 |
Series K078, Class X3, IO, 2.21%, 6/25/2046 (i) | 1,820,000 | 171,585 |
Series K088, Class X3, IO, 2.35%, 2/25/2047 (i) | 980,000 | 108,694 |
FREMF Series 2018-KF46, Class B, 6.52%, 3/25/2028 (b) (i) | 241,539 | 222,715 |
FREMF Mortgage Trust | ||
Series 2017-KF31, Class B, 7.47%, 4/25/2024 (b) (i) | 38,243 | 38,022 |
Series 2017-KF36, Class B, 7.22%, 8/25/2024 (b) (i) | 30,220 | 29,536 |
Series 2017-KF38, Class B, 7.07%, 9/25/2024 (b) (i) | 19,724 | 19,430 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Series 2018-KF47, Class B, 6.57%, 5/25/2025 (b) (i) | 9,422 | 9,227 |
Series 2018-KF49, Class B, 6.47%, 6/25/2025 (b) (i) | 133,614 | 127,987 |
Series 2017-K728, Class B, 3.65%, 11/25/2050 (b) (i) | 190,000 | 183,155 |
Series 2017-K728, Class C, 3.65%, 11/25/2050 (b) (i) | 105,000 | 100,313 |
GNMA Series 2017-23, IO, 0.61%, 5/16/2059 (i) | 249,851 | 8,455 |
GS Mortgage Securities Trust | ||
Series 2012-GCJ9, Class D, 4.61%, 11/10/2045 (b) (i) | 282,246 | 261,062 |
Series 2015-GC30, Class C, 4.07%, 5/10/2050 (i) | 36,000 | 32,121 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C30, Class C, 4.23%, 7/15/2048 (i) | 62,000 | 55,528 |
Series 2015-C31, Class C, 4.62%, 8/15/2048 (i) | 23,000 | 20,138 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2016-JP4, Class C, 3.38%, 12/15/2049 (i) | 28,000 | 23,366 |
LB-UBS Commercial Mortgage Trust Series 2006-C6, Class AJ, 5.45%, 9/15/2039 (i) | 134,898 | 59,084 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C14, Class C, 5.06%, 2/15/2047 (i) | 21,000 | 20,496 |
Series 2015-C24, Class C, 4.33%, 5/15/2048 (i) | 36,000 | 32,871 |
Morgan Stanley Capital I Trust | ||
Series 2005-HQ7, Class E, 5.49%, 11/14/2042 (i) | 35,173 | 34,422 |
Series 2015-MS1, Class B, 4.02%, 5/15/2048 (i) | 28,000 | 25,786 |
UBS Commercial Mortgage Trust Series 2017-C7, Class B, 4.29%, 12/15/2050 (i) | 106,000 | 95,976 |
Velocity Commercial Capital Loan Trust | ||
Series 2018-2, Class A, 4.05%, 10/26/2048 (b) (i) | 81,334 | 77,393 |
Series 2019-1, Class M1, 3.94%, 3/25/2049 (b) (i) | 93,751 | 82,856 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 91 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
United States — continued | ||
Wells Fargo Commercial Mortgage Trust | ||
Series 2016-C35, Class C, 4.18%, 7/15/2048 (i) | 23,000 | 18,822 |
Series 2019-C49, Class C, 4.87%, 3/15/2052 (i) | 59,000 | 51,131 |
Total Commercial Mortgage-Backed Securities (Cost $5,232,023) | 4,686,982 | |
Collateralized Mortgage Obligations — 1.1% | ||
United Kingdom — 0.0% ^ | ||
Brass NO 8 plc Series 8A, Class A1, 5.57%, 11/16/2066 (b) (i) | 21,638 | 21,634 |
United States — 1.1% | ||
Alternative Loan Trust | ||
Series 2004-25CB, Class A1, 6.00%, 12/25/2034 | 87,084 | 76,871 |
Series 2005-6CB, Class 1A6, 5.50%, 4/25/2035 | 55,606 | 47,611 |
Series 2005-80CB, Class 5A1, 6.00%, 2/25/2036 | 65,468 | 61,590 |
Series 2007-2CB, Class 1A6, 5.75%, 3/25/2037 | 117,762 | 67,645 |
Chase Mortgage Finance Trust Series 2007-A1, Class 1A5, 3.80%, 2/25/2037 (i) | 12,683 | 12,064 |
CHL Mortgage Pass-Through Trust Series 2007-16, Class A1, 6.50%, 10/25/2037 | 41,357 | 20,395 |
Connecticut Avenue Securities Trust Series 2023-R02, Class 1M1, 6.79%, 1/25/2043 (b) (i) | 363,637 | 366,055 |
FHLMC, REMIC | ||
Series 2916, Class S, IF, IO, 2.66%, 1/15/2035 (i) | 1,125,918 | 76,681 |
Series 4305, Class SK, IF, IO, 2.01%, 2/15/2044 (i) | 400,909 | 42,306 |
Series 4689, Class SD, IF, IO, 1.56%, 6/15/2047 (i) | 266,704 | 31,290 |
Series 4714, Class SA, IF, IO, 1.56%, 8/15/2047 (i) | 216,646 | 22,970 |
Series 5022, IO, 3.00%, 9/25/2050 | 401,333 | 56,754 |
Series 5023, Class MI, IO, 3.00%, 10/25/2050 | 728,502 | 128,018 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United States — continued | ||
Series 4839, Class WS, IF, IO, 1.51%, 8/15/2056 (i) | 1,786,269 | 231,259 |
FNMA, REMIC | ||
Series 2012-146, Class AI, IO, 3.00%, 1/25/2028 | 567,299 | 24,271 |
Series 2016-68, Class BI, IO, 3.00%, 10/25/2031 | 480,928 | 37,795 |
Series 2012-93, Class SE, IF, IO, 1.48%, 9/25/2042 (i) | 81,676 | 7,546 |
Series 2012-124, Class UI, IO, 4.00%, 11/25/2042 | 82,758 | 14,383 |
Series 2012-133, Class NS, IF, IO, 1.53%, 12/25/2042 (i) | 141,309 | 12,880 |
Series 2015-40, Class LS, IF, IO, 1.55%, 6/25/2045 (i) | 202,364 | 18,255 |
Series 2016-75, Class SC, IF, IO, 1.48%, 10/25/2046 (i) | 482,232 | 31,899 |
Series 2017-31, Class SG, IF, IO, 1.48%, 5/25/2047 (i) | 681,326 | 69,435 |
Series 2017-39, Class ST, IF, IO, 1.48%, 5/25/2047 (i) | 190,704 | 21,344 |
Series 2017-69, Class SH, IF, IO, 1.58%, 9/25/2047 (i) | 307,172 | 34,844 |
Series 2019-42, Class SK, IF, IO, 1.43%, 8/25/2049 (i) | 512,534 | 50,514 |
FNMA, STRIPS Series 409, Class 27, IO, 4.00%, 4/25/2027 (i) | 64,740 | 2,400 |
GNMA | ||
Series 2017-107, Class KS, IF, IO, 1.60%, 7/20/2047 (i) | 178,143 | 15,790 |
Series 2015-H13, Class GI, IO, 1.41%, 4/20/2065 (i) | 107,980 | 2,360 |
Merrill Lynch Mortgage Investors Trust Series 2004-C, Class A1, 5.18%, 7/25/2029 (i) | 29,563 | 27,480 |
MFA Trust Series 2023-RTL1, Class A1, 7.58%, 8/25/2027 (b) (g) | 230,000 | 229,361 |
PNMAC GMSR ISSUER TRUST Series 2018-GT2, Class A, 7.27%, 8/25/2025 (b) (i) | 210,000 | 206,036 |
92 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
United States — continued | ||
Structured Adjustable Rate Mortgage Loan Trust Series 2004-8, Class 3A, 4.96%, 7/25/2034 (i) | 11,402 | 10,752 |
VM Master Issuer LLC Series 2022-1, Class A1, 5.16%, 5/24/2025 ‡ (b) (i) | 1,200,000 | 1,124,280 |
3,183,134 | ||
Total Collateralized Mortgage Obligations (Cost $3,936,918) | 3,204,768 | |
Supranational — 0.3% | ||
African Export-Import Bank (The), 5.25%, 10/11/2023 (a) | 200,000 | 198,000 |
European Union, 0.10%, 10/4/2040 (a) | EUR 1,070,000 | 631,848 |
Total Supranational (Cost $1,415,773) | 829,848 | |
NO. OF WARRANTS | ||
Warrants — 0.0% ^ | ||
United States — 0.0% ^ | ||
Windstream Holdings, Inc. expiring 12/31/2049, price 10.75 USD ‡ *(Cost $—) | 16 | 120 |
SHARES | ||
Short-Term Investments — 0.2% | ||
Investment Companies — 0.2% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (l) (m)(Cost $486,978) | 486,978 | 486,978 |
Total Investments — 94.9% (Cost $306,628,658) | 270,098,102 | |
Other Assets Less Liabilities — 5.1% | 14,409,334 | |
NET ASSETS — 100.0% | 284,507,436 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLO | Collateralized Loan Obligations |
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 |
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 28, 2023. 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 |
NZD | New Zealand Dollar |
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 |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the 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 |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
* | Non-income producing security. | |
(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. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 93 |
AS OF February 28, 2023 (continued)
(c) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $6,110,718 or 2.15% of the Fund’s net assets as of February 28, 2023 . | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(e) | Security is an interest bearing note with preferred security characteristics. | |
(f) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
(g) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. |
(h) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(i) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(j) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(k) | Defaulted security. | |
(l) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(m) | The rate shown is the current yield as of February 28, 2023. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
Euro-Buxl 30 Year Bond | 42 | 03/08/2023 | EUR | 5,964,286 | (424,538) |
U.S. Treasury 10 Year Note | 217 | 06/21/2023 | USD | 24,236,188 | (29,440) |
U.S. Treasury Ultra Bond | 2 | 06/21/2023 | USD | 271,375 | 402 |
U.S. Treasury 5 Year Note | 48 | 06/30/2023 | USD | 5,140,125 | (3,854) |
(457,430) | |||||
Short Contracts | |||||
Euro-Bobl | (314) | 03/08/2023 | EUR | (38,253,329) | 1,519,489 |
Euro-Bund | (30) | 03/08/2023 | EUR | (4,217,367) | 139,482 |
Japan 10 Year Bond | (18) | 03/13/2023 | JPY | (19,409,937) | 61,045 |
U.S. Treasury Long Bond | (5) | 06/21/2023 | USD | (627,188) | 2,684 |
U.S. Treasury 10 Year Ultra Note | (67) | 06/21/2023 | USD | (7,859,937) | 3,000 |
U.S. Treasury Ultra Bond | (9) | 06/21/2023 | USD | (1,221,188) | (12,707) |
U.S. Treasury 2 Year Note | (4) | 06/30/2023 | USD | (814,969) | 2,430 |
U.S. Treasury 5 Year Note | (82) | 06/30/2023 | USD | (8,781,047) | 8,250 |
1,723,673 | |||||
1,266,243 |
Abbreviations | |
EUR | Euro |
JPY | Japanese Yen |
USD | United States Dollar |
94 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||
USD | 662,270 | EUR | 604,742 | BNP Paribas | 3/3/2023 | 22,595 |
USD | 852,160 | EUR | 784,227 | Citibank, NA | 3/3/2023 | 22,633 |
USD | 100,145,106 | EUR | 92,344,746 | HSBC Bank, NA | 3/3/2023 | 2,466,145 |
USD | 172,871 | EUR | 158,784 | Merrill Lynch International | 3/3/2023 | 4,915 |
USD | 664,882 | EUR | 617,117 | Morgan Stanley | 3/3/2023 | 12,117 |
USD | 302,959 | EUR | 282,702 | Royal Bank of Canada | 3/3/2023 | 3,927 |
USD | 6,994,380 | GBP | 5,675,611 | Citibank, NA | 3/3/2023 | 167,357 |
BRL | 7,376,305 | USD | 1,402,259 | Goldman Sachs International** | 3/23/2023 | 535 |
CLP | 1,157,423,312 | USD | 1,389,380 | Goldman Sachs International** | 3/23/2023 | 5,070 |
MXN | 2,974,133 | USD | 159,216 | BNP Paribas | 3/23/2023 | 2,658 |
PLN | 12,307,656 | USD | 2,759,279 | BNP Paribas | 3/23/2023 | 3,130 |
USD | 15,769,506 | AUD | 22,612,840 | Barclays Bank plc | 3/23/2023 | 540,907 |
USD | 1,412,822 | AUD | 2,049,380 | Citibank, NA | 3/23/2023 | 32,669 |
USD | 17,355,777 | BRL | 89,954,647 | BNP Paribas** | 3/23/2023 | 248,588 |
USD | 6,082,969 | CAD | 8,127,205 | BNP Paribas | 3/23/2023 | 125,677 |
USD | 3,125,472 | CNY | 21,268,088 | Citibank, NA** | 3/23/2023 | 55,606 |
USD | 1,392,116 | COP | 6,697,125,764 | BNP Paribas** | 3/23/2023 | 20,029 |
USD | 2,086,169 | EUR | 1,960,598 | Standard Chartered Bank | 3/23/2023 | 9,681 |
USD | 13,892,259 | EUR | 12,881,595 | TD Bank Financial Group | 3/23/2023 | 249,239 |
USD | 1,420,101 | KRW | 1,790,151,017 | BNP Paribas** | 3/23/2023 | 64,096 |
USD | 2,297,843 | NZD | 3,623,442 | Citibank, NA | 3/23/2023 | 57,424 |
USD | 5,634,557 | PHP | 308,627,244 | Goldman Sachs International** | 3/23/2023 | 71,559 |
USD | 4,516,951 | ZAR | 80,813,227 | BNP Paribas | 3/23/2023 | 124,926 |
USD | 1,414,804 | ZAR | 25,356,115 | Goldman Sachs International | 3/23/2023 | 36,753 |
ZAR | 40,892,061 | USD | 2,216,247 | BNP Paribas | 3/23/2023 | 6,149 |
USD | 94,769,258 | EUR | 89,101,930 | Morgan Stanley | 4/5/2023 | 324,722 |
USD | 6,547,596 | GBP | 5,417,907 | Barclays Bank plc | 4/5/2023 | 26,393 |
Total unrealized appreciation | 4,705,500 | |||||
EUR | 817,610 | USD | 875,890 | HSBC Bank, NA | 3/3/2023 | (11,050) |
EUR | 5,281,583 | USD | 5,768,761 | Standard Chartered Bank | 3/3/2023 | (182,091) |
GBP | 257,704 | USD | 311,049 | Royal Bank of Canada | 3/3/2023 | (1,065) |
AUD | 465,166 | USD | 323,513 | Merrill Lynch International | 3/23/2023 | (10,248) |
CNY | 9,659,173 | USD | 1,427,098 | Goldman Sachs International** | 3/23/2023 | (32,880) |
COP | 6,777,150,779 | USD | 1,393,415 | Citibank, NA** | 3/23/2023 | (4,932) |
CZK | 62,314,993 | USD | 2,814,155 | BNP Paribas | 3/23/2023 | (12,732) |
EUR | 2,638,138 | CZK | 62,892,937 | BNP Paribas | 3/23/2023 | (33,329) |
EUR | 799,668 | USD | 855,978 | State Street Corp. | 3/23/2023 | (9,042) |
JPY | 744,467,873 | USD | 5,655,014 | Citibank, NA | 3/23/2023 | (170,264) |
KRW | 5,229,060,371 | USD | 4,129,368 | Citibank, NA** | 3/23/2023 | (168,454) |
PHP | 78,189,235 | USD | 1,425,250 | Goldman Sachs International** | 3/23/2023 | (15,891) |
THB | 92,917,047 | USD | 2,755,081 | BNP Paribas | 3/23/2023 | (120,254) |
THB | 47,458,379 | USD | 1,413,714 | Goldman Sachs International | 3/23/2023 | (67,948) |
USD | 1,421,911 | MXN | 27,056,825 | HSBC Bank, NA | 3/23/2023 | (50,714) |
EUR | 605,447 | USD | 646,108 | Merrill Lynch International | 4/5/2023 | (4,358) |
Total unrealized depreciation | (895,252) | |||||
Net unrealized appreciation | 3,810,248 |
Abbreviations | |
AUD | Australian Dollar |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 95 |
AS OF February 28, 2023 (continued)
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chile Peso |
CNY | China Yuan |
COP | Columbian Peso |
CZK | Czech Republic Koruna |
EUR | Euro |
GBP | British Pound |
JPY | Japanese Yen |
KRW | Korean Republic Won |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
PHP | Philippines Peso |
PLN | Polish Zloty |
THB | Thai Baht |
USD | United States Dollar |
ZAR | South African Rand |
** | Non-deliverable forward. |
FLOATING RATE INDEX (a) | FIXED RATE | PAY/RECIEVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS)($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) |
1 day SOFR annually | 2.95 annually | Receive | 12/17/2035 | USD 3,750,000 | — | 91,708 |
1 day SOFR annually | 3.03 annually | Receive | 12/4/2035 | USD 7,500,000 | — | 136,135 |
— | 227,843 | |||||
1 day SOFR annually | 2.74 annually | Pay | 12/17/2027 | USD 17,000,000 | — | (139,729) |
1 day SOFR annually | 2.87 annually | Pay | 12/4/2027 | USD 34,000,000 | — | (208,370) |
— | (348,099) | |||||
(120,256) |
(a) | Value of floating rate index at February 28, 2023 was as follows: |
FLOATING RATE INDEX | VALUE |
1 day SOFR | 4.55% |
Abbreviations | |
SOFR | Secured Overnight Financing Rate |
USD | United States Dollar |
96 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 90.9% | ||
Alabama — 3.2% | ||
Black Belt Energy Gas District, Gas Project | ||
Series E, Rev., 5.00%, 6/1/2028 (a) (b) | 1,750,000 | 1,836,311 |
Series 2022C-1, Rev., 5.25%, 6/1/2029 (a) (b) | 4,500,000 | 4,748,805 |
Series 2021A, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2031 (a) (b) | 2,535,000 | 2,512,567 |
Black Belt Energy Gas District, Gas Project No. 8 Series 2022A, Rev., 4.00%, 12/1/2029 (a) (b) | 970,000 | 942,871 |
City of Pell City, Warrants Series 2015A, GO, 5.00%, 2/1/2025 (a) | 100,000 | 103,276 |
Selma Industrial Development Board, International Paper Co. Project Series 2020A, Rev., 1.37%, 6/16/2025 (a) (b) | 100,000 | 92,759 |
Southeast Alabama Gas Supply District (The), Project No. 1 Series 2018A, Rev., 4.00%, 4/1/2024 (a) (b) | 25,000 | 24,988 |
Southeast Energy Authority A Cooperative District, Project No. 2 Series 2021B, Rev., 4.00%, 12/1/2031 (a) (b) | 300,000 | 292,181 |
Southeast Energy Authority A Cooperative District, Project No. 3 Series 2022A-1, Rev., 5.50%, 12/1/2029 (a) (b) | 1,000,000 | 1,071,743 |
Southeast Energy Authority A Cooperative District, Project No. 4 Series 2022B-1, Rev., 5.00%, 8/1/2028 (a) (b) | 1,250,000 | 1,288,235 |
University of Alabama (The), Huntsville General Fee Series B-2, Rev., 5.00%, 9/1/2031 (a) | 95,000 | 105,801 |
Total Alabama | 13,019,537 | |
Alaska — 0.1% | ||
Alaska Industrial Development and Export Authority, Tanana Chiefs Conference Project Series 2019A, Rev., 5.00%, 10/1/2024 (a) | 200,000 | 203,724 |
Alaska Municipal Bond Bank Authority | ||
Series 3, Rev., 5.00%, 10/1/2025 (a) | 20,000 | 20,478 |
Series 3, Rev., 5.00%, 12/1/2028 (a) | 225,000 | 238,418 |
Total Alaska | 462,620 | |
Arizona — 2.1% | ||
Arizona Board of Regents | ||
Series 2020A, Rev., 5.00%, 7/1/2030 (a) | 105,000 | 120,648 |
Series A, Rev., 5.00%, 7/1/2033 (a) | 430,000 | 487,627 |
Arizona Industrial Development Authority, Academies of Math and Science Projects | ||
Rev., 5.00%, 7/1/2032 (a) (c) | 120,000 | 121,681 |
Rev., 4.50%, 7/1/2033 (a) (c) | 510,000 | 497,622 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Arizona — continued | ||
Arizona Industrial Development Authority, Cadence Campus Project | ||
Series 2020A, Rev., 4.00%, 7/15/2030 (a) (c) | 120,000 | 113,239 |
Series 2020A, Rev., 4.00%, 7/15/2040 (a) (c) | 125,000 | 105,055 |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC | ||
Series A, Rev., 5.00%, 11/1/2033 (a) | 440,000 | 477,416 |
Series A, Rev., 5.00%, 11/1/2044 (a) | 250,000 | 254,538 |
Arizona Industrial Development Authority, Great Lakes Senior Living Communities LLC Project Series 2019A, Rev., 5.00%, 1/1/2036 (a) | 250,000 | 176,239 |
Arizona Industrial Development Authority, KIPP Nashville Project | ||
Series A, Rev., 5.00%, 7/1/2028 (a) | 225,000 | 234,218 |
Series A, Rev., 5.00%, 7/1/2029 (a) | 235,000 | 246,485 |
Arizona Industrial Development Authority, Macombs Facility Project Series 2021A, Rev., 4.00%, 7/1/2051 (a) | 125,000 | 103,353 |
Arizona Industrial Development Authority, National Charter School Revolving Loan Fund Series 2020A, Rev., 4.00%, 11/1/2038 (a) | 200,000 | 188,608 |
Arizona Industrial Development Authority, Phoenix Children's Hospital Series 2020A, Rev., 5.00%, 2/1/2031 (a) | 150,000 | 170,126 |
Arizona Industrial Development Authority, Pinecrest Academy of Northern Nevada Project Series 2022A, Rev., 4.50%, 7/15/2029 (a) (c) | 250,000 | 239,163 |
City of Mesa, Excise Tax Rev., 5.00%, 7/1/2031 (a) | 75,000 | 85,950 |
City of Phoenix Civic Improvement Corp. Series 2019A, Rev., 5.00%, 7/1/2044 (a) | 2,000,000 | 2,114,132 |
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System Series 2017D, Rev., 5.00%, 7/1/2026 (a) | 160,000 | 169,673 |
Industrial Development Authority of the County of Pima (The), La Posada at Pusch Ridge Project Series 2022B-3, Rev., 5.13%, 11/15/2029 (a) (c) | 750,000 | 745,118 |
Maricopa County Industrial Development Authority, Banner Health Series A, Rev., 4.00%, 1/1/2041 (a) | 1,500,000 | 1,426,815 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 97 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Arizona — continued | ||
Maricopa County School District No. 3, Tempe Elementary, School Improvement, Project of 2016 Series 2017A, GO, 5.00%, 7/1/2027 (a) | 30,000 | 32,573 |
Maricopa County Unified School District No. 60 Higley COP, AGM, 5.00%, 6/1/2036 (a) | 200,000 | 219,965 |
Salt Verde Financial Corp. Rev., 5.25%, 12/1/2026 (a) | 100,000 | 102,782 |
Total Arizona | 8,433,026 | |
Arkansas — 0.0% ^ | ||
City of Fort Smith, Water and Sewer Construction Rev., 5.00%, 10/1/2024 (a) | 75,000 | 76,721 |
California — 7.7% | ||
Azusa Unified School District, Election of 2014 | ||
Series 2022D, GO, 5.00%, 8/1/2029 (a) | 125,000 | 142,672 |
Series 2022D, GO, 5.00%, 8/1/2032 (a) | 175,000 | 205,789 |
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2025 (a) | 45,000 | 47,011 |
California Community Choice Financing Authority, Clean Energy Project | ||
Series 2023A-1, Rev., 5.00%, 8/1/2029 (a) (b) | 2,500,000 | 2,622,366 |
Series 2021B-1, Rev., 4.00%, 8/1/2031 (a) (b) | 4,250,000 | 4,224,670 |
California Enterprise Development Authority, Riverside County, Rocketship Public Schools-Obligated Group No. 2 Series 2022A, Rev., 4.00%, 6/1/2027 (a) (c) | 260,000 | 248,039 |
California Health Facilities Financing Authority, Kaiser Permanente Series 2006C, Rev., 5.00%, 11/1/2029 (a) (b) | 300,000 | 339,880 |
California Health Facilities Financing Authority, On Lok Senior Health Service | ||
Rev., 3.00%, 8/1/2023 (a) | 100,000 | 99,526 |
Rev., 5.00%, 8/1/2040 (a) | 100,000 | 104,043 |
California Municipal Finance Authority, Community Health System Series 2021A, Rev., 5.00%, 2/1/2033 (a) | 800,000 | 884,037 |
California Municipal Finance Authority, San Antonio Gardens Project Rev., 5.00%, 11/15/2039 (a) | 150,000 | 140,925 |
California Municipal Finance Authority, Waste Management, Inc. Project Series 2022-A, Rev., AMT, 4.13%, 10/1/2025 (a) (b) | 1,500,000 | 1,502,082 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
California Pollution Control Financing Authority, Poseidon Resources Channelside LP Desalination Project Rev., AMT, 5.00%, 7/1/2036 (a) (c) (d) | 770,000 | 804,020 |
California Public Finance Authority, Enso Village Project Series 2021B-1, Rev., 3.13%, 5/15/2029 (a) (c) | 200,000 | 176,082 |
California School Finance Authority, Kipp SoCal Public Schools Series A, Rev., 5.00%, 7/1/2039 (a) (c) | 500,000 | 511,569 |
California Statewide Communities Development Authority, Emanate Health, Tax-Exempt Series 2020A, Rev., 5.00%, 4/1/2030 (a) | 150,000 | 164,166 |
California Statewide Communities Development Authority, San Francisco Campus for Jewish Living Project | ||
Rev., 4.00%, 11/1/2027 (a) | 60,000 | 62,241 |
Rev., 4.00%, 11/1/2029 (a) | 145,000 | 153,671 |
Chula Vista Municipal Financing Authority Rev., 4.00%, 5/1/2026 (a) | 180,000 | 184,946 |
City of Aliso Viejo COP, 4.00%, 11/1/2028 (a) | 175,000 | 186,662 |
City of Los Angeles Department of Airports, International Airport Senior Series A, Rev., AMT, 5.00%, 5/15/2033 (a) | 100,000 | 102,880 |
City of Los Angeles Department of Airports, International Airport Subordinate | ||
Series 2019E, Rev., AMT, 5.00%, 5/15/2026 (a) | 10,000 | 10,657 |
Series 2021A, Rev., AMT, 5.00%, 5/15/2039 (a) | 1,740,000 | 1,842,611 |
City of Roseville, 316 Vernon Street Project COP, 5.00%, 8/1/2025 (a) | 70,000 | 73,073 |
City of Santa Rosa, Courthouse Square Project and Lease COP, 4.00%, 10/1/2024 (a) | 90,000 | 90,986 |
County of San Joaquin, Administration Building Project COP, AGM, 5.00%, 11/15/2027 (a) | 150,000 | 164,621 |
CSCDA Community Improvement Authority, Essential Housing, Pasadena Portfolio Series 2021A-1, Rev., 2.65%, 12/1/2046 (a) (c) | 255,000 | 191,202 |
CSCDA Community Improvement Authority, Essential Housing, Towne at Glendale Apartments Series 2022B, Rev., 5.00%, 9/1/2037 (a) (c) | 100,000 | 94,953 |
El Monte City School District, Election of 2014 Series A, GO, 5.00%, 8/1/2025 (a) | 55,000 | 57,350 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2018A-1, Rev., 5.00%, 6/1/2028 (a) (e) | 250,000 | 279,370 |
98 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Hermosa Beach City School District, Election of 2016 Series 2016A, GO, 4.00%, 8/1/2023 (a) | 15,000 | 15,057 |
Indian Wells Financing Authority, Solar and Infrastructure Project Rev., 5.00%, 4/1/2029 (a) | 150,000 | 169,509 |
Indio Finance Authority, City of Indio | ||
Series A, Rev., 5.00%, 11/1/2028 (a) | 275,000 | 301,762 |
Series A, Rev., 5.00%, 11/1/2029 (a) | 325,000 | 362,345 |
Series A, Rev., 5.00%, 11/1/2030 (a) | 400,000 | 451,781 |
Series A, Rev., 5.00%, 11/1/2034 (a) | 200,000 | 226,676 |
Los Angeles Department of Water and Power System Revenue Series 2022A, Rev., 5.00%, 7/1/2030 (a) | 235,000 | 271,879 |
Los Angeles Department of Water and Power, Water System Series A, Subseries A-2, Rev., VRDO, LIQ : Barclays Bank plc, 1.55%, 3/1/2023 (a) (b) | 3,000,000 | 3,000,000 |
Los Angeles Unified School District Series 2021A, GO, 5.00%, 7/1/2030 (a) | 350,000 | 404,927 |
Ontario Public Financing Authority, Civic Center Improvements Series 2022A, Rev., AGM, 5.00%, 11/1/2033 (a) | 140,000 | 165,745 |
Orange County Community Facilities District No. 2021-1, Rienda Series A, Rev., 5.00%, 8/15/2037 (a) | 500,000 | 519,943 |
Petaluma Public Financing Authority, Road Improvement Projects Rev., 5.00%, 5/1/2026 (a) | 150,000 | 159,025 |
Redding Joint Powers Financing Authority Series 2019A, Rev., 5.00%, 4/1/2026 (a) | 150,000 | 158,355 |
River Islands Public Financing Authority, Facilities District No. 2003 | ||
Series 2022A-1, Rev., AGM, 5.00%, 9/1/2029 (a) | 210,000 | 236,720 |
Series 2022A-1, Rev., AGM, 5.00%, 9/1/2030 (a) | 330,000 | 378,058 |
Salinas Union High School District, Election of 2020 Series A, GO, 4.00%, 8/1/2047 (a) | 1,000,000 | 952,233 |
San Diego Redevelopment Agency Successor Agency Series A, Rev., 5.00%, 9/1/2023 (a) | 130,000 | 131,162 |
San Dieguito Union High School District, Election of 2012 Series A-2, GO, 5.00%, 8/1/2024 (a) | 150,000 | 151,268 |
San Francisco Bay Area Rapid Transit District, Election of 2016 Series C-1, GO, 4.00%, 8/1/2035 (a) | 135,000 | 141,360 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
San Francisco City and County Public Utilities Commission Wastewater Series B, Rev., 5.00%, 10/1/2034 (a) | 2,000,000 | 2,363,553 |
San Ramon Valley Fire Protection District, Public Safety Complex and Fire Training Facility Projects COP, 4.00%, 8/1/2032 (a) | 125,000 | 134,149 |
Sanger Unified School District | ||
COP, AGM, 5.00%, 6/1/2034 (a) | 400,000 | 455,412 |
COP, AGM, 5.00%, 6/1/2035 (a) | 125,000 | 140,782 |
Santa Cruz County Capital Financing Authority Series 2020A, Rev., 4.00%, 6/1/2025 (a) | 100,000 | 101,995 |
Sierra View Local Health Care District Rev., 4.00%, 7/1/2023 (a) | 165,000 | 165,136 |
Solano Irrigation District, Water COP, 4.00%, 8/1/2031 (a) | 285,000 | 297,642 |
South San Francisco Public Facilities Financing Authority, Community Civic Campus and Multiple Capital Projects Series 2021A, Rev., 4.00%, 6/1/2029 (a) | 220,000 | 236,392 |
South San Francisco Public Facilities Financing Authority, Multiple Capital Project Series 2022A, Rev., 5.00%, 6/1/2029 (a) | 270,000 | 305,544 |
State of California, Various Purpose GO, 5.00%, 11/1/2032 (a) | 335,000 | 387,836 |
Tobacco Securitization Authority of Northern California Series 2021A, Class 1, Rev., 5.00%, 6/1/2032 (a) | 110,000 | 121,499 |
Tracy Public Financing Authority, Legacy Fields Series 2022A, Rev., 5.00%, 11/1/2036 (a) | 1,035,000 | 1,153,591 |
University of California Series 2018AZ, Rev., 4.00%, 5/15/2029 (a) | 130,000 | 138,267 |
Vallecito Union School District Series A, GO, 5.00%, 8/1/2031 (a) | 595,000 | 682,704 |
West Hills Community College District GO, AGM, 5.00%, 8/1/2026 (a) | 120,000 | 126,983 |
Yucaipa Valley Water District Financing Authority, Water & Sewer Revenue Series A, Rev., 5.00%, 9/1/2034 (a) | 500,000 | 582,940 |
Total California | 31,304,330 | |
Colorado — 3.1% | ||
Board of Water Commissioners City and County of Denver (The) Series B, Rev., 4.00%, 9/15/2034 (a) | 2,015,000 | 2,130,977 |
City and County of Denver Series 2020B, GO, 5.00%, 8/1/2029 (a) | 220,000 | 250,406 |
City and County of Denver, Airport System | ||
Series 2018A, Rev., AMT, 5.00%, 12/1/2029 (a) | 2,845,000 | 3,030,579 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 99 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Series 2022-A, Rev., AMT, 5.00%, 11/15/2032 (a) | 1,000,000 | 1,113,097 |
Series A, Rev., AMT, 5.00%, 12/1/2035 (a) | 505,000 | 527,987 |
Series A, Rev., AMT, 5.50%, 11/15/2042 (a) | 1,500,000 | 1,646,598 |
Colorado Educational and Cultural Facilities Authority, Aspen View Academy Project Rev., 4.00%, 5/1/2036 (a) | 85,000 | 77,211 |
Colorado Educational and Cultural Facilities Authority, Vega Collegiate Academy Project Series 2021A, Rev., 5.00%, 2/1/2051 (a) (c) | 150,000 | 128,711 |
Colorado Health Facilities Authority, Tax Exempt Series 2021B-3, Rev., 2.13%, 5/15/2028 (a) | 295,000 | 268,072 |
Colorado Higher Education, Capital Construction, Lease Purchase Financing Program | ||
Series 2014A, COP, 5.00%, 11/1/2025 (a) | 10,000 | 10,519 |
COP, 4.00%, 9/1/2034 (a) | 335,000 | 346,569 |
County of Adams | ||
COP, 5.00%, 12/1/2023 (a) | 60,000 | 60,785 |
COP, 5.00%, 12/1/2024 (a) | 150,000 | ��� 154,580 |
Dominion Water and Sanitation District Rev., 5.00%, 12/1/2027 (a) | 500,000 | 494,148 |
Regional Transportation District, Denver Transit Partners | ||
Rev., 5.00%, 7/15/2029 (a) | 130,000 | 138,719 |
Rev., 5.00%, 1/15/2030 (a) | 170,000 | 182,060 |
Rev., 5.00%, 7/15/2030 (a) | 115,000 | 123,707 |
Rev., 5.00%, 1/15/2031 (a) | 250,000 | 270,085 |
Series A, Rev., 4.00%, 7/15/2036 (a) | 185,000 | 178,911 |
Southlands Metropolitan District No. 1 Series A-1, GO, 5.00%, 12/1/2037 (a) | 250,000 | 242,919 |
State of Colorado Series S, COP, 4.00%, 3/15/2037 (a) | 1,000,000 | 1,009,112 |
STC Metropolitan District No. 2, Limited Tax Improvement Series 2019A, GO, 5.00%, 12/1/2038 (a) | 300,000 | 278,042 |
University of Colorado, Enterprise System Series A-2, Rev., 5.00%, 6/1/2026 (a) | 40,000 | 42,605 |
Total Colorado | 12,706,399 | |
Connecticut — 0.4% | ||
Metropolitan District (The) Series 2021A, GO, 5.00%, 9/1/2030 (a) | 200,000 | 230,732 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Connecticut — continued | ||
Stamford Housing Authority, The Dogwoods Project Rev., BAN, 11.00%, 12/1/2027 (a) (c) | 1,000,000 | 1,014,780 |
State of Connecticut Series A, GO, 5.00%, 4/15/2033 (a) | 135,000 | 145,059 |
State of Connecticut, Special Tax Transportation Infrastructure Purposes Series B, Rev., 5.00%, 8/1/2023 (a) | 75,000 | 75,562 |
University of Connecticut Series 2017-A, Rev., 5.00%, 1/15/2028 (a) | 125,000 | 134,307 |
Total Connecticut | 1,600,440 | |
Delaware — 0.6% | ||
Delaware State Economic Development Authority, Newark Charter School, Inc. Project | ||
Rev., 4.00%, 9/1/2025 (a) | 100,000 | 99,520 |
Rev., 4.00%, 9/1/2026 (a) | 140,000 | 139,465 |
Delaware State Economic Development Authority, St. Andrews School Project Rev., 4.00%, 7/1/2041 (a) | 2,190,000 | 2,105,210 |
Total Delaware | 2,344,195 | |
District of Columbia — 1.4% | ||
District of Columbia Water and Sewer Authority Series 2022C1, Rev., 4.00%, 10/1/2040 (a) | 2,000,000 | 1,981,161 |
District of Columbia, Income Tax Series 2019A, Rev., 5.00%, 3/1/2029 (a) | 100,000 | 112,012 |
District of Columbia, International School | ||
Rev., 5.00%, 7/1/2028 (a) | 115,000 | 119,879 |
Rev., 5.00%, 7/1/2039 (a) | 125,000 | 126,114 |
District of Columbia, Kipp DC Project Rev., 4.00%, 7/1/2039 (a) | 100,000 | 88,679 |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Series B, Rev., 5.00%, 10/1/2025 (a) | 65,000 | 68,284 |
Metropolitan Washington Airports Authority Aviation | ||
Series 2021-A, Rev., AMT, 5.00%, 10/1/2028 (a) | 2,000,000 | 2,148,994 |
Series A, Rev., AMT, 5.00%, 10/1/2031 (a) | 1,000,000 | 1,103,428 |
Total District of Columbia | 5,748,551 | |
Florida — 2.8% | ||
Charlotte County Industrial Development Authority, Town and Country Utilities Project Series 2021A, Rev., AMT, 4.00%, 10/1/2041 (a) (c) | 100,000 | 80,696 |
100 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
City of Cape Coral, Florida Special Obligation Rev., 5.00%, 10/1/2024 (a) | 110,000 | 112,900 |
City of Jacksonville Series 2022A, Rev., 5.00%, 10/1/2031 (a) | 250,000 | 290,479 |
City of Kissimmee Rev., 4.00%, 10/1/2025 (a) | 170,000 | 174,129 |
City of Lakeland, Lakeland Regional Health Systems Rev., 5.00%, 11/15/2023 (a) | 40,000 | 40,395 |
City of Miami Beach, Water and Sewer Rev., 5.00%, 9/1/2033 (a) | 25,000 | 27,261 |
City of Orlando, Capital Improvement Series B, Rev., 5.00%, 10/1/2024 (a) | 60,000 | 61,741 |
City of Pompano Beach, John Knox Village Project Rev., 3.50%, 9/1/2030 (a) | 200,000 | 178,881 |
City of Tampa, H. Lee Moffitt Cancer Center Project Series 2016B, Rev., 5.00%, 7/1/2024 (a) | 35,000 | 35,584 |
County of Broward, Port Facilities Series 2019A, Rev., 5.00%, 9/1/2030 (a) | 50,000 | 56,239 |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 (a) | 40,000 | 41,167 |
County of Lee, Airport Series 2021A, Rev., AMT, 5.00%, 10/1/2031 (a) | 400,000 | 437,968 |
County of Miami-Dade Series A, Rev., AMT, 5.00%, 10/1/2034 (a) | 1,000,000 | 1,010,686 |
County of Miami-Dade, Jackson Health System Series 2015A, Rev., 5.00%, 6/1/2025 (a) | 140,000 | 145,099 |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2024 (a) | 30,000 | 30,856 |
County of Osceola, Sales Tax Series 2016A, Rev., 4.00%, 10/1/2023 (a) | 10,000 | 10,038 |
County of Palm Beach, Palm Beach Atlantic University | ||
Series 2019A, Rev., 5.00%, 4/1/2029 (a) (c) | 100,000 | 100,160 |
Series 2019A, Rev., 5.00%, 4/1/2039 (a) (c) | 100,000 | 94,296 |
County of Seminole, Special Obligation Rev., 4.00%, 10/1/2024 (a) | 90,000 | 91,194 |
Duval County Public Schools Series 2022-A, COP, AGM, 5.00%, 7/1/2034 (a) | 500,000 | 563,164 |
East Central Regional Wastewater Treatment Facilities Operation Board, Biosolids Project Rev., 5.00%, 10/1/2024 (a) | 30,000 | 30,856 |
Florida Atlantic University Finance Corp., Student Housing Project Series 2019B, Rev., 5.00%, 7/1/2032 (a) | 250,000 | 276,475 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Florida Department of Children and Families, Evaluation Treatment Center Financing Corp. Project Series 2021B, COP, 5.00%, 10/1/2028 (a) | 210,000 | 234,084 |
Florida Development Finance Corp., Educational Facilities, River City Science Academy Projects | ||
Series 2022A-1, Rev., 4.00%, 7/1/2031 (a) | 175,000 | 170,108 |
Rev., 4.00%, 7/1/2035 (a) | 325,000 | 305,054 |
Series 2022A-1, Rev., 5.00%, 7/1/2042 (a) | 215,000 | 214,750 |
Florida Development Finance Corp., IDEA Florida, Inc., Jacksonville IV Project Rev., 5.25%, 6/15/2029 (a) (c) | 150,000 | 148,408 |
Florida Development Finance Corp., The Glenridge on Palmer Ranch Project Rev., 3.00%, 6/1/2023 (a) | 115,000 | 114,357 |
Florida Municipal Loan Council, Village of Palmetto Bay Series 2021A, Rev., 4.00%, 10/1/2028 (a) | 75,000 | 78,326 |
Florida Municipal Power Agency, All-Requirements Power Supply Project Series 2016A, Rev., 5.00%, 10/1/2024 (a) | 130,000 | 133,508 |
Florida State Board of Governors, University of Florida Mandatory Student Fee Series 2021A, Rev., AGM, 5.00%, 11/1/2028 (a) | 100,000 | 110,004 |
Middleton Community Development District A, City of Wildwood, Florida Special Assessment | ||
5.45%, 5/1/2032 (a) | 250,000 | 253,875 |
5.85%, 5/1/2037 (a) | 250,000 | 253,985 |
Monroe County School District Series 2018A, COP, 4.00%, 6/1/2025 (a) | 45,000 | 45,864 |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2023A, Rev., 5.00%, 10/1/2036 (a) | 750,000 | 826,910 |
Orange County Health Facilities Authority, The Nemours Foundation Project Series 2009C-2, Rev., VRDO, LOC : TD Bank NA, 2.60%, 3/9/2023 (a) (b) | 1,120,000 | 1,120,000 |
Orange County School Board Series 2015D, COP, 5.00%, 8/1/2025 (a) | 25,000 | 25,991 |
Palm Beach County Health Facilities Authority, Acts Retirement Life Communities, Inc., Obligated Group Rev., 5.00%, 11/15/2032 (a) | 240,000 | 243,218 |
Palm Beach County Health Facilities Authority, Jupiter Medical Center Series A, Rev., 5.00%, 11/1/2030 (a) | 100,000 | 106,952 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 101 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Pinellas County Industrial Development Authority, Drs. Kiran & Pallavi Patel 2017 Foundation for Global Understanding, Inc., Project Rev., 5.00%, 7/1/2029 (a) | 125,000 | 126,042 |
Reedy Creek Improvement District, Ad Valorem Tax Series 2016-A, GO, 5.00%, 6/1/2026 (a) | 50,000 | 52,542 |
School District of Broward County Series A, COP, 5.00%, 7/1/2028 (a) | 2,000,000 | 2,200,317 |
Seminole County Industrial Development Authority, Galileo Schools for Gifted Learning Series 2021A, Rev., 4.00%, 6/15/2036 (a) (c) | 155,000 | 132,749 |
State of Florida Board of Education, Public Education Capital Outlay | ||
Series B, GO, 5.00%, 6/1/2024 (a) | 30,000 | 30,718 |
Series B, GO, 5.00%, 6/1/2026 (a) | 20,000 | 21,335 |
Series B, GO, 5.00%, 6/1/2031 (a) | 75,000 | 82,089 |
State of Florida Department of Transportation, Indirect Garvee Series 2021A, Rev., 5.00%, 7/1/2023 (a) | 155,000 | 155,857 |
State of Florida, State Board of Education, Lottery Series 2016A, Rev., 5.00%, 7/1/2026 (a) | 75,000 | 79,828 |
Tampa Bay Water, Regional Water Supply Authority, Utility System Series C, Rev., 5.00%, 10/1/2025 (a) | 55,000 | 57,555 |
Tampa-Hillsborough County Expressway Authority Series B, Rev., 5.00%, 7/1/2031 (a) | 40,000 | 43,966 |
Tohopekaliga Water Authority, Utility System Rev., 5.00%, 10/1/2025 (a) | 10,000 | 10,508 |
University of Florida Department of Housing & Residence Education Hsg Sys Rev Series 2021A, Rev., 5.00%, 7/1/2026 (a) | 125,000 | 133,374 |
Total Florida | 11,402,538 | |
Georgia — 4.3% | ||
City of Atlanta Series 2019-B, Rev., AMT, 5.00%, 7/1/2031 (a) | 1,810,000 | 1,953,945 |
City of Atlanta, Airport Passenger Facility Charge Series 2019D, Rev., AMT, 4.00%, 7/1/2037 (a) | 2,350,000 | 2,297,217 |
Clayton County Development Authority, Clayton State University Rev., 5.00%, 7/1/2034 (a) | 225,000 | 251,569 |
County of DeKalb, Water and Sewerage Series 2006B, Rev., 5.25%, 10/1/2026 (a) | 25,000 | 26,975 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Georgia — continued | ||
Georgia Higher Education Facilities Authority, USG Real Estate Foundation II LLC Projects Rev., 4.00%, 6/15/2038 (a) | 1,425,000 | 1,394,499 |
Georgia Ports Authority Rev., 4.00%, 7/1/2052 (a) | 1,300,000 | 1,215,946 |
Glynn-Brunswick Memorial Hospital Authority, Southeast Georgia Health System Project Rev., 4.00%, 8/1/2037 (a) | 255,000 | 235,068 |
Lee County School District Series 2022, GO, 5.00%, 2/1/2028 (a) | 315,000 | 346,985 |
Main Street Natural Gas, Inc. | ||
Series 2023B, Rev., 5.00%, 3/1/2030 (a) (b) | 3,000,000 | 3,170,498 |
Series 2023A, Rev., 5.00%, 6/1/2030 (a) (b) | 2,500,000 | 2,600,107 |
Main Street Natural Gas, Inc., Gas Supply | ||
Series 2021A, Rev., 4.00%, 9/1/2027 (a) (b) | 2,250,000 | 2,248,712 |
Series B, Rev., 5.00%, 6/1/2029 (a) (b) | 1,500,000 | 1,558,224 |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax Series 2017D, Rev., 4.00%, 7/1/2028 (a) | 35,000 | 36,636 |
Walton County Water and Sewer Authority, Hard Labor Creek Reservoir Water Treatment Facility Project | ||
Rev., 5.25%, 2/1/2034 (a) | 100,000 | 119,070 |
Rev., 5.25%, 2/1/2035 (a) | 135,000 | 159,388 |
Total Georgia | 17,614,839 | |
Hawaii — 0.0% ^ | ||
City and County of Honolulu Series D, GO, 5.00%, 9/1/2032 (a) | 45,000 | 48,912 |
State of Hawaii | ||
Series EP, GO, 5.00%, 8/1/2023 (a) | 40,000 | 40,301 |
Series FK, GO, 5.00%, 5/1/2033 (a) | 30,000 | 32,290 |
State of Hawaii, Highway Fund Series B, Rev., 5.00%, 1/1/2027 (a) | 25,000 | 26,593 |
Total Hawaii | 148,096 | |
Idaho — 0.1% | ||
Idaho Health Facilities Authority, St. Luke's Health System Series 2021A, Rev., 5.00%, 3/1/2029 (a) | 35,000 | 38,494 |
Idaho Housing and Finance Association, Transportation Expansion and Congestion Mitigation Fund Series 2022A, Rev., 5.00%, 8/15/2035 (a) | 500,000 | 576,970 |
Total Idaho | 615,464 |
102 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — 5.7% | ||
Champaign County Community Unit School District No. 4 Champaign, School Building GO, 5.00%, 1/1/2027 (a) | 45,000 | 47,207 |
Chicago O'Hare International Airport, General Airport, Senior Lien | ||
Series 2020B, Rev., 5.00%, 1/1/2024 (a) | 210,000 | 212,966 |
Series 2017B, Rev., 5.00%, 1/1/2034 (a) | 40,000 | 42,348 |
Series 2020A, Rev., 5.00%, 1/1/2034 (a) | 200,000 | 222,400 |
City of Decatur GO, 5.00%, 3/1/2027 (a) | 130,000 | 136,417 |
City of Highland Park GO, 4.00%, 12/30/2028 (a) | 35,000 | 37,164 |
Cook County School District No., 87 Berkeley GO, AGM, 4.00%, 12/1/2030 (a) | 35,000 | 37,192 |
County of Cook, Sales Tax Rev., 5.00%, 11/15/2034 (a) | 2,000,000 | 2,123,098 |
County of Lake, Sales Tax GO, 4.00%, 11/30/2027 (a) | 100,000 | 104,073 |
Illinois Finance Authority, Clark-Lindsey Village Series A, Rev., 5.13%, 6/1/2032 (a) | 185,000 | 175,761 |
Illinois Finance Authority, Clean Water Initiative Revolving Fund Rev., 5.00%, 7/1/2032 (a) | 35,000 | 37,591 |
Illinois Finance Authority, Depaul College Prep Project | ||
Series 2023A, Rev., 4.50%, 8/1/2033 (a) (c) | 500,000 | 491,417 |
Series 2023A, Rev., 5.25%, 8/1/2038 (a) (c) | 650,000 | 636,528 |
Illinois Finance Authority, Lake Forest College | ||
Series A, Rev., 5.00%, 10/1/2029 (a) | 320,000 | 328,278 |
Series A, Rev., 5.00%, 10/1/2030 (a) | 205,000 | 210,323 |
Series A, Rev., 5.00%, 10/1/2031 (a) | 235,000 | 240,448 |
Illinois Finance Authority, Plymouth Place, Inc. | ||
Series 2022B-3, Rev., 4.75%, 11/15/2027 (a) | 200,000 | 200,032 |
Series 2022B-2, Rev., 5.25%, 11/15/2027 (a) | 200,000 | 200,031 |
Series 2022B-1, Rev., 6.00%, 11/15/2027 (a) | 100,000 | 100,243 |
Illinois Finance Authority, Smith Crossing Rev., 4.00%, 10/15/2028 (a) | 350,000 | 328,281 |
Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2024 (a) | 135,000 | 134,468 |
Illinois Finance Authority, Uchicago Medicine Series 2022B-2, Rev., 5.00%, 8/15/2027 (a) (b) | 1,000,000 | 1,067,368 |
Illinois Finance Authority, Unitypoint Health Series 2016D, Rev., 5.00%, 2/15/2024 (a) | 115,000 | 116,374 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Illinois State Toll Highway Authority | ||
Series D, Rev., 5.00%, 1/1/2024 (a) | 25,000 | 25,401 |
Series 2019A, Rev., 5.00%, 1/1/2036 (a) | 250,000 | 272,984 |
Kane McHenry Cook and De Kalb Counties Unit School District No. 300 GO, 5.00%, 1/1/2024 (a) | 35,000 | 35,532 |
Kendall and Kane Counties Community Unit School District No. 115 Series 2017B, GO, 5.00%, 1/1/2027 (a) | 25,000 | 26,595 |
Lake County Community Consolidated School District No. 3 Beach Park GO, AGM, 4.00%, 2/1/2032 (a) | 175,000 | 184,283 |
Lake County Forest Preserve District GO, 5.00%, 12/15/2028 (a) | 165,000 | 182,602 |
McLean and Woodford Counties Community Unit School District No. 5 Normal Series 2017A, GO, 4.00%, 12/1/2023 (a) | 80,000 | 80,303 |
Metropolitan Water Reclamation District of Greater Chicago, Limited Tax Series 2021C, GO, 5.00%, 12/1/2023 (a) | 20,000 | 20,260 |
Northern Illinois University, Auxiliary Facilities System Series 2020B, Rev., 5.00%, 4/1/2034 (a) | 200,000 | 213,703 |
Northern Illinois University, Board of Trustees, Auxiliary Facilities System | ||
Rev., 5.00%, 10/1/2029 (a) | 300,000 | 323,673 |
Rev., 5.00%, 10/1/2030 (a) | 325,000 | 352,027 |
Peoria Tazewell Etc Counties Community College District No. 514 GO, 4.00%, 12/1/2023 (a) | 35,000 | 35,220 |
Sales Tax Securitization Corp., Second Lien Series 2020A, Rev., 4.00%, 1/1/2040 (a) | 1,750,000 | 1,633,179 |
Sales Tax Securitization Corp., Senior Lien Series 2023C, Rev., 5.00%, 1/1/2033 (a) | 1,000,000 | 1,095,507 |
Southern Illinois University | ||
Series A, Rev., 5.00%, 4/1/2029 (a) | 675,000 | 727,391 |
Series A, Rev., 5.00%, 4/1/2030 (a) | 800,000 | 868,231 |
Series A, Rev., 5.00%, 4/1/2031 (a) | 575,000 | 628,497 |
Series A, Rev., 5.00%, 4/1/2032 (a) | 510,000 | 557,945 |
Southwestern Illinois Development Authority, Flood Prevention District Council Project Rev., 5.00%, 4/15/2030 (a) | 625,000 | 706,167 |
State of Illinois | ||
GO, 5.00%, 4/1/2024 (a) | 30,000 | 30,349 |
Series 2018A, GO, 5.00%, 10/1/2024 (a) | 30,000 | 30,504 |
Series 2017D, GO, 5.00%, 11/1/2025 (a) | 2,550,000 | 2,621,275 |
Series 2022A, GO, 5.00%, 3/1/2029 (a) | 500,000 | 529,354 |
Series B, GO, 5.00%, 10/1/2029 (a) | 2,000,000 | 2,107,238 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 103 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — continued | ||
GO, 4.00%, 6/1/2032 (a) | 1,000,000 | 994,201 |
Series 2018-A, GO, 5.00%, 10/1/2033 (a) | 1,000,000 | 1,041,630 |
University of Illinois Series 2021A, Rev., 5.00%, 4/1/2029 (a) | 450,000 | 499,457 |
Village of Bolingbrook Series 2018A, GO, AGM, 5.00%, 1/1/2033 (a) | 125,000 | 135,811 |
Village of Elk Grove GO, 5.00%, 1/1/2029 (a) | 25,000 | 26,889 |
Village of Wilmette Series 2020B, GO, 5.00%, 12/1/2026 (a) | 140,000 | 150,291 |
Total Illinois | 23,366,507 | |
Indiana — 1.6% | ||
Adams Central Elementary School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2027 (a) | 20,000 | 21,351 |
Ball State University, Student Fee Series R, Rev., 5.00%, 7/1/2024 (a) | 35,000 | 35,795 |
City of Goshen, Multi-Family, Green Oaks of Goshen Project Series 2021A, Rev., 5.00%, 8/1/2041 (a) (c) | 250,000 | 190,588 |
City of Valparaiso Rev., 5.38%, 12/1/2041 (a) (c) | 200,000 | 155,221 |
Decatur County, Jail Building Corp. Rev., 5.00%, 7/15/2028 (a) | 250,000 | 272,584 |
Indiana Finance Authority Series C, Rev., 5.00%, 12/1/2025 (a) | 35,000 | 36,835 |
Indiana Finance Authority, DePauw University Series 2022-A, Rev., 5.00%, 7/1/2031 (a) | 730,000 | 783,184 |
Indiana Finance Authority, Educational Facilities, Valparaiso University Project Rev., 4.00%, 10/1/2035 (a) | 215,000 | 203,825 |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2017C, Rev., 4.00%, 11/1/2034 (a) | 115,000 | 116,555 |
Indiana Finance Authority, Parkview Health System, Inc. Series 2017A, Rev., 5.00%, 11/1/2023 (a) | 50,000 | 50,517 |
Indiana Finance Authority, Rose-Hulman Institute of Technology Project Rev., 5.00%, 6/1/2030 (a) | 200,000 | 221,584 |
Indiana Housing and Community Development Authority, Vita of New Whiteland Project Rev., 6.75%, 1/1/2043 (a) | 1,000,000 | 989,114 |
Indiana State University, Housing and Dining System | ||
Rev., 5.00%, 4/1/2028 (a) | 120,000 | 129,691 |
Rev., 5.00%, 4/1/2031 (a) | 75,000 | 80,038 |
Indiana University, Student Fee Series Y, Rev., 5.00%, 8/1/2028 (a) | 25,000 | 27,335 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Indiana — continued | ||
IPS Multi-School Building Corp., Indiana Unlimited Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2029 (a) | 50,000 | 55,379 |
Monroe County Community School Corp. GO, 5.00%, 7/15/2027 (a) | 250,000 | 269,788 |
Perry Township Multi School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2025 (a) | 35,000 | 36,430 |
Vinton-Tecumseh School Building Corp. | ||
Rev., 5.00%, 1/15/2030 (a) | 1,125,000 | 1,261,068 |
Rev., 5.00%, 7/15/2030 (a) | 1,150,000 | 1,298,483 |
Wheeler-Union Township School Building Corp. Rev., 4.00%, 7/15/2034 (a) | 400,000 | 417,721 |
Total Indiana | 6,653,086 | |
Iowa — 0.1% | ||
City of West Des Moines, Urban Renewal Series 2016B, GO, 5.00%, 6/1/2024 (a) | 35,000 | 35,799 |
Des Moines Independent Community School District, Sales Services and Use Tax Rev., 5.00%, 6/1/2028 (a) | 175,000 | 192,669 |
Iowa Finance Authority, State Revolving Fund Rev., 5.00%, 8/1/2027 (a) | 30,000 | 32,773 |
Total Iowa | 261,241 | |
Kansas — 1.5% | ||
City of Manhattan, Meadowlark Hills Series 2022B-2, Rev., 2.38%, 6/1/2027 (a) | 200,000 | 180,410 |
City of Topeka, Kansas Health Care Facilities | ||
Series 2022-B, Rev., 5.13%, 12/1/2026 (a) | 250,000 | 249,013 |
Series 2022-A, Rev., 5.75%, 12/1/2033 (a) | 250,000 | 247,608 |
Johnson County Community College Foundation, Inc. COP, 5.00%, 10/1/2024 (a) | 105,000 | 108,062 |
Johnson County Water District No. 1 Series 2017A, Rev., 5.00%, 1/1/2025 (a) | 50,000 | 51,578 |
Kansas Development Finance Authority, AdventHealth Series 2021B, Rev., 5.00%, 11/15/2031 (a) (b) | 200,000 | 222,794 |
University of Kansas Hospital Authority Rev., VRDO, LOC : US Bank NA, 2.05%, 3/3/2023 (a) (b) | 5,000,000 | 5,000,000 |
Total Kansas | 6,059,465 |
104 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Kentucky — 0.7% | ||
City of Henderson, Pratt Paper LLC Project | ||
Series 2022B, Rev., AMT, 3.70%, 1/1/2032 (a) (c) | 130,000 | 126,268 |
Series 2022A, Rev., AMT, 4.45%, 1/1/2042 (a) (c) | 165,000 | 156,706 |
County of Boone, Duke Energy Kentucky, Inc. Series 2008A, Rev., 3.70%, 8/1/2027 (a) | 500,000 | 491,179 |
Kentucky Economic Development Finance Authority, Baptist Healthcare System Obligated Group Series B, Rev., 5.00%, 8/15/2029 (a) | 165,000 | 175,735 |
Kentucky Public Energy Authority, Gas Supply Series 2022A-1, Rev., 4.00%, 8/1/2030 (a) (b) | 1,815,000 | 1,775,728 |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. Series 2016-A, Rev., 4.00%, 10/1/2036 (a) | 65,000 | 63,351 |
Louisville and Jefferson County Metropolitan Sewer District, Sewer and Drainage System | ||
Series B, Rev., 5.00%, 5/15/2024 (a) | 25,000 | 25,558 |
Series A, Rev., 5.00%, 5/15/2027 (a) | 40,000 | 42,960 |
Total Kentucky | 2,857,485 | |
Louisiana — 0.2% | ||
City of Shreveport, Water and Sewer, Junior Lien Series 2019B, Rev., AGM, 5.00%, 12/1/2032 (a) | 200,000 | 220,429 |
Louisiana Local Government Environmental Facilities and Community Development Authority, Calcasieu Parish Projects Rev., 5.00%, 12/1/2030 (a) | 250,000 | 278,734 |
Louisiana Public Facilities Authority, Materra Campus Project Series 2021C, Rev., 4.00%, 6/1/2031 (a) (c) | 245,000 | 224,234 |
Louisiana Public Facilities Authority, Tulane University Project Series 2020A, Rev., 5.00%, 4/1/2029 (a) | 145,000 | 162,046 |
State of Louisiana Series 2016-B, GO, 4.00%, 8/1/2026 (a) | 30,000 | 30,905 |
Total Louisiana | 916,348 | |
Maine — 0.5% | ||
Maine Health and Higher Educational Facilities Authority | ||
Series 2020A, Rev., 5.00%, 7/1/2023 (a) (e) | 70,690 | 71,099 |
Series 2020A, Rev., 5.00%, 7/1/2023 (a) | 54,310 | 54,589 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Maine — continued | ||
Maine Municipal Bond Bank Series C, Rev., 5.00%, 11/1/2024 (a) | 75,000 | 77,272 |
Maine Turnpike Authority Rev., 4.00%, 7/1/2040 (a) | 2,100,000 | 2,050,316 |
Total Maine | 2,253,276 | |
Maryland — 1.5% | ||
County of Howard, Consolidated Public Improvement Series 2022B, GO, 5.00%, 8/15/2030 (a) | 160,000 | 185,501 |
County of Montgomery, Consolidated Public Improvement Series A, GO, 5.00%, 8/1/2031 (a) | 2,000,000 | 2,351,460 |
County of St. Mary's, Public Improvement GO, 4.00%, 7/15/2027 (a) | 70,000 | 73,358 |
Maryland Economic Development Corp., Annapolis Mobility and Resilience Project Series 2022-A, Rev., 5.00%, 12/31/2037 (a) | 500,000 | 522,299 |
Maryland Economic Development Corp., Bowie State University Project Rev., 4.00%, 7/1/2040 (a) | 200,000 | 184,189 |
Maryland Economic Development Corp., Morgan State University Project Series 2022-A, Rev., 5.25%, 7/1/2031 (a) | 585,000 | 637,207 |
Maryland Health and Higher Educational Facilities Authority, Stevenson University Project | ||
Series 2021A, Rev., 5.00%, 6/1/2033 (a) | 200,000 | 215,702 |
Series 2021A, Rev., 4.00%, 6/1/2046 (a) | 250,000 | 219,796 |
State of Maryland, Department of Transportation Rev., 5.00%, 9/1/2026 (a) | 75,000 | 80,309 |
State of Maryland, State and Local Facilities Loan of 2017 Series 2017A, GO, 5.00%, 8/1/2025 (a) | 45,000 | 47,115 |
State of Maryland, State and Local Facilities Loan of 2021 Series A, GO, 5.00%, 3/1/2031 (a) | 400,000 | 468,361 |
State of Maryland, State and Local Facilities Loan of 2022 Series A, GO, 5.00%, 6/1/2033 (a) | 1,000,000 | 1,188,168 |
Total Maryland | 6,173,465 | |
Massachusetts — 0.9% | ||
City of Boston Series 2017A, GO, 5.00%, 4/1/2025 (a) | 10,000 | 10,403 |
Commonwealth of Massachusetts Series C, GO, 5.00%, 10/1/2026 (a) | 25,000 | 26,861 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 105 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Massachusetts — continued | ||
Massachusetts Development Finance Agency, Boston Medical Center Issue | ||
Series 2023G, Rev., 5.00%, 7/1/2029 (a) | 750,000 | 815,384 |
Series 2023G, Rev., 4.38%, 7/1/2052 (a) | 700,000 | 652,981 |
Series 2023G, Rev., 5.25%, 7/1/2052 (a) | 1,000,000 | 1,041,708 |
Massachusetts Development Finance Agency, Milford Regional Medical Center Series G, Rev., 5.00%, 7/15/2037 (a) (c) | 245,000 | 230,319 |
Massachusetts Development Finance Agency, Salem Community Corp. Rev., 5.00%, 1/1/2030 (a) | 235,000 | 226,295 |
Massachusetts Development Finance Agency, Southcoast Health System Obligated Group Issue Series 2021G, Rev., 5.00%, 7/1/2035 (a) | 200,000 | 215,077 |
Massachusetts Development Finance Agency, Wellforce Issue Series 2020C, Rev., AGM, 5.00%, 10/1/2030 (a) | 175,000 | 195,053 |
Massachusetts State College Building Authority Series D, Rev., 5.00%, 5/1/2027 (a) | 45,000 | 48,783 |
Town of Hopkinton, Municipal Purpose Loan GO, 5.00%, 11/15/2024 (a) | 30,000 | 30,972 |
Total Massachusetts | 3,493,836 | |
Michigan — 0.7% | ||
Berrien Springs Public Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2030 (a) | 250,000 | 283,009 |
City of Detroit, Unlimited Tax | ||
Series 2021A, GO, 5.00%, 4/1/2031 (a) | 480,000 | 499,418 |
Series 2021-A, GO, 5.00%, 4/1/2035 (a) | 400,000 | 406,040 |
Series 2021A, GO, 5.00%, 4/1/2046 (a) | 1,015,000 | 954,892 |
Grand Traverse County Hospital Finance Authority, Munson Healthcare Obligated Group Rev., 5.00%, 7/1/2026 (a) | 175,000 | 183,598 |
Michigan Finance Authority, Lawrence Technological University Rev., 4.00%, 2/1/2032 (a) | 95,000 | 88,655 |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series C, Rev., 5.00%, 12/1/2025 (a) | 25,000 | 26,216 |
State of Michigan Trunk Line, Rebuilding Michigan Program Series 2021-A, Rev., 4.00%, 11/15/2036 (a) | 395,000 | 404,350 |
Western Michigan University, Tax Exempt Series 2021A, Rev., AGM, 5.00%, 11/15/2031 (a) | 25,000 | 28,434 |
Total Michigan | 2,874,612 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Minnesota — 0.7% | ||
City of Mankato | ||
Series B, GO, 5.00%, 2/1/2027 (a) | 250,000 | 269,024 |
Series B, GO, 5.00%, 2/1/2029 (a) | 755,000 | 846,471 |
City of Minneapolis, Health Care System, Fairview Health Services Series 2018A, Rev., 5.00%, 11/15/2033 (a) | 180,000 | 191,583 |
City of Woodbury, Charter School Lease, Woodbury Leadership Academy Project Series 2021A, Rev., 4.00%, 7/1/2031 (a) | 175,000 | 160,270 |
Duluth Economic Development Authority, Benedictine Health System Series 2021A, Rev., 3.00%, 7/1/2024 (a) | 100,000 | 97,891 |
Minnesota Municipal Gas Agency Series 2022A, Rev., LIQ : Royal Bank of Canada, 4.00%, 6/1/2027 (a) | 1,000,000 | 1,004,761 |
State of Minnesota, Various Purpose Series A, GO, 5.00%, 8/1/2030 (a) | 350,000 | 406,022 |
University of Minnesota Series B, Rev., 5.00%, 12/1/2025 (a) | 15,000 | 15,807 |
Total Minnesota | 2,991,829 | |
Mississippi — 1.3% | ||
County of Jackson, Pollution Control, Chevron USA, Inc., Project Series 1993, Rev., VRDO, 2.55%, 3/1/2023 (a) (b) | 5,000,000 | 5,000,000 |
Mississippi Development Bank, Ranking County Project Rev., 5.00%, 3/1/2026 (a) | 205,000 | 216,923 |
Mississippi State University Educational Building Corp., New Facilities and Refinancing Project Rev., 5.00%, 8/1/2025 (a) | 35,000 | 36,429 |
State of Mississippi | ||
Series 2015F, GO, 5.00%, 11/1/2025 (a) (e) | 35,000 | 36,816 |
Series B, GO, 5.00%, 12/1/2025 (a) | 20,000 | 21,075 |
Series 2018A, GO, 5.00%, 11/1/2026 (a) (e) | 60,000 | 64,473 |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Series 2016A, Rev., 5.00%, 10/1/2030 (a) | 40,000 | 42,347 |
Total Mississippi | 5,418,063 | |
Missouri — 1.0% | ||
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, Combined Lien Mass Transit Sales Rev., 5.00%, 10/1/2023 (a) | 280,000 | 282,781 |
106 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Missouri — continued | ||
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, St. Clair County Metrolink Project Rev., AGM, 5.25%, 7/1/2024 (a) | 40,000 | 41,043 |
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2030 (a) | 115,000 | 121,735 |
City of Kansas City, Sanitary Sewer System Series B, Rev., 5.00%, 1/1/2033 (a) | 25,000 | 27,576 |
Health and Educational Facilities Authority of the State of Missouri | ||
Rev., 4.00%, 2/15/2035 (a) | 390,000 | 374,351 |
Rev., 4.00%, 2/15/2036 (a) | 580,000 | 546,128 |
Health and Educational Facilities Authority of the State of Missouri, City Art Institute Rev., 5.00%, 9/1/2030 (a) | 200,000 | 216,752 |
Health and Educational Facilities Authority of the State of Missouri, Lake Regional Health System Rev., 5.00%, 2/15/2027 (a) | 225,000 | 233,789 |
Health and Educational Facilities Authority of the State of Missouri, Lutheran Senior Services Projects Series 2016A, Rev., 5.00%, 2/1/2036 (a) | 1,000,000 | 969,428 |
Health and Educational Facilities Authority of the State of Missouri, Mercy Health Series 2018A, Rev., 5.00%, 6/1/2028 (a) | 180,000 | 195,888 |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Episcopal-Presbyterian Hospitals Series 2015B, Rev., 5.00%, 12/1/2026 (a) | 165,000 | 170,354 |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System, Inc. Rev., 5.00%, 11/15/2029 (a) | 300,000 | 314,731 |
Health and Educational Facilities Authority of the State of Missouri, Wright Memorial Hospital Rev., 5.00%, 9/1/2026 (a) | 200,000 | 203,795 |
Industrial Development Authority of the City of St. Louis Missouri (The), Innovation District Rev., 5.00%, 5/15/2041 (a) | 285,000 | 278,322 |
Metropolitan St. Louis Sewer District, Wastewater System Improvement Series 2017A, Rev., 5.00%, 5/1/2027 (a) | 45,000 | 48,912 |
Missouri Development Finance Board, Fulton State Hospital Project Rev., 5.00%, 10/1/2025 (a) | 25,000 | 25,729 |
Total Missouri | 4,051,314 | |
Montana — 0.0% ^ | ||
County of Missoula GO, 4.00%, 7/1/2025 (a) | 50,000 | 51,015 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Nebraska — 0.3% | ||
Central Plains Energy Project, Gas Project No. 3 Series 2017A, Rev., 5.00%, 9/1/2030 (a) | 320,000 | 334,425 |
City of Lincoln, Electric System | ||
Rev., 5.00%, 9/1/2026 (a) | 85,000 | 90,813 |
Rev., 5.00%, 9/1/2028 (a) | 50,000 | 54,166 |
City of Omaha, Sanitary Sewerage System Rev., 5.00%, 4/1/2027 (a) | 50,000 | 52,981 |
Nebraska Educational Health Cultural and Social Services Finance Authority, Immanuel Retirement Communities Obligated Group Series 2019A, Rev., 4.00%, 1/1/2033 (a) | 250,000 | 255,346 |
Omaha Public Power District, Electric System | ||
Series B, Rev., 5.00%, 2/1/2025 (a) | 20,000 | 20,518 |
Series 2016A, Rev., 5.00%, 2/1/2026 (a) | 40,000 | 42,330 |
Series 2016A, Rev., 5.00%, 2/1/2027 (a) | 30,000 | 31,764 |
Public Power Generation Agency, Whelan Energy Center Unit 2 Series 2015A, Rev., 5.00%, 1/1/2024 (a) | 155,000 | 157,024 |
University of Nebraska Facilities Corp., UNMC Global Center Project Rev., 5.00%, 12/15/2025 (a) | 35,000 | 36,866 |
Total Nebraska | 1,076,233 | |
Nevada — 0.3% | ||
City of Sparks, Senior Sales Tax Series 2019A, Rev., 2.50%, 6/15/2024 (a) (c) | 40,000 | 38,922 |
Clark County School District, Limited Tax | ||
Series 2018A, GO, 5.00%, 6/15/2032 (a) | 95,000 | 104,704 |
Series 2018A, GO, 4.00%, 6/15/2035 (a) | 90,000 | 91,452 |
County of Clark Department of Aviation Series 2022-A, Rev., AMT, 5.00%, 7/1/2026 (a) | 500,000 | 518,183 |
County of Clark, Indexed Fuel Tax and Subordinate Motor Vehicle Fuel Tax Rev., 5.00%, 7/1/2028 (a) | 25,000 | 27,091 |
County of Clark, Limited Tax Series 2018B, GO, 5.00%, 12/1/2027 (a) | 120,000 | 131,430 |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2033 (a) | 155,000 | 172,626 |
Truckee Meadows Water Authority Rev., 5.00%, 7/1/2029 (a) | 50,000 | 54,097 |
Total Nevada | 1,138,505 | |
New Hampshire — 0.1% | ||
New Hampshire Business Finance Authority, Springpoint Senior Living Project Rev., 4.00%, 1/1/2025 (a) | 290,000 | 286,964 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 107 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — 1.5% | ||
Bergen County Improvement Authority (The), New Bridge Medical Center Series 2022, Rev., GTD, 5.00%, 8/1/2037 (a) | 1,000,000 | 1,143,971 |
City of New Brunswick GO, 4.00%, 3/15/2024 (a) | 10,000 | 10,086 |
New Jersey Economic Development Authority, Biomedical Research Facilities Series 2016A, Rev., 5.00%, 7/15/2028 (a) | 260,000 | 273,282 |
New Jersey Transportation Trust Fund Authority, Transportation System | ||
Series 2018A, Rev., 4.00%, 12/15/2031 (a) | 250,000 | 256,851 |
Series 2018A, Rev., 5.00%, 12/15/2033 (a) | 2,000,000 | 2,152,482 |
New Jersey Turnpike Authority | ||
Series D, Rev., 5.00%, 1/1/2028 (a) | 200,000 | 212,424 |
Series 2022-B, Rev., 5.00%, 1/1/2042 (a) | 1,500,000 | 1,617,195 |
Passaic County Improvement Authority (The), City of Paterson Project Rev., 5.00%, 6/15/2025 (a) | 10,000 | 10,412 |
Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2027 (a) | 265,000 | 280,712 |
Total New Jersey | 5,957,415 | |
New Mexico — 0.2% | ||
City of Albuquerque Series 2016A, GO, 5.00%, 7/1/2023 (a) | 75,000 | 75,409 |
City of Albuquerque, Gross Receipts Tax Series 2015A, Rev., 5.00%, 7/1/2026 (a) | 240,000 | 250,332 |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund Series 2016E, Rev., 5.00%, 6/1/2024 (a) | 25,000 | 25,576 |
New Mexico Finance Authority, State Transportation, Subordinate Lien Series 2108A, Rev., 5.00%, 6/15/2027 (a) | 100,000 | 108,477 |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2015A, Rev., 5.00%, 8/1/2025 (a) (e) | 25,000 | 26,009 |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2024 (a) | 305,000 | 310,462 |
Total New Mexico | 796,265 | |
New York — 13.4% | ||
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. Rev., 3.50%, 7/1/2026 (a) | 210,000 | 199,138 |
Build NYC Resource Corp., Grand Concourse Academy Charter School Series 2022A, Rev., 5.00%, 7/1/2032 (a) | 100,000 | 105,698 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Build NYC Resource Corp., Kipp NYC Public School Facilities - Canal West Project | ||
Rev., 5.00%, 7/1/2033 (a) | 585,000 | 627,193 |
Rev., 5.00%, 7/1/2034 (a) | 205,000 | 218,318 |
Build NYC Resource Corp., New World Preparatory Charter School Project | ||
Series 2021A, Rev., 4.00%, 6/15/2041 (a) | 100,000 | 81,729 |
Series 2021A, Rev., 4.00%, 6/15/2051 (a) | 150,000 | 111,672 |
City of New York, Fiscal Year 2013 | ||
Series 2013J, GO, 5.00%, 8/1/2023 (a) | 40,000 | 40,306 |
Series I, GO, 5.00%, 8/1/2023 (a) | 25,000 | 25,191 |
City of New York, Fiscal Year 2014 Series 2014E, GO, 5.00%, 8/1/2027 (a) | 35,000 | 35,229 |
City of New York, Fiscal Year 2018 Series 2018F-1, GO, 5.00%, 4/1/2033 (a) | 105,000 | 115,097 |
City of New York, Fiscal Year 2019 Series 2019E, GO, 5.00%, 8/1/2033 (a) | 100,000 | 110,888 |
City of New York, Fiscal Year 2020 Series 2020C-1, GO, 5.00%, 8/1/2033 (a) | 160,000 | 181,948 |
City of New York, Fiscal Year 2021 | ||
Series 2021A-1, GO, 5.00%, 8/1/2031 (a) | 185,000 | 211,603 |
Series 2021-1, GO, 5.00%, 4/1/2033 (a) | 235,000 | 270,179 |
Series F, Subseries F-1, GO, 5.00%, 3/1/2037 (a) | 1,000,000 | 1,108,312 |
City of New York, Fiscal Year 2022 Series 2022B-1, GO, 5.00%, 8/1/2033 (a) | 1,650,000 | 1,929,501 |
County of Erie, Public Improvement Series 2019A, GO, 5.00%, 9/15/2025 (a) | 25,000 | 26,257 |
County of Onondaga GO, 5.00%, 3/15/2026 (a) | 20,000 | 20,377 |
Dutchess County Local Development Corp., The Culinary Institute of America Project Rev., 5.00%, 7/1/2025 (a) | 100,000 | 101,864 |
Erie County Water Authority Rev., 5.00%, 12/1/2027 (a) | 30,000 | 32,316 |
Falconer Central School District GO, 4.00%, 12/15/2034 (a) | 1,145,000 | 1,179,661 |
Longwood Central School District, Suffolk County GO, 5.00%, 6/15/2025 (a) | 175,000 | 182,842 |
New York City Municipal Water Finance Authority Series 2019FF-1, Rev., 4.00%, 6/15/2049 (a) | 1,530,000 | 1,450,762 |
New York City Municipal Water Finance Authority, Second General Resolution Subseries AA-3, Rev., 5.00%, 6/15/2047 (a) | 725,000 | 782,131 |
108 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York City Transitional Finance Authority Building Aid, Subordinate | ||
Rev., 5.00%, 7/15/2025 (a) (e) | 45,000 | 46,927 |
Series 2019S-2A, Rev., 5.00%, 7/15/2025 (a) | 5,000 | 5,218 |
Series S-1, Subseries S-1A, Rev., 5.00%, 7/15/2035 (a) | 800,000 | 925,188 |
Series S, Subseries S1B, Rev., 4.00%, 7/15/2042 (a) | 1,500,000 | 1,435,687 |
New York City Transitional Finance Authority Future Tax Secured Series 2021C, Subseries C-1, Rev., 4.00%, 5/1/2035 (a) | 750,000 | 769,176 |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2018 Series 2018S-4A, Rev., 5.00%, 7/15/2033 (a) | 105,000 | 116,024 |
New York City Transitional Finance Authority, Future Tax Secured Subseries A-2, Rev., 5.00%, 5/1/2039 (a) | 265,000 | 285,884 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 | ||
Series E, Subseries E-1, Rev., 5.00%, 2/1/2030 (a) | 150,000 | 160,969 |
Series 2017F-1, Rev., 5.00%, 5/1/2030 (a) | 550,000 | 593,125 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 Series 1, Rev., 5.00%, 11/1/2026 (a) | 25,000 | 26,747 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2022 Series 2022F, Rev., 5.00%, 2/1/2036 (a) | 525,000 | 595,307 |
New York State Dormitory Authority, Columbia University Series B, Rev., 5.00%, 10/1/2038 (a) | 25,000 | 27,032 |
New York State Dormitory Authority, Cornell University Series 2019D, Rev., 5.00%, 7/1/2033 (a) | 135,000 | 164,145 |
New York State Dormitory Authority, Montefiore Obligated Group Series 2020A, Rev., 4.00%, 9/1/2050 (a) | 100,000 | 81,112 |
New York State Dormitory Authority, New York University Series 2017A, Rev., 5.00%, 7/1/2023 (a) | 180,000 | 181,108 |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019A, Rev., 5.00%, 5/1/2029 (a) | 70,000 | 76,231 |
New York State Dormitory Authority, Personal Income Tax | ||
Series D, Rev., 5.00%, 2/15/2034 (a) | 2,000,000 | 2,258,518 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Series A, Rev., 4.00%, 3/15/2037 (a) | 990,000 | 994,602 |
Series 2021E, Rev., 4.00%, 3/15/2040 (a) | 3,000,000 | 2,939,871 |
New York State Dormitory Authority, State Personal Income Tax Series 2021E, Rev., 5.00%, 3/15/2033 (a) | 1,610,000 | 1,886,132 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose Series 2018A, Rev., 5.00%, 3/15/2031 (a) | 25,000 | 27,683 |
New York State Dormitory Authority, State Supported Debt University Facilities Series 2019A, Rev., 5.00%, 7/1/2024 (a) | 25,000 | 25,548 |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects - Second Resolution Series 2019B, Rev., 5.00%, 6/15/2031 (a) | 100,000 | 114,187 |
New York State Housing Finance Agency, 160 Madison Avenue Series 2013A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 2.42%, 3/1/2023 (a) (b) | 5,000,000 | 5,000,000 |
New York State Urban Development Corp., Personal Income Tax Series 2013C, Rev., 5.00%, 3/15/2023 (a) (e) | 5,000,000 | 5,003,293 |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||
Series 2016A, Rev., 5.00%, 3/15/2026 (a) (e) | 30,000 | 31,775 |
Series 2017A, Rev., 5.00%, 3/15/2026 (a) | 125,000 | 132,262 |
Series 2013A-1, Rev., 5.00%, 3/15/2028 (a) | 25,000 | 25,028 |
Series 2016A, Rev., 5.00%, 3/15/2028 (a) | 75,000 | 79,424 |
Series 2017-A, Rev., 5.00%, 3/15/2028 (a) | 150,000 | 162,542 |
Series 2020A, Rev., 4.00%, 3/15/2045 (a) | 500,000 | 473,462 |
New York State Urban Development Corp., State Sales Tax Series 2021-A, Rev., 4.00%, 3/15/2046 (a) | 2,500,000 | 2,375,626 |
New York Transportation Development Corp., Delta Air Lines, Inc., LaGuardia Airport Terminals C&D Redevelopment Project 5.00%, 1/1/2031 | 1,430,000 | 1,474,889 |
Onondaga Civic Development Corp., Le Moyne College Project | ||
Rev., 5.00%, 7/1/2027 (a) | 100,000 | 104,670 |
Rev., 5.00%, 7/1/2031 (a) | 360,000 | 387,551 |
Series 2020B, Rev., 5.00%, 7/1/2032 (a) | 250,000 | 266,038 |
Orange County Funding Corp., Mount Saint Mary College Project Series 2012B, Rev., 4.00%, 7/1/2023 (a) | 200,000 | 199,928 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 109 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
Port Authority of New York and New Jersey, Consolidated | ||
Series 205, Rev., 5.00%, 11/15/2028 (a) | 30,000 | 32,820 |
Series 214, Rev., AMT, 5.00%, 9/1/2036 (a) | 1,975,000 | 2,099,897 |
Series 223, Rev., AMT, 4.00%, 7/15/2037 (a) | 510,000 | 501,091 |
Port Washington Union Free School District GO, 4.00%, 8/1/2036 (a) | 1,370,000 | 1,396,938 |
Smithtown Central School District | ||
GO, 4.00%, 6/1/2035 (a) | 2,465,000 | 2,579,998 |
GO, 4.00%, 6/1/2036 (a) | 2,125,000 | 2,202,889 |
GO, 4.00%, 6/1/2037 (a) | 2,000,000 | 2,042,524 |
Suffolk County Economic Development Corp., St. Johnland Assisted Living Inc., Project Rev., 5.13%, 11/1/2041 (a) (c) | 340,000 | 261,516 |
Syracuse Industrial Development Agency, Syracuse City School District Project Series 2020A, Rev., 4.00%, 5/1/2036 (a) | 1,275,000 | 1,296,052 |
Town of Stony Point GO, 5.00%, 8/15/2027 (a) | 75,000 | 81,871 |
Triborough Bridge and Tunnel Authority, Senior Lien Series 2022D-1A, Rev., 5.00%, 11/15/2037 (a) | 1,000,000 | 1,130,974 |
Westchester County Local Development Corp., Kendal on Hudson Project Series 2022B, Rev., 5.00%, 1/1/2032 (a) | 240,000 | 241,614 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project | ||
Series 2021D, Rev., 2.88%, 7/1/2026 (a) (c) | 250,000 | 238,472 |
Series 2021C, Rev., 3.20%, 7/1/2028 (a) (c) | 250,000 | 232,744 |
Yonkers Industrial Development Agency, New Community School Project Rev., 5.00%, 5/1/2042 (a) | 1,445,000 | 1,570,023 |
Total New York | 54,510,544 | |
North Carolina — 1.3% | ||
County of Davidson GO, 5.00%, 6/1/2027 (a) | 35,000 | 38,009 |
County of Duplin Rev., 5.00%, 6/1/2028 (a) | 65,000 | 71,298 |
County of New Hanover, Limited Obligation Series 2022, Rev., 5.00%, 6/1/2027 (a) | 480,000 | 521,265 |
County of Wayne, Limited Obligation Rev., 5.00%, 6/1/2024 (a) | 25,000 | 25,552 |
North Carolina Turnpike Authority, Triangle Expressway System Series NTS2020, Rev., BAN, 5.00%, 2/1/2024 (a) (e) | 400,000 | 405,671 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
North Carolina — continued | ||
State of North Carolina, Build NC Programs, Limited Obligation | ||
Series C, Rev., 5.00%, 5/1/2024 (a) | 25,000 | 25,533 |
Series 2020B, Rev., 5.00%, 5/1/2029 (a) | 100,000 | 112,995 |
University of North Carolina, Hospital at Chapel Hill Series A, Rev., VRDO, LIQ : TD Bank NA, 2.50%, 3/1/2023 (a) (b) | 2,900,000 | 2,900,000 |
Winston-Salem State University Foundation LLC, The Board of Governors of The University of North Carolina Rev., 5.00%, 4/1/2031 (a) | 945,000 | 1,057,458 |
Total North Carolina | 5,157,781 | |
North Dakota — 1.0% | ||
North Dakota Building Authority, Facilities Improvement Series 2020A, Rev., 5.00%, 12/1/2023 (a) | 115,000 | 116,377 |
North Dakota Housing Finance Agency, Home Mortgage Finance Program | ||
Series 2017H, Rev., VRDO, LIQ : Royal Bank of Canada, 3.42%, 3/7/2023 (a) (b) | 1,725,000 | 1,725,000 |
Series 2023A, Rev., 5.75%, 7/1/2053 (a) | 2,250,000 | 2,423,209 |
Total North Dakota | 4,264,586 | |
Ohio — 2.6% | ||
Akron Bath Copley Joint Township Hospital District, Summa Health Obligated Group Rev., 5.00%, 11/15/2029 (a) | 330,000 | 353,258 |
American Municipal Power, Inc., Greenup Hydroelectric Projects Series 2016A, Rev., 5.00%, 2/15/2030 (a) | 25,000 | 26,176 |
Bowling Green State University, General Receipts Series 2016A, Rev., 5.00%, 6/1/2024 (a) | 25,000 | 25,503 |
Buckeye Tobacco Settlement Financing Authority Series 2020A-2, Class 1, Rev., 4.00%, 6/1/2048 (a) | 250,000 | 218,578 |
City of Cleveland Series A, GO, 5.00%, 12/1/2035 (a) | 460,000 | 524,636 |
City of Reynoldsburg, Limited Tax, Capital Facilities GO, 5.00%, 12/1/2026 (a) | 15,000 | 16,092 |
County of Cuyahoga, Eliza Jennings Senior Care Network Series 2022-A, Rev., 5.00%, 5/15/2032 (a) | 370,000 | 357,267 |
County of Summit, Various Purpose Improvement Series 2022, GO, 5.00%, 12/1/2031 (a) | 100,000 | 117,031 |
County of Warren, Healthcare Facilities, Otterbein Homes Obligated Group Series 2019A, Rev., 4.00%, 7/1/2033 (a) | 205,000 | 201,367 |
110 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Ohio — continued | ||
Northeast Ohio Medical University Series 2022, Rev., 5.00%, 12/1/2035 (a) | 1,000,000 | 1,081,542 |
Ohio Air Quality Development Authority, Duke Energy Corp. | ||
Series 2022B, Rev., 4.00%, 6/1/2027 (a) (b) | 2,000,000 | 1,982,481 |
Series 2022A, Rev., AMT, 4.25%, 6/1/2027 (a) (b) | 1,500,000 | 1,489,786 |
Ohio Higher Educational Facility Commission, Capital University 2022 Project | ||
Rev., 5.00%, 9/1/2031 (a) | 400,000 | 411,405 |
Rev., 5.75%, 9/1/2037 (a) | 500,000 | 519,717 |
Ohio Higher Educational Facility Commission, Denison University Project Series 2017A, Rev., 5.00%, 11/1/2025 (a) | 75,000 | 78,362 |
Ohio Higher Educational Facility Commission, Tiffin University 2019 Project Rev., 5.00%, 11/1/2034 (a) | 125,000 | 123,031 |
Ohio Higher Educational Facility Commission, University of Findlay 2019 Project | ||
Rev., 5.00%, 3/1/2027 (a) | 55,000 | 55,777 |
Rev., 5.00%, 3/1/2034 (a) | 160,000 | 162,451 |
Ohio Turnpike and Infrastructure Commission, Junior Lien | ||
Series A, Rev., 5.00%, 2/15/2027 (a) | 135,000 | 145,708 |
Series 2022A, Rev., 5.00%, 2/15/2033 (a) | 500,000 | 597,282 |
Ohio Water Development Authority Series 2022-A, Rev., 5.00%, 12/1/2041 (a) | 1,000,000 | 1,114,420 |
Ohio Water Development Authority, Fresh Water Series 2016B, Rev., 5.00%, 6/1/2026 (a) | 30,000 | 32,002 |
Ohio Water Development Authority, Water Pollution Control Loan Fund Series 2017A, Rev., 5.00%, 12/1/2026 (a) | 45,000 | 48,524 |
State of Ohio Series 2021B, GO, 5.00%, 9/15/2031 (a) | 210,000 | 246,992 |
State of Ohio, Capital Facilities Lease Appropriation Mental Health Facilities Improvement Fund Projects Series 2018A, Rev., 5.00%, 6/1/2025 (a) | 25,000 | 26,037 |
State of Ohio, Capital Facilities Lease Appropriation, Administrative Building Fund Projects, Tax Exempt Series 2018-A, Rev., 5.00%, 10/1/2034 (a) | 220,000 | 242,554 |
State of Ohio, Cleveland Clinic Health System Obligated Group Series 2017A, Rev., 5.00%, 1/1/2028 (a) | 25,000 | 27,288 |
State of Ohio, Infrastructure Improvement Series 2018A, GO, 5.00%, 9/1/2028 (a) | 25,000 | 27,942 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
State of Ohio, Natural Resources Series V, GO, 5.00%, 10/1/2027 (a) | 35,000 | 38,358 |
Youngstown State University, General Receipts Rev., AGM, 4.00%, 12/15/2030 (a) | 490,000 | 522,852 |
Total Ohio | 10,814,419 | |
Oklahoma — 0.1% | ||
Cleveland County Educational Facilities Authority, Norman Public Schools Project Rev., 5.00%, 6/1/2025 (a) | 150,000 | 155,562 |
Oklahoma Capitol Improvement Authority, Capitol Repair Project | ||
Series C, Rev., 5.00%, 1/1/2030 (a) | 10,000 | 10,850 |
Series 2018C, Rev., 5.00%, 1/1/2036 (a) | 45,000 | 48,430 |
Oklahoma Capitol Improvement Authority, State Highway, Capital Improvement Rev., 5.00%, 7/1/2024 (a) | 100,000 | 102,220 |
Total Oklahoma | 317,062 | |
Oregon — 0.7% | ||
Hillsboro School District No. 1J GO, 5.00%, 6/15/2028 (a) | 25,000 | 27,161 |
Salem Hospital Facility Authority, Capital Manor Project Rev., 4.00%, 5/15/2040 (a) | 375,000 | 303,530 |
Salem Hospital Facility Authority, Multi Model, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2028 (a) | 75,000 | 80,478 |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Series 2021A, Rev., 5.00%, 9/1/2035 (a) | 1,060,000 | 1,222,761 |
Tri-County Metropolitan Transportation District of Oregon, Senior Lien Payroll Tax Series 2018A, Rev., 5.00%, 9/1/2027 (a) (e) | 45,000 | 49,130 |
Union County Hospital Facility Authority, Grande Ronde Hospital, Inc. | ||
Series 2022, Rev., 5.00%, 7/1/2026 (a) | 300,000 | 309,110 |
Series 2022, Rev., 5.00%, 7/1/2028 (a) | 400,000 | 419,900 |
Yamhill County Hospital Authority, Friendsview, Tax Exempt Series 2021B-1, Rev., 2.50%, 11/15/2028 (a) | 350,000 | 306,874 |
Total Oregon | 2,718,944 | |
Pennsylvania — 7.7% | ||
Aliquippa School District, Limited Tax GO, 3.88%, 12/1/2037 (a) | 200,000 | 197,494 |
Allegheny County Higher Education Building Authority, Carnegie Mellon University Series 2008A, Rev., VRDO, LIQ : Bank of New York Mellon (The), 2.05%, 3/3/2023 (a) (b) | 6,000,000 | 6,000,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 111 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Allegheny County Higher Education Building Authority, Chatham University | ||
Rev., 5.00%, 9/1/2024 (a) | 130,000 | 130,778 |
Rev., 5.00%, 9/1/2025 (a) | 225,000 | 227,342 |
Rev., 5.00%, 9/1/2026 (a) | 135,000 | 137,562 |
Rev., 5.00%, 9/1/2027 (a) | 250,000 | 255,823 |
Berks County Industrial Development Authority, The Highlands at Wyomissing Series 2017A, Rev., 5.00%, 5/15/2037 (a) | 250,000 | 240,870 |
Bucks County Community College Authority Series 2019A, Rev., GTD, 5.00%, 6/15/2033 (a) | 35,000 | 38,667 |
Bucks County Water and Sewer Authority | ||
Series 2022A, Rev., AGM, 5.00%, 12/1/2032 (a) | 115,000 | 135,713 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2033 (a) | 105,000 | 123,229 |
Series 2022A, Rev., AGM, 5.00%, 12/1/2036 (a) | 380,000 | 430,593 |
City of Philadelphia Series 2017-B, Rev., AMT, 5.00%, 7/1/2035 (a) | 2,000,000 | 2,075,522 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment Rev., 5.00%, 6/1/2035 (a) | 225,000 | 238,635 |
Commonwealth of Pennsylvania Series 1, GO, 4.00%, 4/1/2033 (a) | 2,000,000 | 2,001,455 |
County of Chester GO, 5.00%, 11/15/2027 (a) | 30,000 | 32,994 |
County of Lehigh, Lehigh Valley Health Network Hospital Series 2016A, Rev., 4.00%, 7/1/2035 (a) | 175,000 | 170,673 |
Delaware Valley Regional Finance Authority, Local Government | ||
Series D, Rev., 4.00%, 3/1/2029 (a) | 1,000,000 | 1,044,221 |
Series 2021A, Rev., 2.00%, 10/1/2029 (a) | 25,000 | 21,809 |
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (a) (b) | 250,000 | 260,829 |
General Authority of Southcentral Pennsylvania, WellSpan Health Obligated Group Series D, Rev., VRDO, LIQ : Bank of America NA, 2.25%, 3/3/2023 (a) (b) | 5,000,000 | 5,000,000 |
Lancaster County Hospital Authority, St. Anne's Retirement Community, Inc., Project Rev., 5.00%, 3/1/2040 (a) | 250,000 | 214,984 |
Montgomery County Higher Education and Health Authority, Arcadia University Rev., 5.00%, 4/1/2034 (a) | 250,000 | 262,234 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Montgomery County Higher Education and Health Authority, Thomas Jefferson University | ||
Rev., 5.00%, 9/1/2027 (a) | 265,000 | 282,623 |
Series 2018A, Rev., 4.00%, 9/1/2038 (a) | 135,000 | 129,117 |
Northampton County General Purpose Authority, Moravian College Project Rev., 5.00%, 10/1/2027 (a) | 185,000 | 190,142 |
Pennsylvania Economic Development Financing Authority, The Penndot Major Bridges Rev., AMT, AGM, 5.00%, 12/31/2057 (a) | 425,000 | 428,916 |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series 2017AU-1, Rev., 5.00%, 6/15/2026 (a) | 70,000 | 74,146 |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2023-141A, Rev., 5.75%, 10/1/2053 (a) | 5,000,000 | 5,385,171 |
Pennsylvania Turnpike Commission | ||
Series A-1, Rev., 5.00%, 12/1/2029 (a) | 105,000 | 115,357 |
Series A-1, Rev., 5.00%, 12/1/2031 (a) | 60,000 | 65,488 |
Series B, Rev., 4.00%, 6/1/2033 (a) | 575,000 | 583,591 |
Series 2022-A, Rev., 5.00%, 12/1/2033 (a) | 1,000,000 | 1,140,829 |
Series 2022-B, Rev., 5.25%, 12/1/2041 (a) | 1,000,000 | 1,110,486 |
Philadelphia Authority for Industrial Development, Holy Family University Project Rev., 5.00%, 9/1/2027 (a) (d) | 610,000 | 638,491 |
State Public School Building Authority, Delaware County Community College Project Rev., 5.00%, 10/1/2027 (a) | 25,000 | 26,462 |
Township of Hampton | ||
GO, 5.00%, 1/1/2035 (a) | 150,000 | 168,778 |
GO, 5.00%, 1/1/2037 (a) | 175,000 | 193,904 |
GO, 4.00%, 1/1/2042 (a) | 970,000 | 930,031 |
GO, 4.00%, 1/1/2047 (a) | 700,000 | 639,364 |
Township of Palmer Series 2020C, GO, 4.00%, 11/15/2031 (a) | 175,000 | 185,068 |
Township of Upper St. Clair Series 2016A, GO, 4.00%, 6/1/2025 (a) | 20,000 | 20,382 |
Total Pennsylvania | 31,549,773 | |
Rhode Island — 0.0% ^ | ||
State of Rhode Island and Providence Plantations Consolidated Capital Development Loan Series 2018A, GO, 5.00%, 4/1/2029 (a) | 75,000 | 83,068 |
112 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
South Carolina — 0.2% | ||
Charleston County Airport District Rev., 5.00%, 7/1/2035 (a) | 250,000 | 272,757 |
South Carolina Jobs-Economic Development Authority, Episcopal Home at Still Hopes Series 2018A, Rev., 5.00%, 4/1/2033 (a) | 125,000 | 120,582 |
South Carolina Jobs-Economic Development Authority, Wofford College Project Rev., 5.00%, 4/1/2029 (a) | 10,000 | 10,861 |
University of South Carolina, Athletic Facilities Series 2022A, Rev., 5.00%, 5/1/2034 (a) | 415,000 | 476,643 |
Total South Carolina | 880,843 | |
South Dakota — 0.1% | ||
City of Rapid City, Sales Tax Rev., 5.00%, 12/1/2023 (a) | 25,000 | 25,327 |
South Dakota Board of Regents Housing and Auxiliary Facilities System Rev., 5.00%, 4/1/2027 (a) | 35,000 | 37,212 |
South Dakota Conservancy District, State Revolving Fund Program Rev., 5.00%, 8/1/2025 (a) | 35,000 | 36,662 |
South Dakota Health and Educational Facilities Authority, Sanford Obligated Group Rev., 5.00%, 11/1/2023 (a) | 145,000 | 146,641 |
Total South Dakota | 245,842 | |
Tennessee — 4.2% | ||
City of Clarksville Series 2021A, Rev., 4.00%, 2/1/2051 (a) | 1,000,000 | 932,865 |
City of Johnson City Series 2016A, GO, 5.00%, 6/1/2023 (a) | 15,000 | 15,065 |
City of Knoxville Series 2022B, Rev., 4.00%, 4/1/2045 (a) | 2,765,000 | 2,682,832 |
City of Lenoir City, Electric System Series 2022, Rev., 5.00%, 6/1/2033 (a) | 165,000 | 192,518 |
City of Murfreesboro GO, 4.00%, 4/1/2025 (a) | 25,000 | 25,237 |
County of Coffee, Rural High School Series 2021A, GO, 5.00%, 6/1/2028 (a) | 125,000 | 138,005 |
County of Montgomery, Public Improvement GO, 5.00%, 4/1/2027 (a) | 25,000 | 27,005 |
County of Robertson GO, 5.00%, 6/1/2025 (a) | 25,000 | 26,037 |
County of Shelby, Public Improvement Series 2019A, GO, 5.00%, 4/1/2027 (a) | 105,000 | 113,630 |
County of Sullivan GO, 5.00%, 5/1/2026 (a) | 30,000 | 31,852 |
County of Washington Series 2016A, GO, 4.00%, 6/1/2027 (a) | 50,000 | 51,634 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tennessee — continued | ||
County of Williamson GO, 5.00%, 4/1/2024 (a) | 20,000 | 20,400 |
Knox County Health Educational and Housing Facility Board, East Tennessee Children's Hospital Rev., 5.00%, 11/15/2023 (a) | 50,000 | 50,511 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Belmon University Rev., 5.00%, 5/1/2026 (a) | 450,000 | 469,598 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project Series 2021B, Rev., 4.00%, 10/1/2041 (a) | 355,000 | 301,335 |
Metropolitan Government of Nashville and Davidson County | ||
Series 2015A, GO, 5.00%, 7/1/2025 (a) | 10,000 | 10,433 |
GO, 5.00%, 7/1/2031 (a) | 2,000,000 | 2,212,872 |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2017A, Rev., 5.00%, 5/15/2024 (a) | 10,000 | 10,217 |
Metropolitan Government of Nashville and Davidson County, Water and Sewer Series A, Rev., 4.00%, 7/1/2035 (a) | 1,805,000 | 1,865,781 |
Metropolitan Nashville Airport Authority (The) | ||
Series 2022-B, Rev., AMT, 5.50%, 7/1/2036 (a) | 600,000 | 671,346 |
Series 2022-B, Rev., AMT, 5.25%, 7/1/2047 (a) | 630,000 | 659,894 |
Series 2022-B, Rev., AMT, 5.00%, 7/1/2052 (a) | 500,000 | 511,041 |
Shelby County Health Educational and Housing Facilities Board, Methodist Le Bonheur Healthcare | ||
Series 2017A, Rev., 5.00%, 5/1/2024 (a) | 155,000 | 157,791 |
Series 2017A, Rev., 5.00%, 5/1/2027 (a) | 200,000 | 213,408 |
Shelby County Health Educational and Housing Facilities Board, The Farms at Bailey Station Project | ||
Series 2019A, Rev., 5.00%, 10/1/2029 (a) | 150,000 | 137,572 |
Series 2019A, Rev., 5.50%, 10/1/2034 (a) | 150,000 | 134,867 |
State of Tennessee Series A, GO, 5.00%, 9/1/2024 (a) (e) | 25,000 | 25,685 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 113 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Tennessee — continued | ||
Tennessee Energy Acquisition Corp., Commodity Project Series 2021A, Rev., 5.00%, 11/1/2031 (a) (b) | 400,000 | 418,754 |
Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (a) (b) | 5,000,000 | 5,005,863 |
Total Tennessee | 17,114,048 | |
Texas — 3.5% | ||
Alamo Community College District, Limited Tax GO, 5.00%, 2/15/2024 (a) | 75,000 | 76,249 |
Angleton Independent School District, Unlimited Tax GO, 5.00%, 2/15/2036 (a) | 2,640,000 | 2,963,027 |
Arlington Higher Education Finance Corp., Trinity Basin Preparatory, Inc. | ||
Rev., PSF-GTD, 5.00%, 8/15/2026 (a) | 160,000 | 167,671 |
Rev., PSF-GTD, 5.00%, 8/15/2027 (a) | 145,000 | 154,096 |
Rev., PSF-GTD, 5.00%, 8/15/2028 (a) | 150,000 | 161,959 |
Rev., PSF-GTD, 5.00%, 8/15/2029 (a) | 130,000 | 142,414 |
Rev., PSF-GTD, 5.00%, 8/15/2030 (a) | 100,000 | 110,935 |
Rev., PSF-GTD, 5.00%, 8/15/2031 (a) | 120,000 | 134,599 |
Rev., PSF-GTD, 5.00%, 8/15/2032 (a) | 125,000 | 140,038 |
Austin Independent School District, Unlimited Tax Series 2022B, GO, PSF-GTD, 5.00%, 8/1/2028 (a) | 50,000 | 55,598 |
Board of Regents of the University of Texas System, Financing System Series 2016D, Rev., 5.00%, 8/15/2024 (a) | 50,000 | 51,327 |
Brushy Creek Regional Utility Authority, Inc., Brushy Creek Regional Water Treatment and Distribution Project Rev., 5.00%, 8/1/2026 (a) | 85,000 | 89,946 |
City of Austin, Airport System | ||
Series 2019B, Rev., AMT, 5.00%, 11/15/2029 (a) | 240,000 | 258,681 |
Rev., AMT, 5.00%, 11/15/2035 (a) | 1,000,000 | 1,080,923 |
Series 2017B, Rev., AMT, 5.00%, 11/15/2046 (a) | 1,000,000 | 1,010,566 |
City of Corpus Christi, Certificates of Obligation Series 2016A, GO, 4.00%, 3/1/2026 (a) | 100,000 | 102,520 |
City of Corpus Christi, Utility System Series B, Rev., 5.00%, 7/15/2032 (a) | 325,000 | 379,410 |
City of Houston, Airport System, Subordinate Lien Series 2021A, Rev., AMT, 5.00%, 7/1/2033 (a) | 250,000 | 272,678 |
City of Houston, Combined Utility System, First Lien Series 2018D, Rev., 5.00%, 11/15/2030 (a) | 45,000 | 50,110 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
City of Hutto, Waterworks and Sewer System GO, 5.00%, 8/1/2026 (a) | 80,000 | 84,921 |
City of League City, Combination Tax GO, 5.00%, 2/15/2027 (a) | 20,000 | 21,004 |
City of Pflugerville, Limited Tax GO, 5.00%, 8/1/2026 (a) | 25,000 | 26,638 |
City of San Angelo GO, 5.00%, 2/15/2027 (a) | 20,000 | 21,579 |
City of San Marcos, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2031 (a) | 170,000 | 185,284 |
City of Temple, Utility System Series 2021, Rev., 5.00%, 8/1/2029 (a) | 245,000 | 276,394 |
Clifton Higher Education Finance Corp., Idea Public Schools Series 2022A, Rev., 5.00%, 8/15/2031 (a) | 250,000 | 273,097 |
Clifton Higher Education Finance Corp., Yes Prep Public Schools, Inc. | ||
Rev., PSF-GTD, 5.00%, 4/1/2029 (a) | 100,000 | 110,756 |
Rev., PSF-GTD, 5.00%, 4/1/2030 (a) | 185,000 | 207,900 |
Rev., PSF-GTD, 4.00%, 4/1/2031 (a) | 175,000 | 181,128 |
Clint Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2024 (a) | 25,000 | 25,428 |
County of Harris, Unlimited Tax Series 2017A, GO, 5.00%, 10/1/2026 (a) | 25,000 | 26,729 |
County of Hays, Limited Tax GO, 5.00%, 2/15/2026 (a) | 20,000 | 21,155 |
County of Montgomery, Unlimited Tax GO, 5.00%, 3/1/2025 (a) | 25,000 | 25,888 |
County of Williamson, Limited Tax GO, 5.00%, 2/15/2026 (a) | 40,000 | 42,263 |
Cypress-Fairbanks Independent School District, Unlimited Tax Series 2015A, GO, PSF-GTD, 5.00%, 2/15/2025 (a) | 20,000 | 20,724 |
Dallas Area Rapid Transit Series 2014A, Rev., 5.00%, 12/1/2024 (a) (e) | 200,000 | 206,313 |
Fort Worth Independent School District, Unlimited Tax Series A, GO, PSF-GTD, 5.00%, 2/15/2029 (a) | 285,000 | 319,788 |
Harris County Cultural Education Facilities Finance Corp., Baylor College of Medicine Project Rev., 5.00%, 11/15/2023 (a) | 25,000 | 25,273 |
Laredo Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2024 (a) | 25,000 | 25,627 |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project Rev., 5.00%, 5/15/2035 (a) | 155,000 | 167,107 |
114 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Metropolitan Transit Authority of Harris County, Sales and Use Tax | ||
Series 2017A, Rev., 5.00%, 11/1/2023 (a) | 150,000 | 151,767 |
Series 2017A, Rev., 5.00%, 11/1/2025 (a) | 45,000 | 47,299 |
Metropolitan Transit Authority of Harris County, Sales and Use Tax, Contractual Obligations Series B, Rev., 5.00%, 11/1/2029 (a) | 25,000 | 27,458 |
New Hope Cultural Education Facilities Finance Corp, Outlook at Windhaven Forefront Living Series 2022B-3, Rev., 4.25%, 10/1/2026 (a) | 800,000 | 791,086 |
North East Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2025 (a) | 20,000 | 20,840 |
North Texas Municipal Water District, Wastewater System Rev., 5.00%, 6/1/2027 (a) | 20,000 | 21,753 |
Northside Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2024 (a) | 65,000 | 66,735 |
Old Spanish Trail-Alemda Corridors Redevelopment Authority Rev., 5.00%, 9/1/2028 (a) | 125,000 | 136,042 |
Permanent University Fund - University of Texas System Series 2016A, Rev., 5.00%, 7/1/2024 (a) | 85,000 | 87,110 |
Prosper Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2037 (a) | 25,000 | 26,755 |
San Antonio Education Facilities Corp., Hallmark University Project Series 2021A, Rev., 5.00%, 10/1/2041 (a) | 100,000 | 86,172 |
San Antonio Water System, Junior Lien Series 2017A, Rev., 5.00%, 5/15/2025 (a) | 25,000 | 26,025 |
Sherman Independent School District, Unlimited Tax Series 2018A, GO, PSF-GTD, 5.00%, 2/15/2030 (a) | 25,000 | 27,680 |
State of Texas, Transportation Commission Mobility Fund Series 2015-A, GO, 5.00%, 10/1/2024 (a) | 50,000 | 51,427 |
Stephen F Austin State University, Financing System Series 2019A, Rev., 5.00%, 10/15/2026 (a) | 60,000 | 63,669 |
Tarrant County Cultural Education Facilities Finance Corp., Baylor Scott & White Health Project Series 2022F, Rev., 5.00%, 11/15/2030 (a) (b) | 2,000,000 | 2,195,101 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Tarrant Regional, Water Control and Improvement District, Water System Rev., 5.00%, 3/1/2025 (a) | 25,000 | 25,922 |
Texas A&M University, Financing System Series E, Rev., 5.00%, 5/15/2030 (a) | 155,000 | 168,411 |
Texas Tech University System Series 2017A, Rev., 5.00%, 2/15/2024 (a) | 35,000 | 35,583 |
Trinity River Authority, Water Project Rev., 5.00%, 2/1/2026 (a) | 60,000 | 63,340 |
Uptown Development Authority, Tax Increment Contract Rev., 4.00%, 9/1/2032 (a) | 400,000 | 386,056 |
Total Texas | 14,203,974 | |
Utah — 1.4% | ||
City of Salt Lake City Series 2021-A, Rev., AMT, 5.00%, 7/1/2029 (a) | 2,350,000 | 2,518,956 |
City of Salt Lake, International Airport Series 2022A, Rev., 4.00%, 10/1/2030 (a) | 155,000 | 167,293 |
City of South Jordan, Sales Tax Rev., 5.00%, 8/15/2029 (a) | 45,000 | 51,113 |
County of Summit, Sales Tax Rev., 5.00%, 12/15/2023 (a) | 70,000 | 71,018 |
Metropolitan Water District of Salt Lake and Sandy Series A, Rev., 4.00%, 7/1/2030 (a) | 365,000 | 395,559 |
Military Installation Development Authority Series 2021A-1, Rev., 4.00%, 6/1/2041 (a) | 125,000 | 97,487 |
Snyderville Basin Special Recreation District GO, 4.00%, 12/15/2025 (a) | 100,000 | 102,786 |
University of Utah (The) Series B, Rev., 5.00%, 8/1/2023 (a) (e) | 25,000 | 25,187 |
Utah Charter School Finance Authority, The Freedom Academy Foundation, St. George Campus Project Series 2021A, Rev., 5.00%, 6/15/2041 (a) (c) | 150,000 | 137,516 |
Utah Infrastructure Agency | ||
Rev., 5.00%, 10/15/2027 (a) | 130,000 | 130,622 |
Rev., 5.00%, 10/15/2032 (a) | 310,000 | 314,184 |
Utah Telecommunication Open Infrastructure Agency | ||
Rev., 5.25%, 6/1/2033 (a) | 250,000 | 290,129 |
Rev., 5.25%, 6/1/2034 (a) | 325,000 | 375,062 |
Rev., 5.25%, 6/1/2035 (a) | 580,000 | 663,165 |
Utah Transit Authority, Sales Tax Series A, Rev., BHAC - CR, 5.00%, 6/15/2035 (a) | 295,000 | 342,547 |
Total Utah | 5,682,624 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 115 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Virgin Islands — 0.0% ^ | ||
Matching Fund Special Purpose Securitization Corp. Series 2022A, Rev., 5.00%, 10/1/2025 (a) | 150,000 | 153,158 |
Virginia — 3.3% | ||
City of Richmond, Public Improvement Series B, GO, 5.00%, 7/15/2027 (a) | 175,000 | 190,990 |
Commonwealth of Virginia Series 2018A, GO, 5.00%, 6/1/2030 (a) | 25,000 | 27,974 |
County of Fairfax | ||
Series 2023A, GO, 4.00%, 10/1/2038 (a) | 2,000,000 | 2,036,495 |
Series 2023A, GO, 4.00%, 10/1/2039 (a) | 2,000,000 | 2,020,654 |
County of Spotsylvania, Public Improvement GO, 5.00%, 7/15/2029 (a) | 85,000 | 95,098 |
Loudoun County Economic Development Authority, Howard Hughes Medical Institute Series E, Rev., VRDO, 2.75%, 3/9/2023 (a) (b) | 4,000,000 | 4,000,000 |
Northern Virginia Transportation Commission Rev., 5.00%, 6/1/2040 (a) | 640,000 | 717,648 |
Virginia College Building Authority Series 2023A, Rev., 4.00%, 9/1/2040 (a) | 1,485,000 | 1,471,097 |
Virginia Public Building Authority Series 2021A-1, Rev., 5.00%, 8/1/2030 (a) | 145,000 | 167,575 |
Virginia Public Building Authority, Public Facilities Series 2022A, Rev., 5.00%, 8/1/2030 (a) | 345,000 | 398,712 |
Virginia Resources Authority, Infrastructure Pooled Financing Program Series 2013-C, Rev., 5.00%, 11/1/2023 (a) | 35,000 | 35,422 |
Virginia Small Business Financing Authority Rev., AMT, 4.00%, 1/1/2036 (a) | 2,000,000 | 1,911,860 |
Virginia Small Business Financing Authority, Senior Lien Rev., AMT, 4.00%, 7/1/2032 (a) | 250,000 | 247,656 |
Total Virginia | 13,321,181 | |
Washington — 4.3% | ||
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 4.00%, 12/1/2036 (a) | 1,000,000 | 1,015,830 |
Central Puget Sound Regional Transit Authority, Sales and Use Tax Series 2015S-1, Rev., 5.00%, 11/1/2024 (a) | 30,000 | 30,963 |
Central Puget Sound Regional Transit Authority, Sales Tax Series 2021S-1, Rev., 4.00%, 11/1/2040 (a) | 2,000,000 | 1,966,217 |
City of Bonney Lake, Water and Sewer System Rev., 4.00%, 12/1/2030 (a) | 10,000 | 10,309 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — continued | ||
City of Seattle, Drainage and Wastewater System Improvement Rev., 4.00%, 4/1/2026 (a) | 20,000 | 20,614 |
City of Seattle, Water System Rev., 5.00%, 8/1/2024 (a) | 35,000 | 35,927 |
City of Tacoma, Solid Waste Utility Rev., 5.00%, 12/1/2031 (a) | 700,000 | 813,319 |
City of University Place, Limited Tax GO, 5.00%, 12/1/2026 (a) | 85,000 | 90,318 |
Clark County School District No. 101 La Center, Unlimited Tax GO, 5.00%, 12/1/2029 (a) | 50,000 | 55,492 |
County of King, Limited Tax | ||
Series A, GO, 5.00%, 7/1/2025 (a) | 50,000 | 51,784 |
Series B, GO, 5.00%, 12/1/2025 (a) | 20,000 | 20,278 |
County of Snohomish, Limited Tax GO, 5.00%, 12/1/2025 (a) | 10,000 | 10,426 |
County of Spokane, Limited Tax Series 2022-A, GO, 5.00%, 12/1/2042 (a) | 900,000 | 991,949 |
Energy Northwest, Bonneville Power Administrator Series 2016-A, Rev., 5.00%, 7/1/2028 (a) | 25,000 | 26,544 |
Energy Northwest, Columbia Generating Station Series 2021A, Rev., 4.00%, 7/1/2042 (a) | 3,760,000 | 3,696,594 |
Energy Northwest, Project 1 Series 2017A, Rev., 5.00%, 7/1/2028 (a) | 55,000 | 59,834 |
Franklin County School District No. 1 Pasco, Unlimited Tax GO, 5.00%, 12/1/2030 (a) | 35,000 | 38,252 |
King County Public Hospital District No. 2, Evergreen Healthcare, Limited Tax GO, 5.00%, 12/1/2024 (a) (e) | 105,000 | 108,387 |
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2023 (a) | 160,000 | 160,983 |
King County School District No. 405 Bellevue, Unlimited Tax GO, 5.00%, 12/1/2026 (a) | 20,000 | 21,529 |
King County School District No. 411 Issaquah, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | 35,000 | 36,099 |
Mason County School District No. 309 Shelton, Unlimited Tax GO, 5.00%, 12/1/2029 (a) | 45,000 | 48,644 |
North Thurston Public Schools GO, 4.00%, 12/1/2036 (a) | 2,100,000 | 2,164,658 |
Pierce County School District No. 403 Bethel, Unlimited Tax GO, 4.00%, 12/1/2023 (a) | 20,000 | 20,123 |
Pierce County School District No. 416 White River, Unlimited Tax GO, 5.00%, 12/1/2025 (a) | 50,000 | 52,676 |
Port of Seattle, Intermediate Lien Series 2022B, Rev., AMT, 4.00%, 8/1/2047 (a) | 400,000 | 352,365 |
116 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — continued | ||
Snohomish County School District No. 15 Edmonds, Unlimited Tax GO, 5.00%, 12/1/2025 (a) | 25,000 | 26,345 |
Snohomish County School District No. 4 Lake Stevens, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | 25,000 | 25,806 |
Snohomish County School District No. 6 Mukilteo, Unlimited Tax GO, 5.00%, 12/1/2023 (a) | 105,000 | 106,452 |
Spokane County School District No. 354 Mead, Unlimited Tax GO, 5.00%, 12/1/2024 (a) | 20,000 | 20,628 |
State of Washington | ||
Series 2021B, GO, 5.00%, 6/1/2033 (a) | 1,000,000 | 1,144,928 |
Series 2020-C, GO, 5.00%, 2/1/2043 (a) | 700,000 | 753,555 |
State of Washington, State and Local Agency Real and Personal Property Series 2015-C, COP, 5.00%, 1/1/2029 (a) | 55,000 | 57,911 |
State of Washington, Various Purpose | ||
Series 2023B-3, GO, 5.00%, 2/1/2043 (a) | 2,000,000 | 2,196,020 |
Series 2022A, GO, 5.00%, 8/1/2043 (a) | 1,170,000 | 1,271,695 |
Washington Health Care Facilities Authority, Providence St. Joseph Health Series 2018B, Rev., 5.00%, 10/1/2028 (a) | 30,000 | 32,888 |
Total Washington | 17,536,342 | |
Wisconsin — 2.5% | ||
City of Oshkosh, Sewer | ||
Series E, Rev., 5.00%, 5/1/2027 (a) | 550,000 | 589,531 |
Series E, Rev., 5.00%, 5/1/2029 (a) | 605,000 | 672,721 |
City of Oshkosh, Water | ||
Series D, Rev., 5.00%, 1/1/2027 (a) | 165,000 | 175,770 |
Series D, Rev., 5.00%, 1/1/2028 (a) | 180,000 | 195,374 |
Hamilton School District, School Building and Improvement GO, 5.00%, 4/1/2025 (a) | 60,000 | 62,366 |
Public Finance Authority | ||
Rev., 5.00%, 6/15/2032 (a) | 365,000 | 379,750 |
Rev., 5.00%, 6/15/2042 (a) | 380,000 | 369,033 |
Public Finance Authority, Acts Retirement Life Communities, Inc., Obligated Group Series 2020A, Rev., 4.00%, 11/15/2037 (a) | 300,000 | 263,862 |
Public Finance Authority, Eastern Michigan University Student Housing Project Series 2022A-1, Rev., 5.00%, 7/1/2032 (a) | 500,000 | 559,177 |
Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 (a) (c) | 250,000 | 224,330 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wisconsin — continued | ||
Public Finance Authority, Lenoir-Rhyne University | ||
Series 2022, Rev., 5.00%, 4/1/2029 (a) | 1,155,000 | 1,195,430 |
Series 2022, Rev., 5.00%, 4/1/2030 (a) | 1,215,000 | 1,260,165 |
Series 2022, Rev., 5.00%, 4/1/2031 (a) | 1,275,000 | 1,324,820 |
Series 2022, Rev., 5.00%, 4/1/2032 (a) | 665,000 | 688,158 |
Public Finance Authority, Piedmont Community Charter School Rev., 5.00%, 6/15/2039 (a) | 200,000 | 201,986 |
Public Finance Authority, Roseman University of Health Sciences Project Rev., 4.00%, 4/1/2032 (a) (c) | 225,000 | 206,719 |
Public Finance Authority, Scotland Healthcare System Series 2021A, Rev., 5.00%, 10/1/2027 (a) | 500,000 | 527,025 |
Public Finance Authority, Ultimate Medical Academy Project Series 2019A, Rev., 5.00%, 10/1/2029 (a) (c) | 150,000 | 149,661 |
State of Wisconsin | ||
Series B, GO, 4.00%, 5/1/2023 (a) | 40,000 | 40,059 |
Series 1, GO, 5.00%, 11/1/2024 (a) | 40,000 | 41,258 |
Series 2, GO, 5.00%, 11/1/2026 (a) | 50,000 | 53,133 |
State of Wisconsin, Clean Water Fund Leveraged Loan Portfolio | ||
Series 1, Rev., 5.00%, 6/1/2023 (a) (e) | 25,000 | 25,102 |
Rev., 5.00%, 6/1/2024 (a) (e) | 65,000 | 66,347 |
State of Wisconsin, Environmental Improvement Fund | ||
Series 2018A, Rev., 5.00%, 6/1/2025 (a) | 35,000 | 36,514 |
Series 2018A, Rev., 5.00%, 6/1/2026 (a) | 20,000 | 21,315 |
Village of Pleasant Prairie GO, 4.00%, 8/1/2024 (a) | 10,000 | 10,073 |
Wisconsin Department of Transportation | ||
Series 2, Rev., 5.00%, 7/1/2031 (a) | 180,000 | 197,627 |
Series 2, Rev., 5.00%, 7/1/2032 (a) | 50,000 | 54,858 |
Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries | ||
Rev., 4.00%, 1/1/2026 (a) | 175,000 | 170,110 |
Rev., 4.00%, 1/1/2027 (a) | 175,000 | 167,957 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 117 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Wisconsin Health and Educational Facilities Authority, St. Camillus Health System Series 2019A, Rev., 5.00%, 11/1/2029 (a) | 150,000 | 141,376 |
WPPI Energy Series 2016A, Rev., 5.00%, 7/1/2024 (a) | 170,000 | 173,773 |
Total Wisconsin | 10,245,380 | |
Total Municipal Bonds (Cost $375,754,351) | 370,953,249 | |
SHARES | ||
Short-Term Investments — 6.9% | ||
Investment Companies — 6.9% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (f) (g) (Cost $28,404,779) | 28,400,875 | 28,406,555 |
Total Investments — 97.8% (Cost $404,159,130) | 399,359,804 | |
Other Assets Less Liabilities — 2.2% | 8,782,739 | |
NET ASSETS — 100.0% | 408,142,543 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
BHAC | Insured by Berkshire Hathaway Assurance Corp. |
CCRC | Congregate Care Retirement Center |
COP | Certificate of Participation |
CR | Custodial Receipts |
GO | General Obligation |
GTD | Guaranteed |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
PSF-GTD | Permanent School Fund Guaranteed |
Q-SBLF | Qualified School Bond Loan Fund |
Rev. | Revenue |
VRDO | Variable Rate Demand Obligation |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(e) | Security is prerefunded or escrowed to maturity. | |
(f) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(g) | The rate shown is the current yield as of February 28, 2023. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Short Contracts | |||||
U.S. Treasury 10 Year Ultra Note | (7) | 06/21/2023 | USD | (821,188) | 313 |
Abbreviations | |
USD | United States Dollar |
118 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.61 | USD 9,350,000 | 334,019 | (562,868) | (228,849) |
(*) | 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. | ||||||||
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 119 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 41.4% | ||
Aerospace & Defense — 0.3% | ||
Boeing Co. (The) 2.20%, 2/4/2026 | 125,000 | 113,544 |
Bombardier, Inc. (Canada) | ||
7.88%, 4/15/2027 (a) | 41,000 | 40,746 |
6.00%, 2/15/2028 (a) | 49,000 | 45,910 |
BWX Technologies, Inc. | ||
4.13%, 6/30/2028 (a) | 41,000 | 36,577 |
4.13%, 4/15/2029 (a) | 54,000 | 47,115 |
Spirit AeroSystems, Inc. | ||
7.50%, 4/15/2025 (a) | 38,000 | 37,966 |
9.38%, 11/30/2029 (a) | 29,000 | 30,631 |
TransDigm, Inc. 6.25%, 3/15/2026 (a) | 95,000 | 93,741 |
Triumph Group, Inc. 8.88%, 6/1/2024 (a) | 44,000 | 45,775 |
492,005 | ||
Airlines — 0.1% | ||
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 121,000 | 117,763 |
5.75%, 4/20/2029 (a) | 48,750 | 46,367 |
United Airlines, Inc. 4.38%, 4/15/2026 (a) | 47,000 | 44,235 |
208,365 | ||
Auto Components — 0.3% | ||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | 200,000 | 185,092 |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 89,000 | 84,327 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 68,000 | 62,854 |
6.88%, 7/1/2028 | 44,000 | 39,488 |
Clarios Global LP 6.25%, 5/15/2026 (a) | 32,000 | 31,408 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 62,000 | 57,208 |
4.50%, 2/15/2032 | 23,000 | 18,332 |
Goodyear Tire & Rubber Co. (The) 5.25%, 4/30/2031 (b) | 112,000 | 96,040 |
Icahn Enterprises LP 5.25%, 5/15/2027 | 80,000 | 74,004 |
648,753 | ||
Automobiles — 0.2% | ||
Ford Motor Co. 9.63%, 4/22/2030 | 36,000 | 41,403 |
Hyundai Capital America 1.80%, 10/15/2025 (a) | 200,000 | 181,233 |
Volkswagen Group of America Finance LLC (Germany) 3.35%, 5/13/2025 (a) | 200,000 | 191,704 |
414,340 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — 14.9% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.54%, 6/16/2027 (a) (c) | 400,000 | 345,323 |
AIB Group plc (Ireland) (ICE LIBOR USD 3 Month + 1.87%), 4.26%, 4/10/2025 (a) (c) | 645,000 | 630,104 |
Banco Bilbao Vizcaya Argentaria SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 5.86%, 9/14/2026 (c) | 800,000 | 794,228 |
Banco Continental SAECA (Paraguay) 2.75%, 12/10/2025 (a) | 150,000 | 132,281 |
Banco Santander SA (Spain) | ||
2.75%, 5/28/2025 | 600,000 | 562,142 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | 200,000 | 172,367 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.17%, 3/24/2028 (c) | 200,000 | 186,900 |
Bank of America Corp. | ||
(ICE LIBOR USD 3 Month + 0.94%), 3.86%, 7/23/2024 (c) | 200,000 | 198,522 |
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (c) | 585,000 | 544,283 |
(SOFR + 1.33%), 3.38%, 4/2/2026 (c) | 380,000 | 363,453 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | 230,000 | 202,580 |
(SOFR + 1.05%), 2.55%, 2/4/2028 (c) | 345,000 | 308,421 |
(SOFR + 2.04%), 4.95%, 7/22/2028 (c) | 475,000 | 464,582 |
(SOFR + 1.99%), 6.20%, 11/10/2028 (c) | 400,000 | 411,271 |
Bank of Ireland Group plc (Ireland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.65%), 6.25%, 9/16/2026 (a) (c) | 335,000 | 335,530 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (a) (c) | 245,000 | 212,594 |
Bank of Montreal (Canada) 5.20%, 2/1/2028 | 585,000 | 582,593 |
Banque Federative du Credit Mutuel SA (France) 4.75%, 7/13/2027 (a) | 530,000 | 513,605 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.28%, 11/24/2027 (c) | 820,000 | 721,419 |
BNP Paribas SA (France) (SOFR + 2.07%), 2.22%, 6/9/2026 (a) (c) | 795,000 | 734,266 |
Citigroup, Inc. | ||
(SOFR + 0.67%), 0.98%, 5/1/2025 (c) | 85,000 | 80,274 |
120 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 0.69%), 2.01%, 1/25/2026 (c) | 455,000 | 424,324 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | 200,000 | 189,925 |
(SOFR + 1.55%), 5.61%, 9/29/2026 (c) | 750,000 | 750,005 |
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | 85,000 | 74,686 |
(SOFR + 1.89%), 4.66%, 5/24/2028 (b) (c) | 370,000 | 357,869 |
Citizens Bank NA (SOFR + 2.00%), 4.57%, 8/9/2028 (c) | 400,000 | 387,673 |
Credit Agricole SA (France) (SOFR + 1.68%), 1.91%, 6/16/2026 (a) (c) | 765,000 | 702,009 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.98%, 9/10/2025 (a) (c) | 805,000 | 745,541 |
DNB Bank ASA (Norway) (SOFRINDX + 1.95%), 5.90%, 10/9/2026 (a) (c) | 500,000 | 499,022 |
Federation des Caisses Desjardins du Quebec (Canada) 2.05%, 2/10/2025 (a) | 200,000 | 186,245 |
HSBC Holdings plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | 200,000 | 199,113 |
(SOFR + 0.53%), 0.73%, 8/17/2024 (c) | 270,000 | 263,313 |
(ICE LIBOR USD 3 Month + 1.21%), 3.80%, 3/11/2025 (c) | 250,000 | 244,748 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (c) | 350,000 | 329,240 |
(SOFR + 1.29%), 1.59%, 5/24/2027 (c) | 569,000 | 497,771 |
(SOFR + 1.10%), 2.25%, 11/22/2027 (c) | 385,000 | 338,661 |
(SOFR + 2.61%), 5.21%, 8/11/2028 (c) | 420,000 | 410,693 |
ING Groep NV (Netherlands) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.40%, 7/1/2026 (a) (c) | 500,000 | 452,985 |
(SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 200,000 | 177,523 |
KBC Group NV (Belgium) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 5.80%, 1/19/2029 (a) (c) | 200,000 | 197,365 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c) | 200,000 | 187,529 |
4.65%, 3/24/2026 | 400,000 | 385,412 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.70%), 5.87%, 3/6/2029 (c) | 355,000 | 355,069 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.13%), 3.84%, 4/17/2026 (c) | 258,000 | 247,933 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.75%), 1.54%, 7/20/2027 (c) | 512,000 | 447,936 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c) | 400,000 | 354,538 |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (a) (d) | 690,000 | 679,838 |
Mizuho Financial Group, Inc. (Japan) | ||
(SOFR + 1.25%), 1.24%, 7/10/2024 (c) | 200,000 | 196,757 |
(SOFR + 1.24%), 2.84%, 7/16/2025 (c) | 200,000 | 191,258 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 2.65%, 5/22/2026 (c) | 470,000 | 438,349 |
NatWest Group plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c) | 200,000 | 198,921 |
4.80%, 4/5/2026 | 500,000 | 486,858 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.85%), 7.47%, 11/10/2026 (c) | 350,000 | 363,663 |
Nordea Bank Abp (Finland) 1.50%, 9/30/2026 (a) | 500,000 | 434,881 |
Santander UK Group Holdings plc (United Kingdom) | ||
(SOFR + 0.79%), 1.09%, 3/15/2025 (c) | 645,000 | 610,967 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c) | 655,000 | 585,310 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | 275,000 | 278,361 |
Societe Generale SA (France) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.05%), 2.23%, 1/21/2026 (a) (c) | 365,000 | 339,220 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 1.49%, 12/14/2026 (a) (c) | 570,000 | 504,998 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.30%), 6.45%, 1/12/2027 (a) (c) | 805,000 | 812,248 |
Standard Chartered plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.08%), 3.89%, 3/15/2024 (a) (c) | 200,000 | 199,823 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (c) | 250,000 | 239,668 |
(ICE LIBOR USD 3 Month + 1.21%), 2.82%, 1/30/2026 (a) (c) | 200,000 | 188,288 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 121 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.65%), 3.97%, 3/30/2026 (a) (c) | 310,000 | 298,370 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
4.44%, 4/2/2024 (a) (d) | 400,000 | 393,901 |
5.52%, 1/13/2028 | 775,000 | 772,953 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) 0.85%, 3/25/2024 (a) | 200,000 | 190,350 |
Toronto-Dominion Bank (The) (Canada) 5.10%, 1/9/2026 | 575,000 | 573,239 |
Wells Fargo & Co. | ||
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | 150,000 | 140,186 |
(SOFR + 1.56%), 4.54%, 8/15/2026 (c) | 535,000 | 522,041 |
(SOFR + 1.51%), 3.53%, 3/24/2028 (c) | 285,000 | 263,909 |
(SOFR + 1.98%), 4.81%, 7/25/2028 (c) | 445,000 | 433,261 |
Westpac Banking Corp. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | 75,000 | 69,722 |
28,311,206 | ||
Biotechnology — 0.4% | ||
Amgen, Inc. 5.15%, 3/2/2028 (e) | 510,000 | 507,982 |
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 72,000 | 43,560 |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | 200,000 | 171,000 |
722,542 | ||
Building Products — 0.2% | ||
Builders FirstSource, Inc. 4.25%, 2/1/2032 (a) | 64,000 | 53,730 |
Griffon Corp. 5.75%, 3/1/2028 | 80,000 | 73,624 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 44,000 | 36,771 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 49,000 | 41,137 |
Standard Industries, Inc. 4.75%, 1/15/2028 (a) | 64,000 | 57,501 |
Summit Materials LLC 5.25%, 1/15/2029 (a) | 54,000 | 49,680 |
312,443 | ||
Capital Markets — 4.7% | ||
Credit Suisse Group AG (Switzerland) | ||
3.80%, 6/9/2023 | 380,000 | 375,440 |
(SOFR + 1.56%), 2.59%, 9/11/2025 (a) (c) | 250,000 | 226,511 |
(SOFR + 3.34%), 6.37%, 7/15/2026 (a) (c) | 405,000 | 380,992 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 150,000 | 146,625 |
(SOFR + 1.87%), 2.13%, 11/24/2026 (c) | 500,000 | 448,120 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
(SOFR + 1.22%), 2.31%, 11/16/2027 (c) | 320,000 | 277,841 |
(SOFR + 3.18%), 6.72%, 1/18/2029 (c) | 240,000 | 242,542 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.57%), 0.68%, 3/8/2024 (c) | 200,000 | 199,400 |
(SOFR + 0.73%), 1.76%, 1/24/2025 (c) | 500,000 | 481,268 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (c) | 423,000 | 370,525 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 390,000 | 348,502 |
(SOFR + 1.85%), 3.62%, 3/15/2028 (c) | 720,000 | 668,200 |
Macquarie Group Ltd. (Australia) | ||
6.21%, 11/22/2024 (a) | 490,000 | 494,398 |
(SOFR + 0.91%), 1.63%, 9/23/2027 (a) (c) | 140,000 | 120,618 |
(SOFR + 2.13%), 4.10%, 6/21/2028 (a) (c) | 380,000 | 357,493 |
Morgan Stanley | ||
(SOFR + 0.62%), 0.73%, 4/5/2024 (c) | 160,000 | 159,185 |
(ICE LIBOR USD 3 Month + 0.85%), 3.74%, 4/24/2024 (c) | 200,000 | 199,411 |
(SOFR + 0.72%), 0.98%, 12/10/2026 (c) | 150,000 | 131,940 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (c) | 335,000 | 292,428 |
(SOFR + 1.00%), 2.48%, 1/21/2028 (c) | 400,000 | 356,737 |
(SOFR + 1.61%), 4.21%, 4/20/2028 (c) | 220,000 | 208,982 |
(SOFR + 2.24%), 6.30%, 10/18/2028 (c) | 400,000 | 410,662 |
Nomura Holdings, Inc. (Japan) | ||
1.85%, 7/16/2025 | 200,000 | 182,455 |
1.65%, 7/14/2026 | 200,000 | 174,689 |
UBS Group AG (Switzerland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (a) (c) | 400,000 | 392,059 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (c) | 575,000 | 573,795 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (a) (c) | 410,000 | 396,901 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.85%), 1.49%, 8/10/2027 (a) (c) | 270,000 | 233,994 |
8,851,713 | ||
Chemicals — 0.6% | ||
Albemarle Corp. 4.65%, 6/1/2027 | 450,000 | 438,877 |
Avient Corp. 5.75%, 5/15/2025 (a) | 44,000 | 43,126 |
Braskem Netherlands Finance BV (Brazil) 4.50%, 1/31/2030 (f) | 200,000 | 167,899 |
Chemours Co. (The) | ||
5.38%, 5/15/2027 | 26,000 | 23,677 |
5.75%, 11/15/2028 (a) | 54,000 | 47,427 |
122 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 62,000 | 53,475 |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | 200,000 | 175,898 |
NOVA Chemicals Corp. (Canada) 4.25%, 5/15/2029 (a) | 67,000 | 55,473 |
Scotts Miracle-Gro Co. (The) 4.50%, 10/15/2029 | 108,000 | 93,582 |
Trinseo Materials Operating SCA 5.38%, 9/1/2025 (a) | 49,000 | 42,837 |
WR Grace Holdings LLC 4.88%, 6/15/2027 (a) | 64,000 | 58,809 |
1,201,080 | ||
Commercial Services & Supplies — 0.3% | ||
ACCO Brands Corp. 4.25%, 3/15/2029 (a) (b) | 67,000 | 54,909 |
Allied Universal Holdco LLC 6.63%, 7/15/2026 (a) | 31,000 | 29,442 |
Aramark Services, Inc. 5.00%, 2/1/2028 (a) | 59,000 | 54,321 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 31,000 | 28,185 |
Garda World Security Corp. (Canada) 4.63%, 2/15/2027 (a) | 85,000 | 75,282 |
GFL Environmental, Inc. (Canada) | ||
4.00%, 8/1/2028 (a) | 85,000 | 73,968 |
4.75%, 6/15/2029 (a) | 36,000 | 32,015 |
Madison IAQ LLC 4.13%, 6/30/2028 (a) | 126,000 | 107,491 |
Prime Security Services Borrower LLC 5.75%, 4/15/2026 (a) | 130,000 | 125,612 |
Stericycle, Inc. 3.88%, 1/15/2029 (a) | 54,000 | 46,292 |
627,517 | ||
Communications Equipment — 0.1% | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 85,000 | 81,903 |
4.75%, 9/1/2029 (a) | 95,000 | 77,425 |
159,328 | ||
Construction & Engineering — 0.1% | ||
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) (b) | 44,000 | 38,567 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 54,000 | 45,064 |
MasTec, Inc. 4.50%, 8/15/2028 (a) | 77,000 | 70,065 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 59,000 | 50,108 |
203,804 | ||
Consumer Finance — 2.4% | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.88%, 1/16/2024 | 450,000 | 445,577 |
2.88%, 8/14/2024 | 200,000 | 190,177 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
2.45%, 10/29/2026 | 990,000 | 872,756 |
Avolon Holdings Funding Ltd. (Ireland) | ||
5.25%, 5/15/2024 (a) | 450,000 | 442,830 |
5.50%, 1/15/2026 (a) | 125,000 | 120,961 |
Capital One Financial Corp. | ||
(SOFR + 0.69%), 1.34%, 12/6/2024 (c) | 270,000 | 260,234 |
(SOFR + 2.06%), 4.93%, 5/10/2028 (c) | 400,000 | 387,294 |
(SOFR + 2.08%), 5.47%, 2/1/2029 (c) | 345,000 | 338,708 |
Ford Motor Credit Co. LLC | ||
2.70%, 8/10/2026 | 210,000 | 182,749 |
4.27%, 1/9/2027 | 425,000 | 384,887 |
General Motors Financial Co., Inc. 5.00%, 4/9/2027 | 380,000 | 370,519 |
Navient Corp. 7.25%, 9/25/2023 | 19,000 | 19,055 |
OneMain Finance Corp. | ||
7.13%, 3/15/2026 | 67,000 | 65,131 |
6.63%, 1/15/2028 | 23,000 | 21,418 |
5.38%, 11/15/2029 | 23,000 | 19,367 |
Park Aerospace Holdings Ltd. (Ireland) | ||
4.50%, 3/15/2023 (a) | 350,000 | 349,709 |
5.50%, 2/15/2024 (a) | 150,000 | 148,210 |
4,619,582 | ||
Containers & Packaging — 0.3% | ||
Ardagh Packaging Finance plc 4.13%, 8/15/2026 (a) | 200,000 | 182,000 |
Graphic Packaging International LLC 1.51%, 4/15/2026 (a) | 70,000 | 61,175 |
LABL, Inc. 6.75%, 7/15/2026 (a) | 100,000 | 95,115 |
Mauser Packaging Solutions Holding Co. 7.88%, 8/15/2026 (a) | 113,000 | 113,706 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 62,000 | 60,295 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 49,000 | 42,745 |
555,036 | ||
Diversified Consumer Services — 0.0% ^ | ||
Service Corp. International 5.13%, 6/1/2029 | 41,000 | 38,386 |
Diversified Financial Services — 0.3% | ||
Element Fleet Management Corp. (Canada) | ||
1.60%, 4/6/2024 (a) | 145,000 | 138,145 |
3.85%, 6/15/2025 (a) | 200,000 | 189,576 |
Fondo MIVIVIENDA SA (Peru) 4.63%, 4/12/2027 (a) | 200,000 | 190,850 |
518,571 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 123 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — 0.7% | ||
Altice France SA (France) 5.13%, 7/15/2029 (a) | 200,000 | 154,912 |
CCO Holdings LLC | ||
5.00%, 2/1/2028 (a) | 137,000 | 124,156 |
4.75%, 3/1/2030 (a) | 257,000 | 216,129 |
4.75%, 2/1/2032 (a) | 13,000 | 10,530 |
4.50%, 5/1/2032 | 288,000 | 227,938 |
Frontier Communications Holdings LLC 5.88%, 10/15/2027 (a) | 77,000 | 71,541 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 62,000 | 53,940 |
Lumen Technologies, Inc. | ||
5.13%, 12/15/2026 (a) | 41,000 | 30,032 |
4.00%, 2/15/2027 (a) | 216,000 | 165,866 |
NBN Co. Ltd. (Australia) 1.45%, 5/5/2026 (a) | 200,000 | 177,078 |
Sprint Capital Corp. 8.75%, 3/15/2032 | 67,000 | 79,763 |
Telecom Italia Capital SA (Italy) 6.38%, 11/15/2033 | 31,000 | 27,017 |
1,338,902 | ||
Electric Utilities — 1.9% | ||
Enel Finance America LLC (Italy) 7.10%, 10/14/2027 (a) | 200,000 | 209,934 |
Enel Finance International NV (Italy) 4.63%, 6/15/2027 (a) | 445,000 | 427,179 |
Eskom Holdings SOC Ltd. (South Africa) 6.75%, 8/6/2023 (f) | 200,000 | 197,900 |
Exelon Corp. 5.15%, 3/15/2028 | 305,000 | 302,290 |
Fells Point Funding Trust 3.05%, 1/31/2027 (a) | 535,000 | 487,482 |
ITC Holdings Corp. 3.65%, 6/15/2024 | 745,000 | 725,494 |
NextEra Energy Capital Holdings, Inc. 4.90%, 2/28/2028 | 600,000 | 592,848 |
NRG Energy, Inc. | ||
3.38%, 2/15/2029 (a) | 46,000 | 37,350 |
5.25%, 6/15/2029 (a) | 67,000 | 59,630 |
PG&E Corp. 5.00%, 7/1/2028 | 60,000 | 54,783 |
Vistra Operations Co. LLC | ||
3.55%, 7/15/2024 (a) | 350,000 | 336,047 |
5.00%, 7/31/2027 (a) | 90,000 | 83,606 |
4.38%, 5/1/2029 (a) | 27,000 | 23,325 |
3,537,868 | ||
Electrical Equipment — 0.1% | ||
Regal Rexnord Corp. | ||
6.05%, 2/15/2026 (a) | 16,000 | 15,872 |
6.05%, 4/15/2028 (a) | 31,000 | 30,312 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electrical Equipment — continued | ||
6.30%, 2/15/2030 (a) | 13,000 | 12,719 |
6.40%, 4/15/2033 (a) | 19,000 | 18,695 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 44,000 | 38,227 |
115,825 | ||
Electronic Equipment, Instruments & Components — 0.0% ^ | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 41,000 | 35,920 |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | 36,000 | 31,859 |
67,779 | ||
Energy Equipment & Services — 0.1% | ||
Guara Norte SARL (Brazil) 5.20%, 6/15/2034 (a) | 182,114 | 152,142 |
Oceaneering International, Inc. 4.65%, 11/15/2024 | 62,000 | 59,680 |
Precision Drilling Corp. (Canada) 7.13%, 1/15/2026 (a) | 54,000 | 53,128 |
Transocean, Inc. 8.75%, 2/15/2030 (a) | 10,000 | 10,175 |
275,125 | ||
Entertainment — 0.5% | ||
Cinemark USA, Inc. | ||
5.88%, 3/15/2026 (a) | 31,000 | 28,382 |
5.25%, 7/15/2028 (a) (b) | 28,000 | 23,527 |
Live Nation Entertainment, Inc. 4.75%, 10/15/2027 (a) | 85,000 | 76,547 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (a) | 975,000 | 894,401 |
1,022,857 | ||
Equity Real Estate Investment Trusts (REITs) — 0.2% | ||
Corporate Office Properties LP 2.00%, 1/15/2029 | 140,000 | 107,770 |
Iron Mountain, Inc. 4.88%, 9/15/2027 (a) | 52,000 | 47,863 |
RHP Hotel Properties LP 4.75%, 10/15/2027 | 67,000 | 61,600 |
SBA Communications Corp. 3.13%, 2/1/2029 | 43,000 | 35,505 |
VICI Properties LP 5.63%, 5/1/2024 (a) | 44,000 | 43,684 |
296,422 | ||
Food & Staples Retailing — 0.2% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 216,000 | 203,040 |
3.50%, 3/15/2029 (a) | 59,000 | 49,936 |
Performance Food Group, Inc. 5.50%, 10/15/2027 (a) | 22,000 | 20,863 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | 85,000 | 45,050 |
318,889 |
124 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — 0.5% | ||
Lamb Weston Holdings, Inc. 4.88%, 5/15/2028 (a) | 28,000 | 26,389 |
Post Holdings, Inc. | ||
5.63%, 1/15/2028 (a) | 103,000 | 98,365 |
4.63%, 4/15/2030 (a) | 31,000 | 26,878 |
Viterra Finance BV (Netherlands) | ||
2.00%, 4/21/2026 (a) | 200,000 | 173,134 |
4.90%, 4/21/2027 (a) | 570,000 | 539,980 |
864,746 | ||
Gas Utilities — 0.0% ^ | ||
AmeriGas Partners LP 5.88%, 8/20/2026 | 49,000 | 46,178 |
Superior Plus LP (Canada) 4.50%, 3/15/2029 (a) | 35,000 | 30,404 |
76,582 | ||
Health Care Equipment & Supplies — 0.1% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 54,000 | 49,680 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 90,000 | 75,013 |
5.25%, 10/1/2029 (a) | 90,000 | 73,861 |
198,554 | ||
Health Care Providers & Services — 0.5% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 41,000 | 38,424 |
AdaptHealth LLC 4.63%, 8/1/2029 (a) | 54,000 | 45,328 |
Centene Corp. 4.63%, 12/15/2029 | 76,000 | 69,501 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 98,000 | 95,550 |
5.63%, 3/15/2027 (a) | 23,000 | 20,186 |
6.00%, 1/15/2029 (a) | 67,000 | 57,864 |
4.75%, 2/15/2031 (a) | 77,000 | 59,482 |
DaVita, Inc. 4.63%, 6/1/2030 (a) | 103,000 | 84,890 |
Encompass Health Corp. 4.75%, 2/1/2030 | 121,000 | 107,105 |
Owens & Minor, Inc. 4.38%, 12/15/2024 | 70,000 | 66,878 |
Tenet Healthcare Corp. | ||
5.13%, 11/1/2027 | 59,000 | 55,468 |
4.63%, 6/15/2028 | 121,000 | 109,477 |
4.25%, 6/1/2029 | 198,000 | 173,389 |
983,542 | ||
Hotels, Restaurants & Leisure — 0.7% | ||
1011778 BC ULC (Canada) 3.88%, 1/15/2028 (a) | 46,000 | 40,933 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 59,000 | 55,313 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 85,000 | 75,230 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
Caesars Entertainment, Inc. 6.25%, 7/1/2025 (a) | 95,000 | 94,210 |
Carnival Corp. 9.88%, 8/1/2027 (a) | 162,000 | 164,914 |
Cedar Fair LP 5.25%, 7/15/2029 | 85,000 | 77,533 |
Gohl Capital Ltd. (Malaysia) 4.25%, 1/24/2027 (f) | 200,000 | 177,663 |
Hilton Domestic Operating Co., Inc. 4.88%, 1/15/2030 | 72,000 | 66,060 |
Marriott Ownership Resorts, Inc. 4.50%, 6/15/2029 (a) | 49,000 | 41,122 |
MGM Resorts International 5.50%, 4/15/2027 | 98,000 | 93,165 |
Royal Caribbean Cruises Ltd. | ||
8.25%, 1/15/2029 (a) | 75,000 | 77,657 |
9.25%, 1/15/2029 (a) | 70,000 | 74,251 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) (b) | 26,000 | 24,553 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 22,000 | 22,233 |
Station Casinos LLC 4.50%, 2/15/2028 (a) | 49,000 | 43,277 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 31,000 | 30,917 |
Wynn Las Vegas LLC 5.50%, 3/1/2025 (a) | 49,000 | 47,545 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 28,000 | 25,515 |
4.63%, 1/31/2032 | 8,000 | 7,072 |
1,239,163 | ||
Household Durables — 0.1% | ||
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 54,000 | 47,115 |
Newell Brands, Inc. 6.38%, 9/15/2027 | 80,000 | 79,562 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 90,000 | 76,942 |
203,619 | ||
Household Products — 0.1% | ||
Central Garden & Pet Co. | ||
4.13%, 10/15/2030 | 59,000 | 49,155 |
4.13%, 4/30/2031 (a) | 31,000 | 25,395 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 41,000 | 35,781 |
4.38%, 3/31/2029 (a) | 44,000 | 37,301 |
Spectrum Brands, Inc. 5.00%, 10/1/2029 (a) | 90,000 | 77,563 |
225,195 | ||
Independent Power and Renewable Electricity Producers — 0.3% | ||
Calpine Corp. 4.50%, 2/15/2028 (a) | 85,000 | 76,527 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 125 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Independent Power and Renewable Electricity Producers — continued | ||
Constellation Energy Generation LLC 5.60%, 3/1/2028 | 355,000 | 355,949 |
Termocandelaria Power Ltd. (Colombia) 7.88%, 1/30/2029 (f) | 155,000 | 138,725 |
571,201 | ||
Insurance — 0.9% | ||
Athene Global Funding | ||
0.95%, 1/8/2024 (a) | 259,000 | 248,912 |
0.91%, 8/19/2024 (a) | 295,000 | 272,742 |
2.50%, 1/14/2025 (a) | 308,000 | 287,708 |
Equitable Financial Life Global Funding 0.80%, 8/12/2024 (a) | 230,000 | 215,585 |
Jackson National Life Global Funding | ||
3.88%, 6/11/2025 (a) | 150,000 | 143,181 |
5.50%, 1/9/2026 (a) | 575,000 | 574,988 |
1,743,116 | ||
IT Services — 0.5% | ||
Arches Buyer, Inc. 4.25%, 6/1/2028 (a) | 49,000 | 40,336 |
Block, Inc. | ||
2.75%, 6/1/2026 | 15,000 | 13,384 |
3.50%, 6/1/2031 | 38,000 | 30,700 |
Gartner, Inc. 3.63%, 6/15/2029 (a) | 77,000 | 66,584 |
Global Payments, Inc. | ||
1.20%, 3/1/2026 | 415,000 | 362,780 |
4.95%, 8/15/2027 | 335,000 | 324,013 |
Presidio Holdings, Inc. 4.88%, 2/1/2027 (a) | 82,000 | 74,700 |
912,497 | ||
Leisure Products — 0.0% ^ | ||
Vista Outdoor, Inc. 4.50%, 3/15/2029 (a) | 59,000 | 47,864 |
Life Sciences Tools & Services — 0.0% ^ | ||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | 36,000 | 31,255 |
Syneos Health, Inc. 3.63%, 1/15/2029 (a) | 54,000 | 44,511 |
75,766 | ||
Machinery — 0.1% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 62,000 | 62,930 |
Terex Corp. 5.00%, 5/15/2029 (a) | 41,000 | 37,642 |
100,572 | ||
Media — 0.9% | ||
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 131,000 | 116,917 |
7.75%, 4/15/2028 (a) (b) | 26,000 | 21,577 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 44,000 | 42,630 |
6.50%, 2/1/2029 (a) | 200,000 | 169,520 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 49,000 | 43,807 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 44,000 | 41,225 |
7.75%, 7/1/2026 | 278,000 | 215,797 |
5.25%, 12/1/2026 (a) | 98,000 | 82,075 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 49,000 | 49,648 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 41,000 | 34,442 |
Gray Escrow II, Inc. 5.38%, 11/15/2031 (a) | 90,000 | 66,821 |
iHeartCommunications, Inc. | ||
8.38%, 5/1/2027 | 22,500 | 19,800 |
5.25%, 8/15/2027 (a) | 100,000 | 87,022 |
Lamar Media Corp. 4.00%, 2/15/2030 | 49,000 | 42,140 |
News Corp. 3.88%, 5/15/2029 (a) | 46,000 | 39,420 |
Nexstar Media, Inc. 5.63%, 7/15/2027 (a) | 97,000 | 90,087 |
Outfront Media Capital LLC 6.25%, 6/15/2025 (a) | 20,000 | 19,833 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 36,000 | 28,691 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 18,000 | 14,413 |
Sinclair Television Group, Inc. 4.13%, 12/1/2030 (a) | 59,000 | 45,914 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 49,000 | 44,957 |
5.50%, 7/1/2029 (a) | 190,000 | 171,475 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 67,000 | 57,621 |
Univision Communications, Inc. | ||
6.63%, 6/1/2027 (a) | 26,000 | 24,684 |
4.50%, 5/1/2029 (a) | 53,000 | 44,702 |
Videotron Ltd. (Canada) 5.13%, 4/15/2027 (a) | 41,000 | 38,335 |
1,653,553 | ||
Metals & Mining — 0.5% | ||
Alcoa Nederland Holding BV 6.13%, 5/15/2028 (a) (b) | 200,000 | 196,682 |
Arconic Corp. 6.13%, 2/15/2028 (a) | 77,000 | 75,653 |
ATI, Inc. 5.88%, 12/1/2027 | 108,000 | 102,879 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 41,000 | 39,873 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 67,000 | 64,192 |
Cleveland-Cliffs, Inc. | ||
6.75%, 3/15/2026 (a) | 62,000 | 62,628 |
5.88%, 6/1/2027 | 8,000 | 7,764 |
4.63%, 3/1/2029 (a) (b) | 13,000 | 11,844 |
126 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Metals & Mining — continued | ||
CSN Inova Ventures (Brazil) 6.75%, 1/28/2028 (f) | 200,000 | 189,947 |
FMG Resources August 2006 Pty. Ltd. (Australia) 4.50%, 9/15/2027 (a) | 62,000 | 57,040 |
Kaiser Aluminum Corp. 4.63%, 3/1/2028 (a) | 26,000 | 22,392 |
Novelis Corp. 4.75%, 1/30/2030 (a) | 77,000 | 67,645 |
898,539 | ||
Multiline Retail — 0.1% | ||
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 72,000 | 69,480 |
Nordstrom, Inc. | ||
2.30%, 4/8/2024 | 20,000 | 18,900 |
4.38%, 4/1/2030 | 44,000 | 34,705 |
123,085 | ||
Oil, Gas & Consumable Fuels — 2.2% | ||
Antero Midstream Partners LP | ||
7.88%, 5/15/2026 (a) | 48,000 | 48,478 |
5.38%, 6/15/2029 (a) | 26,000 | 23,400 |
Antero Resources Corp. | ||
7.63%, 2/1/2029 (a) | 27,000 | 27,200 |
5.38%, 3/1/2030 (a) | 59,000 | 53,720 |
APA Infrastructure Ltd. (Australia) 4.20%, 3/23/2025 (a) | 350,000 | 338,785 |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | 44,000 | 44,770 |
Blue Racer Midstream LLC 6.63%, 7/15/2026 (a) | 67,000 | 65,316 |
Buckeye Partners LP 4.13%, 12/1/2027 | 80,000 | 69,249 |
Cheniere Energy Partners LP 4.50%, 10/1/2029 | 31,000 | 28,133 |
Chesapeake Energy Corp. 6.75%, 4/15/2029 (a) | 72,000 | 69,751 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 36,000 | 34,716 |
CNX Resources Corp. | ||
7.25%, 3/14/2027 (a) | 4,000 | 3,967 |
6.00%, 1/15/2029 (a) | 54,000 | 48,958 |
Comstock Resources, Inc. 6.75%, 3/1/2029 (a) | 98,000 | 90,160 |
Crestwood Midstream Partners LP | ||
5.63%, 5/1/2027 (a) | 49,000 | 45,325 |
8.00%, 4/1/2029 (a) | 36,000 | 35,820 |
DT Midstream, Inc. 4.13%, 6/15/2029 (a) | 85,000 | 72,887 |
Ecopetrol SA (Colombia) 5.38%, 6/26/2026 | 150,000 | 141,937 |
Energean Israel Finance Ltd. (Israel) | ||
4.50%, 3/30/2024 (a) (f) | 12,000 | 11,640 |
4.88%, 3/30/2026 (a) (f) | 130,000 | 119,706 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Energy Transfer LP 5.55%, 2/15/2028 | 410,000 | 408,421 |
EnLink Midstream Partners LP | ||
4.15%, 6/1/2025 | 34,000 | 32,603 |
4.85%, 7/15/2026 | 36,000 | 34,123 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 10,000 | 9,553 |
6.00%, 7/1/2025 (a) | 13,000 | 12,545 |
6.50%, 7/1/2027 (a) | 46,000 | 43,566 |
5.50%, 7/15/2028 | 85,000 | 75,862 |
Genesis Energy LP | ||
6.25%, 5/15/2026 | 62,000 | 58,770 |
8.00%, 1/15/2027 | 46,000 | 44,988 |
Gray Oak Pipeline LLC 2.60%, 10/15/2025 (a) | 475,000 | 429,819 |
Greenko Dutch BV (India) 3.85%, 3/29/2026 (a) | 191,000 | 168,295 |
Gulfport Energy Corp. 8.00%, 5/17/2026 (a) | 76,436 | 74,287 |
Hilcorp Energy I LP 5.75%, 2/1/2029 (a) | 72,000 | 65,160 |
Holly Energy Partners LP 6.38%, 4/15/2027 (a) | 54,000 | 52,365 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 54,000 | 49,907 |
Leviathan Bond Ltd. (Israel) | ||
6.13%, 6/30/2025 (a) (f) | 50,000 | 48,400 |
6.50%, 6/30/2027 (a) (f) | 50,000 | 47,465 |
MEG Energy Corp. (Canada) 5.88%, 2/1/2029 (a) | 54,000 | 50,364 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | 28,000 | 26,738 |
NuStar Logistics LP 5.63%, 4/28/2027 | 90,000 | 83,779 |
Occidental Petroleum Corp. 6.13%, 1/1/2031 | 46,000 | 46,327 |
Petroleos Mexicanos (Mexico) | ||
4.25%, 1/15/2025 | 100,000 | 95,206 |
4.50%, 1/23/2026 | 100,000 | 92,025 |
6.88%, 8/4/2026 | 130,000 | 124,169 |
6.49%, 1/23/2027 | 270,000 | 245,052 |
Range Resources Corp. | ||
8.25%, 1/15/2029 | 54,000 | 55,418 |
4.75%, 2/15/2030 (a) | 24,000 | 21,480 |
SM Energy Co. | ||
6.75%, 9/15/2026 | 26,000 | 25,085 |
6.63%, 1/15/2027 | 54,000 | 51,368 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 31,000 | 32,434 |
5.38%, 3/15/2030 | 95,000 | 86,781 |
Sunoco LP 5.88%, 3/15/2028 | 54,000 | 51,826 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 127 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Tallgrass Energy Partners LP | ||
6.00%, 3/1/2027 (a) | 44,000 | 40,854 |
6.00%, 12/31/2030 (a) | 77,000 | 66,400 |
Vital Energy, Inc. 9.50%, 1/15/2025 | 31,000 | 31,250 |
4,256,603 | ||
Personal Products — 0.1% | ||
Edgewell Personal Care Co. 5.50%, 6/1/2028 (a) | 108,000 | 100,851 |
Prestige Brands, Inc. 5.13%, 1/15/2028 (a) | 54,000 | 50,718 |
151,569 | ||
Pharmaceuticals — 0.4% | ||
Bausch Health Americas, Inc. | ||
9.25%, 4/1/2026 (a) | 278,000 | 207,868 |
8.50%, 1/31/2027 (a) | 108,000 | 56,823 |
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 59,000 | 51,312 |
4.88%, 6/1/2028 (a) | 257,000 | 160,305 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (g) | 54,000 | 51,563 |
Organon & Co. 5.13%, 4/30/2031 (a) | 200,000 | 169,750 |
Par Pharmaceutical, Inc. 7.50%, 4/1/2027 (a) (g) | 50,000 | 37,634 |
735,255 | ||
Real Estate Management & Development — 0.1% | ||
GLP Pte. Ltd. (Singapore) 3.88%, 6/4/2025 (f) | 200,000 | 163,787 |
Kennedy-Wilson, Inc. 4.75%, 3/1/2029 | 67,000 | 54,459 |
Realogy Group LLC 5.75%, 1/15/2029 (a) | 49,000 | 35,182 |
253,428 | ||
Road & Rail — 0.6% | ||
Avis Budget Car Rental LLC | ||
5.75%, 7/15/2027 (a) | 64,000 | 60,397 |
4.75%, 4/1/2028 (a) | 31,000 | 27,513 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 59,000 | 50,445 |
Hertz Corp. (The) 4.63%, 12/1/2026 (a) | 108,000 | 96,178 |
Triton Container International Ltd. (Bermuda) 2.05%, 4/15/2026 (a) | 859,000 | 756,994 |
Uber Technologies, Inc. 7.50%, 5/15/2025 (a) | 54,000 | 54,547 |
1,046,074 | ||
Semiconductors & Semiconductor Equipment — 0.1% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 54,000 | 53,385 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Semiconductors & Semiconductor Equipment — continued | ||
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | 90,000 | 83,708 |
Marvell Technology, Inc. 1.65%, 4/15/2026 | 125,000 | 111,894 |
248,987 | ||
Software — 0.3% | ||
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 64,000 | 55,228 |
NCR Corp. | ||
5.13%, 4/15/2029 (a) | 48,000 | 40,993 |
6.13%, 9/1/2029 (a) | 103,000 | 100,167 |
Oracle Corp. 4.50%, 5/6/2028 | 395,000 | 379,844 |
576,232 | ||
Specialty Retail — 0.4% | ||
Asbury Automotive Group, Inc. 4.50%, 3/1/2028 | 59,000 | 52,798 |
Bath & Body Works, Inc. | ||
5.25%, 2/1/2028 | 41,000 | 38,181 |
7.50%, 6/15/2029 | 76,000 | 76,278 |
6.75%, 7/1/2036 | 23,000 | 19,751 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 85,000 | 62,334 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 49,000 | 42,078 |
Lithia Motors, Inc. | ||
4.63%, 12/15/2027 (a) | 31,000 | 28,147 |
4.38%, 1/15/2031 (a) | 31,000 | 25,808 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 64,000 | 53,783 |
PetSmart, Inc. 4.75%, 2/15/2028 (a) | 250,000 | 227,551 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 49,000 | 40,425 |
SRS Distribution, Inc. 4.63%, 7/1/2028 (a) | 49,000 | 42,874 |
Staples, Inc. 7.50%, 4/15/2026 (a) | 95,000 | 84,550 |
794,558 | ||
Technology Hardware, Storage & Peripherals — 0.0% ^ | ||
Seagate HDD Cayman | ||
4.88%, 6/1/2027 | 44,000 | 41,428 |
9.63%, 12/1/2032 (a) | 44,000 | 48,098 |
89,526 | ||
Textiles, Apparel & Luxury Goods — 0.0% ^ | ||
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 31,000 | 29,796 |
Thrifts & Mortgage Finance — 1.6% | ||
BPCE SA (France) | ||
5.70%, 10/22/2023 (a) | 400,000 | 398,773 |
128 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Thrifts & Mortgage Finance — continued | ||
5.15%, 7/21/2024 (a) | ��� 285,000 | 280,536 |
(SOFR + 1.52%), 1.65%, 10/6/2026 (a) (c) | 750,000 | 670,530 |
(SOFR + 2.10%), 5.97%, 1/18/2027 (a) (c) | 500,000 | 499,395 |
Nationstar Mortgage Holdings, Inc. 6.00%, 1/15/2027 (a) | 72,000 | 66,240 |
Nationwide Building Society (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.06%), 3.77%, 3/8/2024 (a) (c) | 200,000 | 199,959 |
(ICE LIBOR USD 3 Month + 1.39%), 4.36%, 8/1/2024 (a) (c) | 200,000 | 198,477 |
(SOFR + 1.29%), 2.97%, 2/16/2028 (a) (c) | 850,000 | 762,618 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 17,000 | 14,669 |
3.63%, 3/1/2029 (a) | 44,000 | 35,368 |
4.00%, 10/15/2033 (a) | 5,000 | 3,696 |
3,130,261 | ||
Tobacco — 0.2% | ||
BAT International Finance plc (United Kingdom) 4.45%, 3/16/2028 | 475,000 | 444,091 |
Trading Companies & Distributors — 0.7% | ||
Air Lease Corp. | ||
4.25%, 2/1/2024 | 150,000 | 147,879 |
5.85%, 12/15/2027 (b) | 360,000 | 358,299 |
5.30%, 2/1/2028 | 270,000 | 262,334 |
Aviation Capital Group LLC | ||
4.38%, 1/30/2024 (a) | 200,000 | 196,555 |
5.50%, 12/15/2024 (a) | 150,000 | 148,018 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 54,000 | 50,868 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 51,000 | 43,376 |
United Rentals North America, Inc. 4.88%, 1/15/2028 | 139,000 | 132,495 |
WESCO Distribution, Inc. 7.25%, 6/15/2028 (a) | 33,000 | 33,441 |
1,373,265 | ||
Wireless Telecommunication Services — 0.5% | ||
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 67,000 | 63,064 |
Kenbourne Invest SA (Chile) 4.70%, 1/22/2028 (f) | 200,000 | 138,475 |
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 150,000 | 143,679 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wireless Telecommunication Services — continued | ||
4.75%, 2/1/2028 | 28,000 | 27,113 |
4.95%, 3/15/2028 | 600,000 | 588,984 |
961,315 | ||
Total Corporate Bonds (Cost $83,768,537) | 78,866,892 | |
Asset-Backed Securities — 19.7% | ||
ACC Auto Trust Series 2021-A, Class A, 1.08%, 4/15/2027 (a) | 56,475 | 55,955 |
Accelerated LLC Series 2021-1H, Class B, 1.90%, 10/20/2040 (a) | 191,041 | 168,877 |
ACM Auto Trust | ||
Series 2022-1A, Class B, 4.47%, 4/20/2029 (a) | 438,000 | 436,743 |
Series 2023-1A, Class B, 7.26%, 1/22/2030 (a) | 383,000 | 381,685 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (a) | 263,000 | 229,039 |
American Credit Acceptance Receivables Trust | ||
Series 2020-1, Class E, 3.32%, 3/13/2026 (a) | 450,000 | 442,376 |
Series 2022-3, Class D, 5.83%, 10/13/2028 (a) | 584,000 | 565,476 |
Series 2023-1, Class D, 6.35%, 4/12/2029 (a) | 375,000 | 368,083 |
AMSR Trust | ||
Series 2021-SFR3, Class E1, 2.33%, 10/17/2038 (a) | 300,000 | 255,891 |
Series 2021-SFR4, Class E1, 2.97%, 12/17/2038 (a) | 400,000 | 340,348 |
Aqua Finance Trust Series 2021-A, Class B, 2.40%, 7/17/2046 (a) | 313,000 | 254,915 |
AREIT Trust Series 2021-CRE5, Class C, 6.85%, 11/17/2038 ‡ (a) (h) | 336,000 | 316,396 |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 5.90%, 4/22/2031 (a) (h) | 200,000 | 196,550 |
Bain Capital Credit CLO Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.78%, 7/20/2030 (a) (h) | 305,870 | 303,138 |
BSPRT Issuer Ltd. (Cayman Islands) Series 2021-FL7, Class B, 6.64%, 12/15/2038 (a) (h) | 475,000 | 455,714 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (a) | 292,417 | 275,282 |
Series 2021-1A, Class A, 2.16%, 4/15/2036 ‡ (a) | 630,237 | 565,964 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 129 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
CarNow Auto Receivables Trust | ||
Series 2020-1A, Class C, 3.84%, 9/16/2024 (a) | 91,512 | 91,363 |
Series 2021-1A, Class C, 2.16%, 2/17/2026 (a) | 196,000 | 191,297 |
Series 2021-2A, Class C, 1.69%, 3/15/2027 (a) | 500,000 | 477,912 |
Series 2022-1A, Class D, 5.79%, 9/15/2027 (a) | 397,000 | 387,052 |
CIFC Funding Ltd. (Cayman Islands) Series 2012-2RA, Class A1, 5.61%, 1/20/2028 (a) (h) | 95,370 | 94,640 |
Continental Finance Credit Card ABS Master Trust Series 2021-A, Class A, 2.55%, 12/17/2029 (a) | 400,000 | 370,402 |
CPS Auto Receivables Trust | ||
Series 2019-B, Class E, 5.00%, 3/17/2025 (a) | 482,262 | 481,219 |
Series 2019-A, Class E, 5.81%, 3/16/2026 (a) | 500,000 | 499,101 |
Series 2021-D, Class D, 2.31%, 12/15/2027 (a) | 200,000 | 181,949 |
Series 2023-A, Class D, 6.44%, 4/16/2029 (a) | 750,000 | 731,866 |
Series 2022-C, Class D, 6.45%, 4/15/2030 (a) | 240,000 | 236,426 |
Credit Acceptance Auto Loan Trust | ||
Series 2021-3A, Class C, 1.63%, 9/16/2030 (a) | 250,000 | 228,220 |
Series 2022-1A, Class C, 5.70%, 10/15/2032 (a) | 467,000 | 451,563 |
Crossroads Asset Trust Series 2021-A, Class C, 1.44%, 1/20/2026 (a) | 125,000 | 120,405 |
Dext ABS LLC Series 2021-1, Class A, 1.12%, 2/15/2028 (a) | 173,976 | 166,832 |
DT Auto Owner Trust | ||
Series 2021-1A, Class D, 1.16%, 11/16/2026 (a) | 250,000 | 230,393 |
Series 2021-3A, Class D, 1.31%, 5/17/2027 (a) | 250,000 | 224,616 |
Series 2023-1A, Class D, 6.44%, 11/15/2028 (a) | 307,000 | 303,050 |
Exeter Automobile Receivables Trust | ||
Series 2019-3A, Class D, 3.11%, 8/15/2025 (a) | 112,672 | 111,118 |
Series 2020-1A, Class E, 3.74%, 1/15/2027 (a) | 635,000 | 610,437 |
Series 2021-2A, Class D, 1.40%, 4/15/2027 | 210,000 | 193,911 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-4A, Class D, 1.96%, 1/17/2028 | 480,000 | 434,936 |
Series 2022-2A, Class D, 4.56%, 7/17/2028 | 800,000 | 753,992 |
Series 2022-5A, Class D, 7.40%, 2/15/2029 | 500,000 | 504,809 |
Series 2022-6A, Class D, 8.03%, 4/6/2029 | 500,000 | 516,299 |
FCI Funding LLC Series 2021-1A, Class A, 1.13%, 4/15/2033 ‡ (a) | 46,123 | 45,113 |
FHF Trust | ||
Series 2021-2A, Class A, 0.83%, 12/15/2026 (a) | 204,890 | 195,088 |
Series 2021-1A, Class A, 1.27%, 3/15/2027 (a) | 67,935 | 65,194 |
FirstKey Homes Trust | ||
Series 2021-SFR3, Class E1, 2.99%, 12/17/2038 (a) | 500,000 | 433,008 |
Series 2022-SFR2, Class D, 4.50%, 7/17/2039 (a) | 615,000 | 558,889 |
Flagship Credit Auto Trust | ||
Series 2021-1, Class D, 1.27%, 3/15/2027 (a) | 225,000 | 202,107 |
Series 2021-3, Class C, 1.46%, 9/15/2027 (a) | 143,000 | 130,485 |
Series 2022-1, Class D, 3.64%, 3/15/2028 (a) | 536,000 | 490,954 |
Series 2022-3, Class C, 4.99%, 7/17/2028 (a) | 858,000 | 835,272 |
Series 2022-3, Class D, 6.00%, 7/17/2028 (a) | 600,000 | 581,897 |
Foundation Finance Trust Series 2021-1A, Class A, 1.27%, 5/15/2041 (a) | 94,531 | 84,240 |
FREED ABS Trust | ||
Series 2021-1CP, Class B, 1.41%, 3/20/2028 (a) | 24,113 | 24,029 |
Series 2022-3FP, Class A, 4.50%, 8/20/2029 (a) | 233,216 | 232,790 |
FRTKL Series 2021-SFR1, Class D, 2.17%, 9/17/2038 (a) | 238,000 | 201,411 |
Galaxy CLO Ltd. (Cayman Islands) Series 2015-19A, Class A1RR, 5.77%, 7/24/2030 (a) (h) | 246,165 | 243,863 |
GLS Auto Receivables Issuer Trust | ||
Series 2019-4A, Class C, 3.06%, 8/15/2025 (a) | 141,486 | 139,640 |
Series 2021-3A, Class D, 1.48%, 7/15/2027 (a) | 200,000 | 178,227 |
Series 2020-4A, Class E, 3.51%, 10/15/2027 (a) | 1,000,000 | 939,577 |
130 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Goldman Home Improvement Trust Issuer Trust Series 2021-GRN2, Class A, 1.15%, 6/25/2051 (a) | 104,639 | 96,276 |
Home Partners of America Trust Series 2021-3, Class E1, 3.20%, 1/17/2041 (a) | 465,089 | 379,528 |
LCM LP (Cayman Islands) Series 14A, Class AR, 5.85%, 7/20/2031 (a) (h) | 400,000 | 394,662 |
LCM Ltd. (Cayman Islands) Series 26A, Class A1, 5.88%, 1/20/2031 (a) (h) | 250,000 | 246,732 |
Lendbuzz Securitization Trust Series 2021-1A, Class A, 1.46%, 6/15/2026 (a) | 109,714 | 104,802 |
Lendingpoint Asset Securitization Trust | ||
Series 2021-A, Class B, 1.46%, 12/15/2028 (a) | 122,304 | 121,428 |
Series 2022-A, Class C, 2.82%, 6/15/2029 (a) | 300,000 | 283,401 |
LendingPoint Asset Securitization Trust Series 2020-REV1, Class B, 4.49%, 10/15/2028 (a) | 300,000 | 293,113 |
LendingPoint Pass-Through Trust Series 2022-ST1, Class A, 2.50%, 3/15/2028 (a) | 123,142 | 117,627 |
Lendmark Funding Trust | ||
Series 2019-2A, Class A, 2.78%, 4/20/2028 (a) | 139,903 | 137,109 |
Series 2021-1A, Class A, 1.90%, 11/20/2031 (a) | 600,000 | 512,910 |
LL ABS Trust Series 2021-1A, Class A, 1.07%, 5/15/2029 (a) | 86,621 | 83,859 |
LMREC LLC Series 2021-CRE4, Class A, 5.67%, 4/22/2037 ‡ (a) (h) | 53,784 | 53,015 |
Longfellow Place CLO Ltd. (Cayman Islands) Series 2013-1A, Class AR3, 5.79%, 4/15/2029 (a) (h) | 35,444 | 35,329 |
Mariner Finance Issuance Trust Series 2021-AA, Class A, 1.86%, 3/20/2036 (a) | 192,000 | 167,719 |
Mercury Financial Credit Card Master Trust Series 2023-1A, Class A, 8.04%, 9/20/2027 (a) | 408,000 | 404,721 |
Mission Lane Credit Card Master Trust Series 2021-A, Class A, 1.59%, 9/15/2026 (a) | 355,000 | 347,365 |
MVW LLC | ||
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (a) | 122,740 | 110,568 |
Series 2021-1WA, Class B, 1.44%, 1/22/2041 (a) | 52,678 | 47,575 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) Series 2020-37A, Class AR, 5.78%, 7/20/2031 (a) (h) | 354,000 | 350,194 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Residential Mortgage Loan Trust Series 2022-SFR1, Class E1, 3.55%, 2/17/2039 (a) | 520,000 | 459,495 |
NMEF Funding LLC Series 2021-A, Class B, 1.85%, 12/15/2027 (a) | 178,000 | 171,772 |
NRZ Excess Spread-Collateralized Notes Series 2021-FNT1, Class A, 2.98%, 3/25/2026 (a) | 110,161 | 97,882 |
Octane Receivables Trust Series 2023-1A, Class D, 7.76%, 3/20/2030 ‡ (a) | 500,000 | 499,659 |
Oportun Funding XIV LLC Series 2021-A, Class A, 1.21%, 3/8/2028 (a) | 172,000 | 161,930 |
Pagaya AI Debt Selection Trust | ||
Series 2021-1, Class A, 1.18%, 11/15/2027 (a) | 26,771 | 26,516 |
Series 2021-HG1, Class A, 1.22%, 1/16/2029 (a) | 163,611 | 155,981 |
Series 2021-3, Class A, 1.15%, 5/15/2029 (a) | 65,836 | 64,735 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2020-1A, Class A1, 5.48%, 2/20/2028 (a) (h) | 49,670 | 49,370 |
Series 2021-2A, Class A1, 5.72%, 5/20/2029 (a) (h) | 126,996 | 125,760 |
PFP Ltd. (Cayman Islands) Series 2021-7, Class C, 6.24%, 4/14/2038 (a) (h) | 166,492 | 155,904 |
PRET LLC | ||
Series 2021-NPL3, Class A1, 1.87%, 7/25/2051 (a) (g) | 1,227,213 | 1,123,514 |
Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (a) (g) | 242,158 | 225,569 |
Series 2021-RN4, Class A1, 2.49%, 10/25/2051 (a) (h) | 421,069 | 391,085 |
Pretium Mortgage Credit Partners I LLC | ||
Series 2021-NPL2, Class A1, 1.99%, 6/27/2060 (a) (g) | 193,366 | 178,252 |
Series 2021-NPL1, Class A1, 2.24%, 9/27/2060 (a) (g) | 148,880 | 139,701 |
Series 2021-NPL4, Class A1, 2.36%, 10/27/2060 (a) (g) | 964,228 | 892,761 |
Progress Residential Series 2021-SFR3, Class E1, 2.54%, 5/17/2026 (a) | 200,000 | 171,797 |
Progress Residential Trust | ||
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (a) | 350,000 | 294,577 |
Series 2022-SFR3, Class D, 4.45%, 4/17/2039 (a) | 562,000 | 514,600 |
Santander Drive Auto Receivables Trust Series 2021-3, Class D, 1.33%, 9/15/2027 | 300,000 | 280,935 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 131 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Skopos Auto Receivables Trust Series 2019-1A, Class D, 5.24%, 4/15/2025 (a) | 281,047 | 279,045 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 5.89%, 1/20/2032 (a) (h) | 400,000 | 395,768 |
Stratus CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 5.61%, 12/29/2029 (a) (h) | 428,052 | 422,892 |
Symphony CLO Ltd. (Cayman Islands) Series 2016-18A, Class A1RR, 5.92%, 7/23/2033 (a) (h) | 250,000 | 246,796 |
Tricon Residential Trust Series 2021-SFR1, Class E1, 2.79%, 7/17/2038 (a) | 240,000 | 209,577 |
Upstart Pass-Through Trust | ||
Series 2021-ST4, Class A, 2.00%, 7/20/2027 (a) | 95,515 | 88,687 |
Series 2021-ST5, Class A, 2.00%, 7/20/2027 (a) | 108,497 | 103,444 |
Series 2021-ST8, Class A, 1.75%, 10/20/2029 (a) | 150,186 | 140,291 |
Series 2021-ST9, Class A, 1.70%, 11/20/2029 (a) | 122,782 | 116,624 |
Series 2021-ST10, Class A, 2.25%, 1/20/2030 (a) | 240,731 | 230,805 |
Series 2022-ST1, Class A, 2.60%, 3/20/2030 (a) | 356,788 | 336,518 |
Upstart Securitization Trust | ||
Series 2021-2, Class B, 1.75%, 6/20/2031 (a) | 275,000 | 265,508 |
Series 2021-3, Class A, 0.83%, 7/20/2031 (a) | 53,851 | 52,885 |
Series 2021-4, Class B, 1.84%, 9/20/2031 (a) | 231,000 | 210,902 |
Series 2021-5, Class B, 2.49%, 11/20/2031 (a) | 225,000 | 207,820 |
Series 2022-4, Class A, 5.98%, 8/20/2032 (a) | 489,198 | 479,650 |
US Auto Funding Series 2021-1A, Class B, 1.49%, 3/17/2025 (a) | 125,697 | 124,596 |
US Auto Funding Trust Series 2022-1A, Class B, 5.13%, 12/15/2025 (a) | 574,000 | 550,832 |
VCAT LLC | ||
Series 2021-NPL2, Class A1, 2.12%, 3/27/2051 (a) (g) | 134,030 | 125,317 |
Series 2021-NPL3, Class A1, 1.74%, 5/25/2051 (a) (g) | 146,194 | 134,066 |
Series 2021-NPL4, Class A1, 1.87%, 8/25/2051 (a) (g) | 204,329 | 186,985 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Venture CLO Ltd. (Cayman Islands) Series 2018-32A, Class A2A, 5.86%, 7/18/2031 (a) (h) | 150,000 | 148,646 |
Veros Auto Receivables Trust | ||
Series 2022-1, Class A, 3.47%, 12/15/2025 (a) | 240,792 | 237,211 |
Series 2021-1, Class A, 0.92%, 10/15/2026 (a) | 29,235 | 28,901 |
VOLT CIII LLC Series 2021-CF1, Class A1, 1.99%, 8/25/2051 (a) (g) | 255,344 | 235,877 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (a) (g) | 141,547 | 128,069 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (a) (g) | 112,296 | 103,900 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (a) (g) | 144,451 | 131,365 |
Westlake Automobile Receivables Trust | ||
Series 2019-3A, Class E, 3.59%, 3/17/2025 (a) | 100,000 | 98,761 |
Series 2021-1A, Class D, 1.23%, 4/15/2026 (a) | 250,000 | 232,378 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (a) | 450,000 | 409,765 |
Series 2023-1A, Class D, 6.79%, 11/15/2028 (a) | 500,000 | 499,127 |
Total Asset-Backed Securities (Cost $39,180,071) | 37,420,760 | |
U.S. Treasury Obligations — 13.7% | ||
U.S. Treasury Notes | ||
3.25%, 8/31/2024 | 185,000 | 180,238 |
4.25%, 9/30/2024 | 165,000 | 163,137 |
4.25%, 12/31/2024 | 335,000 | 331,244 |
2.88%, 6/15/2025 | 1,820,000 | 1,749,191 |
3.00%, 7/15/2025 | 2,847,800 | 2,742,009 |
3.13%, 8/15/2025 | 195,000 | 188,251 |
3.50%, 9/15/2025 | 2,057,700 | 2,003,605 |
4.25%, 10/15/2025 | 4,970,000 | 4,928,260 |
4.50%, 11/15/2025 | 5,285,000 | 5,276,123 |
4.00%, 12/15/2025 | 5,885,000 | 5,806,380 |
3.88%, 1/15/2026 | 475,000 | 466,836 |
4.00%, 2/15/2026 | 1,330,000 | 1,311,608 |
0.50%, 2/28/2026 | 15,000 | 13,335 |
0.75%, 5/31/2026 | 80,000 | 71,128 |
0.75%, 8/31/2026 | 80,000 | 70,606 |
132 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
0.88%, 9/30/2026 | 65,000 | 57,500 |
2.38%, 3/31/2029 | 835,000 | 756,751 |
Total U.S. Treasury Obligations (Cost $26,529,532) | 26,116,202 | |
Mortgage-Backed Securities — 9.6% | ||
FHLMC Pool # 841368 ARM, 2.81%, 9/1/2047 (h) | 2,212,200 | 2,213,428 |
FHLMC Gold Pools, 30 Year Pool # G08878, 4.50%, 5/1/2049 | 264,217 | 259,167 |
FHLMC UMBS, 10 Year Pool # RD5034, 2.00%, 9/1/2030 | 472,459 | 431,261 |
FHLMC UMBS, 15 Year | ||
Pool # ZS6689, 2.50%, 4/1/2028 | 179,057 | 169,527 |
Pool # SB0725, 4.00%, 8/1/2037 | 1,004,213 | 981,753 |
Pool # SB8184, 4.00%, 10/1/2037 | 786,779 | 767,720 |
FHLMC UMBS, 30 Year | ||
Pool # ZT1703, 4.00%, 1/1/2049 | 877,668 | 840,984 |
Pool # SD8231, 4.50%, 7/1/2052 | 861,867 | 830,903 |
FNMA Pool # BM4562 ARM, 3.06%, 5/1/2047 (h) | 1,470,613 | 1,495,750 |
FNMA UMBS, 15 Year | ||
Pool # FM1156, 2.50%, 4/1/2033 | 838,786 | 777,815 |
Pool # MA4361, 2.50%, 6/1/2036 | 373,728 | 341,853 |
Pool # FS1563, 2.50%, 7/1/2036 | 531,710 | 486,368 |
Pool # FS1329, 2.00%, 2/1/2037 | 970,028 | 863,228 |
FNMA UMBS, 20 Year | ||
Pool # FM3075, 3.50%, 11/1/2039 | 1,054,805 | 1,008,534 |
Pool # CA8310, 2.50%, 12/1/2040 | 261,066 | 229,125 |
FNMA UMBS, 30 Year | ||
Pool # FM2972, 4.00%, 12/1/2044 | 911,072 | 881,922 |
Pool # FS2237, 4.00%, 10/1/2046 | 2,124,541 | 2,042,814 |
Pool # BM1285, 4.50%, 5/1/2047 | 145,619 | 143,261 |
Pool # FS1847, 4.00%, 1/1/2049 | 267,284 | 256,246 |
Pool # FS1891, 4.00%, 1/1/2050 | 897,241 | 856,467 |
Pool # FS0085, 4.00%, 11/1/2050 | 969,021 | 928,280 |
Pool # MA4733, 4.50%, 9/1/2052 | 872,535 | 841,142 |
GNMA II, 30 Year Pool # MA8201, 4.50%, 8/20/2052 | 739,760 | 717,876 |
Total Mortgage-Backed Securities (Cost $18,992,488) | 18,365,424 | |
Commercial Mortgage-Backed Securities — 6.6% | ||
Beast Mortgage Trust Series 2021-1818, Class B, 6.04%, 3/15/2036 (a) (h) | 179,000 | 158,779 |
BX Commercial Mortgage Trust Series 2021-VOLT, Class D, 6.24%, 9/15/2036 (a) (h) | 275,000 | 265,291 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
BX Trust | ||
Series 2021-RISE, Class D, 6.34%, 11/15/2036 (a) (h) | 360,000 | 348,192 |
Series 2022-LBA6, Class D, 6.56%, 1/15/2039 (a) (h) | 525,000 | 504,941 |
Series 2022-FOX2, Class A2, 5.31%, 4/15/2039 (a) (h) | 452,298 | 433,096 |
Citigroup Commercial Mortgage Trust | ||
Series 2021-PRM2, Class F, 8.34%, 10/15/2038 (a) (h) | 275,000 | 262,942 |
Series 2013-GC11, Class AS, 3.42%, 4/10/2046 | 27,330 | 27,289 |
Series 2014-GC23, Class C, 4.43%, 7/10/2047 (h) | 200,000 | 189,125 |
Series 2015-GC27, Class B, 3.77%, 2/10/2048 | 200,000 | 185,048 |
Series 2015-GC27, Class C, 4.42%, 2/10/2048 (h) | 440,000 | 407,686 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (h) | 400,000 | 365,280 |
Series 2015-GC31, Class C, 4.04%, 6/10/2048 (h) | 250,000 | 207,811 |
Commercial Mortgage Trust | ||
Series 2019-WCM, Class G, 7.29%, 10/15/2034 (a) (h) | 385,000 | 378,807 |
Series 2013-CR10, Class AM, 4.52%, 8/10/2046 (a) (h) | 200,000 | 198,881 |
Series 2014-UBS5, Class C, 4.61%, 9/10/2047 (h) | 500,000 | 440,156 |
Series 2014-CR20, Class C, 4.46%, 11/10/2047 (h) | 100,000 | 93,156 |
Series 2015-CR26, Class B, 4.47%, 10/10/2048 (h) | 200,000 | 186,225 |
Series 2015-PC1, Class B, 4.29%, 7/10/2050 (h) | 200,000 | 187,671 |
CSAIL Commercial Mortgage Trust Series 2015-C4, Class E, 3.56%, 11/15/2048 (h) | 325,000 | 260,535 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K068, Class X1, IO, 0.42%, 8/25/2027 (h) | 3,582,962 | 58,090 |
Series K028, Class X3, IO, 1.88%, 6/25/2041 (h) | 4,002,146 | 8,600 |
Series K111, Class X3, IO, 3.18%, 4/25/2048 (h) | 405,000 | 70,025 |
Series K110, Class X3, IO, 3.40%, 6/25/2048 (h) | 380,000 | 69,105 |
Series K115, Class X3, IO, 2.96%, 9/25/2048 (h) | 430,000 | 69,479 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 133 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K125, Class X3, IO, 2.65%, 2/25/2049 (h) | 460,000 | 69,288 |
FREMF Mortgage Trust | ||
Series 2018-K732, Class C, 4.05%, 5/25/2025 (a) (h) | 200,000 | 189,478 |
Series 2013-K31, Class C, 3.62%, 7/25/2046 (a) (h) | 275,000 | 273,203 |
Series 2014-K41, Class C, 3.83%, 11/25/2047 (a) (h) | 100,000 | 96,060 |
Series 2016-K57, Class C, 3.92%, 8/25/2049 (a) (h) | 185,000 | 173,311 |
Series 2016-K58, Class C, 3.74%, 9/25/2049 (a) (h) | 110,000 | 102,051 |
GS Mortgage Securities Trust | ||
Series 2016-GS2, Class B, 3.76%, 5/10/2049 (h) | 100,000 | 88,693 |
Series 2016-GS3, Class C, 3.99%, 10/10/2049 (h) | 165,000 | 140,836 |
Series 2017-GS5, Class D, 3.51%, 3/10/2050 (a) (h) | 250,000 | 173,067 |
Independence Plaza Trust Series 2018-INDP, Class C, 4.16%, 7/10/2035 (a) | 150,000 | 139,148 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2015-C31, Class C, 4.62%, 8/15/2048 (h) | 150,000 | 131,335 |
Series 2016-C1, Class D1, 4.24%, 3/17/2049 (a) (h) | 400,000 | 333,818 |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class D, 4.51%, 3/15/2050 (a) (h) | 275,000 | 208,975 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2013-C16, Class D, 5.01%, 12/15/2046 (a) (h) | 200,000 | 183,381 |
KKR Industrial Portfolio Trust Series 2021-KDIP, Class D, 5.93%, 12/15/2037 (a) (h) | 131,250 | 127,302 |
Life Mortgage Trust Series 2021-BMR, Class C, 5.69%, 3/15/2038 (a) (h) | 191,679 | 185,914 |
MHC Commercial Mortgage Trust Series 2021-MHC, Class D, 6.19%, 4/15/2038 (a) (h) | 250,000 | 242,797 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C14, Class D, 5.06%, 2/15/2047 (a) (h) | 175,023 | 167,955 |
Series 2015-C24, Class D, 3.26%, 5/15/2048 (a) | 220,000 | 178,713 |
Series 2015-C25, Class B, 4.52%, 10/15/2048 (h) | 500,000 | 466,521 |
SG Commercial Mortgage Securities Trust Series 2016-C5, Class B, 3.93%, 10/10/2048 | 225,000 | 198,099 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
SMRT Series 2022-MINI, Class E, 7.26%, 1/15/2039 (a) (h) | 350,000 | 326,334 |
STWD Mortgage Trust (Cayman Islands) Series 2021-LIH, Class B, 6.24%, 11/15/2036 (a) (h) | 400,000 | 385,380 |
Velocity Commercial Capital Loan Trust Series 2021-2, Class A, 1.52%, 8/25/2051 (a) (h) | 139,060 | 115,957 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-NXS4, Class B, 4.22%, 12/15/2048 (h) | 500,000 | 457,675 |
Series 2015-LC22, Class D, 4.55%, 9/15/2058 (h) | 205,000 | 171,694 |
WFRBS Commercial Mortgage Trust | ||
Series 2013-C11, Class C, 4.06%, 3/15/2045 (h) | 117,000 | 107,640 |
Series 2014-C25, Class B, 4.24%, 11/15/2047 (h) | 160,000 | 152,149 |
Series 2014-C22, Class C, 3.77%, 9/15/2057 (h) | 725,000 | 664,344 |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (h) | 1,000,000 | 947,163 |
Total Commercial Mortgage-Backed Securities (Cost $13,713,966) | 12,574,491 | |
Collateralized Mortgage Obligations — 5.0% | ||
Connecticut Avenue Securities Trust | ||
Series 2022-R01, Class 1M2, 6.38%, 12/25/2041 (a) (h) | 521,000 | 508,066 |
Series 2022-R02, Class 2M2, 7.48%, 1/25/2042 (a) (h) | 225,000 | 221,074 |
FHLMC STACR REMIC Trust | ||
Series 2020-DNA1, Class M2, 6.32%, 1/25/2050 (a) (h) | 65,968 | 65,796 |
Series 2020-HQA3, Class B1, 10.37%, 7/25/2050 (a) (h) | 193,358 | 207,585 |
FHLMC Structured Agency Credit Risk Debt Notes Series 2021-DNA2, Class M2, 6.78%, 8/25/2033 (a) (h) | 100,000 | 100,222 |
FHLMC, REMIC | ||
Series 2673, Class PE, 5.50%, 9/15/2033 | 99,735 | 101,279 |
Series 4754, Class VG, 4.00%, 12/15/2036 | 625,000 | 608,329 |
Series 3878, Class PL, 4.50%, 11/15/2040 | 420,361 | 415,742 |
Series 4376, Class A, 4.00%, 7/15/2041 | 1,436,408 | 1,411,129 |
Series 4718, Class DA, 3.00%, 2/15/2047 | 268,640 | 247,086 |
Series 5021, Class MI, IO, 3.00%, 10/25/2050 | 464,023 | 73,757 |
FNMA, REMIC | ||
Series 2012-136, Class DL, 3.50%, 12/25/2042 | 244,193 | 232,893 |
134 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2022-42, Class EA, 3.75%, 6/25/2052 | 2,475,703 | 2,354,883 |
Series 2022-43, Class P, 4.00%, 7/25/2052 | 543,710 | 520,607 |
GNMA Series 2021-9, Class MI, IO, 2.50%, 1/20/2051 | 240,221 | 31,920 |
Legacy Mortgage Asset Trust Series 2021-GS3, Class A1, 1.75%, 7/25/2061 (a) (g) | 118,232 | 107,618 |
LHOME Mortgage Trust Series 2021-RTL1, Class A1, 2.09%, 2/25/2026 (a) (h) | 188,000 | 179,153 |
NYMT Loan Trust Series 2021-SP1, Class A1, 1.67%, 8/25/2061 (a) (g) | 271,056 | 245,322 |
PRPM LLC | ||
Series 2021-2, Class A1, 2.12%, 3/25/2026 (a) (h) | 110,529 | 103,381 |
Series 2021-5, Class A1, 1.79%, 6/25/2026 (a) (g) | 798,769 | 742,628 |
Series 2021-6, Class A1, 1.79%, 7/25/2026 (a) (g) | 254,899 | 235,673 |
Series 2021-7, Class A1, 1.87%, 8/25/2026 (a) (g) | 223,720 | 206,259 |
Series 2021-11, Class A1, 2.49%, 11/25/2026 (a) (g) | 232,071 | 216,986 |
Verus Securitization Trust Series 2021-2, Class M1, 2.19%, 2/25/2066 (a) (h) | 144,000 | 98,980 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a) (g) | 402,109 | 349,730 |
Total Collateralized Mortgage Obligations (Cost $10,067,524) | 9,586,098 | |
Foreign Government Securities — 1.1% | ||
Arab Republic of Egypt 6.20%, 3/1/2024 (f) | 200,000 | 192,000 |
Dominican Republic Government Bond | ||
6.00%, 7/19/2028 (f) | 300,000 | 288,619 |
7.05%, 2/3/2031 (a) | 150,000 | 149,860 |
Federal Republic of Nigeria | ||
6.50%, 11/28/2027 | 200,000 | 165,000 |
8.38%, 3/24/2029 (a) | 200,000 | 168,500 |
Islamic Republic of Pakistan 6.00%, 4/8/2026 (a) | 200,000 | 88,522 |
Republic of Angola 8.25%, 5/9/2028 (f) | 200,000 | 184,750 |
Republic of Cote d'Ivoire | ||
6.38%, 3/3/2028 (f) | 200,000 | 189,000 |
5.75%, 12/31/2032 (f) (g) | 59,694 | 54,109 |
Republic of Ecuador | ||
5.50%, 7/31/2030 (f) (g) | 25,000 | 12,067 |
5.50%, 7/31/2030 (a) (g) | 50,000 | 24,134 |
2.50%, 7/31/2035 (f) (g) | 110,000 | 38,418 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Republic of Iraq | ||
6.75%, 3/9/2023 (f) | 200,000 | 199,240 |
5.80%, 1/15/2028 (f) | 156,250 | 143,193 |
Turkiye Ihracat Kredi Bankasi A/S 9.38%, 1/31/2026 (a) | 200,000 | 197,000 |
Total Foreign Government Securities (Cost $2,418,751) | 2,094,412 | |
Municipal Bonds — 0.1% (h) (i) | ||
California — 0.1% | ||
California Housing Finance Agency Series 2021-1, Class X, Rev., 0.80%, 3/20/2023 (Cost $119,830) | 2,143,636 | 114,577 |
SHARES | ||
Short-Term Investments — 0.9% | ||
Investment of Cash Collateral from Securities Loaned — 0.4% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (j) (k) (Cost $805,328) | 805,328 | 805,328 |
PRINCIPAL AMOUNT($) | ||
U.S. Treasury Obligations — 0.5% | ||
U.S. Treasury Bills | ||
3.34%, 3/2/2023 (l) (m) | 580,000 | 579,930 |
5.02%, 8/24/2023 (l) | 315,000 | 307,468 |
Total U.S. Treasury Obligations (Cost $887,423) | 887,398 | |
Total Short-Term Investments (Cost $1,692,751) | 1,692,726 | |
Total Investments — 98.1% (Cost $196,483,450) | 186,831,582 | |
Other Assets Less Liabilities — 1.9% | 3,590,415 | |
NET ASSETS — 100.0% | 190,421,997 |
Percentages indicated are based on net assets. |
Abbreviations | |
ABS | Asset-Backed Securities |
ARM | Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2023. |
CIFC | Commercial Industrial Finance Corp. |
CLO | Collateralized Loan Obligations |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 135 |
AS OF February 28, 2023 (continued)
IO | Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
LIBOR | London Interbank Offered Rate |
REMIC | Real Estate Mortgage Investment Conduit |
Rev. | Revenue |
SCA | Limited partnership with share capital |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(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 28, 2023. The total value of securities on loan at February 28, 2023 is $776,266. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(d) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $1,143,461 or 0.60% of the Fund’s net assets as of February 28, 2023 . |
(e) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(f) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(g) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(h) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(i) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(j) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(k) | The rate shown is the current yield as of February 28, 2023. | |
(l) | The rate shown is the effective yield as of February 28, 2023. | |
(m) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 19 | 06/30/2023 | USD | 3,871,102 | (37) |
U.S. Treasury 5 Year Note | 241 | 06/30/2023 | USD | 25,807,711 | (22,724) |
(22,761) | |||||
Short Contracts | |||||
U.S. Treasury Long Bond | (5) | 06/21/2023 | USD | (627,188) | 2,685 |
U.S. Treasury 10 Year Note | (80) | 06/21/2023 | USD | (8,935,000) | 4,785 |
U.S. Treasury 10 Year Ultra Note | (31) | 06/21/2023 | USD | (3,636,688) | 1,388 |
8,858 | |||||
(13,903) |
Abbreviations | |
USD | United States Dollar |
136 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.59 | USD 1,000,000 | (15,045) | (9,870) | (24,915) |
CDX.NA.HY.39-V1 | 5.00 | Quarterly | 12/20/2027 | 4.61 | USD 3,000,000 | (39,090) | (34,338) | (73,428) |
(54,135) | (44,208) | (98,343) |
(*) | 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. | ||||||||
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 137 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 38.3% | ||
Aerospace & Defense — 0.3% | ||
Boeing Co. (The) 4.51%, 5/1/2023 | 31,519,000 | 31,473,924 |
Northrop Grumman Corp. 3.25%, 8/1/2023 | 37,294,000 | 37,060,084 |
68,534,008 | ||
Automobiles — 1.5% | ||
BMW US Capital LLC (Germany) | ||
3.80%, 4/6/2023 (a) | 72,574,000 | 72,474,907 |
2.25%, 9/15/2023 (a) | 3,130,000 | 3,075,882 |
(SOFRINDX + 0.53%), 5.11%, 4/1/2024 (a) (b) | 22,838,000 | 22,845,272 |
Hyundai Capital America | ||
0.80%, 4/3/2023 (a) | 76,615,000 | 76,309,289 |
5.75%, 4/6/2023 (a) | 19,817,000 | 19,813,829 |
4.13%, 6/8/2023 (a) | 837,000 | 833,803 |
1.25%, 9/18/2023 (a) (c) | 2,506,000 | 2,444,878 |
4.30%, 2/1/2024 (a) | 876,000 | 864,640 |
0.88%, 6/14/2024 (a) | 30,000,000 | 28,240,070 |
Kia Corp. (South Korea) | ||
3.00%, 4/25/2023 (a) | 8,970,000 | 8,935,376 |
1.00%, 4/16/2024 (a) | 12,580,000 | 11,955,026 |
Mercedes-Benz Finance North America LLC (Germany) | ||
3.70%, 5/4/2023 (a) | 4,845,000 | 4,831,669 |
0.75%, 3/1/2024 (a) | 1,065,000 | 1,017,156 |
Volkswagen Group of America Finance LLC (Germany) | ||
3.13%, 5/12/2023 (a) | 80,814,000 | 80,430,155 |
4.25%, 11/13/2023 (a) | 28,786,000 | 28,508,793 |
0.88%, 11/22/2023 (a) | 14,938,000 | 14,455,013 |
377,035,758 | ||
Banks — 17.1% | ||
ASB Bank Ltd. (New Zealand) | ||
3.75%, 6/14/2023 (a) | 13,938,000 | 13,881,875 |
(ICE LIBOR USD 3 Month + 0.97%), 5.72%, 6/14/2023 (a) (b) (c) | 8,887,000 | 8,900,508 |
3.13%, 5/23/2024 (a) | 6,755,000 | 6,554,385 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.83%, 2/3/2025 (a) | 23,413,000 | 23,209,501 |
Banco Bilbao Vizcaya Argentaria SA (Spain) 0.88%, 9/18/2023 | 200,000 | 194,856 |
Banco Santander SA (Spain) | ||
3.85%, 4/12/2023 | 65,583,000 | 65,480,189 |
(ICE LIBOR USD 3 Month + 1.12%), 5.93%, 4/12/2023 (b) | 4,000,000 | 4,004,026 |
2.71%, 6/27/2024 | 11,635,000 | 11,212,554 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.70%, 6/30/2024 (b) | 37,732,000 | 37,004,904 |
3.50%, 3/24/2025 | 10,215,000 | 9,823,622 |
Bank of America Corp. | ||
4.10%, 7/24/2023 | 1,101,000 | 1,095,960 |
(SOFR + 1.46%), 1.49%, 5/19/2024 (b) | 7,592,000 | 7,521,503 |
(SOFR + 0.41%), 0.52%, 6/14/2024 (b) | 85,060,000 | 83,706,695 |
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (b) | 2,992,000 | 2,924,269 |
(SOFR + 0.69%), 0.98%, 4/22/2025 (b) | 42,672,000 | 40,331,006 |
(SOFR + 1.11%), 3.84%, 4/25/2025 (b) | 75,312,000 | 73,755,669 |
(SOFR + 1.29%), 5.08%, 1/20/2027 (b) | 120,000,000 | 118,746,088 |
Bank of Montreal (Canada) | ||
(SOFRINDX + 0.68%), 5.27%, 3/10/2023 (b) | 59,757,000 | 59,763,573 |
(SOFRINDX + 0.27%), 4.84%, 4/14/2023 (b) | 90,125,000 | 90,126,777 |
(SOFRINDX + 0.35%), 4.94%, 12/8/2023 (b) | 14,990,000 | 14,994,194 |
Bank of New Zealand (New Zealand) 4.85%, 2/7/2028 (a) | 90,000,000 | 88,463,756 |
Bank of Nova Scotia (The) (Canada) | ||
1.63%, 5/1/2023 | 12,270,000 | 12,203,492 |
0.80%, 6/15/2023 | 5,025,000 | 4,944,858 |
0.55%, 9/15/2023 | 166,000 | 161,778 |
(SOFR + 0.26%), 4.85%, 9/15/2023 (b) | 6,667,000 | 6,666,433 |
(SOFRINDX + 0.55%), 5.14%, 9/15/2023 (b) | 47,576,000 | 47,641,923 |
4.75%, 2/2/2026 (c) | 77,362,000 | 76,132,552 |
1.30%, 9/15/2026 | 8,539,000 | 7,418,347 |
Banque Federative du Credit Mutuel SA (France) | ||
3.75%, 7/20/2023 (a) (c) | 14,865,000 | 14,778,401 |
0.65%, 2/27/2024 (a) | 6,485,000 | 6,179,062 |
4.94%, 1/26/2026 (a) | 99,716,000 | 98,315,843 |
Barclays plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.80%), 1.01%, 12/10/2024 (b) | 29,647,000 | 28,546,800 |
138 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (b) | 34,200,000 | 33,287,453 |
BNP Paribas SA (France) | ||
3.50%, 3/1/2023 (a) | 212,296,000 | 212,296,000 |
3.80%, 1/10/2024 (a) | 54,645,000 | 53,711,634 |
BNZ International Funding Ltd. (New Zealand) 3.38%, 3/1/2023 (a) | 13,260,000 | 13,260,000 |
Canadian Imperial Bank of Commerce (Canada) | ||
(SOFR + 0.80%), 5.39%, 3/17/2023 (b) | 46,199,000 | 46,210,550 |
(SOFRINDX + 0.40%), 4.99%, 12/14/2023 (b) | 50,032,000 | 50,062,447 |
(SOFR + 0.94%), 5.52%, 4/7/2025 (b) (c) | 95,598,000 | 96,036,847 |
Citigroup, Inc. | ||
3.38%, 3/1/2023 | 1,007,000 | 1,007,000 |
(SOFR + 1.67%), 1.68%, 5/15/2024 (b) | 1,100,000 | 1,090,876 |
(ICE LIBOR USD 3 Month + 1.02%), 4.04%, 6/1/2024 (b) | 2,537,000 | 2,526,829 |
(SOFR + 0.69%), 0.78%, 10/30/2024 (b) | 10,270,000 | 9,926,919 |
Citizens Bank NA (SOFR + 1.02%), 5.28%, 1/26/2026 (b) | 241,889,000 | 239,316,907 |
Commonwealth Bank of Australia (Australia) (ICE LIBOR USD 3 Month + 0.70%), 5.44%, 3/16/2023 (a) (b) (c) | 5,300,000 | 5,300,952 |
Cooperatieve Rabobank UA (Netherlands) | ||
3.88%, 9/26/2023 (a) | 2,850,000 | 2,825,940 |
0.38%, 1/12/2024 | 650,000 | 623,631 |
(SOFRINDX + 0.30%), 4.88%, 1/12/2024 (b) | 60,834,000 | 60,803,401 |
Credit Agricole SA (France) 5.57%, 2/28/2025 (a) | 112,332,000 | 112,126,163 |
Federation des Caisses Desjardins du Quebec (Canada) | ||
0.70%, 5/21/2024 (a) | 26,044,000 | 24,516,330 |
(SOFR + 0.43%), 4.98%, 5/21/2024 (a) (b) | 41,345,000 | 41,214,105 |
(SOFRINDX + 1.09%), 5.28%, 1/23/2026 (a) (b) | 213,120,000 | 210,919,152 |
Fifth Third Bancorp | ||
1.63%, 5/5/2023 | 18,545,000 | 18,426,497 |
3.65%, 1/25/2024 (c) | 2,742,000 | 2,702,936 |
2.55%, 5/5/2027 | 12,223,000 | 11,068,866 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
HSBC Holdings plc (United Kingdom) | ||
3.60%, 5/25/2023 | 5,436,000 | 5,415,191 |
(SOFR + 0.53%), 0.73%, 8/17/2024 (b) | 63,688,000 | 62,110,602 |
(SOFR + 0.71%), 0.98%, 5/24/2025 (b) | 59,681,000 | 56,141,107 |
ING Groep NV (Netherlands) 4.10%, 10/2/2023 | 14,532,000 | 14,414,282 |
KeyBank NA | ||
1.25%, 3/10/2023 | 3,444,000 | 3,440,948 |
(SOFRINDX + 0.34%), 4.92%, 1/3/2024 (b) | 6,800,000 | 6,794,914 |
(SOFRINDX + 0.32%), 0.43%, 6/14/2024 (b) | 68,003,000 | 66,813,938 |
5.85%, 11/15/2027 | 1,510,000 | 1,545,491 |
Lloyds Banking Group plc (United Kingdom) | ||
4.05%, 8/16/2023 | 27,349,000 | 27,174,063 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.55%), 0.70%, 5/11/2024 (b) | 45,000,000 | 44,499,585 |
M&T Bank Corp. (ICE LIBOR USD 3 Month + 0.68%), 5.50%, 7/26/2023 (b) | 7,000,000 | 7,001,344 |
Manufacturers & Traders Trust Co. 4.65%, 1/27/2026 | 117,563,000 | 115,294,335 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.46%, 3/2/2023 | 44,340,000 | 44,340,000 |
3.76%, 7/26/2023 | 19,164,000 | 19,040,356 |
(ICE LIBOR USD 3 Month + 0.86%), 5.68%, 7/26/2023 (b) | 2,214,000 | 2,218,801 |
2.53%, 9/13/2023 | 1,247,000 | 1,227,272 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 0.85%, 9/15/2024 (b) | 47,145,000 | 45,899,689 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.45%), 0.96%, 10/11/2025 (b) | 33,780,000 | 31,184,897 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.08%), 5.72%, 2/20/2026 (b) | 59,401,000 | 59,318,319 |
Mizuho Financial Group, Inc. (Japan) | ||
3.55%, 3/5/2023 | 16,442,000 | 16,439,337 |
(ICE LIBOR USD 3 Month + 0.79%), 5.56%, 3/5/2023 (b) | 13,182,000 | 13,182,713 |
(ICE LIBOR USD 3 Month + 0.63%), 5.59%, 5/25/2024 (b) | 10,000,000 | 9,994,347 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 139 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.25%), 1.24%, 7/10/2024 (b) | 19,000,000 | 18,691,882 |
(SOFR + 0.87%), 0.85%, 9/8/2024 (b) | 63,901,000 | 62,221,594 |
(ICE LIBOR USD 3 Month + 1.00%), 3.92%, 9/11/2024 (b) | 27,646,000 | 27,356,573 |
MUFG Bank Ltd. (Japan) 4.10%, 9/9/2023 (a) | 200,000 | 198,490 |
National Australia Bank Ltd. (Australia) 2.88%, 4/12/2023 | 3,345,000 | 3,336,537 |
National Bank of Canada (Canada) | ||
5.25%, 1/17/2025 (c) | 208,389,000 | 207,710,206 |
(SOFR + 1.01%), 3.75%, 6/9/2025 (b) | 45,529,000 | 44,514,614 |
NatWest Group plc (United Kingdom) | ||
3.88%, 9/12/2023 (c) | 73,172,000 | 72,457,974 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (b) | 133,000 | 131,837 |
(ICE LIBOR USD 3 Month + 1.76%), 4.27%, 3/22/2025 (b) | 10,045,000 | 9,861,886 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.35%), 5.85%, 3/2/2027 (b) | 40,000,000 | 40,020,321 |
NatWest Markets plc (United Kingdom) | ||
2.38%, 5/21/2023 (a) | 12,650,000 | 12,562,901 |
(SOFR + 0.53%), 5.09%, 8/12/2024 (a) (b) | 19,015,000 | 18,810,246 |
Nordea Bank Abp (Finland) | ||
1.00%, 6/9/2023 (a) | 17,512,000 | 17,316,083 |
3.75%, 8/30/2023 (a) | 20,954,000 | 20,783,674 |
PNC Bank NA 3.50%, 6/8/2023 | 3,000,000 | 2,986,202 |
PNC Financial Services Group, Inc. (The) | ||
3.50%, 1/23/2024 | 9,103,000 | 8,960,099 |
(SOFR + 1.09%), 4.76%, 1/26/2027 (b) (c) | 94,485,000 | 93,068,462 |
Royal Bank of Canada (Canada) | ||
1.60%, 4/17/2023 (c) | 26,338,000 | 26,223,626 |
(SOFRINDX + 0.45%), 5.02%, 10/26/2023 (b) | 33,530,000 | 33,567,017 |
Skandinaviska Enskilda Banken AB (Sweden) 0.55%, 9/1/2023 (a) | 1,060,000 | 1,033,277 |
Societe Generale SA (France) | ||
4.25%, 9/14/2023 (a) | 21,607,000 | 21,459,215 |
3.88%, 3/28/2024 (a) | 15,819,000 | 15,497,589 |
2.63%, 10/16/2024 (a) | 20,595,000 | 19,550,565 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Standard Chartered plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.78%), 0.99%, 1/12/2025 (a) (b) | 10,000,000 | 9,586,735 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.88%), 1.21%, 3/23/2025 (a) (b) | 12,000,000 | 11,399,276 |
(SOFR + 1.74%), 6.32%, 3/30/2026 (a) (b) (c) | 10,609,000 | 10,650,563 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.75%, 7/19/2023 | 2,175,000 | 2,162,054 |
3.94%, 10/16/2023 | 10,000,000 | 9,909,648 |
5.46%, 1/13/2026 | 25,879,000 | 25,822,183 |
Sumitomo Mitsui Trust Bank Ltd. (Japan) | ||
0.80%, 9/12/2023 (a) | 20,499,000 | 20,008,051 |
0.85%, 3/25/2024 (a) | 48,302,000 | 45,971,330 |
(SOFR + 0.44%), 5.03%, 9/16/2024 (a) (b) (c) | 33,827,000 | 33,716,047 |
Toronto-Dominion Bank (The) (Canada) | ||
0.30%, 6/2/2023 (c) | 3,714,000 | 3,669,054 |
(SOFR + 0.22%), 4.82%, 6/2/2023 (b) | 87,810,000 | 87,774,555 |
0.75%, 6/12/2023 (c) | 48,222,000 | 47,649,548 |
0.45%, 9/11/2023 | 548,000 | 534,098 |
Truist Bank (SOFR + 0.20%), 4.77%, 1/17/2024 (b) | 99,246,000 | 99,042,446 |
Truist Financial Corp. | ||
2.20%, 3/16/2023 | 2,946,000 | 2,942,347 |
(SOFR + 1.46%), 4.26%, 7/28/2026 (b) | 1,000,000 | 974,798 |
(SOFR + 1.63%), 5.90%, 10/28/2026 (b) | 1,850,000 | 1,878,174 |
US Bancorp (SOFR + 1.43%), 5.73%, 10/21/2026 (b) | 5,858,000 | 5,930,337 |
Wells Fargo & Co. | ||
3.75%, 1/24/2024 | 894,000 | 880,568 |
(SOFR + 1.60%), 1.67%, 6/2/2024 (b) | 52,514,000 | 51,994,898 |
(SOFR + 0.51%), 0.80%, 5/19/2025 (b) (c) | 19,800,000 | 18,692,709 |
(SOFR + 1.32%), 3.91%, 4/25/2026 (b) | 24,500,000 | 23,631,660 |
(SOFR + 2.00%), 2.19%, 4/30/2026 (b) | 7,656,000 | 7,118,406 |
140 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 1.56%), 4.54%, 8/15/2026 (b) | 500,000 | 487,889 |
Westpac New Zealand Ltd. (New Zealand) 4.90%, 2/15/2028 (a) | 35,000,000 | 34,422,034 |
4,302,608,643 | ||
Beverages — 0.4% | ||
Coca-Cola Europacific Partners plc (United Kingdom) 0.50%, 5/5/2023 (a) | 54,995,000 | 54,501,237 |
Constellation Brands, Inc. 3.60%, 5/9/2024 | 14,562,000 | 14,266,533 |
Heineken NV (Netherlands) 2.75%, 4/1/2023 (a) | 15,352,000 | 15,314,020 |
Keurig Dr Pepper, Inc. 3.13%, 12/15/2023 | 7,035,000 | 6,926,994 |
91,008,784 | ||
Biotechnology — 0.2% | ||
Amgen, Inc. 5.25%, 3/2/2025 (d) | 56,489,000 | 56,363,375 |
Building Products — 0.0% ^ | ||
Carlisle Cos., Inc. 0.55%, 9/1/2023 | 2,027,000 | 1,975,546 |
Capital Markets — 4.0% | ||
Bank of New York Mellon Corp. (The) | ||
3.50%, 4/28/2023 | 1,018,000 | 1,015,390 |
(SOFR + 1.35%), 4.41%, 7/24/2026 (b) | 11,494,000 | 11,274,445 |
Charles Schwab Corp. (The) (SOFRINDX + 0.50%), 5.09%, 3/18/2024 (b) | 16,307,000 | 16,320,382 |
Credit Suisse AG (Switzerland) | ||
1.00%, 5/5/2023 (c) | 8,715,000 | 8,625,328 |
Series FXD, 0.52%, 8/9/2023 | 50,000,000 | 48,375,000 |
(SOFRINDX + 0.39%), 4.95%, 2/2/2024 (b) | 40,999,000 | 39,989,605 |
Goldman Sachs Group, Inc. (The) | ||
0.52%, 3/8/2023 | 32,717,000 | 32,689,977 |
(SOFR + 0.57%), 0.68%, 3/8/2024 (b) | 78,100,000 | 77,865,491 |
(SOFR + 0.49%), 0.92%, 10/21/2024 (b) | 38,732,000 | 37,489,384 |
(SOFR + 0.61%), 0.86%, 2/12/2026 (b) | 2,575,000 | 2,337,913 |
3.75%, 2/25/2026 | 13,456,000 | 12,860,021 |
Series VAR, (SOFR + 0.79%), 1.09%, 12/9/2026 (b) | 7,025,000 | 6,183,515 |
3.85%, 1/26/2027 | 60,000,000 | 56,761,910 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
Macquarie Bank Ltd. (Australia) (SOFR + 0.30%), 4.88%, 4/6/2023 (a) (b) | 140,000,000 | 140,006,607 |
Morgan Stanley | ||
(SOFR + 0.47%), 5.03%, 11/10/2023 (b) | 22,354,000 | 22,350,996 |
(SOFR + 0.46%), 5.02%, 1/25/2024 (b) | 8,363,000 | 8,357,790 |
(SOFR + 0.62%), 0.73%, 4/5/2024 (b) | 46,852,000 | 46,613,340 |
(SOFR + 1.16%), 3.62%, 4/17/2025 (b) | 95,300,000 | 93,094,745 |
(SOFR + 0.53%), 0.79%, 5/30/2025 (b) | 25,000,000 | 23,411,058 |
(SOFR + 1.30%), 5.05%, 1/28/2027 (b) | 50,000,000 | 49,426,574 |
State Street Corp. 3.70%, 11/20/2023 | 6,479,000 | 6,405,185 |
UBS AG (Switzerland) | ||
0.38%, 6/1/2023 (a) | 61,462,000 | 60,738,142 |
(SOFR + 0.36%), 4.92%, 2/9/2024 (a) (b) | 23,894,000 | 23,879,186 |
(SOFR + 0.45%), 5.01%, 8/9/2024 (a) (b) | 30,423,000 | 30,441,030 |
UBS Group AG (Switzerland) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 1.01%, 7/30/2024 (a) (b) | 36,500,000 | 35,775,351 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 4.49%, 8/5/2025 (a) (b) (c) | 56,499,000 | 55,663,272 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 4.49%, 5/12/2026 (a) (b) | 33,653,000 | 32,808,994 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.55%), 5.71%, 1/12/2027 (a) (b) | 15,000,000 | 14,968,556 |
995,729,187 | ||
Chemicals — 0.2% | ||
Air Liquide Finance SA (France) 2.25%, 9/27/2023 (a) | 17,489,000 | 17,163,289 |
Chevron Phillips Chemical Co. LLC 3.30%, 5/1/2023 (a) | 4,703,000 | 4,686,373 |
Nutrien Ltd. (Canada) 1.90%, 5/13/2023 | 22,880,000 | 22,709,773 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 141 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
Sherwin-Williams Co. (The) 4.05%, 8/8/2024 | 10,400,000 | 10,192,721 |
Westlake Corp. 0.88%, 8/15/2024 | 4,583,000 | 4,276,287 |
59,028,443 | ||
Construction Materials — 0.1% | ||
Martin Marietta Materials, Inc. 0.65%, 7/15/2023 | 16,655,000 | 16,372,480 |
Consumer Finance — 3.2% | ||
AerCap Ireland Capital DAC (Ireland) 1.15%, 10/29/2023 | 57,979,000 | 56,260,844 |
American Express Co. | ||
3.70%, 8/3/2023 | 3,130,000 | 3,109,102 |
0.75%, 11/3/2023 | 514,000 | 498,659 |
3.38%, 5/3/2024 | 13,210,000 | 12,907,810 |
3.30%, 5/3/2027 | 49,917,000 | 46,640,477 |
5.85%, 11/5/2027 | 24,076,000 | 24,783,804 |
American Honda Finance Corp. | ||
0.35%, 4/20/2023 | 7,431,000 | 7,384,359 |
1.95%, 5/10/2023 | 14,987,000 | 14,891,312 |
0.88%, 7/7/2023 | 9,506,000 | 9,368,074 |
Capital One Financial Corp. | ||
2.60%, 5/11/2023 | 95,472,000 | 95,003,125 |
(SOFR + 0.69%), 1.34%, 12/6/2024 (b) | 20,097,000 | 19,370,064 |
(SOFR + 0.69%), 5.29%, 12/6/2024 (b) | 12,130,000 | 12,051,761 |
(SOFR + 1.29%), 2.64%, 3/3/2026 (b) | 27,974,000 | 26,298,315 |
(SOFR + 2.16%), 4.98%, 7/24/2026 (b) | 8,298,000 | 8,163,655 |
(SOFR + 0.86%), 1.88%, 11/2/2027 (b) | 21,014,000 | 18,363,573 |
Caterpillar Financial Services Corp. | ||
3.45%, 5/15/2023 | 590,000 | 588,123 |
0.65%, 7/7/2023 | 16,000,000 | 15,759,195 |
3.75%, 11/24/2023 | 971,000 | 962,085 |
General Motors Financial Co., Inc. | ||
(SOFR + 1.20%), 5.76%, 11/17/2023 (b) | 23,000,000 | 23,016,860 |
1.05%, 3/8/2024 | 18,436,000 | 17,608,544 |
Hyundai Capital Services, Inc. (South Korea) 0.75%, 9/15/2023 (a) | 13,658,000 | 13,263,284 |
John Deere Capital Corp. (SOFR + 0.12%), 4.70%, 7/10/2023 (b) | 57,027,000 | 57,010,066 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
Toyota Motor Credit Corp. | ||
0.40%, 4/6/2023 | 68,327,000 | 67,998,619 |
(SOFR + 0.75%), 5.30%, 7/25/2023 (b) | 64,017,000 | 64,158,478 |
0.45%, 1/11/2024 | 881,000 | 845,373 |
(SOFRINDX + 0.33%), 4.91%, 1/11/2024 (b) | 41,950,000 | 41,931,690 |
(SOFR + 0.38%), 4.93%, 2/22/2024 (b) | 107,172,000 | 107,254,854 |
4.80%, 1/10/2025 | 37,351,000 | 37,154,204 |
802,646,309 | ||
Diversified Financial Services — 1.0% | ||
Citigroup Global Markets Holdings, Inc. 0.75%, 6/7/2024 | 29,285,000 | 27,571,229 |
Element Fleet Management Corp. (Canada) 1.60%, 4/6/2024 (a) | 15,298,000 | 14,574,763 |
Jackson Financial, Inc. 1.13%, 11/22/2023 | 24,823,000 | 24,057,512 |
National Rural Utilities Cooperative Finance Corp. | ||
(SOFR + 0.40%), 4.96%, 8/7/2023 (b) (c) | 11,905,000 | 11,898,865 |
0.35%, 2/8/2024 | 15,017,000 | 14,320,617 |
4.45%, 3/13/2026 | 45,000,000 | 44,064,847 |
NTT Finance Corp. (Japan) | ||
0.37%, 3/3/2023 (a) (c) | 84,476,000 | 84,465,429 |
0.58%, 3/1/2024 (a) | 320,000 | 304,741 |
Siemens Financieringsmaatschappij NV (Germany) | ||
0.40%, 3/11/2023 (a) | 14,889,000 | 14,869,452 |
(SOFR + 0.43%), 5.02%, 3/11/2024 (a) (b) | 23,914,000 | 23,929,556 |
260,057,011 | ||
Diversified Telecommunication Services — 0.2% | ||
AT&T, Inc. (SOFRINDX + 0.64%), 5.23%, 3/25/2024 (b) | 24,755,000 | 24,756,323 |
British Telecommunications plc (United Kingdom) 4.50%, 12/4/2023 | 157,000 | 155,789 |
Deutsche Telekom International Finance BV (Germany) 2.49%, 9/19/2023 (a) | 27,665,000 | 27,288,680 |
52,200,792 | ||
Electric Utilities — 0.8% | ||
American Electric Power Co., Inc. Series M, 0.75%, 11/1/2023 | 9,684,000 | 9,381,866 |
142 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Emera US Finance LP (Canada) 0.83%, 6/15/2024 | 11,121,000 | 10,432,691 |
Entergy Louisiana LLC 0.62%, 11/17/2023 | 9,363,000 | 9,052,189 |
Eversource Energy | ||
2.80%, 5/1/2023 | 14,173,000 | 14,114,579 |
Series T, (SOFRINDX + 0.25%), 4.81%, 8/15/2023 (b) | 22,322,000 | 22,277,579 |
Series N, 3.80%, 12/1/2023 | 174,000 | 171,719 |
Florida Power & Light Co. (SOFRINDX + 0.38%), 4.96%, 1/12/2024 (b) | 49,271,000 | 49,257,269 |
NextEra Energy Capital Holdings, Inc. | ||
0.65%, 3/1/2023 | 30,294,000 | 30,294,000 |
(SOFRINDX + 0.54%), 5.14%, 3/1/2023 (b) | 20,905,000 | 20,905,000 |
(SOFRINDX + 0.40%), 4.96%, 11/3/2023 (b) | 5,000,000 | 4,997,866 |
4.26%, 9/1/2024 | 13,097,000 | 12,848,043 |
Virginia Electric and Power Co. Series C, 2.75%, 3/15/2023 | 11,008,000 | 10,997,761 |
194,730,562 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
TD SYNNEX Corp. 1.25%, 8/9/2024 | 24,822,000 | 23,228,386 |
Teledyne Technologies, Inc. 0.65%, 4/1/2023 | 51,537,000 | 51,324,037 |
74,552,423 | ||
Energy Equipment & Services — 0.0% ^ | ||
Schlumberger Holdings Corp. 4.00%, 12/21/2025 (a) | 5,937,000 | 5,723,046 |
Entertainment — 0.1% | ||
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | 20,386,000 | 19,914,107 |
Equity Real Estate Investment Trusts (REITs) — 0.0% ^ | ||
Simon Property Group LP 2.75%, 6/1/2023 | 1,914,000 | 1,901,474 |
Food & Staples Retailing — 0.1% | ||
7-Eleven, Inc. 0.80%, 2/10/2024 (a) | 10,000,000 | 9,551,905 |
Kroger Co. (The) 3.85%, 8/1/2023 | 4,554,000 | 4,542,268 |
14,094,173 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Food Products — 0.3% | ||
Conagra Brands, Inc. 0.50%, 8/11/2023 | 23,177,000 | 22,683,393 |
Danone SA (France) 2.59%, 11/2/2023 (a) | 56,688,000 | 55,598,358 |
78,281,751 | ||
Gas Utilities — 0.7% | ||
Atmos Energy Corp. | ||
0.63%, 3/9/2023 | 55,468,000 | 55,415,049 |
(ICE LIBOR USD 3 Month + 0.38%), 5.10%, 3/9/2023 (b) (c) | 92,141,000 | 92,144,905 |
CenterPoint Energy Resources Corp. | ||
0.70%, 3/2/2023 | 25,649,000 | 25,649,000 |
(ICE LIBOR USD 3 Month + 0.50%), 5.28%, 3/2/2023 (b) | 16,053,000 | 16,053,000 |
189,261,954 | ||
Health Care Providers & Services — 0.2% | ||
Aetna, Inc. 2.80%, 6/15/2023 | 9,649,000 | 9,580,091 |
AmerisourceBergen Corp. 0.74%, 3/15/2023 | 19,780,000 | 19,744,199 |
Cigna Group (The) (ICE LIBOR USD 3 Month + 0.89%), 5.68%, 7/15/2023 (b) | 14,963,000 | 14,988,993 |
Humana, Inc. 0.65%, 8/3/2023 | 16,792,000 | 16,462,096 |
Laboratory Corp. of America Holdings 4.00%, 11/1/2023 | 1,900,000 | 1,881,288 |
62,656,667 | ||
Hotels, Restaurants & Leisure — 0.0% ^ | ||
Booking Holdings, Inc. 2.75%, 3/15/2023 | 985,000 | 984,114 |
Industrial Conglomerates — 0.0% ^ | ||
3M Co. 2.25%, 3/15/2023 | 5,202,000 | 5,196,485 |
Insurance — 3.5% | ||
Allstate Corp. (The) 3.15%, 6/15/2023 | 1,230,000 | 1,223,405 |
Athene Global Funding | ||
1.20%, 10/13/2023 (a) (c) | 32,955,000 | 32,121,528 |
0.95%, 1/8/2024 (a) | 9,598,000 | 9,224,138 |
1.00%, 4/16/2024 (a) | 21,061,000 | 19,806,708 |
(SOFRINDX + 0.70%), 5.25%, 5/24/2024 (a) (b) | 43,521,000 | 43,253,346 |
Brighthouse Financial Global Funding | ||
0.60%, 6/28/2023 (a) | 13,556,000 | 13,342,465 |
1.20%, 12/15/2023 (a) | 43,419,000 | 41,954,245 |
1.00%, 4/12/2024 (a) | 7,007,000 | 6,614,958 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 143 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Corebridge Global Funding | ||
0.80%, 7/7/2023 (a) | 8,310,000 | 8,190,023 |
0.40%, 9/13/2023 (a) | 39,623,000 | 38,601,566 |
(SOFR + 0.38%), 4.97%, 12/15/2023 (a) (b) | 48,943,000 | 48,900,380 |
0.65%, 6/17/2024 (a) | 24,078,000 | 22,642,768 |
Equitable Financial Life Global Funding | ||
0.50%, 4/6/2023 (a) | 247,000 | 245,890 |
(SOFR + 0.39%), 4.97%, 4/6/2023 (a) (b) | 63,649,000 | 63,626,639 |
Guardian Life Global Funding 3.40%, 4/25/2023 (a) | 500,000 | 498,778 |
Jackson National Life Global Funding 3.25%, 1/30/2024 (a) | 21,256,000 | 20,821,587 |
MassMutual Global Funding II 0.85%, 6/9/2023 (a) | 39,446,000 | 38,986,920 |
Metropolitan Life Global Funding I 0.90%, 6/8/2023 (a) (c) | 12,598,000 | 12,449,496 |
New York Life Global Funding | ||
1.10%, 5/5/2023 (a) (c) | 8,899,000 | 8,828,825 |
3.86%, 8/26/2024 (a) | 180,500,000 | 176,715,949 |
Principal Financial Group, Inc. 3.13%, 5/15/2023 (c) | 5,375,000 | 5,351,157 |
Principal Life Global Funding II | ||
1.25%, 5/11/2023 (a) (c) | 75,151,000 | 74,597,886 |
0.50%, 1/8/2024 (a) | 1,046,000 | 1,003,653 |
Protective Life Global Funding 1.08%, 6/9/2023 (a) | 8,062,000 | 7,972,400 |
Reliance Standard Life Global Funding II | ||
3.85%, 9/19/2023 (a) | 4,360,000 | 4,313,643 |
2.50%, 10/30/2024 (a) | 2,780,000 | 2,628,993 |
5.24%, 2/2/2026 (a) | 169,725,000 | 167,169,639 |
871,086,985 | ||
IT Services — 0.0% ^ | ||
Fidelity National Information Services, Inc. 0.60%, 3/1/2024 | 316,000 | 301,367 |
Life Sciences Tools & Services — 0.6% | ||
Thermo Fisher Scientific, Inc. (SOFRINDX + 0.35%), 4.92%, 4/18/2023 (b) | 143,174,000 | 143,168,006 |
Machinery — 0.4% | ||
Daimler Truck Finance North America LLC (Germany) | ||
1.13%, 12/14/2023 (a) | 25,477,000 | 24,656,375 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Machinery — continued | ||
(SOFR + 1.00%), 5.58%, 4/5/2024 (a) (b) (c) | 58,479,000 | 58,522,767 |
5.20%, 1/17/2025 (a) | 23,702,000 | 23,549,604 |
106,728,746 | ||
Media — 0.1% | ||
Fox Corp. 4.03%, 1/25/2024 | 17,827,000 | 17,593,176 |
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) 4.13%, 5/30/2023 (a) | 28,801,000 | 28,705,602 |
Multi-Utilities — 0.4% | ||
Berkshire Hathaway Energy Co. 3.75%, 11/15/2023 | 2,000,000 | 1,977,835 |
CenterPoint Energy, Inc. (SOFRINDX + 0.65%), 5.21%, 5/13/2024 (b) | 35,739,000 | 35,567,497 |
Centrica plc (United Kingdom) 4.00%, 10/16/2023 (a) | 11,634,000 | 11,519,717 |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | 329,000 | 317,772 |
Consumers Energy Co. 3.38%, 8/15/2023 | 4,440,000 | 4,398,628 |
Dominion Energy, Inc. Series D, (ICE LIBOR USD 3 Month + 0.53%), 5.30%, 9/15/2023 (b) | 31,071,000 | 31,069,214 |
WEC Energy Group, Inc. 0.55%, 9/15/2023 | 15,845,000 | 15,430,221 |
100,280,884 | ||
Oil, Gas & Consumable Fuels — 0.7% | ||
Enterprise Products Operating LLC 3.35%, 3/15/2023 | 85,829,000 | 85,767,205 |
EOG Resources, Inc. 2.63%, 3/15/2023 (c) | 18,698,000 | 18,680,236 |
Exxon Mobil Corp. 1.57%, 4/15/2023 | 48,100,000 | 47,885,692 |
Saudi Arabian Oil Co. (Saudi Arabia) 1.25%, 11/24/2023 (a) | 8,000,000 | 7,750,000 |
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 | 29,316,000 | 29,013,715 |
189,096,848 | ||
Pharmaceuticals — 0.4% | ||
AstraZeneca plc (United Kingdom) 0.30%, 5/26/2023 | 105,787,000 | 104,640,968 |
Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/2023 | 130,000 | 128,075 |
Takeda Pharmaceutical Co. Ltd. (Japan) 4.40%, 11/26/2023 | 325,000 | 321,864 |
105,090,907 |
144 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Road & Rail — 0.3% | ||
Burlington Northern Santa Fe LLC 3.00%, 3/15/2023 | 3,856,000 | 3,852,953 |
Penske Truck Leasing Co. LP | ||
2.70%, 3/14/2023 (a) | 38,096,000 | 38,053,330 |
4.13%, 8/1/2023 (a) | 4,071,000 | 4,046,730 |
Ryder System, Inc. 3.40%, 3/1/2023 | 3,000,000 | 3,000,000 |
Triton Container International Ltd. (Bermuda) 0.80%, 8/1/2023 (a) | 22,739,000 | 22,177,631 |
Union Pacific Corp. | ||
2.75%, 4/15/2023 | 6,395,000 | 6,373,558 |
3.50%, 6/8/2023 | 1,540,000 | 1,532,622 |
79,036,824 | ||
Semiconductors & Semiconductor Equipment — 0.2% | ||
NVIDIA Corp. 0.31%, 6/15/2023 (c) | 39,037,000 | 38,581,175 |
Software — 0.1% | ||
Oracle Corp. 2.40%, 9/15/2023 | 3,827,000 | 3,765,101 |
VMware, Inc. 0.60%, 8/15/2023 | 25,574,000 | 25,018,166 |
28,783,267 | ||
Thrifts & Mortgage Finance — 0.5% | ||
BPCE SA (France) | ||
4.00%, 9/12/2023 (a) | 19,526,000 | 19,323,437 |
5.03%, 1/15/2025 (a) | 119,399,000 | 118,000,791 |
137,324,228 | ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.95%, 5/2/2023 | 195,000 | 194,262 |
BAT Capital Corp. (United Kingdom) 2.79%, 9/6/2024 | 9,067,000 | 8,689,751 |
Philip Morris International, Inc. 2.63%, 3/6/2023 (c) | 13,707,000 | 13,703,374 |
Reynolds American, Inc. (United Kingdom) 4.85%, 9/15/2023 | 45,368,000 | 45,208,233 |
67,795,620 | ||
Transportation Infrastructure — 0.0% ^ | ||
Sydney Airport Finance Co. Pty. Ltd. (Australia) 3.90%, 3/22/2023 (a) | 650,000 | 649,472 |
Total Corporate Bonds (Cost $9,752,085,695) | 9,645,080,199 | |
Asset-Backed Securities — 6.8% | ||
522 Funding CLO Ltd. (Cayman Islands) Series 2019-4A, Class AR, 5.89%, 4/20/2030 (a) (e) | 43,799,134 | 43,393,948 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
ACRE Commercial Mortgage Ltd. Series 2021-FL4, Class A, 5.42%, 12/18/2037 (a) (e) | 3,881,204 | 3,807,147 |
Aimco CLO Ltd. (Cayman Islands) | ||
Series 2020-12A, Class XR, 5.51%, 1/17/2032 (a) (e) | 3,800,000 | 3,797,549 |
Series 2020-12A, Class AR, 5.83%, 1/17/2032 (a) (e) | 3,689,000 | 3,649,952 |
Series 2019-10A, Class AR, 5.88%, 7/22/2032 (a) (e) | 5,000,000 | 4,938,170 |
Anchorage Capital CLO Ltd. (Cayman Islands) Series 2016-9A, Class XR, 5.74%, 7/15/2032 (a) (e) | 750,000 | 749,705 |
Apidos CLO (Cayman Islands) | ||
Series 2016-24A, Class A1AL, 5.76%, 10/20/2030 (a) (e) | 35,000,000 | 34,627,285 |
Series 2019-31A, Class A1R, 5.89%, 4/15/2031 (a) (e) | 28,565,000 | 28,295,404 |
Ares CLO Ltd. (Cayman Islands) | ||
Series 2016-40A, Class A1RR, 5.66%, 1/15/2029 (a) (e) | 26,137,508 | 25,924,173 |
Series 2013-2A, Class XR2, 5.75%, 10/28/2034 (a) (e) | 3,750,000 | 3,747,637 |
Atlas Senior Loan Fund (Cayman Islands) Series 2019-13A, Class A1NR, 5.90%, 4/22/2031 (a) (e) | 9,675,000 | 9,508,106 |
Atlas Senior Loan Fund Ltd. (Cayman Islands) Series 2021-18A, Class X, 5.64%, 1/18/2035 (a) (e) | 1,600,000 | 1,598,696 |
Bain Capital Credit CLO (Cayman Islands) Series 2019-1A, Class X, 5.63%, 4/19/2034 (a) (e) | 3,900,000 | 3,897,804 |
Ballyrock CLO Ltd. (Cayman Islands) | ||
Series 2020-2A, Class A1R, 5.82%, 10/20/2031 (a) (e) | 20,955,000 | 20,704,127 |
Series 2019-1A, Class A1R, 5.82%, 7/15/2032 (a) (e) | 42,764,000 | 42,138,234 |
Barings CLO Ltd. (Cayman Islands) Series 2013-IA, Class AR, 5.61%, 1/20/2028 (a) (e) | 14,960,563 | 14,941,863 |
Benefit Street Partners CLO Ltd. (Cayman Islands) | ||
Series 2013-IIA, Class A1R2, 5.66%, 7/15/2029 (a) (e) | 12,238,772 | 12,128,341 |
Series 2013-IIIA, Class A1R2, 5.81%, 7/20/2029 (a) (e) | 23,105,610 | 22,947,244 |
Series 2015-6BR, Class X, 5.51%, 7/20/2034 (a) (e) | 1,200,000 | 1,199,641 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 145 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Buckhorn Park CLO Ltd. (Cayman Islands) Series 2019-1A, Class XR, 5.44%, 7/18/2034 (a) (e) | 2,499,998 | 2,498,465 |
BXMT Ltd. (Cayman Islands) Series 2020-FL3, Class A, 5.93%, 11/15/2037 (a) (e) | 45,000,000 | 44,517,825 |
Capital One Prime Auto Receivables Trust Series 2020-1, Class A3, 1.60%, 11/15/2024 | 2,967,325 | 2,948,102 |
Carlyle Global Market Strategies CLO Ltd. (Cayman Islands) | ||
Series 2015-1A, Class AR3, 5.79%, 7/20/2031 (a) (e) | 7,718,671 | 7,633,558 |
Series 2015-5A, Class A1RR, 5.89%, 1/20/2032 (a) (e) | 7,485,000 | 7,386,071 |
CarMax Auto Owner Trust | ||
Series 2021-4, Class A2A, 0.24%, 11/15/2024 | 7,186,363 | 7,147,518 |
Series 2022-2, Class A2A, 2.81%, 5/15/2025 | 12,695,746 | 12,575,614 |
Carvana Auto Receivables Trust | ||
Series 2021-P3, Class A2, 0.38%, 1/10/2025 | 9,594,282 | 9,536,756 |
Series 2021-P4, Class A2, 0.82%, 4/10/2025 | 6,566,546 | 6,512,934 |
Series 2022-P1, Class A2, 2.57%, 5/12/2025 | 40,600,617 | 40,248,085 |
CBAM Ltd. (Cayman Islands) Series 2017-2A, Class XR, 5.49%, 7/17/2034 (a) (e) | 1,250,000 | 1,249,943 |
CIFC Funding Ltd. (Cayman Islands) | ||
Series 2017-1A, Class AR, 5.83%, 4/23/2029 (a) (e) | 1,689,999 | 1,678,308 |
Series 2017-5A, Class A1, 5.97%, 11/16/2030 (a) (e) | 24,710,519 | 24,562,107 |
Dell Equipment Finance Trust Series 2021-2, Class A2, 0.33%, 12/22/2026 (a) | 9,835,101 | 9,779,624 |
Dryden Senior Loan Fund (Cayman Islands) | ||
Series 2017-47A, Class A1R, 5.77%, 4/15/2028 (a) (e) | 26,934,597 | 26,742,042 |
Series 2014-36A, Class AR3, 5.81%, 4/15/2029 (a) (e) | 39,281,598 | 39,051,879 |
Elmwood CLO Ltd. (Cayman Islands) Series 2021-3A, Class A, 5.85%, 10/20/2034 (a) (e) | 15,000,000 | 14,802,000 |
Enterprise Fleet Funding LLC Series 2021-1, Class A2, 0.44%, 12/21/2026 (a) | 34,043,679 | 33,087,743 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ford Credit Auto Lease Trust Series 2023-A, Class A2A, 5.19%, 6/15/2025 | 12,610,000 | 12,590,937 |
Ford Credit Auto Owner Trust Series 2019-1, Class A, 3.52%, 7/15/2030 (a) | 14,586,000 | 14,351,504 |
Galaxy CLO Ltd. (Cayman Islands) | ||
Series 2013-15A, Class ARR, 5.76%, 10/15/2030 (a) (e) | 30,171,408 | 29,921,317 |
Series 2016-22A, Class XRR, 5.69%, 4/16/2034 (a) (e) | 2,736,843 | 2,735,308 |
GM Financial Automobile Leasing Trust Series 2022-2, Class A2, 2.93%, 10/21/2024 | 52,304,677 | 51,661,058 |
GM Financial Consumer Automobile Receivables Trust Series 2022-1, Class A2, 0.76%, 2/18/2025 | 11,728,561 | 11,603,382 |
Goldentree Loan Management US CLO Ltd. (Cayman Islands) | ||
Series 2020-7A, Class XR, 5.31%, 4/20/2034 (a) (e) | 625,000 | 624,973 |
Series 2022-12A, Class X, 5.64%, 4/20/2034 (a) (e) | 4,200,000 | 4,196,682 |
Series 2022-14A, Class X, 5.84%, 7/20/2035 (a) (e) | 2,767,500 | 2,767,356 |
Harriman Park CLO Ltd. (Cayman Islands) Series 2020-1A, Class XR, 5.41%, 4/20/2034 (a) (e) | 2,083,331 | 2,082,219 |
Honda Auto Receivables Owner Trust Series 2023-1, Class A2, 5.22%, 10/21/2025 | 66,361,000 | 66,301,852 |
Hyundai Auto Lease Securitization Trust Series 2022-C, Class A2A, 4.34%, 1/15/2025 (a) | 46,845,803 | 46,544,552 |
Hyundai Auto Receivables Trust Series 2021-A, Class A3, 0.38%, 9/15/2025 | 3,739,550 | 3,630,160 |
ICG US CLO Ltd. (Cayman Islands) Series 2016-1A, Class XRR, 5.70%, 4/29/2034 (a) (e) | 2,526,318 | 2,524,977 |
KKR CLO Ltd. (Cayman Islands) | ||
Series 13, Class A1R, 5.59%, 1/16/2028 (a) (e) | 2,888,029 | 2,872,543 |
Series 28A, Class A, 5.91%, 3/15/2031 (a) (e) | 13,479,544 | 13,385,457 |
Series 32A, Class A1, 6.11%, 1/15/2032 (a) (e) | 18,000,000 | 17,911,620 |
Series 24, Class A1R, 5.89%, 4/20/2032 (a) (e) | 10,000,000 | 9,891,930 |
146 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 16, Class X, 5.56%, 10/20/2034 (a) (e) | 2,625,000 | 2,624,241 |
LCM LP (Cayman Islands) | ||
Series 20A, Class AR, 5.85%, 10/20/2027 (a) (e) | 5,456,461 | 5,433,217 |
Series 14A, Class AR, 5.85%, 7/20/2031 (a) (e) | 20,980,000 | 20,700,043 |
LCM Ltd. (Cayman Islands) | ||
Series 24A, Class AR, 5.79%, 3/20/2030 (a) (e) | 31,424,582 | 31,124,257 |
Series 25A, Class AR, 5.74%, 7/20/2030 (a) (e) | 28,653,682 | 28,292,502 |
Series 29A, Class AR, 5.86%, 4/15/2031 (a) (e) | 20,000,000 | 19,711,940 |
LMREC LLC Series 2021-CRE4, Class A, 5.67%, 4/22/2037 ‡ (a) (e) | 8,599,269 | 8,476,404 |
Longfellow Place CLO Ltd. (Cayman Islands) Series 2013-1A, Class AR3, 5.79%, 4/15/2029 (a) (e) | 3,544,362 | 3,532,917 |
Madison Park Funding Ltd. (Cayman Islands) Series 2019-36A, Class X, 5.71%, 4/15/2035 (a) (e) | 1,250,000 | 1,248,383 |
Magnetite Ltd. (Cayman Islands) | ||
Series 2012-7A, Class A1R2, 5.59%, 1/15/2028 (a) (e) | 38,478,620 | 38,235,088 |
Series 2015-16A, Class AR, 5.59%, 1/18/2028 (a) (e) | 4,753,498 | 4,730,690 |
Series 2016-18A, Class AR2, 5.74%, 11/15/2028 (a) (e) | 28,971,215 | 28,702,999 |
Series 2014-8A, Class AR2, 5.77%, 4/15/2031 (a) (e) | 1,966,848 | 1,952,287 |
Series 2016-17A, Class AR, 5.91%, 7/20/2031 (a) (e) | 8,500,000 | 8,435,740 |
Series 2020-25A, Class A, 6.02%, 1/25/2032 (a) (e) | 20,250,000 | 20,108,047 |
Series 2017-19A, Class X, 5.49%, 4/17/2034 (a) (e) | 2,500,000 | 2,499,885 |
Marathon CLO Ltd. (Cayman Islands) Series 2019-1A, Class AANR, 6.11%, 4/15/2032 (a) (e) | 35,000,000 | 34,694,240 |
Marlette Funding Trust Series 2022-1A, Class A, 1.36%, 4/15/2032 (a) | 1,502,896 | 1,484,374 |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A2, 5.09%, 1/15/2026 | 40,971,000 | 40,873,096 |
Neuberger Berman CLO (Cayman Islands) Series 2013-15A, Class A1R2, 5.71%, 10/15/2029 (a) (e) | 27,944,683 | 27,694,048 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Neuberger Berman CLO Ltd. (Cayman Islands) | ||
Series 2013-14A, Class AR2, 5.83%, 1/28/2030 (a) (e) | 15,342,532 | 15,225,039 |
Series 2017-16SA, Class XR, 5.59%, 4/15/2034 (a) (e) | 5,000,000 | 4,999,760 |
Neuberger Berman Loan Advisers CLO Ltd. (Cayman Islands) | ||
Series 2017-26A, Class AR, 5.71%, 10/18/2030 (a) (e) | 24,986,000 | 24,700,760 |
Series 2020-37A, Class AR, 5.78%, 7/20/2031 (a) (e) | 26,036,000 | 25,756,061 |
Newark BSL CLO 2 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.79%, 7/25/2030 (a) (e) | 29,844,522 | 29,590,396 |
Newark BSL CLO Ltd. (Cayman Islands) Series 2016-1A, Class A1R, 6.03%, 12/21/2029 (a) (e) | 18,981,215 | 18,828,701 |
OCP CLO Ltd. (Cayman Islands) | ||
Series 2020-8RA, Class A1, 6.01%, 1/17/2032 (a) (e) | 35,000,000 | 34,682,165 |
Series 2019-17A, Class A1R, 5.85%, 7/20/2032 (a) (e) | 13,000,000 | 12,794,171 |
Series 2015-9A, Class X, 5.38%, 1/15/2033 (a) (e) | 3,000,000 | 2,995,974 |
Series 2020-19A, Class XR, 5.51%, 10/20/2034 (a) (e) | 312,500 | 312,429 |
Octagon Investment Partners 30 Ltd. (Cayman Islands) Series 2017-1A, Class A1R, 5.81%, 3/17/2030 (a) (e) | 34,277,169 | 34,006,688 |
OHA Credit Funding 7 Ltd. (Cayman Islands) Series 2020-7A, Class XR, 5.33%, 2/24/2037 (a) (e) | 625,000 | 624,144 |
OHA Credit Partners Ltd. (Cayman Islands) Series 2016-13A, Class XR, 5.67%, 10/25/2034 (a) (e) | 1,375,000 | 1,374,937 |
Palmer Square Loan Funding Ltd. (Cayman Islands) | ||
Series 2020-1A, Class A1, 5.48%, 2/20/2028 (a) (e) | 3,936,262 | 3,912,471 |
Series 2020-4A, Class A1, 5.96%, 11/25/2028 (a) (e) | 25,223,706 | 25,064,620 |
Series 2021-2A, Class A1, 5.72%, 5/20/2029 (a) (e) | 25,399,202 | 25,151,941 |
Series 2021-4A, Class A1, 5.59%, 10/15/2029 (a) (e) | 36,746,989 | 36,341,045 |
Series 2022-1A, Class A1, 5.68%, 4/15/2030 (a) (e) | 26,879,420 | 26,634,656 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 147 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Santander Drive Auto Receivables Trust | ||
Series 2022-6, Class A2, 4.37%, 5/15/2025 | 41,607,155 | 41,476,575 |
Series 2023-1, Class A2, 5.36%, 5/15/2026 | 13,870,000 | 13,843,912 |
Sculptor CLO Ltd. (Cayman Islands) Series 27A, Class X, 5.86%, 7/20/2034 (a) (e) | 4,000,000 | 3,999,792 |
Sound Point CLO II Ltd. (Cayman Islands) Series 2013-1A, Class A1R, 5.89%, 1/26/2031 (a) (e) | 2,430,000 | 2,404,235 |
Sound Point CLO Ltd. (Cayman Islands) Series 2019-1A, Class AR, 5.89%, 1/20/2032 (a) (e) | 7,268,000 | 7,191,105 |
Symphony CLO Ltd. (Cayman Islands) | ||
Series 2018-20A, Class X, 5.79%, 1/16/2032 (a) (e) | 500,000 | 499,975 |
Series 2020-24A, Class A, 6.02%, 1/23/2032 (a) (e) | 28,550,000 | 28,137,909 |
Symphony Static CLO Ltd. (Cayman Islands) Series 2021-1A, Class A, 5.65%, 10/25/2029 (a) (e) | 27,069,557 | 26,749,622 |
TCI-Symphony CLO Ltd. (Cayman Islands) Series 2017-1A, Class AR, 5.72%, 7/15/2030 (a) (e) | 19,413,353 | 19,221,471 |
Venture CLO Ltd. (Cayman Islands) | ||
Series 2018-33A, Class A1LR, 5.85%, 7/15/2031 (a) (e) | 11,836,000 | 11,675,504 |
Series 2019-36A, Class XR, 5.51%, 4/20/2032 (a) (e) | 2,291,667 | 2,282,390 |
Series 2021-43A, Class X, 5.84%, 4/15/2034 (a) (e) | 5,000,000 | 4,997,015 |
Voya CLO Ltd. (Cayman Islands) Series 2015-1A, Class A1R, 5.69%, 1/18/2029 (a) (e) | 9,529,644 | 9,459,477 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class A2, 0.57%, 9/16/2024 (a) | 977,989 | 973,790 |
Series 2021-3A, Class A3, 0.95%, 6/16/2025 (a) | 20,541,000 | 20,097,696 |
Total Asset-Backed Securities (Cost $1,728,325,746) | 1,716,112,251 | |
U.S. Treasury Obligations — 2.0% | ||
U.S. Treasury Notes 0.38%, 7/15/2024 (Cost $498,869,957) | 528,400,000 | 495,602,048 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — 0.9% | ||
Benchmark Mortgage Trust Series 2018-B3, Class A2, 3.85%, 4/10/2051 | 1,441,268 | 1,437,512 |
BX Commercial Mortgage Trust | ||
Series 2021-VOLT, Class A, 5.29%, 9/15/2036 (a) (e) | 13,404,255 | 13,081,943 |
Series 2020-VKNG, Class A, 5.61%, 10/15/2037 (a) (e) | 26,084,231 | 25,806,872 |
Series 2021-SOAR, Class A, 5.26%, 6/15/2038 (a) (e) | 23,508,225 | 23,092,767 |
Series 2022-LP2, Class A, 5.58%, 2/15/2039 (a) (e) | 23,209,750 | 22,864,686 |
BX Trust Series 2022-IND, Class A, 6.05%, 4/15/2037 (a) (e) | 20,538,906 | 20,493,947 |
Citigroup Commercial Mortgage Trust | ||
Series 2013-GC11, Class AS, 3.42%, 4/10/2046 | 707,868 | 706,795 |
Series 2014-GC25, Class B, 4.34%, 10/10/2047 (e) | 8,626,000 | 8,050,104 |
Series 2018-B2, Class A2, 3.79%, 3/10/2051 | 3,394,907 | 3,388,936 |
Credit Suisse Mortgage Capital Certificates Series 2019-ICE4, Class A, 5.57%, 5/15/2036 (a) (e) | 27,930,512 | 27,790,284 |
DBGS Mortgage Trust Series 2018-BIOD, Class A, 5.39%, 5/15/2035 (a) (e) | 26,339,210 | 26,194,497 |
Independence Plaza Trust Series 2018-INDP, Class A, 3.76%, 7/10/2035 (a) | 10,000,000 | 9,394,853 |
KNDL Mortgage Trust Series 2019-KNSQ, Class A, 5.39%, 5/15/2036 (a) (e) | 5,600,000 | 5,568,331 |
Morgan Stanley Capital I Trust Series 2018-H3, Class A2, 4.00%, 7/15/2051 | 2,903,364 | 2,888,318 |
SREIT Trust Series 2021-MFP, Class A, 5.32%, 11/15/2038 (a) (e) | 6,000,000 | 5,870,670 |
UBS Commercial Mortgage Trust Series 2018-C11, Class A2, 3.99%, 6/15/2051 | 443,575 | 441,391 |
Wells Fargo Commercial Mortgage Trust Series 2018-C46, Class A2, 4.06%, 8/15/2051 | 6,449,872 | 6,413,774 |
148 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
WFRBS Commercial Mortgage Trust | ||
Series 2013-UBS1, Class AS, 4.31%, 3/15/2046 (e) | 6,584,641 | 6,448,861 |
Series 2014-C22, Class AS, 4.07%, 9/15/2057 (e) | 6,901,000 | 6,536,370 |
Total Commercial Mortgage-Backed Securities (Cost $221,878,472) | 216,470,911 | |
U.S. Government Agency Securities — 0.5% | ||
FFCB Funding Corp. 4.88%, 9/25/2023 | 5,200,000 | 5,188,253 |
FHLB 4.90%, 11/22/2023 | 121,670,000 | 121,368,497 |
Total U.S. Government Agency Securities (Cost $126,842,847) | 126,556,750 | |
Foreign Government Securities — 0.1% | ||
Svensk Exportkredit AB (SOFRINDX + 1.00%), 5.55%, 5/25/2023 (b) (Cost $28,470,238) | 28,420,000 | 28,474,422 |
Short-Term Investments — 50.7% | ||
Certificates of Deposits — 17.2% | ||
Bank of Montreal (Canada) | ||
3.87%, 7/21/2023 | 54,100,000 | 53,848,153 |
5.00%, 10/6/2023 | 25,000,000 | 24,961,621 |
Bank of Nova Scotia (The) (Canada) | ||
(SOFR + 0.58%), 5.13%, 3/24/2023 (b) | 153,980,000 | 154,024,469 |
(SOFR + 0.75%), 5.30%, 8/1/2023 (b) | 74,737,000 | 74,914,711 |
(SOFR + 0.74%), 5.29%, 8/7/2023 (b) | 33,040,000 | 33,118,592 |
Barclays Bank plc (United Kingdom) | ||
5.72%, 12/7/2023 | 103,196,000 | 103,254,404 |
5.70%, 12/8/2023 | 110,000,000 | 110,046,000 |
BNP Paribas SA (France) , 5.32%, 2/6/2024 | 135,295,000 | 135,088,203 |
Canadian Imperial Bank of Commerce (Canada) , 3.72%, 3/13/2023 | 18,950,000 | 18,943,630 |
Citibank NA | ||
3.77%, 5/2/2023 | 77,750,000 | 77,601,114 |
3.85%, 7/28/2023 | 72,600,000 | 72,201,036 |
Cooperatieve Rabobank UA (Netherlands) | ||
2.80%, 5/17/2023 | 40,743,000 | 40,569,584 |
3.74%, 5/31/2023 | 69,508,000 | 69,316,419 |
4.00%, 8/23/2023 | 22,080,000 | 21,963,744 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Certificates of Deposits — continued | ||
Credit Agricole Corporate and Investment Bank (France) , 5.30%, 1/11/2024 | 139,018,000 | 138,798,739 |
HSBC Bank USA NA , 4.01%, 8/10/2023 | 53,686,000 | 53,400,244 |
Kookmin Bank (South Korea) | ||
(SOFR + 0.75%), 5.30%, 3/1/2023 (b) | 12,916,000 | 12,941,414 |
(SOFR + 0.73%), 5.28%, 1/22/2024 (b) | 59,465,000 | 59,543,013 |
(SOFR + 0.73%), 5.28%, 1/26/2024 (b) | 38,932,000 | 38,980,617 |
Lloyds Bank Corporate Markets plc (United Kingdom) | ||
3.68%, 3/17/2023 | 19,669,000 | 19,659,973 |
(SOFR + 0.67%), 5.22%, 3/22/2023 (b) | 70,740,000 | 70,764,383 |
5.49%, 12/14/2023 | 61,071,000 | 61,039,141 |
5.31%, 1/18/2024 | 72,299,000 | 72,134,324 |
Lloyds Bank Trustee Services Ltd. (United Kingdom) , 3.89%, 6/16/2023 | 17,860,000 | 17,797,670 |
Mitsubishi UFJ Trust & Banking Corp. (Japan) (SOFR + 0.49%), 5.04%, 3/3/2023 (b) | 40,700,000 | 40,701,243 |
Mizuho Bank Ltd. (Japan) , 5.40%, 12/14/2023 | 105,860,000 | 105,774,305 |
MUFG Bank Ltd. (Japan) , 5.16%, 5/15/2023 | 91,130,000 | 91,186,029 |
Natixis SA (France) , 4.29%, 9/8/2023 | 85,666,000 | 85,203,416 |
Nordea Bank Abp (Finland) | ||
2.97%, 6/8/2023 | 57,500,000 | 57,188,125 |
5.10%, 8/7/2023 | 14,804,000 | 14,805,880 |
4.14%, 9/5/2023 | 93,036,000 | 92,532,765 |
5.17%, 1/31/2024 | 205,870,000 | 205,485,457 |
Norinchukin Bank (The) (Japan) , 3.95%, 8/15/2023 | 198,472,000 | 197,369,168 |
Oversea-Chinese Banking Corp. Ltd. (Singapore) , 5.28%, 7/5/2023 | 94,717,000 | 94,809,815 |
Royal Bank of Canada (Canada) | ||
4.08%, 8/4/2023 | 73,300,000 | 72,959,447 |
4.87%, 9/22/2023 | 81,567,000 | 81,324,581 |
Skandinaviska Enskilda Banken AB (Sweden) , 2.85%, 6/1/2023 | 155,975,000 | 155,117,574 |
Standard Chartered Bank (United Kingdom) | ||
2.82%, 5/26/2023 | 7,111,000 | 7,077,803 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 149 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Short-Term Investments — continued | ||
Certificates of Deposits — continued | ||
4.02%, 8/11/2023 | 54,640,000 | 54,364,911 |
5.44%, 1/12/2024 | 145,077,000 | 144,911,673 |
Sumitomo Mitsui Banking Corp. (Japan) | ||
2.70%, 4/25/2023 | 39,988,000 | 39,863,754 |
2.70%, 4/28/2023 | 46,823,000 | 46,669,576 |
3.05%, 6/7/2023 | 2,999,000 | 2,983,577 |
(SOFR + 0.89%), 5.44%, 7/31/2023 (b) | 107,685,000 | 108,001,527 |
5.00%, 10/6/2023 | 96,153,000 | 95,963,804 |
Svenska Handelsbanken (Sweden) , 2.01%, 3/22/2023 | 171,141,000 | 170,863,423 |
Svenska Handelsbanken AB (Sweden) , 3.46%, 6/13/2023 | 111,881,000 | 111,403,106 |
Toronto-Dominion Bank (The) (Canada) | ||
2.90%, 6/1/2023 | 5,344,000 | 5,317,850 |
4.07%, 7/18/2023 | 143,784,000 | 143,252,895 |
5.38%, 8/1/2023 | 111,800,000 | 111,941,893 |
4.35%, 9/12/2023 | 180,015,000 | 179,017,213 |
5.37%, 12/15/2023 | 74,200,000 | 74,071,308 |
Westpac Banking Corp. (Australia) | ||
5.33%, 1/11/2024 | 17,800,000 | 17,768,742 |
5.18%, 2/1/2024 | 110,036,000 | 109,675,087 |
Woori Bank (South Korea) (SOFR + 0.80%), 5.35%, 8/18/2023 (b) | 62,432,000 | 62,575,516 |
Total Certificates of Deposit (Cost $4,324,088,573) | 4,315,092,661 | |
Commercial Paper — 21.7% | ||
3M Co. | ||
5.50%, 2/5/2024 (f) | 29,029,000 | 27,627,233 |
American Electric Power Co., Inc. | ||
5.28%, 7/20/2023 (f) | 22,462,000 | 21,998,178 |
ASB Bank Ltd. (New Zealand) | ||
4.10%, 8/18/2023 (f) | 67,001,000 | 65,423,729 |
AT&T, Inc. | ||
5.68%, 12/20/2023 (f) | 76,529,000 | 73,124,405 |
Australia & New Zealand Banking Group Ltd. (Australia) | ||
5.39%, 9/12/2023 (f) | 67,235,000 | 65,367,376 |
5.52%, 11/20/2023 (f) | 68,765,000 | 66,112,581 |
5.52%, 11/22/2023 (f) | 98,754,000 | 94,913,161 |
5.39%, 12/15/2023 (f) | 229,378,000 | 219,666,135 |
Banco Santander Chile (Chile) | ||
5.93%, 10/24/2023 (f) | 10,000,000 | 9,631,959 |
6.14%, 1/26/2024 (f) | 4,942,000 | 4,687,092 |
6.23%, 2/7/2024 (f) | 27,198,000 | 25,742,865 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Paper — continued | ||
6.21%, 2/9/2024 (f) | 24,520,000 | 23,200,279 |
Banco Santander SA (Spain) | ||
5.63%, 2/22/2024 (f) | 120,440,000 | 114,210,130 |
Bank of Montreal (Canada) | ||
5.55%, 11/6/2023 (f) | 188,723,000 | 182,058,377 |
5.47%, 1/4/2024 (f) | 29,203,000 | 27,915,724 |
BAT International Finance plc (United Kingdom) | ||
5.34%, 7/12/2023 (f) | 8,680,000 | 8,511,800 |
5.34%, 7/13/2023 (f) | 15,000,000 | 14,706,938 |
BNP Paribas SA (France) | ||
5.29%, 10/2/2023 (f) | 221,424,000 | 214,657,725 |
BofA Securities, Inc. | ||
5.41%, 7/19/2023 (f) | 48,267,000 | 47,331,980 |
BPCE SA (France) | ||
5.25%, 6/6/2023 (f) | 25,540,000 | 25,203,357 |
5.41%, 10/6/2023 (f) | 63,131,000 | 61,147,599 |
5.33%, 11/7/2023 (f) | 257,310,000 | 247,947,518 |
Canadian Imperial Bank of Commerce (Canada) | ||
3.67%, 5/2/2023 (f) | 98,836,000 | 98,042,100 |
3.81%, 7/26/2023 (f) | 84,793,000 | 83,107,899 |
Citigroup Global Markets, Inc. | ||
2.81%, 5/17/2023 (f) | 63,509,000 | 62,847,130 |
4.12%, 8/9/2023 (f) | 8,640,000 | 8,438,835 |
5.52%, 11/27/2023 (f) | 10,460,000 | 10,044,296 |
5.43%, 1/8/2024 (f) | 23,541,000 | 22,480,882 |
CNH Industrial Capital LLC | ||
5.04%, 4/21/2023 (f) | 6,150,000 | 6,104,295 |
Constellation Energy Generation LLC | ||
5.13%, 3/1/2023 (f) | 10,700,000 | 10,698,451 |
Cooperatieve Rabobank UA (Netherlands) | ||
5.19%, 10/31/2023 (f) | 59,006,000 | 56,957,197 |
Credit Agricole Corporate and Investment Bank (France) | ||
3.83%, 5/22/2023 (f) | 105,661,000 | 104,496,557 |
DBS Bank Ltd. (Singapore) | ||
5.16%, 6/12/2023 (f) | 50,275,000 | 49,577,418 |
DNB Bank ASA (Norway) | ||
3.89%, 5/24/2023 (f) | 52,540,000 | 51,948,268 |
3.96%, 5/31/2023 (f) | 72,042,000 | 71,158,837 |
3.96%, 8/16/2023 (f) | 196,307,000 | 191,674,357 |
5.47%, 11/17/2023 (f) | 188,329,000 | 181,244,283 |
5.51%, 11/22/2023 (f) | 75,690,000 | 72,784,362 |
150 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Short-Term Investments — continued | ||
Commercial Paper — continued | ||
5.38%, 12/19/2023 (f) | 112,419,000 | 107,656,875 |
E.ON SE (Germany) | ||
5.34%, 7/17/2023 (f) | 25,228,000 | 24,719,140 |
Enbridge US, Inc. | ||
3.93%, 3/6/2023 (f) | 25,000,000 | 24,979,333 |
Enel Finance America LLC (Italy) | ||
5.92%, 7/17/2023 (f) | 84,939,000 | 83,004,042 |
5.95%, 7/24/2023 (f) | 25,000,000 | 24,400,082 |
Fidelity National Information Services, Inc. | ||
5.20%, 5/2/2023 (f) | 15,400,000 | 15,266,624 |
5.20%, 5/3/2023 (f) | 30,000,000 | 29,735,893 |
5.46%, 7/26/2023 (f) | 20,760,000 | 20,318,587 |
General Motors Financial Co., Inc. | ||
5.37%, 6/22/2023 (f) | 4,735,000 | 4,652,022 |
HSBC USA, Inc. | ||
4.18%, 8/1/2023 (f) | 7,400,000 | 7,239,918 |
6.07%, 12/8/2023 (f) | 97,500,000 | 93,448,502 |
ING US Funding LLC (Netherlands) | ||
5.27%, 9/21/2023 (f) | 301,850,000 | 293,092,369 |
Kookmin Bank (South Korea) | ||
4.65%, 3/9/2023 (f) | 76,722,000 | 76,635,036 |
Korea Development Bank (The) (South Korea) | ||
4.11%, 5/26/2023 (f) | 70,956,000 | 70,142,856 |
Macquarie Bank Ltd. (Australia) | ||
4.06%, 8/18/2023 (f) | 9,745,000 | 9,511,473 |
5.63%, 11/21/2023 (f) | 84,979,000 | 81,764,150 |
5.58%, 12/1/2023 (f) | 11,600,000 | 11,144,395 |
MUFG Bank Ltd. (Japan) | ||
4.08%, 5/30/2023 (f) | 45,800,000 | 45,239,547 |
Natixis SA (France) | ||
5.22%, 6/1/2023 (f) | 80,799,000 | 79,795,422 |
5.30%, 9/1/2023 | 50,000,000 | 48,700,375 |
NatWest Markets plc (United Kingdom) | ||
5.13%, 7/26/2023 (a) (f) | 13,000,000 | 12,726,739 |
5.63%, 2/6/2024 (a) (f) | 83,924,000 | 79,613,307 |
Oesterreichische Kontrollbank AG (Austria) | ||
4.87%, 7/5/2023 (f) | 2,500,000 | 2,457,005 |
Philip Morris International, Inc. | ||
5.19%, 10/24/2023 (f) | 2,750,000 | 2,659,861 |
Procter & Gamble Co. (The) | ||
4.70%, 4/5/2023 (f) | 57,850,000 | 57,587,014 |
4.71%, 4/18/2023 (f) | 63,530,000 | 63,132,491 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Paper — continued | ||
4.71%, 4/19/2023 (f) | 134,422,000 | 133,563,193 |
Raytheon Technologies Corp. | ||
4.45%, 5/8/2023 (f) | 12,000,000 | 11,882,838 |
Royal Bank of Canada (Canada) | ||
5.61%, 11/22/2023 (f) | 103,570,000 | 99,657,842 |
5.48%, 12/8/2023 (f) | 37,000,000 | 35,497,121 |
5.39%, 12/15/2023 (f) | 136,186,000 | 129,783,678 |
Skandinaviska Enskilda Banken AB (Sweden) | ||
5.35%, 10/2/2023 (f) | 110,210,000 | 106,844,187 |
Societe Generale SA (France) | ||
5.44%, 12/15/2023 (f) | 205,985,000 | 197,298,442 |
Standard Chartered Bank (United Kingdom) | ||
3.00%, 6/6/2023 (f) | 38,300,000 | 37,811,224 |
5.58%, 2/21/2024 (f) | 24,395,000 | 23,110,218 |
Sumitomo Mitsui Banking Corp. (Japan) | ||
5.52%, 1/5/2024 (f) | 36,002,000 | 34,403,371 |
Svenska Handelsbanken AB (Sweden) | ||
5.33%, 1/9/2024 (f) | 143,099,000 | 136,507,860 |
TELUS Corp. (Canada) | ||
5.10%, 5/25/2023 (f) | 65,950,000 | 65,156,120 |
United Overseas Bank Ltd. (Singapore) | ||
4.84%, 3/31/2023 (f) | 26,900,000 | 26,793,608 |
Walgreens Boots Alliance, Inc. | ||
5.15%, 3/9/2023 (f) | 50,000,000 | 49,939,613 |
Westpac Banking Corp. (Australia) | ||
4.90%, 7/10/2023 (f) | 155,918,000 | 153,235,587 |
5.52%, 8/23/2023 (f) | 80,993,000 | 79,054,352 |
Westpac Securities NZ Ltd. (New Zealand) | ||
4.21%, 8/25/2023 (f) | 49,700,000 | 48,495,634 |
Total Commercial Paper (Cost $5,465,868,639) | 5,461,449,254 | |
SHARES | ||
Investment Companies — 10.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h) (Cost $2,751,326,315) | 2,751,326,315 | 2,751,326,315 |
Investment of Cash Collateral from Securities Loaned — 0.1% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (g) (h) | 14,708,069 | 14,713,952 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 151 |
AS OF February 28, 2023 (continued)
INVESTMENTS | SHARES | VALUE($) |
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h) | 1,401,082 | 1,401,082 |
Total Investment of Cash Collateral from Securities Loaned (Cost $16,116,034) | 16,115,034 | |
PRINCIPAL AMOUNT($) | ||
Repurchase Agreements — 0.8% | ||
Wells Fargo Securities LLC, 5.00%, dated 2/28/2023, due 3/23/2023, repurchase price $200,638,889, collateralized by Asset-Backed Securities, 0.00% - 12.32%, due 6/17/2024 - 11/25/2059, with the value of $222,994,445. (Cost $200,000,000) | 200,000,000 | 200,000,000 |
Total Short-Term Investments (Cost $12,757,399,561) | 12,743,983,264 | |
Total Investments — 99.3% (Cost $25,113,872,516) | 24,972,279,845 | |
Other Assets Less Liabilities — 0.7% | 172,220,922 | |
NET ASSETS — 100.0% | 25,144,500,767 |
Percentages indicated are based on net assets. |
Abbreviations | |
CIFC | Commercial Industrial Finance Corp. |
CLO | Collateralized Loan Obligations |
FFCB | Federal Farm Credit Bank |
FHLB | Federal Home Loan Bank |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(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 28, 2023. | |
(c) | The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $15,697,856. | |
(d) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(e) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(f) | The rate shown is the effective yield as of February 28, 2023. | |
(g) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(h) | The rate shown is the current yield as of February 28, 2023. |
152 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — 94.2% (a) | ||
Alabama — 4.0% | ||
Alabama Drinking Water Finance Authority, Revolving Fund Loan Series 2013-A, Rev., 3.00%, 8/15/2023 | 50,000 | 49,936 |
Alabama Federal Aid Highway Finance Authority | ||
Series A, Rev., 5.00%, 9/1/2023 (b) | 90,000 | 90,835 |
Series B, Rev., 5.00%, 9/1/2023 (b) | 25,000 | 25,232 |
Alabama Public School and College Authority, Capital Improvement | ||
Series 2012B, Rev., 3.00%, 3/1/2023 | 40,000 | 40,000 |
Series 2013-C, Rev., 5.00%, 9/1/2023 | 125,000 | 126,129 |
Series 2013A, Rev., 3.25%, 6/1/2024 | 40,000 | 40,009 |
Series 2014-B, Rev., 5.00%, 1/1/2025 | 75,000 | 76,862 |
Alabama Special Care Facilities Financing Authority-Birmingham, Children's Hospital Health Care Facility Rev., 5.00%, 6/1/2023 | 945,000 | 948,768 |
Auburn University, General Fee Series 2020A, Rev., 5.00%, 6/1/2023 | 10,000 | 10,042 |
Autauga County Board of Education Rev., 5.00%, 4/1/2024 | 30,000 | 30,551 |
Black Belt Energy Gas District, Gas Prepay Project No. 4 Series 2019A-1, Rev., 4.00%, 12/1/2025 (c) | 40,000,000 | 40,027,320 |
Black Belt Energy Gas District, Gas Project Series E, Rev., 5.00%, 6/1/2028 (c) | 27,795,000 | 29,165,858 |
Black Belt Energy Gas District, Gas Project No. 6 Series 2021B, Rev., 4.00%, 12/1/2026 (c) | 60,000 | 59,679 |
Black Belt Energy Gas District, Gas Supply Subseries 2022D-2, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.40%), 4.45%, 3/4/2023 (d) | 25,575,000 | 25,444,488 |
City of Birmingham Series 2013A, GO, 5.00%, 3/1/2023 (b) | 200,000 | 200,000 |
City of Graysville Rev., AGM, 5.38%, 6/1/2023 (b) | 25,000 | 25,128 |
City of Hoover, Warrants GO, 2.00%, 3/1/2025 | 30,000 | 28,966 |
City of Huntsville, Warrants | ||
Series 2020B, GO, 5.00%, 9/1/2023 | 30,000 | 30,286 |
Series 2013-C, GO, 5.00%, 11/1/2023 (b) | 25,000 | 25,308 |
City of Madison, Warrants GO, 4.00%, 4/1/2023 (b) | 20,000 | 20,014 |
City of Oxford Series 2012B, GO, 5.00%, 5/1/2023 | 105,000 | 105,146 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Alabama — continued | ||
City of Trussville, Warrants Series 2014A, GO, 5.00%, 10/1/2023 (b) | 25,000 | 25,270 |
County of Mobile, Warrants | ||
Series 2020B, GO, 4.00%, 8/1/2023 | 25,000 | 25,084 |
GO, 5.00%, 8/1/2025 (b) | 25,000 | 26,157 |
County of Montgomery, Warrants GO, 5.00%, 3/1/2023 | 45,000 | 45,000 |
Industrial Development Board of The City of Mobile, Alabama Power Control, Barry Plant Project Series 2007A, Rev., 1.00%, 6/26/2025 (c) | 100,000 | 94,351 |
Leeds Public Educational Building Authority Rev., 5.00%, 4/1/2023 | 120,000 | 120,167 |
Limestone County Water and Sewer Authority Series 2014B, Rev., 4.00%, 12/1/2023 (b) | 30,000 | 30,195 |
Madison County Board of Education, Tax Anticipation Warrants Rev., 5.00%, 9/1/2023 | 20,000 | 20,168 |
Mobile County Board of School Commissioners Series 2016A, 5.00%, 3/1/2023 | 315,000 | 315,000 |
Montgomery County Public Education Cooperative District, Public Schools Project Rev., 5.00%, 4/1/2023 | 200,000 | 200,255 |
Southeast Energy Authority A Cooperative District, Project No. 4 | ||
Series B-1, Rev., 5.00%, 8/1/2023 | 500,000 | 501,481 |
Series B-1, Rev., 5.00%, 8/1/2024 | 1,160,000 | 1,168,289 |
University of Alabama | ||
Rev., 5.00%, 6/1/2023 | 110,000 | 110,474 |
Series 2019A, Rev., 5.00%, 7/1/2023 | 150,000 | 150,869 |
University of Alabama (The) | ||
Series 2019B, Rev., 4.00%, 7/1/2023 | 35,000 | 35,089 |
Series 2012-A, Rev., 5.00%, 7/1/2023 | 150,000 | 150,209 |
Series 2014B, Rev., 5.00%, 7/1/2023 | 25,000 | 25,145 |
Series 2012-A, Rev., 5.00%, 7/1/2024 | 310,000 | 310,437 |
Series 2014B, Rev., 5.00%, 7/1/2024 (b) | 50,000 | 51,175 |
Series 2017A, Rev., 5.00%, 7/1/2024 | 20,000 | 20,470 |
Total Alabama | 99,995,842 | |
Alaska — 0.1% | ||
Alaska Housing Finance Corp., General Mortgage Series 2019A, Rev., 1.50%, 6/1/2024 | 305,000 | 296,757 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 153 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Alaska — continued | ||
Alaska Housing Finance Corp., State Capital Project Series 2014A, Rev., 5.00%, 6/1/2023 | 650,000 | 652,397 |
Alaska Municipal Bond Bank Authority Series 2012-2, Rev., 5.00%, 9/1/2024 | 60,000 | 60,079 |
Borough of Matanuska-Susitna Series C, GO, 5.00%, 3/1/2023 | 40,000 | 40,000 |
Borough of Matanuska-Susitna, Goose Creek Correctional Center Project | ||
Rev., 5.00%, 9/1/2025 | 40,000 | 41,584 |
Rev., 5.25%, 9/1/2026 | 95,000 | 99,233 |
Borough of North Slope | ||
Series 2021B, GO, 5.00%, 6/30/2023 | 115,000 | 115,653 |
Series B, GO, 5.00%, 10/30/2023 | 20,000 | 20,229 |
Series 2020A, GO, 5.00%, 6/30/2025 | 35,000 | 36,473 |
Borough of North Slope, General Purpose Series 2019A, GO, 5.00%, 6/30/2023 | 40,000 | 40,227 |
Municipality of Anchorage | ||
Series 2018D, GO, 4.00%, 9/1/2023 | 85,000 | 85,348 |
Series D, GO, 5.00%, 9/1/2023 | 25,000 | 25,225 |
State of Alaska, Native Tribal Health Consortium Housing Facility Project Series 2014, COP, 5.00%, 6/1/2023 | 25,000 | 25,108 |
University of Alaska Series 2015T, Rev., 5.00%, 10/1/2023 | 50,000 | 50,439 |
Total Alaska | 1,588,752 | |
Arizona — 1.3% | ||
Arizona Health Facilities Authority, Banner Health Series 2015B, Rev., (SIFMA Municipal Swap Index Yield + 0.25%), 3.05%, 3/9/2023 (d) | 9,400,000 | 9,181,460 |
Arizona Health Facilities Authority, Phoenix children's Hospitals Series 2013-B, Rev., 5.00%, 2/1/2026 | 1,065,000 | 1,065,705 |
Arizona Industrial Development Authority, Equitable School Revolving Fund LLC Series 2019A, Rev., 5.00%, 11/1/2024 | 95,000 | 96,747 |
Arizona School Facilities Board Series 2015A, COP, 5.00%, 9/1/2023 (b) | 20,000 | 20,186 |
Arizona State University Series 2016A, Rev., 5.00%, 7/1/2023 | 25,000 | 25,145 |
Arizona Transportation Board, Excise Tax, Maricopa County Regional Area Road Fund | ||
Rev., 5.00%, 7/1/2023 | 175,000 | 176,019 |
Rev., 5.00%, 7/1/2025 | 40,000 | 41,777 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Arizona — continued | ||
City of Buckeye, Excise Tax Rev., 5.00%, 7/1/2023 | 25,000 | 25,145 |
City of Casa Grande Series 2016B, GO, 4.00%, 8/1/2023 (b) | 20,000 | 20,072 |
City of Flagstaff, Road Repair, Street Improvement Project Rev., 4.00%, 7/1/2023 | 20,000 | 20,054 |
City of Goodyear GO, 5.00%, 7/1/2023 | 35,000 | 35,203 |
City of Mesa, Utility System Rev., 3.00%, 7/1/2023 | 20,000 | 19,979 |
City of Phoenix | ||
GO, 4.00%, 7/1/2023 (b) | 5,000 | 5,011 |
GO, 4.00%, 7/1/2023 | 5,000 | 5,014 |
City of Phoenix Civic Improvement Corp., Junior Lien | ||
Rev., 5.00%, 7/1/2023 | 85,000 | 85,125 |
Rev., 5.00%, 7/1/2024 | 230,000 | 230,343 |
City of Phoenix Civic Improvement Corp., Junior Lien, Airport System | ||
Series 2017D, Rev., 5.00%, 7/1/2023 | 50,000 | 50,281 |
Series 2017D, Rev., 5.00%, 7/1/2024 | 515,000 | 526,768 |
City of Scottsdale, Preserve Acquisition GO, 3.00%, 7/1/2023 | 35,000 | 34,983 |
County of Maricopa Series 2018A, COP, 5.00%, 7/1/2024 | 25,000 | 25,568 |
County of Navajo Rev., 4.00%, 7/1/2025 | 20,000 | 20,343 |
County of Pima, Sewer System Series 2020A, Rev., 5.00%, 7/1/2023 | 30,000 | 30,182 |
County of Pinal Rev., 5.00%, 8/1/2023 | 35,000 | 35,262 |
Florence Town, Inc., Industrial Development Authority (Legacy Traditional School Project) | ||
Rev., 5.75%, 7/1/2023 (b) (e) | 3,000,000 | 3,024,198 |
Rev., 6.00%, 7/1/2023 (b) (e) | 3,625,000 | 3,656,945 |
Gila County Unified School District No. 10-Payson GO, 5.00%, 7/1/2023 | 20,000 | 20,109 |
Glendale Industrial Development Authority, Midwestern University Rev., 5.00%, 5/15/2023 | 65,000 | 65,227 |
Glendale Union High School District No. 205, Project of 2020 Series 2021A, GO, AGM, 5.00%, 7/1/2023 | 25,000 | 25,146 |
Kyrene Elementary School District No. 28 GO, 4.00%, 7/1/2023 | 20,000 | 20,054 |
Madison Elementary School District No. 38, School Improvement, Project of 2014 Series 2019C, GO, 5.00%, 7/1/2023 | 25,000 | 25,152 |
154 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Arizona — continued | ||
Maricopa County Elementary School District No. 79, Litchfield Elementary, School Improvement GO, 3.00%, 7/1/2023 | 25,000 | 24,967 |
Maricopa County Industrial Development Authority, Banner Health Series C, Rev., 5.00%, 10/18/2024 (c) | 150,000 | 153,719 |
Maricopa County School District No. 3, Tempe Elementary, School Improvement GO, 4.00%, 7/1/2023 | 70,000 | 70,180 |
Maricopa County Special Health Care District, Integrated Health Services Series 2018C, GO, 5.00%, 7/1/2023 | 345,000 | 346,930 |
Maricopa County Unified School District No. 69 Paradise Valley, School Improvement, Project of 2015 Series 2018-C, GO, 5.00%, 7/1/2023 | 20,000 | 20,116 |
Maricopa County Unified School District No. 97-Deer Valley, School Improvement Series C, GO, 3.00%, 7/1/2023 | 75,000 | 74,966 |
Maricopa County Union High School District No. 210 Phoenix, School Improvement, Project of 2011 and 2017 GO, 5.00%, 7/1/2023 | 30,000 | 30,185 |
Maricopa County Union High School District No. 216 Agua Fria, School Improvement Series 2014B, GO, 3.00%, 7/1/2023 | 30,000 | 29,975 |
McAllister Academic Village LLC, Arizona State University Rev., 5.00%, 7/1/2023 | 20,000 | 20,113 |
Pima County Regional Transportation Authority, Excise Tax | ||
Rev., 5.00%, 6/1/2024 | 60,000 | 61,399 |
Series 2014, Rev., 5.00%, 6/1/2025 | 30,000 | 30,128 |
Pima County Unified School District No. 20 Vail, School Improvement GO, AGM, 3.00%, 7/1/2023 | 20,000 | 19,974 |
Pinal County Community College District GO, 5.00%, 7/1/2023 | 30,000 | 30,171 |
Pinal County School District No. 1 Florence GO, 5.00%, 7/1/2023 | 20,000 | 20,109 |
RBC Municipal Products, Inc. Trust, Floater Certificates Series E-147, Rev., VRDO, LOC : Royal Bank of Canada, 3.45%, 3/7/2023 (c) (e) | 11,000,000 | 11,000,000 |
Tempe Industrial Development Authority, Friendship Village of Tempe Project Series 2021C-2, Rev., 1.13%, 12/1/2026 | 1,880,000 | 1,625,059 |
Town of Marana, Excise Tax Series 2017B, Rev., 5.00%, 7/1/2023 | 35,000 | 35,197 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Arizona — continued | ||
Town of Queen Creek, Excise Tax Series 2018A, Rev., 5.00%, 8/1/2023 | 40,000 | 40,306 |
University Medical Center Corp., Hospital Rev., 5.63%, 7/1/2023 (b) | 30,000 | 30,240 |
Total Arizona | 32,276,937 | |
Arkansas — 0.0% ^ | ||
Arkansas Development Finance Authority, Cancer Research Project Rev., AMBAC, Zero Coupon, 7/1/2023 | 75,000 | 74,105 |
City of Little Rock Rev., 4.00%, 11/1/2023 | 250,000 | 250,157 |
State of Arkansas GO, 4.25%, 6/1/2023 | 200,000 | 200,507 |
State of Arkansas, Federal Highway | ||
GO, 5.00%, 4/1/2023 | 20,000 | 20,028 |
GO, 5.00%, 10/1/2023 | 45,000 | 45,465 |
State of Arkansas, Waste Disposal and Pollution Abatement Facilities Series 2016A, GO, 5.00%, 7/1/2023 | 30,000 | 30,176 |
University of Arkansas, Various Facility Fayetteville Campus Series 2019A, Rev., 5.00%, 9/15/2023 | 35,000 | 35,348 |
Total Arkansas | 655,786 | |
California — 2.8% | ||
Alameda County Joint Powers Authority, Multiple Capital Projects Series 2013A, Rev., 5.00%, 12/1/2023 | 50,000 | 50,688 |
Anaheim Public Financing Authority, Public Improvement Project Series 1997C-13, Rev., Zero Coupon, 9/1/2023 | 1,350,000 | 1,326,907 |
Antelope Valley Community College District GO, 5.00%, 2/15/2025 (b) | 70,000 | 72,635 |
Antelope Valley-East Kern Water Agency Rev., 5.00%, 6/1/2023 | 30,000 | 30,133 |
Bay Area Toll Authority, Toll Bridge | ||
Series 2017S-7, Rev., 5.00%, 4/1/2023 | 140,000 | 140,202 |
Series 2013S-4, Rev., 5.13%, 4/1/2023 (b) | 25,000 | 25,041 |
Bay Area Water Supply and Conservation Agency | ||
Series 2013A, Rev., 3.00%, 4/1/2023 | 100,000 | 99,988 |
Series 2013A, Rev., 4.00%, 4/1/2023 | 100,000 | 100,070 |
Series 2013A, Rev., 5.00%, 4/1/2023 | 50,000 | 50,074 |
Brentwood Infrastructure Financing Authority Series 2012A, AGM, 3.50%, 9/2/2023 | 50,000 | 50,007 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 155 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Brentwood Infrastructure Financing Authority, Civic Center Project Rev., 5.00%, 10/1/2024 | 40,000 | 41,036 |
Burlingame School District, Election of 2012 Series 2013A, GO, 4.00%, 8/1/2023 (b) | 20,000 | 20,078 |
California Communities Local Measure R Sales Tax, Total Road Improvement Program Series 2013A, COP, AGM, 5.13%, 6/1/2023 (b) | 20,000 | 20,098 |
California County Tobacco Securitization Agency, Gold Country Settlement Funding Corp. Series 2020A, Rev., 5.00%, 6/1/2026 | 1,090,000 | 1,134,615 |
California Educational Facilities Authority, University of Southern California Series 2012A, Rev., 5.00%, 10/1/2023 (b) | 35,000 | 35,382 |
California Health Facilities Financing Authority, Adventist Health System | ||
Series 2011A, Rev., 3.00%, 3/1/2024 (c) | 495,000 | 492,731 |
Series 2013A, Rev., 5.00%, 3/1/2024 | 110,000 | 110,076 |
California Health Facilities Financing Authority, Cedars-Sinai Medical Center Rev., 5.00%, 11/15/2024 | 375,000 | 386,959 |
California Health Facilities Financing Authority, Providence St. Joseph Health Series 2016B-2, Rev., 4.00%, 10/1/2024 (c) | 245,000 | 247,263 |
California Health Facilities Financing Authority, St. Joseph Health System | ||
Series 2013A, Rev., 5.00%, 7/1/2023 (b) | 25,000 | 25,146 |
Rev., 5.00%, 10/1/2025 (c) | 420,000 | 436,441 |
Series 2013A, Rev., 5.00%, 7/1/2026 | 80,000 | 80,238 |
California Infrastructure and Economic Development Bank, Colburn School (The) Rev., (SIFMA Municipal Swap Index Yield + 0.90%), 3.70%, 3/9/2023 (d) | 28,500,000 | 27,419,434 |
California Infrastructure and Economic Development Bank, Infrastructure State Revolving Fund Series 2014A, Rev., 5.00%, 10/1/2023 (b) | 25,000 | 25,280 |
California Infrastructure and Economic Development Bank, The Broad Sustainability Bonds Series 2018C, Rev., (SIFMA Municipal Swap Index Yield + 0.35%), 3.15%, 3/9/2023 (d) | 5,250,000 | 5,185,856 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
California Pollution Control Financing Authority, American Water Capital Corp. Project Rev., 0.60%, 9/1/2023 (c) | 145,000 | 142,670 |
California State Public Works Board | ||
Series 2019B, Rev., 5.00%, 5/1/2023 | 60,000 | 60,193 |
Series B, Rev., 5.00%, 10/1/2023 | 45,000 | 45,507 |
California State Public Works Board, Judicial Council of California | ||
Series A, Rev., 5.00%, 3/1/2025 | 50,000 | 50,079 |
Series A, Rev., 5.00%, 3/1/2026 | 30,000 | 30,050 |
California State Public Works Board, Judicial Council Project Series A, Rev., 5.00%, 3/1/2024 | 275,000 | 275,421 |
California State Public Works Board, Various Capital Project Series 2021B, Rev., 5.00%, 5/1/2023 | 250,000 | 250,803 |
California State Public Works Board, Various Capital Projects Series 2013-I, Rev., 5.00%, 11/1/2026 | 40,000 | 40,553 |
California State University, Systemwide Series 2016A, Rev., 5.00%, 11/1/2023 | 20,000 | 20,262 |
California Statewide Communities Development Authority, Southern California Edison Co. Series D, Rev., 2.63%, 12/1/2023 (c) | 290,000 | 285,836 |
Camarillo Community Development Commission Successor Agency, Camarillo Corridor Project Rev., AGM, 5.00%, 9/1/2023 | 25,000 | 25,210 |
Campbell Union High School District GO, 5.00%, 8/1/2023 (b) | 25,000 | 25,194 |
Castaic Lake Water Agency, Capital Appreciation, Water System Improvement Project Series 1999A, COP, AMBAC, Zero Coupon, 8/1/2023 | 45,000 | 44,368 |
Chabot-Las Positas Community College District GO, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Chaffey Joint Union High School District, Election of 2008 Series A, GO, 5.00%, 8/1/2023 (b) | 30,000 | 30,240 |
Chula Vista Elementary School District | ||
Rev., BAN, Zero Coupon, 8/1/2023 | 20,000 | 19,721 |
COP, AGM, 5.00%, 9/1/2023 | 30,000 | 30,258 |
Chula Vista Municipal Financing Authority | ||
Series 2015B, 5.00%, 9/1/2023 | 45,000 | 45,340 |
Rev., 5.00%, 5/1/2024 | 10,000 | 10,210 |
City and County of San Francisco Series 2015A-1, COP, 5.00%, 4/1/2023 | 30,000 | 30,045 |
156 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
City of Livermore Series 2020B, COP, 4.00%, 10/1/2023 | 40,000 | 40,192 |
City of Long Beach Harbor Series 2014B, Rev., 5.00%, 5/15/2023 | 70,000 | 70,276 |
City of Long Beach Harbor, Private Activity Series 2020A, Rev., 4.00%, 5/15/2024 | 20,000 | 20,236 |
City of Los Angeles Series 2013A, Rev., 5.00%, 6/1/2027 | 75,000 | 75,307 |
City of Los Angeles Department of Airports, International Airport Subordinate Series 2018E, Rev., 5.00%, 5/15/2024 | 15,000 | 15,335 |
City of Los Angeles, Wastewater System | ||
Series 2013-A, Rev., 5.00%, 6/1/2025 | 75,000 | 75,353 |
Series 2013A, Rev., 5.00%, 6/1/2026 | 50,000 | 50,231 |
City of Newark COP, 5.00%, 6/1/2023 | 45,000 | 45,181 |
City of Oakland, Sewer Series 2014A, Rev., 5.00%, 6/15/2023 | 35,000 | 35,185 |
City of Pico Rivera, Sales Tax Series 2018A, COP, AGM, 5.00%, 6/1/2023 | 35,000 | 35,160 |
City of Richmond, Wastewater, Capital Appreciation Rev., FGIC, Zero Coupon, 8/1/2023 (b) | 200,000 | 197,311 |
City of San Francisco, Public Utilities Commission Series 2017A, Rev., 5.00%, 11/1/2024 (b) | 30,000 | 30,978 |
City of Santa Cruz Rev., 5.00%, 3/1/2023 | 45,000 | 45,000 |
City of Sausalito, 2016 Financing Project COP, 4.00%, 5/1/2023 | 50,000 | 50,068 |
Clovis Unified School District, Election of 2012 Series B, GO, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Coast Community College District, Election of 2012 Series 2013A, GO, 4.00%, 8/1/2023 (b) | 20,000 | 20,081 |
Colton Joint Unified School District, Election of 2008 Series 2010B, GO, AGM, 5.80%, 8/21/2026 (b) | 25,000 | 27,422 |
Contra Costa Community College District, Election of 2006 GO, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Contra Costa Community College District, Election of 2014 Series C, GO, 4.00%, 8/1/2023 | 25,000 | 25,085 |
Contra Costa Transportation Authority Series 2012B, Rev., 5.00%, 3/1/2023 (b) | 105,000 | 105,000 |
Corona-Norco Unified School District Public Financing Authority, Senior Lien Series A, Rev., 5.00%, 9/1/2023 (b) | 20,000 | 20,193 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
County of Los Angeles Rev., TRAN, 4.00%, 6/30/2023 | 115,000 | 115,402 |
Cupertino Union School District, 2013 Crossover Series 2013A, GO, 5.00%, 8/1/2023 (b) | 25,000 | 25,200 |
Desert Sands Unified School District GO, 5.00%, 8/1/2023 | 10,000 | 10,079 |
El Dorado Irrigation District Series 2016B, COP, 5.00%, 3/1/2023 | 55,000 | 55,000 |
El Monte City School District, Election of 2004 Series 2008C, GO, AGC, Zero Coupon, 8/1/2023 | 600,000 | 591,384 |
Folsom Cordova Unified School District School Facilities Improvement Dist No. 4, Election of 2012 Series A, GO, 5.00%, 10/1/2023 (b) | 20,000 | 20,224 |
Fontana Redevelopment Agency, Successor Agency, Tax Allocation Series 2017A, Rev., 5.00%, 10/1/2023 | 30,000 | 30,315 |
Fremont Public Financing Authority Series 2017B, Rev., 5.00%, 10/1/2023 | 25,000 | 25,263 |
Fresno County Financing Authority Rev., 5.00%, 4/1/2023 | 550,000 | 550,810 |
Garden Grove Agency Community Development Successor Agency, Tax Allocation Rev., 5.00%, 10/1/2023 | 20,000 | 20,195 |
Garden Grove Unified School District, Election of 2010 Series C, GO, 5.00%, 8/1/2023 | 10,000 | 10,079 |
Gateway Unified School District, Election of 2008 GO, AGM, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Grossmont Healthcare District Series C, GO, 5.00%, 7/15/2024 | 25,000 | 25,471 |
Grossmont Union High School District, Election of 2008 Series E, GO, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Grossmont-Cuyamaca Community College District GO, 5.00%, 8/1/2023 | 30,000 | 30,238 |
Hermosa Beach Public Financing Authority Rev., 4.00%, 11/1/2024 | 25,000 | 25,343 |
Huntington Beach Union High School District GO, 5.00%, 8/1/2023 (b) | 50,000 | 50,400 |
Inglewood Unified School District, Election of 2012 Series 2013A, GO, AGM, 5.13%, 8/1/2023 (b) | 20,000 | 20,166 |
Kern Community College District GO, BAN, Zero Coupon, 8/1/2023 | 120,000 | 118,335 |
La Mirada Public Financing Authority Rev., 5.00%, 5/1/2023 | 25,000 | 25,074 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 157 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Lancaster School District, Election of 2012 Series A, GO, AGM, 4.00%, 8/1/2023 (b) | 20,000 | 20,074 |
Lodi Unified School District, Election of 2006 GO, 3.00%, 8/1/2023 | 40,000 | 39,986 |
Long Beach Community College District Series 2017G, GO, 5.00%, 8/1/2023 | 35,000 | 35,277 |
Los Angeles Community College District | ||
Series 2015A, GO, 5.00%, 8/1/2023 | 25,000 | 25,206 |
Series 2015C, GO, 5.00%, 8/1/2023 | 20,000 | 20,165 |
Los Angeles County Metropolitan Transportation Authority, Measure J Junior Subordinate Sales Tax Series 2020A, Rev., 5.00%, 6/1/2023 | 30,000 | 30,143 |
Los Angeles County Metropolitan Transportation Authority, Measure R Senior Sales Tax Series 2016A, Rev., 5.00%, 6/1/2023 | 25,000 | 25,120 |
Los Angeles County Public Works Financing Authority Series 2019E1, Rev., 4.00%, 12/1/2023 | 85,000 | 85,604 |
Los Angeles Department of Water and Power System Revenue | ||
Series 2013B, Rev., 5.00%, 7/1/2024 | 180,000 | 181,176 |
Series 2013B, Rev., 5.00%, 7/1/2025 | 40,000 | 40,233 |
Series 2013B, Rev., 5.00%, 7/1/2026 | 35,000 | 35,206 |
Los Angeles Unified School District | ||
Series 2015A, GO, 5.00%, 7/1/2023 | 70,000 | 70,464 |
Series D, GO, 5.00%, 7/1/2023 | 20,000 | 20,132 |
Madera County Board of Education COP, 4.00%, 10/1/2023 | 20,000 | 20,073 |
Manteca Unified School District Series 2020A, GO, 4.00%, 8/1/2023 | 320,000 | 321,106 |
Merced Union High School District GO, AGM, Zero Coupon, 2/18/2025 (b) | 350,000 | 105,360 |
Metropolitan Water District of Southern California, Waterworks Series 2017B, Rev., 5.00%, 8/1/2023 | 70,000 | 70,435 |
Middletown Unified School District, Election of 2018 Series 2019A, GO, 4.00%, 8/1/2023 | 25,000 | 25,083 |
Mount San Antonio Community College District, Election of 2008 Series A, GO, Zero Coupon, 8/1/2023 | 35,000 | 20,123 |
Municipal Improvement Corp. of Los Angeles, Real Property Series 2016B, Rev., 5.00%, 11/1/2023 | 25,000 | 25,321 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
Norco Community Redevelopment Agency Successor Agency, Redevelopment Project Area #1 Series 2017A, Rev., 4.00%, 3/1/2023 | 20,000 | 20,000 |
Orange County Water District | ||
Series 2019A, COP, 2.00%, 8/15/2023 | 30,000 | 29,791 |
Series 2003B, COP, NATL - RE, 4.75%, 8/15/2023 (b) | 25,000 | 25,191 |
Series 2013A, Rev., 5.00%, 8/15/2023 (b) | 25,000 | 25,223 |
Series 2021A, COP, 4.00%, 2/15/2025 | 175,000 | 177,977 |
Orchard School District GO, 5.00%, 8/1/2023 | 45,000 | 45,346 |
Otay Water District Financing Authority Series 2018A, Rev., 5.00%, 9/1/2023 | 30,000 | 30,278 |
Oxnard Financing Authority Rev., 5.00%, 6/1/2023 | 250,000 | 251,078 |
Padre Dam Municipal Water District Series 2017A, COP, 5.00%, 10/1/2024 | 50,000 | 51,411 |
Palmdale Community Redevelopment Agency Successor Agency Series 2016A, Rev., 5.00%, 9/1/2023 | 45,000 | 45,378 |
Palomar Community College District GO, 5.00%, 5/1/2024 | 50,000 | 51,050 |
Paramount Unified School District, Election of 2006 | ||
GO, Zero Coupon, 8/1/2023 (b) | 355,000 | 48,068 |
GO, 4.50%, 8/1/2023 (b) | 40,000 | 40,238 |
Perris Union High School District GO, 5.00%, 9/1/2023 | 10,000 | 10,091 |
Pismo Beach Public Financing Agency, Beach Municipal Pier Project Rev., 5.00%, 12/1/2023 | 30,000 | 30,415 |
Plumas Unified School District, Election of 2016 Series B, GO, 5.00%, 8/1/2023 | 30,000 | 30,237 |
Poway Unified School District Public Financing Authority, Special Tax Community Facilities District No. 2 Series 2015C, Rev., AGM, 5.00%, 9/1/2023 | 40,000 | 40,357 |
Puente Basin Water Agency, Walnut Valley Water District Project Series 2013A, Rev., 5.00%, 6/1/2023 (b) | 25,000 | 25,115 |
Regents of the University of California Medical Center Pooled | ||
Series 2013J, Rev., 5.00%, 5/15/2023 (b) | 1,505,000 | 1,510,526 |
Series 2013J, Rev., 5.25%, 5/15/2023 (b) | 200,000 | 200,855 |
158 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Regents of the University of California Medical Center Pooled, Tax-Exempt Series 2016L, Rev., 5.00%, 5/15/2023 | 25,000 | 25,093 |
Riverside County Transportation Commission, Sales Tax Series 2017A, Rev., 5.00%, 6/1/2023 | 25,000 | 25,122 |
Riverside County Transportation Commission, Sales Tax, Limited Tax Series 2013A, Rev., 5.25%, 6/1/2023 (b) | 25,000 | 25,134 |
Sacramento County Sanitation Districts Financing Authority Series 2014A, Rev., 5.00%, 12/1/2023 | 35,000 | 35,510 |
Sacramento Municipal Utility District, Electric | ||
Series 2019A, Rev., 5.00%, 10/17/2023 (c) | 1,305,000 | 1,307,237 |
Series 2019B, Rev., 5.00%, 10/15/2025 (c) | 285,000 | 294,802 |
San Bernardino City Unified School District | ||
GO, AGM, 5.00%, 8/1/2023 | 10,000 | 10,070 |
Series 2013A, GO, AGM, 5.00%, 8/1/2023 (b) | 25,000 | 25,200 |
San Bernardino City Unified School District, Election of 2012 Series A, GO, AGM, 4.00%, 8/1/2023 (b) | 20,000 | 20,074 |
San Bernardino County Transportation Authority, Sales Tax Series 2014A, Rev., 5.00%, 3/1/2023 | 20,000 | 20,000 |
San Diego Community College District, Election of 2002 GO, 5.00%, 8/1/2023 (b) | 40,000 | 40,320 |
San Diego Community College District, Election of 2006 GO, Zero Coupon, 8/1/2023 | 90,000 | 55,973 |
San Diego County Water Authority Series 2013A, Rev., 5.00%, 5/1/2023 | 20,000 | 20,021 |
San Diego Public Facilities Financing Authority | ||
Rev., 5.00%, 5/15/2023 | 45,000 | 45,180 |
Series 2016B, Rev., 5.00%, 8/1/2023 | 20,000 | 20,161 |
San Diego Redevelopment Agency Successor Agency Series 2017A, Rev., 5.00%, 9/1/2023 | 10,000 | 10,089 |
San Diego Unified School District, Election of 1998 Series D-1, GO, NATL - RE, 5.50%, 7/1/2023 | 25,000 | 25,210 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
San Francisco Bay Area Rapid Transit District, Election of 2004 Series 2013C, GO, 5.00%, 8/1/2023 | 10,000 | 10,080 |
San Francisco Bay Area Rapid Transit District, Sales Tax Series 2016A, Rev., 5.00%, 7/1/2023 | 55,000 | 55,348 |
San Francisco City and County Airport Commission, San Francisco International Airport | ||
Series 2019D, Rev., 5.00%, 5/1/2024 | 45,000 | 45,960 |
Series 2016A, Rev., 4.00%, 5/1/2025 | 25,000 | 25,469 |
San Francisco City and County Public Utilities Commission Wastewater Series 2016B, Rev., 5.00%, 10/1/2023 | 35,000 | 35,402 |
San Joaquin County Transportation Authority, Measure K Sales Tax | ||
Rev., 3.00%, 3/1/2023 | 20,000 | 20,000 |
Rev., 5.00%, 3/1/2023 | 20,000 | 20,000 |
San Joaquin Delta Community College District Series A, GO, 5.00%, 8/1/2023 | 25,000 | 25,192 |
San Joaquin Hills Transportation Corridor Agency, Toll Road, Senior Lien Rev., Zero Coupon, 1/1/2025 (b) | 120,000 | 113,392 |
San Jose Financing Authority, Civic Center Project Series 2013A, Rev., 5.00%, 6/1/2023 (b) | 325,000 | 326,539 |
San Jose Unified School District Series 2013-GO, GO, 5.00%, 8/1/2023 (b) | 25,000 | 25,200 |
San Juan Unified School District, Election of 2002 | ||
GO, 3.00%, 8/1/2023 | 75,000 | 75,027 |
GO, 5.00%, 8/1/2023 (b) | 40,000 | 40,319 |
San Juan Water District Rev., 5.00%, 2/1/2025 | 45,000 | 46,516 |
San Marcos Unified School, District No. 4, Community Facilities, Special Tax Rev., 4.00%, 9/1/2023 | 25,000 | 25,106 |
San Mateo Foster City Public Financing Authority, Street and Flood Control Project Series 2020A, Rev., 5.00%, 5/1/2023 | 20,000 | 20,064 |
Santa Clara County Financing Authority, Capital Facilities Series 2021A, Rev., 5.00%, 5/1/2023 | 140,000 | 140,424 |
Santa Clara County Financing Authority, Fire District Facilities Series 2020A, Rev., 5.00%, 5/1/2023 | 45,000 | 45,136 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 159 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Santa Clara County Financing Authority, Multiple Facilities Project Series 2016Q, Rev., 5.00%, 5/15/2023 | 40,000 | 40,150 |
Santa Clara Valley Transportation Authority, Measure A Sales Tax Series 2015A, Rev., 5.00%, 4/1/2023 | 15,000 | 15,023 |
Santa Clara Valley Transportation Authority, Sales Tax Series 2017B, Rev., 5.00%, 6/1/2023 | 25,000 | 25,119 |
Santa Monica-Malibu Unified School District, Election of 2006 Series D, GO, 4.00%, 7/1/2023 (b) | 30,000 | 30,093 |
Sequoia Union High School District GO, 5.00%, 7/1/2024 (b) | 40,000 | 41,030 |
Sierra Joint Community College District No. 1, School Facilities Improvement Series A, GO, 5.00%, 8/1/2023 (b) | 45,000 | 45,359 |
Silicon Valley Clean Water, Wastewater Series 2019A, Rev., 3.00%, 3/1/2024 | 625,000 | 624,198 |
Solano County Community College District Series 2014A, GO, 5.00%, 8/1/2023 | 40,000 | 40,308 |
Sonoma County Community Redevelopment Agency Successor Agency Rev., 4.00%, 8/1/2023 | 20,000 | 20,058 |
Sonoma County Junior College District Series 2013A, GO, 5.00%, 8/1/2023 (b) | 65,000 | 65,519 |
South San Francisco Public Facilities Financing Authority, Police Station Project Series 2020A, Rev., 5.00%, 6/1/2023 | 40,000 | 40,182 |
Southern California Public Power Authority, Windy Point/Windy Flats Project Rev., 5.00%, 4/1/2024 | 75,000 | 76,185 |
State of California Department of Water Resources, Central Valley Project, Water System | ||
Series AP, Rev., 4.00%, 6/1/2023 (b) | 30,000 | 30,069 |
Series AQ, Rev., 4.00%, 6/1/2023 (b) | 20,000 | 20,046 |
Series AM, Rev., 5.00%, 6/1/2023 (b) | 25,000 | 25,118 |
Series AW, Rev., 5.00%, 12/1/2023 | 45,000 | 45,666 |
State of California, Various Purpose | ||
GO, 4.00%, 3/1/2023 | 20,000 | 20,000 |
GO, 4.00%, 5/1/2023 | 20,000 | 20,028 |
GO, 5.00%, 8/1/2023 | 65,000 | 65,500 |
GO, 5.00%, 12/1/2023 | 25,000 | 25,346 |
GO, 5.00%, 11/1/2024 | 60,000 | 60,763 |
GO, 5.00%, 9/1/2025 | 135,000 | 136,420 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — continued | ||
GO, 5.00%, 11/1/2025 | 40,000 | 40,564 |
GO, 5.00%, 12/1/2025 | 50,000 | 50,799 |
GO, 5.00%, 10/1/2026 | 100,000 | 100,174 |
Suisun City Redevelopment Agency, Redevelopment Project Series B, Rev., 5.00%, 10/1/2023 | 40,000 | 40,390 |
Sulphur Springs Union School District, Community Facilities District No. 2002-1, Special Tax Series 2014A, Rev., 3.00%, 9/1/2023 (b) | 25,000 | 24,990 |
Tahoe-Truckee Sanitation Agency, Wastewater Rev., 5.00%, 7/1/2024 | 30,000 | 30,764 |
Tahoe-Truckee Unified School District, Election of 2014, School Facilities Improvement District No. 1 Series C, GO, 3.00%, 8/1/2023 | 20,000 | 19,993 |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XX1045, Rev., VRDO, LIQ : Barclays Bank plc, 3.45%, 3/7/2023 (c) (e) | 17,000,000 | 17,000,000 |
Tobacco Securitization Authority of Southern California Series 2019A, Class 1, Rev., 5.00%, 6/1/2025 | 55,000 | 56,892 |
Tobacco Securitization Authority of Southern California, San Diego County Tobacco Asset Securitization Corp. Series 2019A, Class 1, Rev., 5.00%, 6/1/2023 | 100,000 | 100,376 |
Torrance Unified School District, Election of 2008 GO, 5.00%, 8/1/2023 (b) | 25,000 | 25,200 |
Tustin Unified School District, School Facilities Improvement Districts No. 2002-1 and 2008-1 GO, 5.00%, 8/1/2025 | 30,000 | 31,517 |
Twin Rivers Unified School District Series 2014A, GO, Zero Coupon, 2/1/2024 (b) | 350,000 | 166,274 |
University of California | ||
Series 2013AF, Rev., 5.00%, 5/15/2023 (b) | 20,000 | 20,078 |
Series 2013AF, Rev., 5.00%, 5/15/2023 | 135,000 | 135,523 |
Series 2013AI, Rev., 5.00%, 5/15/2023 | 925,000 | 928,396 |
Series 2013AK, Rev., 5.00%, 5/15/2023 (c) | 280,000 | 281,028 |
Series 2015AO, Rev., 5.00%, 5/15/2023 | 20,000 | 20,080 |
Series 2017AV, Rev., 5.00%, 5/15/2023 | 20,000 | 20,080 |
160 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
California — continued | ||
Series 2020BE, Rev., 5.00%, 5/15/2023 | 75,000 | 75,298 |
Ventura County Public Financing Authority | ||
Series 2013B, Rev., 5.00%, 11/1/2023 | 20,000 | 20,246 |
Series 2016A, Rev., 5.00%, 11/1/2024 | 25,000 | 25,766 |
West Hollywood Public Financing Authority, Hollywood Park Phase II Rev., 5.00%, 4/1/2024 | 75,000 | 76,418 |
Westminster School District, Refinancing of 2015 Energy Conservation Projects COP, 4.00%, 5/1/2023 | 35,000 | 35,034 |
William S Hart Union High School District, Election of 2008 | ||
Series 2013C, GO, 4.00%, 8/1/2023 (b) | 75,000 | 75,293 |
Series 2013C, GO, 5.00%, 8/1/2023 (b) | 20,000 | 20,160 |
Total California | 69,840,505 | |
Colorado — 2.3% | ||
Adams 12 Five Star Schools, The City and County of Broomfield | ||
GO, 4.00%, 12/15/2023 | 100,000 | 100,068 |
GO, 5.00%, 12/15/2024 | 30,000 | 30,046 |
Apex Park and Recreation District GO, 3.00%, 12/1/2024 | 50,000 | 49,937 |
Aspen Fire Protection District COP, 4.00%, 12/1/2023 | 125,000 | 125,584 |
Board of Governors of Colorado State University System | ||
Series A, Rev., 3.00%, 3/1/2023 (b) | 105,000 | 105,000 |
Series 2019A, Rev., 4.00%, 3/1/2023 (b) | 20,000 | 20,000 |
Series 2015A, Rev., 5.00%, 3/1/2025 (b) | 45,000 | 46,678 |
Boulder Larimer and Weld Counties St. Vrain Valley School District Re1J Series 2014A, GO, 5.00%, 12/15/2023 | 40,000 | 40,566 |
City and County of Broomfield, Sales and Use Tax Series A, Rev., 5.00%, 12/1/2024 | 180,000 | 180,267 |
City and County of Denver Series 2018A, COP, 5.00%, 6/1/2023 | 20,000 | 20,086 |
City and County of Denver, Airport System | ||
Series B, Rev., 5.00%, 11/15/2024 | 125,000 | 128,650 |
Series B, Rev., 5.25%, 11/15/2026 | 25,000 | 25,346 |
City of Colorado Springs Series B-2, Rev., 5.00%, 11/15/2025 | 25,000 | 25,320 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Colorado — continued | ||
City of Colorado Springs, Utilities System Improvement | ||
Series 2015A, Rev., 5.00%, 11/15/2023 | 40,000 | 40,521 |
Series 2018A-1, Rev., 5.00%, 11/15/2023 | 35,000 | 35,426 |
Series A-1, Rev., 5.00%, 11/15/2023 | 25,000 | 25,305 |
Series A-2, Rev., 5.00%, 11/15/2023 | 25,000 | 25,305 |
City of Longmont, Wastewater Rev., 5.00%, 11/1/2023 | 25,000 | 25,304 |
Colorado Educational and Cultural Facilities Authority, Johnson and Wales University Project Series B, Rev., 5.00%, 4/1/2023 (b) | 35,000 | 35,047 |
Colorado Educational and Cultural Facilities Authority, Stargate Charter School Project Rev., 7.25%, 6/1/2023 (b) | 235,000 | 241,782 |
Colorado Health Facilities Authority | ||
Series 2019A, Rev., 5.00%, 11/1/2023 | 50,000 | 50,566 |
Rev., 5.00%, 11/15/2023 (b) (c) | 130,000 | 131,411 |
Rev., 5.00%, 11/15/2023 (c) | 370,000 | 373,476 |
Series 2019A, Rev., 5.00%, 8/1/2026 | 70,000 | 73,058 |
Series 2019-B, Rev., 5.00%, 11/19/2026 (b) (c) | 130,000 | 138,752 |
Series 2019-B, Rev., 5.00%, 11/19/2026 (c) | 1,280,000 | 1,342,307 |
Colorado Health Facilities Authority, Adventist Health System/Sunbelt Obligated Group Series 2018B, Rev., 5.00%, 11/20/2025 (c) | 120,000 | 124,714 |
Colorado Health Facilities Authority, Children's Hospital Colorado Project Series C, Rev., 5.00%, 12/1/2024 | 20,000 | 20,497 |
Colorado Health Facilities Authority, CommonSpirit Health | ||
Series B-2, Rev., 5.00%, 8/1/2026 (c) | 585,000 | 604,984 |
Series 2019A-2, Rev., 5.00%, 8/1/2027 | 5,000,000 | 5,293,476 |
Colorado Health Facilities Authority, CommonSpirit Health Obligated Group | ||
Series 2022A, Rev., 5.00%, 11/1/2024 | 40,000 | 40,865 |
Series 2022A, Rev., 5.00%, 11/1/2028 | 700,000 | 756,786 |
Colorado Health Facilities Authority, NCMC, Inc., Project Rev., 4.00%, 5/15/2026 (b) | 20,000 | 20,611 |
Colorado Health Facilities Authority, School Health System Series 2019A, Rev., 5.00%, 1/1/2025 | 1,210,000 | 1,246,667 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 161 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Colorado — continued | ||
Colorado Housing and Finance Authority, Multi-Family Project Series 2020A-2, Class I, Rev., 1.55%, 4/1/2023 | 50,000 | 49,899 |
Colorado Mesa University Series 2009A, Rev., 5.00%, 5/15/2023 | 45,000 | 45,151 |
Colorado State Board for Community Colleges and Occupational Educational System Series 2017A, Rev., 3.00%, 11/1/2023 | 20,000 | 19,966 |
Colorado State Education Loan Program, Denver City and County School District No. 1 Series 2022A, Rev., TRAN, 5.00%, 6/29/2023 | 565,000 | 568,280 |
County of Adams COP, 5.00%, 12/1/2023 | 860,000 | 871,256 |
County of Jefferson COP, 5.00%, 12/1/2023 | 20,000 | 20,271 |
Denver Convention Center Hotel Authority Rev., 5.00%, 12/1/2023 | 30,000 | 30,143 |
Eagle County School District No. Re50J GO, 3.00%, 12/1/2023 (b) | 20,000 | 19,979 |
El Paso County School District No. 20 Academy Series 2017, GO, 5.00%, 12/15/2023 | 20,000 | 20,291 |
El Paso County School District No. 49 Falcon Series 2017B, COP, 5.00%, 12/15/2023 | 10,000 | 10,132 |
Jefferson County School District R-1 GO, 5.00%, 12/15/2023 | 20,000 | 20,291 |
Larimer Weld and Boulder County School District, R-2J Thompson GO, 4.00%, 12/15/2023 | 35,000 | 35,023 |
Mesa County Valley School District No. 51 Grand Junction GO, 5.00%, 12/1/2023 | 35,000 | 35,476 |
Regional Transportation District | ||
Series 2014A, COP, 4.50%, 6/1/2023 (b) | 1,350,000 | 1,354,010 |
Series 2014A, COP, 5.00%, 6/1/2023 (b) | 80,000 | 80,335 |
Regional Transportation District, Denver Transit Partners | ||
Series A, Rev., 5.00%, 1/15/2024 | 475,000 | 477,956 |
Series A, Rev., 5.00%, 7/15/2025 | 45,000 | 45,951 |
Serenity Ridge Metropolitan District No. 2, Limited Tax Series 2018-B, GO, 7.25%, 12/15/2023 (b) | 636,000 | 672,257 |
State of Colorado, Tax-Exempt | ||
Series 2018N, COP, 5.00%, 3/15/2023 | 30,000 | 30,018 |
Series 2020A, COP, 5.00%, 9/1/2023 | 35,000 | 35,316 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Colorado — continued | ||
State of Colorado, UCDHSC Fitzsimons Academic Series 2013A, COP, 5.00%, 11/1/2023 (b) | 25,000 | 25,300 |
Town of Castle Rock Rev., 5.00%, 6/1/2023 (b) | 250,000 | 251,140 |
Town of Castle Rock, Sales and Use Tax Rev., 5.00%, 6/1/2025 | 25,000 | 26,004 |
University of Colorado | ||
Series B-1, Rev., 4.00%, 6/1/2024 (b) | 25,000 | 25,246 |
Series A, Rev., 5.00%, 6/1/2024 (b) | 60,000 | 61,317 |
University of Colorado Hospital Authority, University of Colorado Health Series 2017B-2, Rev., VRDO, 2.75%, 3/9/2023 (c) | 35,000,000 | 35,000,000 |
University of Colorado, Enterprise System | ||
Series A, Rev., 5.00%, 6/1/2023 | 70,000 | 70,311 |
Series A, Rev., 5.00%, 6/1/2023 (b) | 20,000 | 20,091 |
Series 2021C-3B, Rev., 2.00%, 10/15/2026 (c) | 6,250,000 | 5,944,778 |
Total Colorado | 57,410,596 | |
Connecticut — 0.2% | ||
City of Meriden Series 2016B, GO, 5.00%, 5/15/2023 | 25,000 | 25,088 |
City of New Britain Series 2016A, GO, 5.00%, 3/1/2023 (b) | 15,000 | 15,000 |
City of New Haven Series 2013B, GO, AGM, 3.75%, 9/1/2023 (b) | 25,000 | 25,075 |
City of Stamford GO, 5.00%, 6/1/2023 | 60,000 | 60,266 |
City of Waterbury GO, 5.00%, 8/1/2023 | 50,000 | 50,348 |
Connecticut State Health and Educational Facilities Authority, Connecticut State University System Series L, Rev., 4.00%, 11/1/2023 | 100,000 | 100,058 |
Connecticut State Health and Educational Facilities Authority, Middlesex Hospital Series O, Rev., 5.00%, 7/1/2023 | 25,000 | 25,112 |
Connecticut State Health and Educational Facilities Authority, Quinnipiac University Series L, Rev., 5.00%, 7/1/2023 | 20,000 | 20,103 |
Connecticut State Health and Educational Facilities Authority, Trinity Health Credit Group Series 2016CT, Rev., 3.00%, 12/1/2023 | 100,000 | 99,770 |
Connecticut State Health and Educational Facilities Authority, University System Issue Series L, Rev., 3.00%, 11/1/2026 | 120,000 | 119,997 |
162 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Connecticut — continued | ||
Connecticut State Health and Educational Facilities Authority, Yale New Haven Health Issue Series 2010A3, Rev., 0.25%, 2/9/2024 (c) | 950,000 | 915,575 |
Connecticut State Health and Educational Facilities Authority, Yale University Series X-2, Rev., 0.25%, 2/9/2024 (c) | 635,000 | 611,990 |
Mattabassett District Cromwell Rev., 5.00%, 8/1/2023 | 250,000 | 251,686 |
State of Connecticut | ||
Series 2015A, GO, 5.00%, 3/15/2023 | 25,000 | 25,016 |
Series 2016B, GO, 5.00%, 5/15/2023 | 35,000 | 35,131 |
Series 2018C, GO, 5.00%, 6/15/2023 | 10,000 | 10,053 |
Series 2014E, GO, 5.00%, 9/1/2023 | 375,000 | 378,481 |
Series 2017A, GO, 5.00%, 4/15/2024 | 35,000 | 35,725 |
State of Connecticut Clean Water Fund, State Revolving Fund | ||
Series 2013A, Rev., 5.00%, 3/1/2023 | 45,000 | 45,000 |
Series 2015A, Rev., 5.00%, 3/1/2023 | 25,000 | 25,000 |
State of Connecticut, GAAP Conversion | ||
Series 2013A, GO, 5.00%, 10/15/2023 | 340,000 | 343,911 |
Series 2013A, GO, 5.00%, 10/15/2024 | 25,000 | 25,296 |
Series 2013A, GO, 5.00%, 10/15/2026 | 50,000 | 50,609 |
State of Connecticut, SIFMA Index Series 2013A, GO, (SIFMA Municipal Swap Index Yield + 0.99%), 3.79%, 3/9/2023 (d) | 175,000 | 173,728 |
State of Connecticut, Special Tax Transportation Infrastructure Purposes | ||
Series 2020A, Rev., 5.00%, 5/1/2023 | 65,000 | 65,190 |
Series B, Rev., 5.00%, 8/1/2023 | 25,000 | 25,187 |
Series B, Rev., 5.00%, 9/1/2023 | 25,000 | 25,226 |
Series 2018A, Rev., 5.00%, 1/1/2024 | 20,000 | 20,299 |
Series A, Rev., 5.00%, 10/1/2024 | 55,000 | 55,578 |
Town of Branford GO, 3.13%, 8/1/2023 (b) | 30,000 | 29,998 |
Town of East Lyme GO, 5.00%, 8/15/2023 | 35,000 | 35,279 |
Town of South Windsor Series 2017B, GO, 3.00%, 8/15/2023 | 30,000 | 29,981 |
University of Connecticut | ||
Series 2016-A, Rev., 5.00%, 3/15/2023 | 145,000 | 145,090 |
Series 2013A, Rev., 5.00%, 2/15/2024 | 120,000 | 120,165 |
Series 2015A, Rev., 5.00%, 2/15/2026 | 25,000 | 25,847 |
Total Connecticut | 4,045,858 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Delaware — 0.0% ^ | ||
County of New Castle GO, 5.00%, 4/1/2024 | 25,000 | 25,505 |
Delaware River and Bay Authority Series C, Rev., 5.00%, 1/1/2027 | 85,000 | 86,145 |
Delaware State Economic Development Authority, Delmarva Power and Light Co. Project Series 2020A, Rev., 1.05%, 7/1/2025 (c) | 715,000 | 673,513 |
State of Delaware Series 2016C, GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
University of Delaware Series 2013A, Rev., 5.00%, 5/1/2023 (b) | 25,000 | 25,075 |
Total Delaware | 840,238 | |
District of Columbia — 1.0% | ||
District of Columbia | ||
Series D, GO, 5.00%, 6/1/2023 | 25,000 | 25,114 |
Series 2013A, GO, 5.00%, 6/1/2026 | 35,000 | 35,170 |
District of Columbia Housing Finance Agency, Multi-Family Development Program | ||
Series 2019B-2, Rev., FHA, 1.70%, 3/1/2023 | 165,000 | 165,000 |
Series 2019B-1, Rev., FHA, 1.75%, 9/1/2023 (c) | 545,000 | 539,274 |
District of Columbia Housing Finance Agency, Paxton Project Series 2022, Rev., 4.00%, 9/1/2025 (c) | 4,005,000 | 4,029,893 |
District of Columbia, Deed Tax Series 2012A, Rev., 5.00%, 6/1/2023 | 20,000 | 20,027 |
District of Columbia, Federal Highway Rev., 5.00%, 12/1/2024 | 320,000 | 320,531 |
District of Columbia, Gallery Place Project Rev., 5.00%, 6/1/2024 | 100,000 | 100,149 |
District of Columbia, Income Tax Series 2019A, Rev., 5.00%, 3/1/2023 | 60,000 | 60,000 |
District of Columbia, Water and Sewer Authority, Public Utility, Senior Lien Rev., AGM, 5.50%, 10/1/2023 | 80,000 | 81,092 |
District of Columbia, Water and Sewer Authority, Public Utility, Subordinate Lien Series 2014C, Rev., 5.00%, 10/1/2024 | 25,000 | 25,725 |
Metropolitan Washington Airports Authority Aviation Subseries C-2, Rev., VRDO, LOC : TD Bank NA, 2.78%, 3/9/2023 (c) | 20,000,000 | 20,000,000 |
Metropolitan Washington Airports Authority Dulles Toll Road Series 2009B, Rev., AGC, Zero Coupon, 10/1/2023 | 20,000 | 19,581 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 163 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
District of Columbia — continued | ||
Washington Metropolitan Area Transit Authority Series 2017B, Rev., 5.00%, 7/1/2024 | 20,000 | 20,470 |
Washington Metropolitan Area Transit Authority Dedicated Series 2020A, Rev., 5.00%, 7/15/2023 | 650,000 | 654,216 |
Total District of Columbia | 26,096,242 | |
Florida — 4.1% | ||
Brevard County Health Facilities Authority, Health First, Inc., Project Rev., 5.00%, 4/1/2039 | 500,000 | 506,526 |
Capital Trust Agency, Inc., Sustainability Bonds -The Marie | ||
Rev., 4.00%, 6/15/2023 (e) | 575,000 | 573,537 |
Rev., 4.00%, 6/15/2024 (e) | 1,000,000 | 987,509 |
Rev., 4.00%, 6/15/2025 (e) | 340,000 | 332,004 |
Central Florida Expressway Authority, Senior Lien | ||
Rev., 5.00%, 7/1/2023 | 10,000 | 10,055 |
Series 2016B, Rev., 5.00%, 7/1/2025 | 25,000 | 26,025 |
City of Apopka, Utility System Rev., 5.00%, 10/1/2023 | 30,000 | 30,045 |
City of Clearwater, Water and Sewer Rev., 5.00%, 12/1/2023 | 50,000 | 50,651 |
City of Delray Beach Rev., 5.00%, 6/1/2023 | 40,000 | 40,171 |
City of Deltona, Utility System Rev., 5.00%, 10/1/2023 (b) | 25,000 | 25,256 |
City of Hallandale Beach Rev., 5.00%, 10/1/2023 | 25,000 | 25,240 |
City of Jacksonville Rev., 5.00%, 10/1/2023 | 10,000 | 10,098 |
City of Jacksonville, Florida Power and Light Co. Project Rev., VRDO, 2.65%, 3/1/2023 (c) | 3,150,000 | 3,150,000 |
City of Lakeland, Department of Electric Utilities | ||
Rev., 5.00%, 10/1/2023 | 25,000 | 25,248 |
Rev., 5.00%, 10/1/2026 | 20,000 | 21,012 |
City of Miami Rev., 5.00%, 3/1/2023 (b) (e) | 5,000,000 | 5,000,000 |
City of Orlando, Capital Improvement Series 2016B, Rev., 5.00%, 10/1/2024 | 25,000 | 25,725 |
City of Orlando, Florida Contract Tourist Development Tax Payments Series 2014A, Rev., 5.00%, 5/1/2024 (b) | 20,000 | 20,420 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
City of Pompano Beach, John Knox Village Project Series 2021B-2, Rev., 1.45%, 1/1/2027 | 760,000 | 666,496 |
City of Sarasota, St. Armands Paid Parking Area Improvements Series 2017A, Rev., 4.00%, 10/1/2023 | 25,000 | 25,106 |
City of St. Petersburg, Public Utility Series 2014B, Rev., 5.00%, 10/1/2023 | 30,000 | 30,314 |
City of Tallahassee, Utility System Rev., 5.00%, 10/1/2023 | 30,000 | 30,301 |
County of Brevard, Water and Wastewater Utility Rev., 5.00%, 9/1/2023 | 40,000 | 40,330 |
County of Broward, Airport System | ||
Series P-2, Rev., 5.00%, 10/1/2023 | 415,000 | 415,559 |
Series Q-1, Rev., 5.00%, 10/1/2023 | 740,000 | 740,997 |
Series Q-1, Rev., 5.00%, 10/1/2024 | 280,000 | 280,389 |
Series Q-1, Rev., 5.00%, 10/1/2025 | 195,000 | 195,244 |
County of Broward, Half-Cent Sales Tax Rev., 5.00%, 10/1/2023 | 30,000 | 30,307 |
County of Hernando, Water and Sewer Series 2013A, Rev., 5.00%, 6/1/2023 (b) | 40,000 | 40,182 |
County of Hillsborough, Communications Services Tax Rev., 5.00%, 10/1/2024 | 35,000 | 36,021 |
County of Hillsborough, Community Investment Tax Rev., 5.00%, 11/1/2025 | 25,000 | 26,179 |
County of Lee, Tourist Development Tax Series 2019A, Rev., 5.00%, 10/1/2024 | 25,000 | 25,698 |
County of Lee, Transportation Facilities Rev., AGM, 5.00%, 10/1/2024 | 1,500,000 | 1,534,186 |
County of Lee, Water and Sewer | ||
Series A, Rev., 4.25%, 10/1/2023 (b) | 25,000 | 25,163 |
Series A, Rev., 5.00%, 10/1/2023 (b) | 40,000 | 40,432 |
Series B, Rev., 5.00%, 10/1/2023 | 55,000 | 55,556 |
County of Miami-Dade, Aviation System | ||
Series B, Rev., 4.00%, 10/1/2023 | 325,000 | 325,180 |
Series 2012B, Rev., 5.00%, 10/1/2024 | 400,000 | 400,556 |
County of Miami-Dade, Building Better Communities Program | ||
Series 2015-D, GO, 5.00%, 7/1/2023 | 25,000 | 25,149 |
Series 2016A, GO, 5.00%, 7/1/2023 | 25,000 | 25,149 |
Series 2016A, GO, 5.00%, 7/1/2024 | 30,000 | 30,705 |
County of Miami-Dade, Water and Sewer System | ||
Rev., 5.00%, 10/1/2023 | 165,000 | 166,610 |
164 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Series 2013B, Rev., 5.00%, 10/1/2023 (b) | 20,000 | 20,216 |
Series B, Rev., 5.25%, 10/1/2023 (b) | 20,000 | 20,244 |
County of Okaloosa, Sales Tax Rev., 5.00%, 10/1/2023 | 25,000 | �� 25,258 |
County of Osceola Series 2019A-1, Rev., 5.00%, 10/1/2023 | 640,000 | 643,103 |
County of Palm Beach Rev., 5.00%, 11/1/2023 | 30,000 | 30,369 |
County of Pasco, Fire-Rescue Projects Series 2019B, GO, 5.00%, 10/1/2023 | 35,000 | 35,368 |
County of Polk, Utility System Rev., 5.00%, 10/1/2023 (b) | 10,000,000 | 10,107,981 |
County of Sarasota Rev., 5.00%, 10/1/2023 | 25,000 | 25,270 |
County of Sarasota, Utility System Rev., 5.00%, 10/1/2023 (b) | 25,000 | 25,270 |
County of St. Johns, Sales Tax Rev., AGM, 5.00%, 10/1/2023 | 35,000 | 35,368 |
County of St. Lucie, Power and Light Co. Project Rev., VRDO, 2.70%, 3/1/2023 (c) | 45,750,000 | 45,750,000 |
Escambia County Housing Finance Authority, Multi-County Program Series 2019B, Rev., GNMA COLL, 1.65%, 4/1/2023 | 70,000 | 69,892 |
Florida Department of Environmental Protection Series 2014A, Rev., 5.00%, 7/1/2024 | 60,000 | 61,458 |
Florida Department of Management Services | ||
Series 2015A, COP, 5.00%, 8/1/2024 | 115,000 | 117,965 |
Series 2017A, Rev., 5.00%, 9/1/2024 | 200,000 | 205,483 |
Series 2018A, COP, 5.00%, 11/1/2024 | 25,000 | 25,766 |
Series 2018A, COP, 5.00%, 11/1/2026 | 20,000 | 21,433 |
Florida Gulf Coast University Financing Corp., Housing Project Series A, Rev., VRDO, LOC : TD Bank NA, 2.79%, 3/9/2023 (c) | 9,825,000 | 9,825,000 |
Florida Higher Educational Facilities Financial Authority, Rollins College Project Series 2012B, Rev., 3.13%, 12/1/2025 | 100,000 | 97,873 |
FSU Financial Assistance, Inc. Series 2012C, Rev., 3.00%, 10/1/2025 | 100,000 | 99,115 |
Hillsborough County School Board Series 2017A, COP, 5.00%, 7/1/2023 | 25,000 | 25,137 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Hillsborough County School Board, Master Lease Program Series 2015A, COP, 5.00%, 7/1/2023 | 90,000 | 90,491 |
Hollywood Community Redevelopment Agency Rev., 5.00%, 3/1/2023 | 40,000 | 40,000 |
Inland Protection Financing Corp. Series 2019A, Rev., 5.00%, 7/1/2023 | 30,000 | 30,179 |
Jacksonville Transportation Authority, Senior Lien Gas Tax Rev., 5.00%, 8/1/2024 | 25,000 | 25,585 |
JEA Electric System Series D, Rev., 5.00%, 4/1/2023 (b) | 20,000 | 20,029 |
JEA Water and Sewer System Series 2008A-1, Rev., VRDO, LIQ : US Bank NA, 2.62%, 3/1/2023 (c) | 13,200,000 | 13,200,000 |
Key West Utility Board, Electric System Rev., 5.00%, 10/1/2023 | 25,000 | 25,263 |
Lee County School Board (The) Series 2012B, COP, 5.00%, 8/1/2023 | 30,000 | 30,043 |
Lee Memorial Health System | ||
Series 2019A-1, Rev., 5.00%, 4/1/2023 | 25,000 | 25,027 |
Series 2019A-1, Rev., 5.00%, 4/1/2024 | 115,000 | 116,684 |
Marion County School Board Series 2015B, COP, 5.00%, 6/1/2023 | 20,000 | 20,084 |
Miami-Dade County Expressway Authority, Toll System Series 2014B, Rev., 5.00%, 7/1/2023 | 30,000 | 30,129 |
Miami-Dade County Health Facilities Authority, Miami Children's Hospital Rev., 5.00%, 8/1/2023 (b) | 25,000 | 25,187 |
Miami-Dade County Health Facilities Authority, Niklaus Children's Hospital | ||
Rev., 5.00%, 8/1/2023 | 25,000 | 25,141 |
Series 2021A, Rev., 5.00%, 8/1/2023 | 160,000 | 160,901 |
Miami-Dade County Housing Finance Authority, Multi-Family Housing, Platform 3750 II LLC Rev., 0.25%, 8/1/2023 (c) | 100,000 | 98,172 |
Orange County Health Facilities Authority, Orlando Health Obligated Group Series 2016A, Rev., 5.00%, 10/1/2023 | 115,000 | 115,911 |
Orange County School Board Series 2015D, COP, 5.00%, 8/1/2024 | 100,000 | 102,438 |
Orlando Utilities Commission, Utility System | ||
Series 2012A, Rev., 5.00%, 10/1/2023 | 20,000 | 20,208 |
Series 2016A, Rev., 5.00%, 10/1/2023 | 25,000 | 25,260 |
Series 2018A, Rev., 5.00%, 10/1/2023 | 25,000 | 25,260 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 165 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Series 2013A, Rev., 5.00%, 10/1/2024 | 135,000 | 138,874 |
Orlando-Orange County Expressway Authority Series 2013B, Rev., 5.00%, 7/1/2023 | 20,000 | 20,103 |
Palm Beach County Health Facilities Authority, Baptist Health South Florida Obligated Group Rev., 5.00%, 8/15/2024 | 585,000 | 598,851 |
Palm Beach County School District | ||
Series 2017B, COP, 5.00%, 8/1/2023 | 50,000 | 50,354 |
Series 2018B, COP, 5.00%, 8/1/2023 | 20,000 | 20,142 |
Series 2017B, COP, 5.00%, 8/1/2025 | 155,000 | 161,805 |
Pasco County School Board Series 2015A, COP, 5.00%, 8/1/2023 | 40,000 | 40,283 |
Pasco County School Board, Sales Tax Rev., 5.00%, 10/1/2023 | 35,000 | 35,348 |
Polk County School District, Sales Tax | ||
Rev., 5.00%, 10/1/2023 | 25,000 | 25,254 |
Rev., 5.00%, 10/1/2024 | 30,000 | 30,884 |
Reedy Creek Improvement District | ||
Series 2017A, GO, 5.00%, 6/1/2023 | 25,000 | 25,096 |
Series AW, GO, 5.25%, 6/1/2023 (b) | 100,000 | 100,517 |
Reedy Creek Improvement District Utility Series 2013-1, Rev., 5.00%, 10/1/2023 | 50,000 | 50,505 |
Reedy Creek Improvement District, Ad Valorem Tax Series A, GO, 5.00%, 6/1/2023 (b) | 25,000 | 25,114 |
Sarasota County Public Hospital District, Sarasota Memorial Hospital Series 1998B, Rev., NATL - RE, 5.25%, 7/1/2024 | 690,000 | 700,149 |
School Board of Miami-Dade County (The) | ||
GO, 5.00%, 3/15/2023 | 800,000 | 800,485 |
GO, 5.00%, 3/15/2023 (b) | 30,000 | 30,021 |
Series 2014D, COP, 5.00%, 11/1/2024 | 20,000 | 20,583 |
Series 2015D, COP, 5.00%, 2/1/2025 | 25,000 | 25,847 |
Series 2014D, COP, 5.00%, 11/1/2025 | 170,000 | 174,481 |
Series 2014D, COP, 5.00%, 11/1/2026 | 25,000 | 25,733 |
Series 2015A, COP, AGM, 5.00%, 5/1/2027 | 85,000 | 88,197 |
School District of Broward County | ||
Series 2015A, COP, 5.00%, 7/1/2024 | 80,000 | 81,828 |
Series 2015B, COP, 5.00%, 7/1/2024 | 215,000 | 219,913 |
Series 2015B, COP, 5.00%, 7/1/2025 | 185,000 | 192,118 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — continued | ||
Seacoast Utility Authority, Water and Sewer Utility System Series B, Rev., 5.00%, 3/1/2023 | 20,000 | 20,000 |
South Broward Hospital District, Memorial Healthcare System Rev., 4.00%, 5/1/2026 | 160,000 | 164,150 |
St. Johns County Industrial Development Authority, Vicar's Landing Project | ||
Series 2021A, Rev., 4.00%, 12/15/2023 | 120,000 | 119,024 |
Series 2021A, Rev., 4.00%, 12/15/2024 | 145,000 | 142,277 |
St. Johns County School Board Series 2020A, COP, 5.00%, 7/1/2023 | 20,000 | 20,117 |
St. Johns County School Board, Sales Tax Rev., 5.00%, 10/1/2024 | 35,000 | 35,934 |
St. Lucie County School Board Series 2013A, COP, 5.00%, 7/1/2023 | 45,000 | 45,253 |
State of Florida Board of Education, Public Education Capital Outlay | ||
Series 2013C, GO, 5.00%, 6/1/2023 (b) | 20,000 | 20,086 |
Series 2014A, GO, 5.00%, 6/1/2023 | 45,000 | 45,212 |
Series 2019A, GO, 5.00%, 6/1/2023 | 45,000 | 45,212 |
Series 2015A, GO, 5.00%, 6/1/2026 | 35,000 | 35,937 |
State of Florida Department of Transportation Rev., 5.00%, 7/1/2024 | 35,000 | 35,883 |
State of Florida Department of Transportation Turnpike System | ||
Series 2013A, Rev., 5.00%, 7/1/2023 | 35,000 | 35,216 |
Series 2016A, Rev., 5.00%, 7/1/2023 | 40,000 | 40,246 |
Series 2016C, Rev., 5.00%, 7/1/2023 | 45,000 | 45,277 |
Series 2013A, Rev., 5.00%, 7/1/2025 | 55,000 | 55,280 |
Series 2016B, Rev., 2.50%, 7/1/2026 | 20,000 | 19,610 |
State of Florida, State Board of Education, Lottery Series 2014A, Rev., 3.00%, 7/1/2025 | 70,000 | 69,688 |
Sunshine State Governmental Financing Commission Series 2010A-1, Rev., 5.00%, 9/1/2023 (b) | 25,000 | 25,232 |
Sunshine State Governmental Financing Commission, Miami Dade County Program | ||
Series 2011B-1, Rev., 3.75%, 9/1/2023 (b) | 50,000 | 50,138 |
Series 2011B-1, Rev., 4.00%, 9/1/2023 (b) | 30,000 | 30,124 |
166 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Florida — continued | ||
Series 2010A-1, Rev., 4.13%, 9/1/2023 (b) | 25,000 | 25,125 |
Series 2011B-1, Rev., 5.00%, 9/1/2023 (b) | 20,000 | 20,181 |
Series 2011B-1, Rev., 5.50%, 9/1/2023 (b) | 30,000 | 30,344 |
Series 2011C-1, Rev., 5.50%, 9/1/2023 (b) | 45,000 | 45,517 |
Tampa Bay Water, Water Supply Rev., NATL - RE, 5.50%, 10/1/2023 | 40,000 | 40,544 |
USF Financing Corp., Master Lease Program Series 2012A, COP, 5.00%, 7/1/2023 | 50,000 | 50,281 |
Waterset North Community Development District, Senior Lien Series A-1, 3.00%, 5/1/2023 | 25,000 | 24,980 |
Total Florida | 102,610,245 | |
Georgia — 0.4% | ||
Atlanta and Fulton County Recreation Authority, Park Improvement Series A, Rev., 5.00%, 12/1/2023 | 25,000 | 25,336 |
Atlanta Urban Residential Finance Authority, London Townhomes Rev., VRDO, 0.44%, 3/1/2023 (c) | 1,740,000 | 1,740,000 |
Braselton Urban Redevelopment Agency, Municipal Facilities Project Rev., GTD, 4.00%, 7/1/2024 | 30,000 | 30,220 |
Bulloch County Board of Education, Sales Tax Series 2018, GO, 3.25%, 5/1/2023 | 20,000 | 20,004 |
Carroll City-County Hospital Authority, Tanner Medical Center Project Series 2016B, Rev., GTD, 5.00%, 7/1/2023 | 20,000 | 20,113 |
Carrollton Independent School System GO, 5.00%, 4/1/2023 | 20,000 | 20,029 |
Cherokee County Board of Education, School System Series B, GO, 5.00%, 8/1/2023 | 20,000 | 20,154 |
City of Atlanta Airport Passenger Facility Charge, Sub Lien | ||
Series 2014A, Rev., AMT, 5.00%, 1/1/2024 | 25,000 | 25,374 |
Series 2014A, Rev., AMT, 5.00%, 1/1/2025 | 20,000 | 20,307 |
Series 2014A, Rev., AMT, 5.00%, 1/1/2026 | 30,000 | 30,405 |
City of Atlanta, Public Improvement GO, 4.75%, 12/1/2024 (b) | 30,000 | 30,815 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Georgia — continued | ||
City of Atlanta, Water and Wastewater | ||
Series 2013B, Rev., 5.25%, 11/1/2023 (b) | 35,000 | 35,488 |
Rev., 5.00%, 11/1/2026 | 25,000 | 26,075 |
City of Columbus, Water and Sewerage | ||
Series 2012A, Rev., 3.00%, 5/1/2023 | 50,000 | 49,984 |
Rev., 5.00%, 5/1/2023 | 40,000 | 40,120 |
Series 2013A, Rev., 5.00%, 5/1/2023 (b) | 20,000 | 20,060 |
Cobb County Kennestone Hospital Authority Rev., 5.00%, 4/1/2024 | 80,000 | 80,124 |
Cobb-Marietta Coliseum and Exhibit Hall Authority, Performing Arts Center Project Rev., GTD, 4.00%, 1/1/2024 | 85,000 | 85,060 |
Columbus Medical Center Hospital Authority, Piedmont Healthcare Inc., Project Series 2019A, Rev., 5.00%, 7/1/2026 (c) | 235,000 | 243,812 |
County of Clayton, Water Authority Rev., 5.00%, 5/1/2023 | 160,000 | 160,232 |
County of DeKalb, Special Transportation, Parks and Greenspace and Libraries Tax GO, 5.00%, 12/1/2025 | 40,000 | 42,097 |
County of DeKalb, Water and Sewerage Rev., 5.00%, 10/1/2023 | 70,000 | 70,788 |
County of Henry, Sales Tax GO, 5.00%, 5/1/2023 | 20,000 | 20,059 |
DeKalb Newton and Gwinnett Counties Joint Development Authority, GPC Real Estate Student Support I, LLC Project Rev., 5.00%, 6/1/2023 | 35,000 | 35,155 |
Development Authority for Fulton County, Georgia Tech Facilities | ||
Rev., 5.00%, 3/1/2023 | 25,000 | 25,000 |
Series 2014A, Rev., 5.00%, 5/1/2023 | 25,000 | 25,073 |
Gainesville and Hall County Development Authority, Hall County Facilities Project Rev., 5.00%, 5/1/2024 | 20,000 | 20,420 |
Gainesville and Hall County Hospital Authority (Northeast Georgia Health System, Inc.) Series 2020A, Rev., 5.00%, 2/15/2024 | 50,000 | 50,434 |
Main Street Natural Gas, Inc., Gas Supply | ||
Subseries 2018E, Rev., LIQ : Royal Bank of Canada, (SIFMA Municipal Swap Index Yield + 0.57%), 3.37%, 3/9/2023 (d) | 6,590,000 | 6,571,674 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 167 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Georgia — continued | ||
Series 2018B, Rev., (ICE LIBOR USD 1 Month + 0.75%), 3.87%, 4/3/2023 (d) | 370,000 | 370,567 |
Series 2019B, Rev., 4.00%, 6/1/2023 | 240,000 | 240,094 |
Subseries C, Rev., LIQ : Royal Bank of Canada, 4.00%, 12/1/2023 | 100,000 | 100,342 |
Metropolitan Atlanta Rapid Transit Authority, Sales Tax Series 2007A, Rev., NATL - RE, 5.25%, 7/1/2023 | 40,000 | 40,258 |
Paulding County School District GO, 5.00%, 2/1/2025 (b) | 50,000 | 51,779 |
Private Colleges and Universities Authority, the Savannah College of Art and Design Project Rev., 5.00%, 4/1/2023 | 325,000 | 325,399 |
State of Georgia | ||
Series 2018A, GO, 5.00%, 7/1/2023 | 15,000 | 15,092 |
Series 2013A, GO, 5.00%, 1/1/2025 | 50,000 | 50,077 |
Whitfield County School District GO, 5.00%, 4/1/2023 | 25,000 | 25,037 |
Total Georgia | 10,803,057 | |
Hawaii — 0.0% ^ | ||
City and County Honolulu, Wastewater System | ||
Series B, Rev., 5.00%, 7/1/2023 | 30,000 | 30,180 |
Series B, Rev., 5.00%, 7/1/2024 | 25,000 | 25,604 |
City and County of Honolulu | ||
Series C, GO, 4.00%, 10/1/2023 | 20,000 | 20,099 |
Series C, GO, 5.00%, 10/1/2023 | 40,000 | 40,425 |
Series C, GO, 5.00%, 10/1/2024 | 25,000 | 25,733 |
Series 2012C, GO, 3.00%, 11/1/2025 | 175,000 | 175,008 |
County of Hawaii Series 2013B, GO, 3.00%, 9/1/2023 | 45,000 | 44,949 |
State of Hawaii | ||
Series FK, GO, 4.00%, 5/1/2023 | 20,000 | 20,027 |
Series FK, GO, 5.00%, 5/1/2023 | 30,000 | 30,088 |
Series EL, GO, 3.00%, 8/1/2023 | 50,000 | 49,954 |
Series FG, GO, 4.00%, 10/1/2023 | 20,000 | 20,097 |
Series FE, GO, 5.00%, 10/1/2023 | 170,000 | 171,796 |
Series FG, GO, 5.00%, 10/1/2024 | 25,000 | 25,729 |
Series FH, GO, 5.00%, 10/1/2024 | 35,000 | 36,021 |
Total Hawaii | 715,710 | |
Idaho — 0.1% | ||
Boise State University Series 2015A, Rev., 5.00%, 4/1/2023 | 35,000 | 35,042 |
Canyon County School District No. 134 Middleton GO, 5.00%, 9/15/2023 | 10,000 | 10,099 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Idaho — continued | ||
Idaho Housing and Finance Association, Federal Highway Trust | ||
Series A, Rev., 5.00%, 7/15/2025 | 30,000 | 31,275 |
Series A, Rev., 5.00%, 7/15/2026 | 20,000 | 21,258 |
Idaho Housing and Finance Association, Single Family Mortgage Series 2009A, Class I, Rev., VRDO, 2.97%, 3/9/2023 (c) | 3,135,000 | 3,135,000 |
Total Idaho | 3,232,674 | |
Illinois — 7.1% | ||
Chicago Board of Education, Capital Appreciation School Reform Series 1999A, GO, NATL - RE, Zero Coupon, 12/1/2023 | 3,440,000 | 3,336,351 |
Chicago Board of Education, Unlimited Tax Series 2018A, GO, 5.00%, 12/1/2024 | 275,000 | 278,946 |
Chicago Midway International Airport, Second Lien | ||
Series 2013B, Rev., 5.00%, 1/1/2025 | 720,000 | 720,791 |
Series 2013B, Rev., 5.00%, 1/1/2026 | 360,000 | 360,462 |
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2020B, Rev., 5.00%, 1/1/2026 | 40,000 | 42,006 |
Chicago O'Hare International Airport, Senior Lien Series E, Rev., 5.00%, 1/1/2026 | 30,000 | 31,504 |
Chicago Park District Series 2015A, GO, 5.00%, 1/1/2024 (b) | 35,000 | 35,523 |
Chicago Transit Authority Capital Grant Receipts Rev., 5.00%, 6/1/2023 | 110,000 | 110,332 |
City of Chicago, Second Lien Waterworks Project Series 2012, Rev., 4.00%, 11/1/2023 | 500,000 | 500,163 |
City of Chicago, Waterworks, Second Lien Rev., 5.00%, 11/1/2024 | 1,450,000 | 1,451,691 |
City of Decatur | ||
GO, 4.00%, 3/1/2023 | 120,000 | 120,000 |
GO, 4.00%, 3/1/2024 | 120,000 | 120,242 |
GO, 4.00%, 3/1/2025 | 195,000 | 197,498 |
GO, 4.00%, 3/1/2026 | 170,000 | 173,697 |
GO, 4.00%, 3/1/2027 | 200,000 | 206,264 |
City of Rochelle GO, AGM, 3.00%, 5/1/2023 | 100,000 | 99,842 |
Cook County High School District No. 205, Thornton Township, Limited Tax Series 2017C, GO, 5.00%, 12/1/2023 | 30,000 | 30,348 |
County of Cook Series 2021B, GO, 4.00%, 11/15/2023 | 230,000 | 230,613 |
168 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — continued | ||
County of Cook, Sales Tax Series 2022A, Rev., 5.00%, 11/15/2023 | 270,000 | 273,063 |
Du Page and Will Counties Community School District No. 204 Indian Prairie GO, 4.00%, 12/30/2024 | 50,000 | 50,811 |
Illinois Finance Authority, Northshore University Health System Series 2020A, Rev., 5.00%, 8/15/2023 | 750,000 | 755,819 |
Illinois Finance Authority, Northwestern Memorial Healthcare Series 2021B, Rev., VRDO, LIQ : Royal Bank of Canada, 2.58%, 3/1/2023 (c) | 35,050,000 | 35,050,000 |
Illinois Finance Authority, OSF Healthcare System Series 2015A, Rev., 5.00%, 11/15/2024 | 140,000 | 143,107 |
Illinois Finance Authority, Presbyterian Homes Obligated Group Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.70%), 3.50%, 3/9/2023 (d) | 5,790,000 | 5,630,470 |
Illinois Finance Authority, Regency Park at Lincolnwood Series 1991A, Rev., Zero Coupon, 7/15/2023 (b) | 80,000 | 79,004 |
Illinois Finance Authority, Riverside Health System | ||
Rev., 5.00%, 11/15/2023 | 215,000 | 215,312 |
Rev., 5.00%, 11/15/2024 | 1,680,000 | 1,682,366 |
Illinois Finance Authority, Rush University Medical Center Obligated Group Series 2015A, Rev., 5.00%, 11/15/2025 | 25,000 | 25,904 |
Illinois Finance Authority, Social Bonds-Learn Chapter School Project Rev., 4.00%, 11/1/2023 | 135,000 | 134,770 |
Illinois Finance Authority, Southern Illinois Healthcare Enterprises, Inc. | ||
Series 2017-C, Rev., 5.00%, 3/1/2023 | 45,000 | 45,000 |
Rev., 5.00%, 3/1/2027 | 1,210,000 | 1,275,810 |
Illinois Finance Authority, Swedish Covenant Hospital Series 2016A, Rev., 5.00%, 8/15/2026 (b) | 155,000 | 162,926 |
Illinois Finance Authority, The University Medical Center Series 2015A, Rev., 5.00%, 11/15/2023 | 40,000 | 40,354 |
Illinois Finance Authority, The University of Chicago Series 2013A, Rev., 4.00%, 4/1/2023 (b) | 15,220,000 | 15,227,239 |
Illinois Finance Authority, The University of Chicago Medical Center Series 2016A, Rev., 5.00%, 8/15/2024 | 235,000 | 240,228 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Illinois Finance Authority, Unitypoint Health Series 2016D, Rev., 5.00%, 2/15/2024 | 720,000 | 728,604 |
Illinois Municipal Electric Agency, Power Supply System Series 2015A, Rev., 5.00%, 2/1/2024 | 310,000 | 314,535 |
Illinois Sports Facilities Authority (The), State Tax Rev., 5.00%, 6/15/2023 | 1,020,000 | 1,022,201 |
Illinois State Toll Highway Authority Series 2013A, Rev., 5.00%, 1/1/2027 | 35,000 | 35,057 |
Kankakee and Will Counties Community Unit School District No. 5, Capital Appreciation GO, AGM, Zero Coupon, 5/1/2023 | 25,000 | 24,859 |
Lake County Township High School District No. 121 Warren Series 2016A, GO, 3.00%, 1/1/2024 (b) | 370,000 | 369,669 |
McHenry County Conservation District GO, 5.00%, 2/1/2024 | 20,000 | 20,312 |
McLean and Woodford Counties Community Unit School District No. 5 Normal Series 2017A, GO, 4.00%, 12/1/2023 | 30,000 | 30,114 |
Railsplitter Tobacco Settlement Authority | ||
Rev., 5.00%, 6/1/2023 | 1,050,000 | 1,053,428 |
Rev., 5.00%, 6/1/2024 | 2,905,000 | 2,952,708 |
Rev., 5.00%, 6/1/2025 | 255,000 | 263,057 |
Regional Transportation Authority | ||
Series 2003B, Rev., NATL - RE, 5.50%, 6/1/2023 | 570,000 | 572,966 |
Series 2003A, Rev., NATL - RE, 5.50%, 7/1/2023 | 50,000 | 50,349 |
Series 2017A, Rev., 5.00%, 7/1/2024 | 25,000 | 25,545 |
Rock Island County Community Unit School District No. 40 Moline, Alternative Revenue Source GO, 3.00%, 2/1/2024 | 20,000 | 19,984 |
South Suburban College Community School District No. 510, Limited Tax GO, AGC, Zero Coupon, 12/1/2023 | 25,000 | 24,257 |
Southwestern Illinois Development Authority, Flood Prevention District Council Project Rev., 4.00%, 4/15/2023 | 125,000 | 125,086 |
Southwestern Illinois Development Authority, Memorial Group, Inc. Rev., 7.13%, 11/1/2023 (b) | 2,000,000 | 2,046,958 |
State of Illinois | ||
Series 2021-C, GO, 4.00%, 3/1/2023 | 10,500,000 | 10,500,000 |
Series 2021A, GO, 5.00%, 3/1/2023 | 400,000 | 400,000 |
Series 2021B, GO, 5.00%, 3/1/2023 | 3,905,000 | 3,905,000 |
Series 2022A, GO, 5.00%, 3/1/2023 | 1,205,000 | 1,205,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 169 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Illinois — continued | ||
Series 2022B, GO, 5.00%, 3/1/2023 | 5,490,000 | 5,490,000 |
Series 2013A, GO, 5.00%, 4/1/2023 | 640,000 | 640,565 |
GO, 5.38%, 5/1/2023 | 250,000 | 250,577 |
GO, 5.00%, 8/1/2023 | 1,830,000 | 1,838,171 |
Series 2018B, GO, 5.00%, 10/1/2023 | 100,000 | 100,630 |
Series D, GO, 5.00%, 11/1/2023 | 1,000,000 | 1,007,171 |
Series 2021C, GO, 4.00%, 3/1/2024 | 845,000 | 845,923 |
Series 2022A, GO, 5.00%, 3/1/2024 | 5,105,000 | 5,160,036 |
Series 2022B, GO, 5.00%, 3/1/2024 | 5,660,000 | 5,718,920 |
GO, 5.50%, 7/1/2024 | 75,000 | 75,385 |
Series 2022B, GO, 5.00%, 3/1/2025 | 1,225,000 | 1,250,474 |
GO, 5.50%, 7/1/2025 | 3,420,000 | 3,437,579 |
GO, 4.00%, 8/1/2025 | 85,000 | 85,003 |
Series 2020B, GO, 5.00%, 10/1/2025 | 20,000 | 20,542 |
Series 2017D, GO, 5.00%, 11/1/2025 | 20,700,000 | 21,278,586 |
Series 2017A, GO, 5.00%, 12/1/2025 | 250,000 | 257,203 |
GO, 5.00%, 2/1/2026 | 25,000 | 25,764 |
Series 2021A, GO, 5.00%, 3/1/2026 | 50,000 | 51,573 |
GO, 5.00%, 6/1/2026 | 450,000 | 465,274 |
Series 2020-B, GO, 5.00%, 10/1/2026 | 1,175,000 | 1,218,868 |
Series B, GO, 5.00%, 10/1/2026 | 125,000 | 129,667 |
Series 2017D, GO, 5.00%, 11/1/2026 | 2,590,000 | 2,688,811 |
Series A, GO, 5.00%, 3/1/2027 | 50,000 | 52,077 |
Series 2020B, GO, 5.00%, 10/1/2028 | 40,000 | 42,218 |
Series 2017D, GO, 5.00%, 11/1/2028 | 150,000 | 157,058 |
State of Illinois, Sales Tax | ||
Series 2016D, Rev., 5.00%, 6/15/2023 | 120,000 | 120,545 |
Rev., 5.00%, 6/15/2024 | 510,000 | 511,542 |
Series 2002-4, Rev., NATL - RE, 6.00%, 6/15/2024 | 300,000 | 308,213 |
State of Illinois, Sales Tax, Tax Exempt Series 2016A, Rev., 5.00%, 6/15/2024 | 115,000 | 116,719 |
Tender Option Bond Trust Receipts/ Certificates Series 2017-XF2500, Rev., VRDO, LIQ : Citibank NA, 2.85%, 3/9/2023 (c) (e) | 10,220,000 | 10,220,000 |
Town of Normal Series 2017A, GO, 4.00%, 6/1/2023 | 35,000 | 35,055 |
University of Illinois Series C, COP, 5.00%, 3/15/2023 | 45,000 | 45,021 |
University of Illinois, Auxiliary Facilities System | ||
Series 2013A, Rev., 5.00%, 4/1/2024 | 90,000 | 90,099 |
Series 2013-A, Rev., 5.00%, 4/1/2026 | 4,095,000 | 4,099,183 |
Village of Bolingbrook Series 2013A, GO, Zero Coupon, 7/1/2023 (b) | 19,000,000 | 9,775,118 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Illinois — continued | ||
Village of Midlothian | ||
GO, AGM, 4.00%, 1/1/2024 | 70,000 | 70,249 |
GO, AGM, 4.00%, 1/1/2025 | 40,000 | 40,365 |
Village of Rantoul GO, 4.00%, 1/1/2025 | 350,000 | 354,129 |
Village of Streamwood GO, 5.00%, 12/1/2023 | 20,000 | 20,228 |
Will County Community Unit School District No. 201-U Crete-Monee GO, AGM, Zero Coupon, 11/1/2023 | 300,000 | 292,604 |
Will County School District No. 86 Joliet Series 2015C, GO, AGM - CR, 5.00%, 3/1/2024 | 6,005,000 | 6,097,739 |
Will Grundy Etc Counties Community College District No. 525 Series 2013B, GO, 5.25%, 12/1/2023 (b) | 25,000 | 25,392 |
Total Illinois | 179,278,421 | |
Indiana — 0.7% | ||
Anderson School Building Corp., First Mortgage Rev., 5.00%, 7/20/2023 | 20,000 | 20,135 |
Avon Community School Building Corp., Ad Valorem Property Tax First Mortgage | ||
Rev., 5.00%, 7/15/2023 | 20,000 | 20,130 |
Rev., 4.00%, 7/15/2024 | 25,000 | 25,250 |
Ball State University, Housing and Dining System Rev., 5.00%, 7/1/2024 | 25,000 | 25,151 |
Brownsburg 1999 School Building Corp., Ad Valorem Property Tax First Mortgage Series 2015B, Rev., 5.00%, 7/15/2024 | 30,000 | 30,691 |
Carmel Local Public Improvement Bond Bank Series 2021A, Rev., 4.00%, 7/15/2025 | 65,000 | 66,079 |
Carmel Redevelopment Authority, Option Income Tax Lease Rental | ||
Series 2014B, Rev., 5.00%, 1/1/2024 | 35,000 | 35,492 |
Series 2014B, Rev., 5.00%, 7/1/2024 | 70,000 | 71,609 |
City of Indianapolis Department of Public Utilities Water System, First Lien Series 2018A, Rev., 5.00%, 10/1/2023 | 160,000 | 161,543 |
City of La Porte, Sewage Works Rev., 3.00%, 3/1/2023 | 40,000 | 40,000 |
Clark Pleasant Middle School Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2025 | 35,000 | 35,348 |
Concord Community Schools Building Corp., First Mortgage Rev., 5.00%, 7/15/2023 | 25,000 | 25,164 |
County of Johnson, Local Income Tax Series 2020A, Rev., 4.00%, 7/15/2023 | 25,000 | 25,070 |
170 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Indiana — continued | ||
East Allen Multi School Building Corp., Indiana Ad Valorem Property Tax, First Mortgage | ||
Rev., 4.00%, 7/15/2023 | 10,000 | 10,026 |
Rev., 4.00%, 1/15/2024 | 40,000 | 40,238 |
Fishers Industrial Redevelopment District, Income Tax | ||
Rev., 4.00%, 1/15/2024 | 25,000 | 25,114 |
Rev., 4.00%, 7/15/2024 | 35,000 | 35,262 |
Fort Wayne Redevelopment Authority, Lease Rental Series 2014A, Rev., 3.00%, 8/1/2024 | 50,000 | 49,636 |
GCS School Building Corp. One, Unlimited Ad Valorem Property Tax First Mortgage Rev., 5.00%, 1/15/2026 | 45,000 | 47,408 |
Greenfield Middle School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 5.00%, 7/15/2023 | 30,000 | 30,197 |
Hamilton Southeastern Consolidated School Building Corp., Ad Valorem Property Tax First Mortgage Rev., 4.00%, 1/15/2024 | 25,000 | 25,136 |
Indiana Bond Bank, Special Program, Columbus Learning Center Project Series 2012C, Rev., 5.00%, 8/1/2023 | 105,000 | 105,149 |
Indiana Finance Authority Series 2016C, Rev., 5.00%, 12/1/2024 | 40,000 | 41,297 |
Indiana Finance Authority, Community Foundation of Northwest Indiana Obligated Group Rev., 5.00%, 3/1/2023 | 25,000 | 25,000 |
Indiana Finance Authority, Deaconess Health System Obligated Group | ||
Series 2013A, Rev., 5.00%, 3/1/2023 | 25,000 | 25,000 |
Series 2013A, Rev., 5.00%, 3/1/2023 (b) | 25,000 | 25,000 |
Indiana Finance Authority, First Lien Wastewater, CWA Authority Project Series 2021-1, Rev., 5.00%, 10/1/2023 | 10,000 | 10,103 |
Indiana Finance Authority, Franciscan Alliance, Inc., Obligated Group Series 2016B, Rev., 5.00%, 11/1/2024 | 345,000 | 354,433 |
Indiana Finance Authority, Goshen Health Series B, Rev., 2.10%, 11/1/2026 (c) | 60,000 | 57,429 |
Indiana Finance Authority, Indiana University Health Obligated Group | ||
Rev., 5.00%, 12/1/2024 | 75,000 | 77,355 |
Series B, Rev., 2.25%, 7/1/2025 (c) | 150,000 | 146,430 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Indiana — continued | ||
Indiana Finance Authority, State Revolving Fund Program Series 2012C, Rev., 5.00%, 2/1/2025 | 25,000 | 25,035 |
Indiana Health Facility Financing Authority, Ascension Health Credit Group Rev., 4.00%, 10/1/2025 | 30,000 | 30,648 |
Indiana University Series 2015A, Rev., 5.00%, 6/1/2023 | 70,000 | 70,318 |
Indiana University, Student Fee Series W-2, Rev., 5.00%, 8/1/2023 | 10,000 | 10,077 |
Indianapolis Local Public Improvement Bond Bank, Stormwater Project Series 2013D, Rev., 3.25%, 1/1/2025 | 100,000 | 100,006 |
Ivy Tech Community College of Indiana Series W, Rev., 5.00%, 7/1/2024 | 30,000 | 30,607 |
Ivy Tech Community College of Indiana, Student Fee | ||
Series R-1, Rev., 5.00%, 7/1/2023 | 35,000 | 35,212 |
Series W, Rev., 5.00%, 7/1/2025 | 25,000 | 25,996 |
Jackson County Building Corp. | ||
Rev., 2.00%, 7/15/2023 | 125,000 | 123,986 |
Rev., 2.00%, 1/15/2025 | 125,000 | 120,838 |
Merrillville Community School Corp. | ||
GO, 2.00%, 7/15/2023 | 1,025,000 | 1,016,683 |
GO, 2.00%, 1/15/2024 | 1,040,000 | 1,020,029 |
Merrillville Multi School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2023 | 40,000 | 40,231 |
Michigan City School Building Corp., Ad Valorem Property Tax First Mortgage Series 2016B, Rev., 4.00%, 7/15/2023 | 30,000 | 30,074 |
Munster School Building Corp., Ad Valorem Tax First Mortgage Rev., 4.00%, 7/15/2023 | 85,000 | 85,195 |
New Prairie United School District Building Corp., First Mortgage Rev., 4.00%, 1/15/2025 | 35,000 | 35,475 |
North Adams Community Schools Renovation Building Corp., First Mortgage, Ad Valorem Property Tax Rev., 5.00%, 7/15/2023 | 35,000 | 35,217 |
Perry Township Schools | ||
Series 2022-B, GO, 4.00%, 7/15/2023 | 2,520,000 | 2,522,000 |
Series 2022-C, GO, 4.00%, 7/15/2023 | 1,010,000 | 1,010,801 |
Series 2022-A, GO, 4.00%, 1/15/2024 | 2,800,000 | 2,804,945 |
Series 2022-B, GO, 4.00%, 1/15/2024 | 2,950,000 | 2,955,210 |
Series 2022-C, GO, 4.00%, 1/15/2024 | 2,375,000 | 2,379,194 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 171 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Indiana — continued | ||
Pike Township Multi-School Building Corp., First Mortgage Rev., 5.00%, 7/15/2024 | 350,000 | 358,248 |
Plainfield High School Building Corp., Ad Valorem Property Tax, First Mortgage Series 2019A, Rev., 5.00%, 7/15/2023 | 35,000 | 35,221 |
Purdue University, Student Fee | ||
Series 2016CC, Rev., 5.00%, 7/1/2023 | 40,000 | 40,222 |
Series EE, Rev., 5.00%, 7/1/2023 | 20,000 | 20,111 |
South Gibson School Building Corp., First Mortgage Rev., 4.00%, 1/10/2025 | 40,000 | 40,552 |
Southmont School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 1/15/2025 | 20,000 | 20,646 |
Twin Lakes Regional Sewer District Rev., AGM, 3.00%, 7/1/2023 (b) | 25,000 | 24,984 |
Twin Lakes School Building Corp., First Mortgage Rev., 4.00%, 7/15/2024 | 35,000 | 35,290 |
West Lafayette School Building Corp., Ad Valorem Property Tax, First Mortgage Rev., 5.00%, 7/15/2023 | 85,000 | 85,558 |
Whitestown Redevelopment Authority Rev., 3.00%, 1/15/2024 | 25,000 | 24,856 |
Winfield Building Corp., Indiana Lease Rental, Sewage Works Treatment Plant Project | ||
Rev., 4.00%, 7/15/2023 | 85,000 | 85,195 |
Rev., 4.00%, 1/15/2024 | 35,000 | 35,190 |
Rev., 4.00%, 7/15/2024 | 35,000 | 35,313 |
Rev., 4.00%, 1/15/2025 | 40,000 | 40,412 |
Rev., 4.00%, 7/15/2025 | 40,000 | 40,583 |
Rev., 4.00%, 1/15/2026 | 150,000 | 152,943 |
Zionsville Community Schools Building Corp., First Mortgage, Capital Appreciation Series 2003Z, Rev., NATL - RE, Zero Coupon, 1/15/2025 | 25,000 | 23,389 |
Total Indiana | 17,318,365 | |
Iowa — 0.6% | ||
Ames Community School District GO, 5.00%, 6/1/2023 | 25,000 | 25,110 |
Ankeny Community School District Series 2015A, GO, 5.00%, 6/1/2023 | 20,000 | 20,090 |
City of Bettendorf Series 2013A, GO, 4.00%, 6/1/2023 | 50,000 | 50,103 |
City of Cedar Rapids Series 2018D, Rev., 5.00%, 6/1/2023 | 30,000 | 30,125 |
City of Des Moines Series 2016B, GO, 4.00%, 6/1/2023 | 25,000 | 25,051 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Iowa — continued | ||
County of Polk Series 2017C, GO, 5.00%, 6/1/2023 | 45,000 | 45,200 |
County of Scott, Solid Waste Disposal Series 2015A, GO, 4.00%, 6/1/2023 | 25,000 | 25,047 |
Des Moines Area Community College, Plant Fund Capital Loan 4.00%, 6/1/2023 | 100,000 | 100,064 |
GMG Community School District GO, 4.00%, 6/1/2023 | 40,000 | 40,051 |
Iowa Finance Authority, Health System Rev., (SIFMA Municipal Swap Index Yield + 0.50%), 3.38%, 3/9/2023 (d) (e) | 14,220,000 | 14,192,180 |
Janesville Consolidated School District GO, 3.00%, 6/1/2023 | 25,000 | 24,979 |
Linn-Mar Community School District GO, 5.00%, 5/1/2023 | 80,000 | 80,230 |
North Polk Community School District Series 2017A, GO, 3.00%, 6/1/2023 | 30,000 | 29,975 |
State of Iowa Board of Regents, University of Iowa, Hospitals and Clinics Series 2019SUI, Rev., 5.00%, 9/1/2025 | 25,000 | 26,112 |
State of Iowa, Special Obligation Rev., 5.00%, 6/15/2023 | 25,000 | 25,120 |
University of Iowa (The), Recreational Facilities Series 2017B, Rev., 4.00%, 7/1/2023 | 20,000 | 20,051 |
Total Iowa | 14,759,488 | |
Kansas — 0.1% | ||
Blue Valley Recreation Commission Series B, COP, AGM, 5.00%, 10/1/2023 | 30,000 | 30,310 |
Butler County Unified School District No. 375 Circle, School Building Series 2013-1, GO, AGM, 3.38%, 9/1/2023 (b) | 20,000 | 20,019 |
City of Manhattan, Temporary Notes Series 2020-03, GO, 0.75%, 6/15/2024 | 185,000 | 178,236 |
County of Anderson Series 2013A, GO, AGM, 4.75%, 8/1/2023 (b) | 50,000 | 50,323 |
County of Shawnee COP, 3.00%, 9/1/2024 | 35,000 | 34,765 |
Johnson County Unified School District No. 233 Olathe Series 2016C, GO, 5.00%, 9/1/2023 | 50,000 | 50,452 |
Kansas Development Finance Authority Series 2015A, Rev., 5.00%, 5/1/2023 (b) | 825,000 | 827,484 |
Kansas Development Finance Authority, National Bio and Agro-Defense Facility Series 2015G, Rev., 5.00%, 4/1/2023 (b) | 175,000 | 175,258 |
172 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Kansas — continued | ||
Kansas Development Finance Authority, University Project Series 2014C, Rev., 5.00%, 5/1/2023 | 195,000 | 195,183 |
Neosho County Unified School District No. 413 GO, AGM, 4.00%, 9/1/2023 (b) | 25,000 | 25,103 |
Sedgwick County Unified School District No. 266 Maize Series 2015A, GO, 4.00%, 9/1/2023 (b) | 25,000 | 25,110 |
Seward County Unified School District No. 480 Liberal Series 2017-B, GO, 5.00%, 9/1/2023 | 10,000 | 10,086 |
State of Kansas Department of Transportation Series 2015A, Rev., 5.00%, 9/1/2023 | 45,000 | 45,395 |
Total Kansas | 1,667,724 | |
Kentucky — 1.0% | ||
County of Daviess Series 2012A, GO, 2.00%, 9/1/2023 | 50,000 | 49,552 |
Eastern Kentucky University, General Receipts Series 2012A, Rev., 5.00%, 4/1/2023 | 35,000 | 35,041 |
Fayette County School District Finance Corp. Series 2013A, Rev., 5.00%, 10/1/2023 (b) | 25,000 | 25,270 |
Kenton County Public Properties Corp., Court Facilities Project Rev., 3.00%, 3/1/2024 | 500,000 | 496,639 |
Kentucky Asset Liability Commission, Federal Highway Trust Fund Series 2013A, Rev., 5.25%, 9/1/2025 | 310,000 | 312,660 |
Kentucky Economic Development Finance Authority Series 2011-B, Rev., (SIFMA Municipal Swap Index Yield + 1.40%), 4.20%, 3/9/2023 (d) | 12,715,000 | 12,735,324 |
Kentucky Infrastructure Authority, Wastewater and Drinking Water Revolving Fund Series 2018A, Rev., 3.00%, 2/1/2024 | 25,000 | 24,920 |
Kentucky Municipal Power Agency Series A, Rev., NATL - RE, 5.00%, 9/1/2024 | 310,000 | 316,855 |
Kentucky Municipal Power Agency, Prairie State Project Series 2015A, Rev., NATL - RE, 5.00%, 9/1/2023 | 1,875,000 | 1,888,612 |
Kentucky Public Energy Authority, Gas Supply | ||
Series A-1, Rev., 4.00%, 8/1/2023 | 1,050,000 | 1,049,841 |
Series A-1, Rev., 4.00%, 2/1/2024 | 2,500,000 | 2,498,643 |
Series 2018A, Rev., 4.00%, 4/1/2024 (c) | 155,000 | 155,098 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Kentucky — continued | ||
Series 2020A, Rev., 4.00%, 6/1/2026 (c) | 710,000 | 703,220 |
Kentucky Public Transportation Infrastructure Authority, First Tier Downtown Crossing Series 2013A, Rev., 5.75%, 7/1/2023 (b) | 4,000,000 | 4,028,938 |
Kentucky State Property and Building Commission, Project No. 106 Series 2013A, Rev., 5.00%, 10/1/2023 (b) | 55,000 | 55,594 |
Kentucky State Property and Building Commission, Project No. 115 Rev., 5.00%, 4/1/2023 | 120,000 | 120,152 |
Kentucky State Property and Building Commission, Project No. 119 Rev., 5.00%, 5/1/2023 | 25,000 | 25,065 |
Kentucky Turnpike Authority, Revitalization Projects | ||
Series B, Rev., 5.00%, 7/1/2023 | 70,000 | 70,382 |
Series 2014A, Rev., 5.00%, 7/1/2024 | 35,000 | 35,754 |
Series B, Rev., 5.00%, 7/1/2025 | 95,000 | 98,742 |
Lexington-Fayette Urban County Government, Various Purpose Series 2012B, GO, 3.00%, 7/1/2024 | 100,000 | 99,285 |
Louisville and Jefferson County Metropolitan Government, Norton Healthcare, Inc. | ||
Series 2016A, Rev., 5.00%, 10/1/2023 | 50,000 | 50,396 |
Series 2020B, Rev., 5.00%, 10/1/2023 (c) | 780,000 | 783,095 |
Louisville and Jefferson County Metropolitan Sewer District, Sewer and Drainage System | ||
Series 2013C, Rev., 3.25%, 5/15/2023 (b) | 25,000 | 25,004 |
Series 2016C, Rev., 5.00%, 5/15/2023 | 25,000 | 25,098 |
Louisville Water Co., Metro Government Waterworks Board Rev., 5.00%, 11/15/2023 | 25,000 | 25,308 |
Scott County School District Finance Corp. Rev., 5.00%, 6/1/2025 | 20,000 | 20,772 |
University of Kentucky, General Receipts | ||
Series 2015A, Rev., 5.00%, 4/1/2023 | 25,000 | 25,033 |
Series 2015B, Rev., 5.00%, 10/1/2024 | 20,000 | 20,540 |
Total Kentucky | 25,800,833 | |
Louisiana — 0.9% | ||
City of New Orleans, Sewerage Service Rev., 5.00%, 6/1/2023 | 15,000 | 15,060 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 173 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Louisiana — continued | ||
Louisiana Energy and Power Authority, Power Project Series 2013A, Rev., AGM, 4.50%, 6/1/2023 (b) | 40,000 | 40,129 |
Louisiana Local Government Environmental Facilities and Community Development Authority, City of Lake Charles Public Improvement Project Rev., 5.00%, 5/1/2023 | 100,000 | 100,276 |
Louisiana Local Government Environmental Facilities and Community Development Authority, Jefferson Parish Projects Rev., 5.00%, 4/1/2023 | 100,000 | 100,135 |
Louisiana Public Facilities Authority, Ochsner Clinic Foundation Project Rev., 5.00%, 5/15/2023 | 285,000 | 285,801 |
Louisiana Stadium and Exposition District | ||
Rev., BAN, 4.00%, 7/3/2023 | 1,750,000 | 1,750,331 |
Rev., BAN, 5.00%, 7/3/2023 | 5,700,000 | 5,705,587 |
Parish of St. John the Baptist, Marathon Oil Corp., Project Series 2017A-1, Rev., 2.00%, 4/1/2023 (c) | 3,665,000 | 3,659,697 |
St. Tammany Parish Sales Tax District No. 3, Sales Tax Rev., 5.00%, 6/1/2023 | 100,000 | 100,439 |
State of Louisiana | ||
Series 2014-C, GO, 5.00%, 8/1/2023 | 10,000 | 10,075 |
Rev., 5.00%, 9/1/2023 | 15,000 | 15,136 |
State of Louisiana Gasoline and Fuels Tax, Second Lien | ||
Series 2022A, Rev., (SOFR + 0.50%), 3.68%, 3/4/2023 (d) | 7,940,000 | 7,752,348 |
Series 2017A, Rev., 0.60%, 4/3/2023 (c) | 2,880,000 | 2,861,632 |
Series 2017D, Rev., 0.60%, 5/1/2023 (c) | 115,000 | 114,266 |
Total Louisiana | 22,510,912 | |
Maine — 0.0% ^ | ||
City of Lewiston, Public Improvement GO, 4.00%, 4/15/2023 | 25,000 | 25,025 |
County of Cumberland GO, 2.00%, 4/1/2023 | 30,000 | 29,957 |
Maine Governmental Facilities Authority, Lease Rental Series 2015B, Rev., 2.00%, 10/1/2023 | 10,000 | 9,904 |
Maine Health and Higher Educational Facilities Authority | ||
Series 2014A, Rev., 5.00%, 7/1/2023 | 85,000 | 85,492 |
Series 2017B, Rev., 5.00%, 7/1/2023 | 55,000 | 55,255 |
Series 2019A, Rev., 5.00%, 7/1/2023 | 50,000 | 50,257 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Maine — continued | ||
Series 2020A, Rev., 5.00%, 7/1/2023 (b) | 39,310 | 39,538 |
Series 2020A, Rev., 5.00%, 7/1/2023 | 60,690 | 61,001 |
Maine Municipal Bond Bank | ||
Series 2016C, Rev., 4.00%, 11/1/2023 | 25,000 | 25,133 |
Series 2018B, Rev., 5.00%, 11/1/2023 | 20,000 | 20,237 |
Series 2021A, Rev., 5.00%, 11/1/2023 | 500,000 | 505,924 |
Series 2014C, Rev., 5.00%, 11/1/2024 | 25,000 | 25,757 |
Maine School Administrative District No. 51 GO, 4.00%, 8/1/2025 | 50,000 | 51,123 |
Maine Turnpike Authority Rev., 5.00%, 7/1/2023 | 10,000 | 10,058 |
State of Maine Series 2017B, GO, 5.00%, 6/1/2023 | 10,000 | 10,046 |
Town of Cumberland GO, 5.00%, 5/1/2023 | 35,000 | 35,104 |
University of Maine System | ||
Rev., 5.00%, 3/1/2023 | 70,000 | 70,000 |
Rev., 5.00%, 3/1/2025 | 55,000 | 56,997 |
Total Maine | 1,166,808 | |
Maryland — 0.1% | ||
City of Baltimore Series D, Rev., 5.00%, 7/1/2023 | 25,000 | 25,147 |
City of Baltimore, Wastewater Projects Series 2013C, Rev., 5.00%, 7/1/2023 | 30,000 | 30,177 |
County of Anne Arundel, Arundel Mills Project Rev., GTD, 5.00%, 7/1/2023 | 50,000 | 50,306 |
County of Anne Arundel, Consolidated General Improvement GO, 5.00%, 4/1/2023 | 60,000 | 60,084 |
County of Baltimore, Consolidated Public Improvement | ||
GO, 5.00%, 3/1/2023 | 70,000 | 70,000 |
GO, 5.00%, 2/1/2025 | 25,000 | 25,913 |
County of Charles, Consolidated Public Improvement GO, 5.00%, 7/15/2023 | 45,000 | 45,300 |
County of Montgomery, College Foundation, Inc. Series 2016A, COP, 5.00%, 11/1/2023 | 150,000 | 151,698 |
County of Montgomery, Consolidated Public Improvement Series 2015B, GO, 5.00%, 12/1/2023 | 115,000 | 116,573 |
County of Prince George's, Consolidated Public Improvement | ||
Series 2013A, GO, 3.00%, 3/1/2023 | 25,000 | 25,000 |
Series 2013B, GO, 3.00%, 3/1/2023 | 45,000 | 45,000 |
Series 2013A, GO, 3.00%, 3/1/2024 | 30,000 | 29,967 |
174 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Maryland — continued | ||
County of Washington, Consolidated Public Improvement GO, 4.00%, 7/1/2023 | 30,000 | 30,076 |
Maryland Community Development Administration, Housing and Community Development Series 2019A, Rev., 2.10%, 3/1/2024 | 20,000 | 19,716 |
Maryland Health & Higher Educational Facilities Authority | ||
Series 2013C, Rev., 5.00%, 5/15/2023 (b) | 125,000 | 125,441 |
Series 2020B-1, Rev., 5.00%, 7/1/2025 (c) | 150,000 | 153,739 |
Maryland Health and Higher Educational Facilities Authority, Lifebridge Health Issue Rev., 5.00%, 7/1/2025 | 45,000 | 46,527 |
State of Maryland Department of Transportation, Second Issue Rev., 5.00%, 6/1/2025 | 65,000 | 65,309 |
State of Maryland, Department of Transportation | ||
Rev., 5.00%, 5/1/2023 | 20,000 | 20,059 |
Rev., 5.00%, 11/1/2023 | 40,000 | 40,479 |
State of Maryland, State and Local Facilities Loan of 2015 Series 2015A, GO, 4.00%, 3/1/2023 (b) | 20,000 | 20,000 |
University System of Maryland, Auxiliary Facility and Tuition Series 2017B, Rev., 5.00%, 4/1/2023 | 25,000 | 25,036 |
Washington Suburban Sanitary Commission Rev., 4.00%, 6/1/2023 (b) | 140,000 | 140,298 |
Washington Suburban Sanitary Commission, Consolidated Public Improvement Rev., GTD, 5.00%, 6/1/2023 (b) | 35,000 | 35,160 |
Total Maryland | 1,397,005 | |
Massachusetts — 2.2% | ||
Boston Water and Sewer Commission Series B, Rev., 5.00%, 11/1/2023 (b) | 25,000 | 25,308 |
Bristol-Plymouth Regional Vocational Technical School District GO, BAN, 4.50%, 2/28/2024 | 6,000,000 | 6,011,275 |
Brockton Area Transit Authority Rev., RAN, 3.75%, 7/28/2023 | 6,100,000 | 6,094,440 |
City of Boston | ||
Series 2013A, GO, 4.00%, 3/1/2023 (b) | 105,000 | 105,000 |
Series 2016A, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
Series 2010B, GO, 3.00%, 4/1/2023 | 40,000 | 39,995 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Massachusetts — continued | ||
Series 2015A, GO, 5.00%, 4/1/2023 | 185,000 | 185,273 |
Series 2013B, GO, 4.00%, 1/1/2024 | 20,000 | 20,014 |
City of Northampton, Municipal Purpose Loan GO, 4.00%, 6/1/2023 | 25,000 | 25,057 |
City of Woburn, Municipal Purpose Loan GO, 2.63%, 11/15/2025 | 100,000 | 98,289 |
Commonwealth of Massachusetts | ||
Series 2016C, GO, 5.00%, 4/1/2023 | 20,000 | 20,032 |
Series 2019C, GO, 5.00%, 5/1/2023 | 30,000 | 30,093 |
Series C, GO, 5.00%, 10/1/2023 | 25,000 | 25,274 |
Series 2015A, GO, 5.00%, 5/1/2024 | 80,000 | 80,242 |
Commonwealth of Massachusetts Federal Highway | ||
Series 2014A, Rev., GAN, 5.00%, 6/15/2024 | 25,000 | 25,615 |
Series 2016A, Rev., GAN, 5.00%, 6/15/2024 | 25,000 | 25,137 |
Series 2017A, Rev., GAN, 5.00%, 6/15/2024 | 20,000 | 20,110 |
Commonwealth of Massachusetts Transportation Fund Series 2016A, Rev., 5.00%, 6/1/2023 | 20,000 | 20,089 |
Commonwealth of Massachusetts, Consolidated Loan of 2014 Series C, GO, 5.00%, 7/1/2023 | 50,000 | 50,076 |
Massachusetts Bay Transportation Authority, Sales Tax | ||
Series 2014A, Rev., 5.00%, 7/1/2023 | 10,000 | 10,059 |
Series 2003C, Rev., 5.25%, 7/1/2023 | 30,000 | 30,201 |
Massachusetts Development Finance Agency, Boston University Issue Series 2019DD-1, Rev., 5.00%, 4/1/2024 (c) | 5,110,000 | 5,160,165 |
Massachusetts Development Finance Agency, Caregroup Issue | ||
Series 2015H-1, Rev., 5.00%, 7/1/2023 | 100,000 | 100,414 |
Series 2015H-1, Rev., 5.00%, 7/1/2025 | 35,000 | 36,124 |
Massachusetts Development Finance Agency, North Hill Community Issue Series 2013A, Rev., 6.50%, 11/15/2023 (b) (e) | 675,000 | 689,007 |
Massachusetts Development Finance Agency, Partners Healthcare System Issue | ||
Series 2019T-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.40%, 3/9/2023 (d) (e) | 1,075,000 | 1,060,945 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 175 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Massachusetts — continued | ||
Series 2017S-4, Rev., 5.00%, 1/25/2024 (c) | 200,000 | 202,306 |
Series 2016S-2, Rev., 5.00%, 1/30/2025 (c) | 165,000 | 169,623 |
Massachusetts Development Finance Agency, Salem Community Corp. | ||
Rev., 5.00%, 1/1/2024 | 345,000 | 344,449 |
Rev., 5.00%, 1/1/2025 | 365,000 | 363,338 |
Massachusetts Development Finance Agency, Trustees of Boston University Series DD-2, Rev., 5.00%, 4/1/2024 (c) | 40,000 | 40,393 |
Massachusetts Development Finance Agency, Williams College Series 2013P, Rev., 5.00%, 7/1/2024 | 45,000 | 45,258 |
Massachusetts Housing Finance Agency | ||
Series 2020C-2, Rev., FHA, 0.50%, 6/1/2023 | 765,000 | 758,767 |
Series 2020A-3, Rev., FHA, 0.88%, 12/1/2023 | 180,000 | 176,781 |
Massachusetts Housing Finance Agency, Single Family Housing Series 220, Rev., GNMA / FNMA / FHLMC, 5.00%, 6/1/2023 | 295,000 | 296,088 |
Massachusetts School Building Authority, Dedicated Sales Tax | ||
Series 2013A, Rev., 3.00%, 5/15/2023 (b) | 20,000 | 19,995 |
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | 20,000 | 20,075 |
Series 2018A, Rev., 5.00%, 2/15/2024 (b) | 20,000 | 20,333 |
Massachusetts State College Building Authority | ||
Series A, Rev., 4.00%, 5/1/2023 (b) | 5,000 | 5,006 |
Series A, Rev., 4.00%, 5/1/2023 | 15,000 | 15,020 |
Series 2011A, Rev., 5.00%, 5/1/2023 | 35,000 | 35,103 |
Series 2014A, Rev., 5.00%, 5/1/2023 (b) | 675,000 | 677,032 |
Massachusetts Water Resources Authority | ||
Series 2014-F, Rev., 5.00%, 8/1/2024 (b) | 15,000 | 15,387 |
Series 2014-F, Rev., 5.00%, 8/1/2024 | 5,000 | 5,131 |
Series F, Rev., 5.00%, 8/1/2024 (b) | 15,000 | 15,397 |
Pentucket Regional School District, Unlimited Tax GO, 5.00%, 6/1/2023 | 25,000 | 25,112 |
Pioneer Valley Transit Authority Rev., RAN, 4.00%, 7/14/2023 | 9,500,000 | 9,506,465 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Massachusetts — continued | ||
Town of Brewster, Municipal Purpose Loan GO, 5.00%, 5/1/2023 | 20,000 | 20,060 |
Town of Brookline, Municipal Purpose Loan | ||
GO, 4.00%, 3/15/2023 | 20,000 | 20,006 |
GO, 5.00%, 3/15/2023 | 20,000 | 20,013 |
Town of Hamilton GO, BAN, 3.50%, 8/17/2023 | 2,257,767 | 2,248,623 |
Town of Hanover GO, 4.00%, 5/15/2023 | 45,000 | 45,074 |
Town of Marblehead GO, 4.00%, 8/15/2023 | 50,000 | 50,032 |
Town of Marshfield, Municipal Purpose Loan GO, 5.00%, 11/1/2024 | 25,000 | 25,038 |
Town of Medfield, Municipal Purpose Loan GO, 2.13%, 9/15/2023 | 100,000 | 99,457 |
Town of Middleton, Municipal Purpose Loan GO, 2.50%, 8/15/2025 | 40,000 | 39,116 |
Town of Millis GO, BAN, 3.50%, 5/24/2023 | 4,120,000 | 4,118,038 |
Town of Norwood GO, 5.00%, 6/15/2023 | 45,000 | 45,238 |
Town of Plainville GO, BAN, 3.50%, 6/28/2023 | 2,500,000 | 2,495,212 |
Town of Tewksbury, Municipal Purpose Loan GO, 4.00%, 1/15/2025 | 25,000 | 25,430 |
Town of West Newbury GO, BAN, 3.50%, 7/13/2023 | 1,060,000 | 1,058,006 |
Worcester Regional Transit Authority Rev., RAN, 3.25%, 6/23/2023 | 11,300,000 | 11,281,882 |
Total Massachusetts | 54,356,518 | |
Michigan — 1.1% | ||
Adrian City School District, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | 200,000 | 200,210 |
Ann Arbor School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 40,000 | 40,114 |
Birmingham City School District, Unlimited Tax GO, 4.00%, 5/1/2023 | 500,000 | 500,575 |
Bloomfield Hills School District, Unlimited Tax GO, 5.00%, 5/1/2023 | 20,000 | 20,057 |
Caledonia Community Schools, Unlimited Tax Series 2020I, GO, Q-SBLF, 4.00%, 5/1/2023 | 10,000 | 10,013 |
Charter Township of Canton, Limited Tax GO, 5.00%, 4/1/2023 | 20,000 | 20,028 |
Charter Township of Lyon Series 2006-A, GO, XLCA, 4.13%, 11/1/2023 | 45,000 | 45,072 |
Chippewa Valley Schools | ||
GO, Q-SBLF, 3.50%, 5/1/2023 (b) | 30,000 | 30,016 |
GO, Q-SBLF, 3.63%, 5/1/2023 (b) | 45,000 | 45,033 |
176 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Michigan — continued | ||
GO, Q-SBLF, 5.00%, 5/1/2023 (b) | 20,000 | 20,060 |
GO, Q-SBLF, 5.25%, 5/1/2023 (b) | 30,000 | 30,102 |
Chippewa Valley Schools, Unlimited Tax | ||
GO, Q-SBLF, 4.00%, 5/1/2023 | 45,000 | 45,041 |
Series 2016B, GO, Q-SBLF, 5.00%, 5/1/2023 | 20,000 | 20,051 |
City of Ann Arbor, Limited Tax GO, 3.00%, 10/1/2023 | 25,000 | 24,960 |
City of Auburn Hills, Limited tax GO, 3.00%, 6/1/2023 | 35,000 | 34,964 |
City of Battle Creek, Limited Tax GO, 5.00%, 5/1/2023 | 25,000 | 25,071 |
City of Grand Rapids, Capital Improvement, Limited Tax GO, 5.00%, 4/1/2024 | 50,000 | 50,924 |
City of Lathrup Village, Limited Tax GO, 5.00%, 10/1/2025 | 45,000 | 47,056 |
City of Marquette, Capital Improvement GO, 4.00%, 5/1/2023 | 200,000 | 200,230 |
City of Marquette, Transportation Fund, Limited Tax GO, 4.00%, 5/1/2023 | 170,000 | 170,195 |
City of South Haven, Limited Tax GO, 4.00%, 10/1/2023 | 70,000 | 70,256 |
City of Southfield, Water and Sewer Capital Improvement, Limited Tax GO, 3.00%, 5/1/2023 | 85,000 | 84,973 |
Clarkston Community Schools, Unlimited Tax Series 2016A, GO, Q-SBLF, 5.00%, 5/1/2023 | 40,000 | 40,113 |
Constantine Public Schools GO, Q-SBLF, 5.00%, 5/1/2023 | 35,000 | 35,100 |
County of Jackson, Transportation GO, 2.00%, 5/1/2024 | 250,000 | 244,737 |
County of Macomb, Limited Tax GO, 4.00%, 5/1/2023 | 35,000 | 35,049 |
Dansville Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 25,000 | 25,072 |
Dearborn School District, School Building and Site Series 2014A, GO, Q-SBLF, 4.00%, 11/1/2023 (b) | 35,000 | 35,191 |
East Lansing School District, Unlimited Tax Series 2020-II, GO, Q-SBLF, 4.00%, 5/1/2023 | 180,000 | 180,237 |
Farmington Public School District, School Building Site, Unlimited Tax GO, 4.00%, 5/1/2023 | 20,000 | 20,025 |
Forest Hills Public Schools, 2021 School Building and Site, Unlimited Tax GO, 4.00%, 5/1/2023 | 20,000 | 20,025 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Michigan — continued | ||
Forest Hills Public Schools, Unlimited Tax GO, 5.00%, 5/1/2023 | 20,000 | 20,057 |
Fraser Public School District, School Building and Site, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 35,000 | 35,100 |
Genesee Intermediate School District GO, 3.00%, 5/1/2023 | 30,000 | 29,982 |
Grand Valley State University | ||
Series 2014B, Rev., 5.00%, 12/1/2023 | 310,000 | 313,827 |
Series 2016A, Rev., 5.00%, 12/1/2024 | 670,000 | 689,304 |
Grandville Public Schools, School Building and Site Series 2013-I, GO, 4.75%, 5/1/2023 | 100,000 | 100,244 |
Great Lakes Water Authority, Water Supply System, Second Lien Series 2018A, Rev., 5.00%, 7/1/2023 | 85,000 | 85,498 |
Hanover Horton School District, Unlimited tax GO, AGM, 4.00%, 5/1/2023 | 20,000 | 20,019 |
Healthsource Saginaw, Inc., Unlimited Tax GO, 4.00%, 5/1/2023 | 100,000 | 100,062 |
Hudsonville Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 25,000 | 25,072 |
Ingham County Building Authority, Limited Tax Rev., 2.00%, 5/1/2023 | 35,000 | 34,880 |
Kalamazoo Hospital Finance Authority, Bronson Healthcare Group, Inc. Rev., 5.00%, 5/15/2024 (b) | 5,000 | 5,099 |
Kent Hospital Finance Authority, Mary Free Bed Rehabilitation Hospital | ||
Series 2021A, Rev., 5.00%, 4/1/2024 | 540,000 | 545,049 |
Series 2021A, Rev., 5.00%, 4/1/2025 | 565,000 | 576,398 |
Lake Michigan College District, Building and Site, Limited Tax | ||
GO, 4.00%, 9/1/2023 (b) | 25,000 | 25,110 |
GO, 4.25%, 9/1/2023 (b) | 20,000 | 20,112 |
Lake Orion Community School District GO, Q-SBLF, 5.00%, 5/1/2023 | 25,000 | 25,073 |
L'Anse Creuse Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 50,000 | 50,140 |
Lansing School District, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | 65,000 | 65,074 |
Linden Community School District, School Building and Site, Unlimited Tax Series 2021-I, GO, Q-SBLF, 4.00%, 5/1/2025 | 30,000 | 30,494 |
Livonia Municipal Building Authority, Limited Tax Rev., 4.00%, 5/1/2024 | 40,000 | 40,336 |
Livonia Public Schools GO, 5.00%, 5/1/2023 | 1,300,000 | 1,303,266 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 177 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Michigan — continued | ||
Macomb Interceptor Drain Drainage District, Limited Tax Series 2017A, GTD, 5.00%, 5/1/2023 | 80,000 | 80,234 |
Madison District Public Schools, School Building and Site | ||
GO, Q-SBLF, 4.00%, 5/1/2023 (b) | 20,000 | 20,025 |
GO, Q-SBLF, 4.25%, 5/1/2023 (b) | 30,000 | 30,049 |
Marquette Board of Light and Power Series 2016A, Rev., 5.00%, 7/1/2023 | 45,000 | 45,220 |
Michigan Finance Authority, Ascension Senior Credit Group Series 2016E-1, Rev., 4.00%, 8/15/2024 (c) | 60,000 | 59,660 |
Michigan Finance Authority, Beaumont Health Credit Group Series 2015A, Rev., 5.00%, 8/1/2024 (b) | 40,000 | 41,003 |
Michigan Finance Authority, Beaumont- Spectrum Consolidation Series 2022A, Rev., 5.00%, 4/15/2023 | 85,000 | 85,165 |
Michigan Finance Authority, Clean Water Revolving Fund | ||
Series 2016B, Rev., 5.00%, 10/1/2023 | 25,000 | 25,251 |
Series 2016B, Rev., 5.00%, 10/1/2024 | 150,000 | 154,164 |
Michigan Finance Authority, Henry Ford Health System Rev., 5.00%, 11/15/2023 | 20,000 | 20,188 |
Michigan Finance Authority, Trinity Health Credit Group | ||
Series 2019MI-1, Rev., 5.00%, 12/1/2023 | 125,000 | 126,636 |
Series 2017A, Rev., 5.00%, 12/1/2024 | 285,000 | 293,947 |
Series 2019MI-2, Rev., 5.00%, 2/1/2025 (c) | 5,910,000 | 6,088,046 |
Michigan State Building Authority, Facilities Program Series 2015I, Rev., 5.00%, 4/15/2023 | 870,000 | 871,778 |
Michigan State Building Authority, Multi Modal Program Rev., VRDO, 2.86%, 3/9/2023 (c) | 8,635,000 | 8,635,000 |
Michigan State Hospital Finance Authority, Ascension Health Credit Group Series F-5, Rev., 2.40%, 3/15/2023 (c) | 1,230,000 | 1,229,037 |
Michigan State Hospital Finance Authority, Trinity Health Credit Group Series 2008C, Rev., 5.00%, 12/1/2024 | 255,000 | 263,005 |
Michigan State Housing Development Authority, Single Family Mortgage Series 2020A, Rev., 0.80%, 6/1/2023 | 150,000 | 148,986 |
Michigan State University Series 2013A, Rev., 5.00%, 8/15/2023 | 10,000 | 10,081 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Michigan — continued | ||
Montague Area Public Schools Series 2015B, GO, Q-SBLF, 4.00%, 5/1/2023 | 300,000 | 300,380 |
Mount Clemens Community School District, Unlimited Tax Series 2017A, GO, Q-SBLF, 5.00%, 5/1/2023 | 25,000 | 25,071 |
Oakland University | ||
Rev., 5.00%, 3/1/2023 | 115,000 | 115,000 |
Series 2013-A, Rev., 5.00%, 3/1/2023 | 2,000,000 | 2,000,000 |
Plymouth-Canton Community School District, School Building and Site Series 2013A, GO, 4.00%, 5/1/2023 (b) | 20,000 | 20,028 |
Plymouth-Canton Community School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 95,000 | 95,284 |
Port Huron Area School District, School Building and Site, Unlimited Tax GO, AGM, 4.00%, 5/1/2023 | 25,000 | 25,030 |
Richmond Community Schools, Unlimited Tax Series 2020I, GO, 4.00%, 5/1/2023 | 400,000 | 400,428 |
Rochester Community School District, School Building and Site, Unlimited Tax Series II, GO, 3.00%, 5/1/2023 | 40,000 | 39,966 |
Saginaw City School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2024 | 35,000 | 35,654 |
Saline Area Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 90,000 | 90,247 |
Schoolcraft Community College District, Limited Tax GO, 3.00%, 5/1/2024 | 115,000 | 114,404 |
Shepherd Public Schools, Unlimited Tax Series 2017A, GO, Q-SBLF, 3.00%, 5/1/2023 | 45,000 | 44,971 |
South Lake Schools, School Building and Site GO, Q-SBLF, 4.00%, 11/1/2024 | 25,000 | 25,199 |
Southfield Library Building Authority, Limited Tax Rev., 5.00%, 5/1/2023 | 40,000 | 40,113 |
Troy School District, School Building and Site GO, Q-SBLF, 5.00%, 5/1/2023 | 25,000 | 25,075 |
Troy School District, Unlimited Tax, School Building and Site GO, Q-SBLF, 5.00%, 11/1/2023 (b) | 20,000 | 20,233 |
Utica Community Schools, School Building and Site, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | 45,000 | 45,044 |
Vicksburg Community Schools, Unlimited Tax Series 2020-I, GO, Q-SBLF, 4.50%, 5/1/2023 | 40,000 | 40,076 |
Walled Lake Consolidated School District, School Building and Site GO, Q-SBLF, 5.00%, 11/1/2023 (b) | 30,000 | 30,359 |
178 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Michigan — continued | ||
Warren Woods Public Schools, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 20,000 | 20,052 |
Waterford School District, Unlimited Tax GO, Q-SBLF, 5.00%, 5/1/2023 | 60,000 | 60,167 |
Wayne State University | ||
Series 2013A, Rev., 5.00%, 11/15/2024 | 100,000 | 101,215 |
Series 2019A, Rev., 5.00%, 11/15/2024 | 210,000 | 216,098 |
West Ottawa Public Schools, School Building and Site, Unlimited Tax GO, 4.00%, 5/1/2023 | 20,000 | 20,027 |
Western Michigan University Series 2015A, Rev., 5.00%, 11/15/2024 | 40,000 | 41,121 |
White Cloud Public Schools, Unlimited Tax GO, Q-SBLF, 4.00%, 5/1/2023 | 25,000 | 25,023 |
Ypsilanti Community Utilities Authority, Water Supply System No. 7, Charter Township Ypsilanti, Limited Tax Rev., 4.00%, 4/1/2023 | 175,000 | 175,083 |
Ypsilanti School District, Unlimited Tax Series 2016A, GO, Q-SBLF, 5.00%, 5/1/2023 | 40,000 | 40,114 |
Total Michigan | 28,969,683 | |
Minnesota — 1.4% | ||
City of Minneapolis, Improvement and Various Purpose GO, 4.00%, 12/1/2023 | 45,000 | 45,260 |
City of New Hope, Hennepin County Series 2018A, GO, 4.00%, 2/1/2024 | 50,000 | 50,344 |
City of Rochester Series 2015B, GO, 5.00%, 12/1/2023 | 20,000 | 20,274 |
City of St. Cloud, Centracare Health System Series 2014B, Rev., 5.00%, 5/1/2023 | 25,000 | 25,059 |
City of St. Cloud, Infrastructure Management Fund Series 2013A, GO, 3.00%, 2/1/2025 | 45,000 | 44,983 |
City of St. Paul, Sales Tax Series 2019C, Rev., 3.00%, 11/1/2023 | 25,000 | 24,941 |
City of St. Paul, Street Improvement, Special Assessment Series 2018B, GO, 5.00%, 5/1/2023 | 20,000 | 20,060 |
City of West St. Paul Series 2017A, GO, 4.00%, 2/1/2025 | 30,000 | 30,430 |
County of Anoka, Capital Improvement Series 2020A, GO, 5.00%, 2/1/2024 | 40,000 | 40,639 |
County of Clay Series 2017A, GO, 5.00%, 2/1/2025 | 50,000 | 51,789 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Minnesota — continued | ||
County of Martin Series 2021A, GO, 3.00%, 12/15/2023 | 40,000 | 39,927 |
County of Mille Lacs, Drainage Series 2019B, GO, 3.00%, 2/1/2024 | 45,000 | 44,790 |
County of St. Louis, Capital Improvement | ||
Series 2015B, GO, 3.00%, 12/1/2023 | 75,000 | 74,877 |
Series 2016B, GO, 5.00%, 12/1/2023 | 35,000 | 35,474 |
Duluth Economic Development Authority, Benedictine Health System Series 2021A, Rev., 3.00%, 7/1/2023 | 205,000 | 203,983 |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area Series 2017B, GO, 5.00%, 3/1/2023 | 35,000 | 35,000 |
Metropolitan Council, Minneapolis St. Paul Metropolitan Area, Wastewater Series 2016C, GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
Minneapolis-St. Paul Metropolitan Airports Commission Series 2014A, Rev., 5.00%, 1/1/2026 | 70,000 | 70,945 |
Minnesota Higher Education Facilities Authority, Carleton College Rev., 5.00%, 3/1/2023 | 220,000 | 220,000 |
Minnesota Municipal Gas Agency Series 2022B, Rev., LIQ : Royal Bank of Canada, (SOFR + 1.00%), 4.05%, 3/4/2023 (d) | 35,000,000 | 34,083,427 |
Minnesota Public Facilities Authority Series 2010A, Rev., 5.00%, 3/1/2023 | 50,000 | 50,000 |
Minnesota State Colleges and Universities Foundation Series 2019A, Rev., 5.00%, 10/1/2023 | 25,000 | 25,260 |
Minnetonka Independent School District No. 276 Series E, COP, 4.00%, 10/1/2023 | 115,000 | 115,394 |
Northern Municipal Power Agency Series 2013A, Rev., 5.00%, 1/1/2024 | 50,000 | 50,064 |
Rochester Independent School District No. 535 Series 2014A, COP, 3.00%, 2/1/2024 | 25,000 | 24,957 |
Rosemount-Apple Valley-Eagan Independent School District No. 196 Series 2016A, GO, 5.00%, 2/1/2025 | 35,000 | 36,245 |
Southern Minnesota Municipal Power Agency Series 1994A, Rev., NATL - RE, Zero Coupon, 1/1/2024 | 50,000 | 48,517 |
St. Cloud Independent School District No. 742 Series 2021A, COP, 3.00%, 2/1/2025 | 125,000 | 124,004 |
State of Minnesota, Tax-Exempt | ||
Series 2014A, Rev., 5.00%, 6/1/2023 | 45,000 | 45,205 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 179 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Minnesota — continued | ||
Series A, Rev., 5.00%, 6/1/2026 | 70,000 | 70,269 |
State of Minnesota, Trunk Highway | ||
Series 2012B, GO, 2.00%, 8/1/2023 | 25,000 | 24,842 |
Series 2018B, GO, 5.00%, 8/1/2023 | 25,000 | 25,202 |
State of Minnesota, Various Purpose Series 2014A, GO, 5.00%, 8/1/2023 | 10,000 | 10,081 |
Total Minnesota | 35,842,242 | |
Mississippi — 1.4% | ||
City of Ridgeland GO, 4.00%, 8/1/2024 | 25,000 | 25,284 |
City of Starkville, Water and Sewer System Rev., 4.00%, 5/1/2023 | 55,000 | 55,060 |
County of DeSoto GO, 5.00%, 7/1/2023 | 40,000 | 40,206 |
County of Madison GO, 2.50%, 5/1/2023 | 30,000 | 29,950 |
Jackson State University Educational Building Corp. Series 2015A, Rev., 5.00%, 3/1/2023 | 150,000 | 150,000 |
Madison County School District GO, 5.00%, 3/1/2024 | 25,000 | 25,428 |
Mississippi Business Finance Corp., Gulf Opportunity Zone Industrial Development, Chevron USA, Inc., Project Series 2011G, Rev., VRDO, 2.55%, 3/1/2023 (c) | 30,000,000 | 30,000,000 |
Mississippi Business Finance Corp., Waste Management, Inc. Project Rev., 0.70%, 9/1/2026 (c) | 1,250,000 | 1,101,215 |
Mississippi Development Bank, Department of Corrections Walnut Grove Correctional Facility Refunding Bonds Project Rev., 5.00%, 8/1/2026 | 35,000 | 36,770 |
Mississippi Development Bank, Harrison County Series 2013A, Rev., 5.00%, 1/1/2026 | 2,190,000 | 2,286,524 |
Mississippi Development Bank, Hinds County Project Rev., 5.00%, 11/1/2023 | 105,000 | 105,843 |
Mississippi Development Bank, Hinds County School District Project Rev., 4.00%, 3/1/2023 | 25,000 | 25,000 |
Mississippi Development Bank, Jackson Public School District, Limited Tax Refunding Note Project Rev., 5.00%, 4/1/2023 | 185,000 | 185,219 |
Mississippi Development Bank, Madison County, Mississippi Highway Refunding Project Series 2013C, Rev., 5.00%, 1/1/2024 | 20,000 | 20,266 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mississippi — continued | ||
Mississippi Development Bank, Rankin County School District Project | ||
Rev., 5.00%, 6/1/2024 | 30,000 | 30,566 |
Rev., 5.00%, 6/1/2025 | 35,000 | 36,182 |
Rankin County School District, Limited Tax | ||
GO, 3.00%, 8/1/2023 | 175,000 | 174,719 |
GO, 5.00%, 8/1/2025 | 25,000 | 26,098 |
State of Mississippi Series 2020B, GO, 5.00%, 9/1/2024 | 150,000 | 154,223 |
State of Mississippi, Tax-Exempt | ||
Series 2012H, GO, 4.00%, 12/1/2023 | 25,000 | 25,017 |
Series 2017A, GO, 5.00%, 10/1/2024 | 25,000 | 25,745 |
University of Mississippi Educational Building Corp., Campus Improvement Project Series 2015C, Rev., 5.00%, 11/1/2023 | 35,000 | 35,429 |
University of Mississippi Educational Building Corp., Facilities Refinancing Project Rev., 5.00%, 10/1/2024 | 195,000 | 200,657 |
University of Southern Mississippi (The), Educational Building Corp. Series 2015A, Rev., 5.00%, 3/1/2023 | 35,000 | 35,000 |
Total Mississippi | 34,830,401 | |
Missouri — 2.9% | ||
Cape Girardeau School District No. 63 GO, 4.00%, 3/1/2025 | 25,000 | 25,427 |
City of Chesterfield COP, 5.00%, 12/1/2023 | 75,000 | 75,993 |
City of Excelsior Springs Series 2020B, COP, 4.00%, 3/1/2023 | 25,000 | 25,000 |
City of Kansas City Series 2019A, Rev., 5.00%, 12/1/2023 | 35,000 | 35,492 |
City of Kansas City, Special Obligation Series E, Rev., Zero Coupon, 2/1/2024 | 275,000 | 265,277 |
County of Clay Series 2018A, COP, 4.00%, 5/1/2024 (b) | 30,000 | 30,307 |
County of Dunklin Rev., 3.00%, 12/1/2026 | 400,000 | 393,930 |
County of Jackson, Special Obligation Rev., 4.00%, 12/1/2023 | 35,000 | 35,202 |
Hazelwood School District GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
Health and Educational Facilities Authority of the State of Missouri, BJC Health System | ||
Series C, Rev., VRDO, LIQ : BJC Health System, 3.40%, 3/7/2023 (c) | 13,110,000 | 13,110,000 |
180 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Missouri — continued | ||
Series 2021B, Rev., 4.00%, 5/1/2026 (c) | 5,375,000 | 5,470,534 |
Health and Educational Facilities Authority of the State of Missouri, Children's Mercy Hospital Obligated Group Rev., 5.00%, 5/15/2025 | 60,000 | 61,916 |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Series 2014A, Rev., 5.00%, 6/1/2024 (b) | 25,000 | 25,487 |
Health and Educational Facilities Authority of the State of Missouri, SSM Health Care Obligated Group Series 2014A, Rev., 5.00%, 6/1/2023 | 325,000 | 326,158 |
Health and Educational Facilities Authority of the State of Missouri, SSM Healthcare Series F, Rev., VRDO, 2.60%, 3/1/2023 (c) | 40,000,000 | 40,000,000 |
Health and Educational Facilities Authority of the State of Missouri, St. Luke's Health System Obligated Group Rev., 5.00%, 11/15/2023 | 100,000 | 101,058 |
Hickman Mills C-1 School District Series 2020C-1, GO, 4.00%, 3/1/2023 | 50,000 | 50,000 |
Jackson County Reorganized School District No. 7, Lee's Summit R-7 | ||
GO, 4.00%, 3/1/2023 | 20,000 | 20,000 |
GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
Joplin Schools, Missouri Direct Deposit Program GO, 4.00%, 3/1/2025 | 100,000 | 100,028 |
Ladue School District GO, 4.00%, 3/1/2023 | 20,000 | 20,000 |
Metropolitan St. Louis Sewer District, Wastewater System Series 2013B, Rev., 5.00%, 5/1/2023 (b) | 125,000 | 125,377 |
Missouri Development Finance Board, Office Building Project Series 2013A, Rev., 3.00%, 10/1/2023 | 50,000 | 49,946 |
Missouri Highway and Transportation Commission Series A, Rev., 5.00%, 5/1/2023 | 35,000 | 35,105 |
Missouri Housing Development Commission, Single Family Mortgage, First Place Homeownership Loan Program Series 2021C, Rev., GNMA / FNMA / FHLMC, 0.35%, 11/1/2023 | 480,000 | 469,990 |
Missouri State Board of Public Buildings | ||
Series 2015B, Rev., 5.00%, 4/1/2023 | 25,000 | 25,036 |
Series 2014A, Rev., 4.00%, 10/1/2023 | 95,000 | 95,061 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Missouri — continued | ||
Series 2020B, Rev., 5.00%, 10/1/2023 | 30,000 | 30,317 |
Missouri State Environmental Improvement and Energy Resources Authority, Water Pollution Control and Drinking Water | ||
Series 2015B, Rev., 5.00%, 7/1/2023 | 25,000 | 25,153 |
Series 2013A, Rev., 5.00%, 7/1/2024 | 60,000 | 60,372 |
Park Hill School District of Platte County, Missouri Direct Deposit Program GO, 5.00%, 3/1/2023 | 265,000 | 265,000 |
Plaza at Noah's Ark Community Improvement District Rev., 3.00%, 5/1/2023 | 150,000 | 149,633 |
Springfield School District No. R-12, Missouri Direct Deposit Program Series 2014B, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
St. Charles County Public Water Supply District No. 2 | ||
COP, 3.00%, 12/1/2023 | 45,000 | 44,847 |
Series 2016B, COP, 5.00%, 12/1/2023 | 50,000 | 50,065 |
St. Joseph Industrial Development Authority, Sewer System Improvements Project Series 2015B, Rev., 5.00%, 4/1/2023 | 20,000 | 20,027 |
St. Louis County Library District COP, 4.00%, 4/1/2027 | 2,010,000 | 2,010,919 |
Tender Option Bond Trust Receipts/ Certificates Series 2018-XG0176, Rev., VRDO, LIQ : Royal Bank of Canada, 2.93%, 3/9/2023 (c) (e) | 9,500,000 | 9,500,000 |
Total Missouri | 73,188,657 | |
Montana — 0.0% ^ | ||
City of Billings Series 2012A, GO, 3.00%, 7/1/2023 | 35,000 | 34,978 |
Nebraska — 0.8% | ||
City of Lincoln, Electric System Rev., 2.70%, 9/1/2023 | 10,000 | 9,970 |
City of Lincoln, Stormwater Drainage and Flood Management System GO, 3.00%, 12/15/2023 | 40,000 | 39,913 |
City of Omaha, Sanitary Sewerage System Series 2020A, Rev., 4.00%, 4/1/2025 | 35,000 | 35,584 |
County of Douglas, Creighton University Projects Rev., (SIFMA Municipal Swap Index Yield + 0.53%), 3.33%, 3/9/2023 (d) | 16,100,000 | 15,903,749 |
Douglas County Hospital Authority No. 2, Children's Obligated Group Series 2020B, Rev., 5.00%, 11/15/2025 (c) | 2,100,000 | 2,162,868 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 181 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Nebraska — continued | ||
Municipal Energy Agency of Nebraska, Power Supply System | ||
Series 2016A, Rev., 5.00%, 4/1/2023 | 40,000 | 40,057 |
Series 2022A, Rev., 5.00%, 4/1/2023 | 105,000 | 105,149 |
Nebraska Public Power District | ||
Series 2020A, Rev., 0.60%, 7/1/2023 (c) | 690,000 | 683,024 |
Series 2012B, Rev., 5.00%, 1/1/2025 | 10,000 | 10,014 |
Series A-1, Rev., 5.00%, 1/1/2025 | 35,000 | 36,079 |
Omaha Public Facilities Corp., Omaha Baseball Stadium Project Series 2016A, Rev., 5.00%, 6/1/2023 | 25,000 | 25,107 |
Papillion-La Vista School District No. 27 Series 2020B, GO, 4.00%, 12/1/2023 | 35,000 | 35,220 |
Public Power Generation Agency, Whelan Energy Center Unit 2 Series 2015A, Rev., 5.00%, 1/1/2026 | 800,000 | 820,370 |
State of Nebraska Series 2020A, COP, 3.00%, 9/1/2023 | 45,000 | 44,916 |
University of Nebraska, OMAHA Student Housing Project Rev., 3.25%, 5/15/2024 (b) | 60,000 | 60,086 |
Total Nebraska | 20,012,106 | |
Nevada — 0.2% | ||
Carson City School District, Limited Tax Series 2019A, GO, 5.00%, 6/1/2023 | 75,000 | 75,314 |
City of Henderson Series 2012A, GO, 5.00%, 6/1/2023 | 25,000 | 25,034 |
Clark County School District | ||
Series 2016A, GO, 5.00%, 6/15/2023 | 150,000 | 150,729 |
Series 2018A, GO, 5.00%, 6/15/2023 | 450,000 | 452,186 |
Clark County School District, Limited Tax Series 2016D, GO, 5.00%, 6/15/2023 | 75,000 | 75,364 |
Clark County School District, Limited Tax, Various Purpose Series 2016F, GO, 3.00%, 6/15/2026 | 100,000 | 99,998 |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien | ||
Series 2019D, Rev., 5.00%, 7/1/2024 | 400,000 | 409,140 |
Series 2019D, Rev., 5.00%, 7/1/2025 | 40,000 | 41,639 |
County of Clark, Department of Aviation, Nevada Airport System, Subordinate Lien, McCarran International Airport Series 2019A, Rev., 5.00%, 7/1/2023 | 460,000 | 462,588 |
County of Clark, Las Vegas Convention and Visitors Authority, Limited Tax GO, 5.00%, 7/1/2023 | 20,000 | 20,122 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Nevada — continued | ||
County of Clark, Limited Tax | ||
GO, 5.00%, 6/1/2023 | 35,000 | 35,160 |
Series 2016B, GO, 5.00%, 11/1/2023 | 25,000 | 25,306 |
Series 2016B, GO, 5.00%, 11/1/2024 | 45,000 | 46,408 |
County of Clark, Nevada Power Co. Rev., 1.65%, 3/31/2023 (c) | 1,600,000 | 1,597,227 |
County of Clark, Park Improvement, Limited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,824 |
County of Clark, Passenger Facility Charge, Las Vegas-McCarran International Airport Passenger Facility Series 2019E, Rev., 5.00%, 7/1/2023 | 590,000 | 593,320 |
County of Clark, Sales and Excise Tax Rev., 5.00%, 7/1/2023 | 25,000 | 25,151 |
County of Clark, Transportation Improvement, Limited Tax | ||
Series 2018B, GO, 5.00%, 12/1/2023 | 20,000 | 20,275 |
Series 2018B, GO, 5.00%, 12/1/2025 | 35,000 | 36,835 |
Las Vegas Valley Water District, Limited Tax Series 2016B, GO, 5.00%, 6/1/2023 | 20,000 | 20,089 |
Las Vegas Valley Water District, Water Improvement, Limited Tax Series 2016A, GO, 5.00%, 6/1/2023 | 65,000 | 65,288 |
Nevada System of Higher Education Rev., 5.00%, 7/1/2023 | 25,000 | 25,134 |
State of Nevada Highway Improvement, Motor Vehicle Fuel Tax Rev., 5.00%, 12/1/2023 | 40,000 | 40,538 |
State of Nevada, Capital Improvement and Cultural Affairs | ||
Series 2015B, GO, 5.00%, 11/1/2024 | 25,000 | 25,745 |
Series 2015B, GO, 5.00%, 11/1/2025 | 20,000 | 20,820 |
State of Nevada, Limited Tax Series 2012-A, GO, 4.00%, 11/1/2024 | 55,000 | 55,035 |
Washoe County School District, Limited Tax | ||
Series 2017D, GO, 5.00%, 6/1/2023 | 150,000 | 150,677 |
Series A, GO, PSF-GTD, 5.00%, 6/1/2023 | 25,000 | 25,113 |
Total Nevada | 4,646,059 | |
New Hampshire — 0.0% ^ | ||
City of Dover GO, 5.00%, 6/15/2023 | 35,000 | 35,185 |
City of Keene GO, NATL - RE, 5.00%, 3/1/2023 | 20,000 | 20,000 |
182 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Hampshire — continued | ||
County of Rockingham, Municipal Purpose Loan GO, 3.00%, 5/15/2023 | 30,000 | 29,988 |
Windham School District Series 2014A, GO, 5.00%, 7/15/2024 | 60,000 | 61,357 |
Total New Hampshire | 146,530 | |
New Jersey — 7.8% | ||
Atlantic County Improvement Authority (The), Atlantic City Campus Phase II Project Series 2016A, Rev., AGM, 5.00%, 7/1/2023 | 30,000 | 30,144 |
Barrington Board of Education GO, 4.00%, 4/1/2023 | 35,000 | 35,018 |
Borough of Essex Fells GO, BAN, 4.50%, 9/8/2023 | 3,822,500 | 3,821,491 |
Borough of Glen Ridge GO, BAN, 4.00%, 7/13/2023 | 4,434,625 | 4,436,669 |
Borough of High Bridge GO, BAN, 3.25%, 6/15/2023 | 2,408,350 | 2,404,991 |
Borough of Hopatcong GO, BAN, 3.75%, 7/21/2023 | 3,467,585 | 3,463,867 |
Borough of Kenilworth GO, BAN, 4.50%, 3/1/2024 (f) | 7,632,000 | 7,681,859 |
Borough of Lebanon GO, BAN, 3.75%, 9/11/2023 | 1,063,100 | 1,062,536 |
Borough of Morris Plains GO, BAN, 4.50%, 8/14/2023 | 1,341,360 | 1,342,046 |
Borough of Pitman GO, BAN, 4.50%, 9/8/2023 | 4,198,135 | 4,197,666 |
Borough of Ramsey GO, BAN, 3.50%, 6/2/2023 | 10,514,000 | 10,507,020 |
Borough of Riverdale GO, BAN, 3.75%, 9/7/2023 | 8,496,000 | 8,489,066 |
Borough of Woodcliff Lake GO, BAN, 4.50%, 9/21/2023 | 4,221,000 | 4,221,757 |
Brick Township Board of Education GO, 4.00%, 1/1/2025 | 35,000 | 35,475 |
Burlington County Bridge Commission, Governmental Leasing Program | ||
Rev., 4.00%, 4/1/2023 | 20,000 | 20,013 |
Rev., 5.00%, 4/15/2023 | 25,000 | 25,054 |
Burlington County Bridge Commission, Governmental Loan Program Series 2013A, Rev., GTD, 5.00%, 12/1/2023 | 80,000 | 80,120 |
Camden County Improvement Authority (The) | ||
Series 2012A, Rev., GTD, 2.25%, 6/1/2023 | 75,000 | 74,752 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
Series 2017B, Rev., GTD, 4.00%, 1/15/2024 | 25,000 | 25,157 |
Series 2015A, Rev., GTD, 5.00%, 9/1/2024 | 25,000 | 25,648 |
Camden County Improvement Authority (The), City Hall Project Rev., GTD, 5.00%, 12/1/2025 | 30,000 | 31,532 |
Camden County Improvement Authority (The), Open Space Preservation Trust Fund Rev., GTD, 5.00%, 6/1/2023 | 50,000 | 50,069 |
City of Clifton GO, 3.00%, 10/15/2023 | 20,000 | 19,973 |
City of Elizabeth | ||
GO, AGM, 2.50%, 4/1/2023 | 25,000 | 24,975 |
GO, 3.00%, 4/1/2023 | 25,000 | 24,990 |
City of Long Branch Series 2020A, GO, 5.00%, 9/15/2025 | 30,000 | 31,344 |
City of New Brunswick GO, 4.00%, 3/15/2023 | 40,000 | 40,012 |
City of Newark Series 2020A, GO, AGM, 5.00%, 10/1/2023 | 1,000,000 | 1,009,529 |
City of Ocean City, General Improvement | ||
GO, 4.00%, 9/15/2023 | 120,000 | 120,566 |
GO, 4.00%, 9/15/2025 | 40,000 | 40,814 |
City of Rahway | ||
GO, 4.00%, 4/15/2023 | 100,000 | 100,089 |
GO, 4.00%, 8/1/2023 | 25,000 | 25,080 |
GO, 4.00%, 10/1/2023 | 25,000 | 25,113 |
City of Sea Isle City GO, 3.00%, 9/1/2023 | 45,000 | 44,926 |
City of Vineland GO, BAN, 5.00%, 11/8/2023 | 24,407,000 | 24,629,636 |
County of Atlantic GO, 0.50%, 6/1/2024 | 1,805,000 | 1,715,607 |
County of Essex | ||
Series AC, GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
GO, 3.00%, 8/1/2023 | 25,000 | 24,983 |
Series A, GO, 4.00%, 9/1/2023 | 20,000 | 20,088 |
County of Hudson | ||
GO, 5.00%, 12/1/2023 | 25,000 | 25,309 |
Series B, GO, 4.00%, 7/1/2025 | 40,000 | 40,668 |
County of Mercer, County College GO, 3.00%, 6/1/2023 | 20,000 | 19,974 |
County of Middlesex, Civic Square II Redevelopment Associates LLC COP, 4.00%, 6/15/2023 | 25,000 | 25,050 |
County of Monmouth GO, 5.00%, 7/15/2023 | 25,000 | 25,171 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 183 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
County of Passaic, Consisting of General Improvement and College GO, 5.00%, 4/1/2023 | 25,000 | 25,036 |
County of Union Series B, GO, 3.00%, 3/1/2023 | 40,000 | 40,000 |
County of Union, Vocational Technical School GO, 5.00%, 3/1/2023 | 45,000 | 45,000 |
Delaware Township Board of Education GO, 4.50%, 7/18/2023 | 1,350,000 | 1,350,340 |
Freehold Township Board of Education GO, 5.00%, 7/15/2023 | 25,000 | 25,035 |
Gloucester County Improvement Authority (The) | ||
Series 2011A, Rev., GTD, 5.00%, 7/15/2023 | 20,000 | 20,130 |
Series 2013A, Rev., GTD, 5.00%, 9/1/2023 | 40,000 | 40,056 |
Series 2013A, Rev., GTD, 5.00%, 9/1/2024 | 15,000 | 15,021 |
Gloucester County Improvement Authority (The), GCSSSD/GCVTSD Project Rev., 4.00%, 5/15/2023 | 35,000 | 35,058 |
Hainesport Township School District GO, 5.00%, 1/15/2024 | 35,000 | 35,517 |
Holmdel Township School District GO, 4.00%, 3/15/2023 | 25,000 | 25,006 |
Hopewell Valley Regional School District GO, 3.25%, 1/15/2025 | 25,000 | 24,969 |
Hudson County Improvement Authority, County Secured, Vocational-Technical Schools Project Rev., 5.00%, 5/1/2023 | 270,000 | 270,800 |
Hudson County Improvement Authority, Courthouse Project Rev., 4.00%, 10/1/2025 | 40,000 | 40,882 |
Jersey City Municipal Utilities Authority, Sewer Project Series 2022A, Rev., 3.75%, 5/5/2023 | 30,000 | 30,012 |
Lenape Regional High School District GO, 5.00%, 3/15/2023 | 20,000 | 20,011 |
Middlesex County Improvement Authority, Open Space Trust Fund Series 2011, Rev., GTD, 3.00%, 9/15/2023 | 30,000 | 29,985 |
Middletown Township Board of Education GO, 2.25%, 8/1/2024 | 720,000 | 705,183 |
Mount Olive Township Board of Education GO, 4.00%, 7/15/2023 | 20,000 | 20,057 |
New Jersey Economic Development Authority, Motor Vehicle Surcharges Series 2017A, Rev., 5.00%, 7/1/2023 | 75,000 | 75,352 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
New Jersey Economic Development Authority, School Facilities Construction | ||
Series 2013NN, Rev., 5.00%, 3/1/2023 (b) | 90,000 | 90,000 |
Series 2013-NN, Rev., 5.00%, 3/1/2023 | 630,000 | 630,000 |
Series 2013I, Rev., (SIFMA Municipal Swap Index Yield + 1.60%), 4.40%, 3/9/2023 (d) | 50,000 | 50,003 |
Series XX, Rev., 5.00%, 6/15/2023 | 2,710,000 | 2,721,213 |
Series 2005N1, Rev., NATL - RE, 5.50%, 9/1/2023 | 75,000 | 75,728 |
Series 2012-II, Rev., 3.00%, 3/1/2024 | 350,000 | 347,922 |
Series NN, Rev., 5.00%, 3/1/2024 | 1,455,000 | 1,456,002 |
Series XX, Rev., 5.00%, 6/15/2024 | 800,000 | 813,583 |
Series 2012-II, Rev., 5.00%, 3/1/2025 | 220,000 | 220,172 |
Series NN, Rev., 5.00%, 3/1/2025 | 2,495,000 | 2,496,544 |
Series 2014PP, Rev., AGM - CR, 5.00%, 6/15/2025 | 3,500,000 | 3,554,397 |
Series 2005N1, Rev., AGM, 5.50%, 9/1/2025 | 75,000 | 78,531 |
Series NN, Rev., 5.00%, 3/1/2026 | 4,650,000 | 4,653,613 |
Series 2013NN, Rev., 4.00%, 3/1/2027 | 25,000 | 25,007 |
New Jersey Educational Facilities Authority, Higher Education Facilities Trust Rev., 5.00%, 6/15/2023 | 25,000 | 25,103 |
New Jersey Educational Facilities Authority, Princeton University | ||
Series 2021C, Rev., 5.00%, 3/1/2023 | 20,000 | 20,000 |
Series 2017B, Rev., 5.00%, 7/1/2023 | 25,000 | 25,155 |
New Jersey Educational Facilities Authority, Ramapo College Series 2015B, Rev., AGM, 4.00%, 7/1/2023 (b) | 10,000 | 10,027 |
New Jersey Health Care Facilities Financing Authority, Barnabas Health Obligated Group Series 2019B-2, Rev., 5.00%, 7/1/2025 (c) | 235,000 | 243,453 |
New Jersey Health Care Facilities Financing Authority, Hackensack Meridian Health Obligated Group Rev., 5.00%, 7/1/2023 | 20,000 | 20,101 |
New Jersey Health Care Facilities Financing Authority, Valley Health System Obligated Rev., 5.00%, 7/1/2026 | 50,000 | 52,715 |
New Jersey Health Care Facilities Financing Authority, Virtual Health, Inc. | ||
Rev., 5.00%, 1/1/2024 (b) | 30,000 | 30,423 |
Rev., 5.00%, 7/1/2024 | 95,000 | 96,161 |
Rev., 5.00%, 7/1/2025 | 135,000 | 137,004 |
184 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
Rev., 5.00%, 7/1/2026 | 145,000 | 147,170 |
New Jersey Higher Education Student Assistance Authority, Senior Student Loan Series 2019A, Rev., 5.00%, 12/1/2024 | 40,000 | 41,050 |
New Jersey Housing and Mortgage Finance Agency, Multi-Family Series 2019B, Rev., 1.50%, 5/1/2023 | 90,000 | 89,711 |
New Jersey Housing and Mortgage Finance Agency, NBA-New Brunswick LLC Series C2, Rev., 3.13%, 8/1/2024 (c) | 5,100,000 | 5,000,303 |
New Jersey Infrastructure Bank, Environmental Infrastructure | ||
Series 2020A-R1, Rev., 3.00%, 9/1/2023 | 40,000 | 39,973 |
Series 2007A, Rev., GTD, 5.00%, 9/1/2023 | 10,000 | 10,094 |
Rev., GTD, 5.00%, 9/1/2024 | 35,000 | 36,001 |
New Jersey Sports and Exposition Authority Series 2018A, Rev., 5.00%, 9/1/2024 | 210,000 | 214,458 |
New Jersey Transportation Trust Fund Authority, Federal Highway Reimbursement | ||
Series 2016A-1, Rev., 5.00%, 6/15/2023 | 1,170,000 | 1,175,346 |
Series 2018A, Rev., 5.00%, 6/15/2023 | 35,000 | 35,160 |
New Jersey Transportation Trust Fund Authority, Transportation Program | ||
Series 2014AA, Rev., 5.00%, 6/15/2023 | 750,000 | 753,103 |
Series 2013AA, Rev., 5.00%, 6/15/2027 | 1,610,000 | 1,617,725 |
New Jersey Transportation Trust Fund Authority, Transportation System | ||
Series 2004A, Rev., NATL - RE, 5.75%, 6/15/2023 | 50,000 | 50,312 |
Series 2008A, Rev., Zero Coupon, 12/15/2023 | 140,000 | 135,900 |
Series 2010D, Rev., 5.00%, 12/15/2023 | 20,000 | 20,227 |
Series 2006A, Rev., 5.50%, 12/15/2023 | 95,000 | 96,443 |
Series 2013A, Rev., 5.00%, 6/15/2024 | 150,000 | 152,547 |
Series 2006C, Rev., AMBAC, Zero Coupon, 12/15/2024 | 2,490,000 | 2,329,207 |
New Jersey Turnpike Authority Series 2014A, Rev., 5.00%, 1/1/2027 | 1,050,000 | 1,074,996 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
Passaic County Improvement Authority (The), City of Paterson Project Rev., 5.00%, 6/15/2023 | 25,000 | 25,125 |
Passaic County Improvement Authority (The), Preakness Healthcare Center Expansion Project Rev., GTD, 2.63%, 5/1/2023 | 100,000 | 99,852 |
Passaic County Utilities Authority, Solid Waste Disposal Rev., GTD, 4.50%, 3/1/2024 | 75,000 | 75,941 |
Pequannock Township Board of Education GO, 4.00%, 1/15/2025 | 50,000 | 50,742 |
Readington Township Board of Education GO, 5.00%, 7/15/2023 | 25,000 | 25,158 |
Rutgers the State University of New Jersey, Tax-Exempt | ||
Series 2018N, Rev., 4.00%, 5/1/2023 | 460,000 | 460,559 |
Series 2013J, Rev., 5.00%, 5/1/2023 (b) | 500,000 | 501,506 |
Series 2013J, Rev., 5.00%, 5/1/2023 | 415,000 | 416,160 |
Series 2016M, Rev., 5.00%, 5/1/2024 | 25,000 | 25,482 |
South Brunswick Township Board of Education GO, 5.00%, 8/1/2024 | 45,000 | 45,719 |
State of New Jersey | ||
Series 2016T, GO, 5.00%, 6/1/2023 | 35,000 | 35,148 |
GO, 5.00%, 6/1/2024 | 20,000 | 20,432 |
State of New Jersey, COVID-19 Emergency Bonds GO, 4.00%, 6/1/2023 | 85,000 | 85,153 |
State of New Jersey, Various Purpose | ||
GO, 5.00%, 6/1/2023 | 115,000 | 115,487 |
GO, 4.00%, 6/1/2026 | 40,000 | 40,086 |
GO, 5.00%, 6/1/2026 | 65,000 | 67,797 |
Tobacco Settlement Financing Corp. Series 2018A, Rev., 5.00%, 6/1/2028 | 410,000 | 440,405 |
Town of Boonton GO, BAN, 4.50%, 6/23/2023 | 1,500,000 | 1,499,878 |
Town of Hammonton GO, 4.00%, 3/1/2023 | 30,000 | 30,000 |
Town of Morristown GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
Township of Bloomfield Series 2022A, GO, BAN, 2.50%, 3/23/2023 | 8,900,000 | 8,896,417 |
Township of Bloomfield, General Improvement and Water Utility GO, 5.00%, 2/1/2024 | 40,000 | 40,639 |
Township of Bridgewater GO, 4.00%, 9/1/2023 | 25,000 | 25,110 |
Township of Colts Neck GO, 4.00%, 11/15/2025 | 40,000 | 41,027 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 185 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Jersey — continued | ||
Township of Dennis GO, BAN, 3.25%, 6/16/2023 | 2,578,444 | 2,573,465 |
Township of East Brunswick GO, 3.00%, 3/15/2023 | 25,000 | 24,998 |
Township of Evesham, General Improvement and Golf Utility GO, 4.00%, 5/1/2023 | 25,000 | 25,031 |
Township of Ewing, General Improvement GO, 2.00%, 3/1/2023 | 100,000 | 100,000 |
Township of Harrison GO, 4.00%, 8/1/2025 | 50,000 | 50,924 |
Township of Howell Series 2022A, GO, BAN, 2.50%, 3/23/2023 | 13,850,000 | 13,842,973 |
Township of Little Falls, General Improvement | ||
GO, 4.00%, 8/15/2023 | 25,000 | 25,088 |
GO, 4.00%, 8/15/2025 | 30,000 | 30,532 |
Township of Lopatcong GO, 4.00%, 9/1/2023 | 30,000 | 30,117 |
Township of Millburn GO, BAN, 5.00%, 1/26/2024 | 4,030,000 | 4,081,547 |
Township of Nutley GO, 2.25%, 4/15/2023 | 45,000 | 44,917 |
Township of Parsippany-Troy Hills GO, 5.00%, 7/15/2023 | 40,000 | 40,059 |
Township of Parsippany-Troy Hills, Golf Recreation Utility GO, 3.00%, 6/1/2023 | 35,000 | 34,968 |
Township of Pequannock GO, BAN, 4.00%, 7/12/2023 | 3,752,000 | 3,752,511 |
Township of Readington, General Improvement GO, 5.00%, 1/15/2025 | 25,000 | 25,821 |
Township of River Vale | ||
GO, 4.00%, 6/15/2023 | 35,000 | 35,076 |
GO, BAN, 4.00%, 7/14/2023 | 3,158,000 | 3,160,033 |
Township of South Orange Village GO, BAN, 4.00%, 7/5/2023 | 20,868,000 | 20,911,228 |
Township of Toms River, General Improvement, Golf Utility Improvement Series 2011A, GO, 3.00%, 12/15/2023 | 45,000 | 44,860 |
Township of Upper Freehold GO, BAN, 2.50%, 3/23/2023 | 9,900,000 | 9,895,099 |
Township of Verona GO, BAN, 4.50%, 10/26/2023 (f) | 2,839,800 | 2,853,700 |
Township of Washington GO, 4.00%, 3/1/2025 | 30,000 | 30,408 |
Township of West Deptford GO, 3.00%, 9/1/2026 | 100,000 | 99,996 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New Jersey — continued | ||
Wall Township School District GO, 5.00%, 7/15/2023 | 190,000 | 191,232 |
Washington Township Fire District No.1, Gloucester GO, 1.00%, 5/1/2023 | 250,000 | 248,590 |
Watchung Hills Regional High School District GO, 4.50%, 7/14/2023 | 7,951,710 | 7,950,266 |
Woodland Park School District GO, 5.00%, 4/15/2023 | 100,000 | 100,201 |
Wyckoff Township School District GO, 3.00%, 4/1/2023 (b) | 25,000 | 24,997 |
Total New Jersey | 197,204,340 | |
New Mexico — 0.0% ^ | ||
City of Albuquerque, Lodgers Tax and Improvement | ||
Series 2014A, Rev., 3.50%, 7/1/2023 (b) | 20,000 | 20,023 |
Series 2014A, Rev., 4.00%, 7/1/2023 (b) | 25,000 | 25,072 |
City of Roswell, Joint Water and Sewer Improvement Series B, Rev., 5.00%, 6/1/2023 | 25,000 | 25,108 |
County of Los Alamos, Gross Receipts Tax Rev., 5.00%, 6/1/2023 | 25,000 | 25,104 |
New Mexico Finance Authority, Senior Lien Public Project Revolving Fund | ||
Series 2016A, Rev., 5.00%, 6/1/2023 | 25,000 | 25,113 |
Series 2019B, Rev., 5.00%, 6/1/2023 | 35,000 | 35,159 |
Series 2020B, Rev., 5.00%, 6/1/2023 | 25,000 | 25,113 |
Series 2016C, Rev., 5.00%, 6/1/2024 | 25,000 | 25,577 |
New Mexico Finance Authority, Subordinate Lien Public Project Revolving Fund, Tax-Exempt | ||
Series 2017D, Rev., 5.00%, 6/15/2023 | 120,000 | 120,631 |
Series 2019C-1, Rev., 5.00%, 6/15/2023 | 40,000 | 40,210 |
Series 2017B, Rev., 3.50%, 6/15/2024 | 50,000 | 50,253 |
Series 2018C-1, Rev., 4.00%, 6/15/2024 | 30,000 | 30,340 |
New Mexico Hospital Equipment Loan Council, Presbyterian Healthcare Services Series 2019B, Rev., 5.00%, 8/1/2025 (c) | 100,000 | 103,470 |
State of New Mexico Severance Tax Permanent Fund Series B, Rev., 4.00%, 7/1/2024 | 75,000 | 75,843 |
State of New Mexico, Capital Projects GO, 5.00%, 3/1/2025 | 55,000 | 57,051 |
186 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New Mexico — continued | ||
University of New Mexico (The), Subordinate Lien System | ||
Series 2016A, Rev., 5.00%, 6/1/2023 | 40,000 | 40,163 |
Series 2014C, Rev., 5.00%, 6/1/2024 | 25,000 | 25,518 |
Village of Los Lunas Rev., 3.00%, 4/1/2023 | 20,000 | 19,988 |
Total New Mexico | 769,736 | |
New York — 19.2% | ||
Albany City School District Series 2022A, GO, BAN, 2.50%, 3/24/2023 | 65,135,156 | 65,086,774 |
Arlington Central School District GO, 5.00%, 5/15/2023 | 10,000 | 10,035 |
Bedford Central School District, Boces Project GO, 3.00%, 11/15/2023 | 25,000 | 24,972 |
Berlin Central School District GO, BAN, 4.00%, 6/28/2023 | 8,635,000 | 8,615,517 |
Bethlehem Central School District GO, 5.00%, 6/15/2023 | 20,000 | 20,106 |
Broome County Local Development Corp., Good Shepherd Village at Endwell, Inc. | ||
Rev., 3.00%, 7/1/2023 | 255,000 | 253,271 |
Rev., 3.00%, 7/1/2024 | 610,000 | 593,619 |
Series 2021-8, Rev., 3.50%, 7/1/2025 | 455,000 | 438,590 |
Brunswick Central School District GO, BAN, 4.00%, 6/29/2023 | 7,500,000 | 7,499,262 |
Buffalo Municipal Water Finance Authority Series 2021A, Rev., AGM, 4.00%, 7/1/2023 | 125,000 | 125,297 |
Central Square Central School District GO, 4.00%, 6/15/2023 | 25,000 | 25,060 |
City of Beacon, Public Improvement Series 2018A, GO, 3.00%, 5/15/2023 | 30,000 | 29,977 |
City of Buffalo, General Improvement GO, 5.00%, 4/1/2023 | 325,000 | 325,439 |
City of New York | ||
Series 2004A-6, GO, 5.00%, 4/13/2023 | 40,000 | 40,079 |
Series C, GO, 5.00%, 4/13/2023 | 105,000 | 105,207 |
Series D, GO, 5.00%, 4/13/2023 | 70,000 | 70,138 |
Series E, GO, 5.00%, 4/13/2023 | 245,000 | 245,482 |
Series I, GO, 5.00%, 4/13/2023 | 280,000 | 280,552 |
Series 2019E, GO, 5.00%, 8/1/2023 | 180,000 | 181,378 |
Series B, GO, 5.00%, 8/1/2023 | 50,000 | 50,073 |
Series C, GO, 5.00%, 8/1/2023 | 25,000 | 25,037 |
Series D, GO, 5.00%, 8/1/2023 | 495,000 | 495,724 |
Series E, GO, 5.00%, 8/1/2023 | 65,000 | 65,095 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Series 2013-I, GO, 5.00%, 8/1/2024 | 30,000 | 30,234 |
Series 2013J, GO, 5.00%, 8/1/2024 | 345,000 | 347,689 |
Series B, GO, 5.00%, 8/1/2024 | 280,000 | 280,417 |
Series G, GO, 5.00%, 8/1/2024 | 35,000 | 35,600 |
Subseries F-1, GO, 5.00%, 3/1/2025 | 110,000 | 110,140 |
Series 2013J, GO, 5.00%, 8/1/2025 | 130,000 | 130,920 |
Series B, GO, 5.00%, 8/1/2025 | 190,000 | 190,306 |
Series J, GO, 5.00%, 8/1/2025 | 30,000 | 30,790 |
Series F, Subseries F-1, GO, 5.00%, 3/1/2026 | 155,000 | 155,199 |
City of New York, Fiscal Year 2012 Series 2012-I, GO, 5.00%, 8/1/2023 | 615,000 | 615,900 |
City of New York, Fiscal Year 2012, Tax-Exempt Series I, GO, 5.00%, 4/13/2023 | 185,000 | 185,365 |
City of New York, Fiscal Year 2013 Series 2013E, GO, 4.50%, 8/1/2023 | 80,000 | 80,085 |
City of New York, Fiscal Year 2013, Tax-Exempt Series F, Subseries F-1, GO, 5.00%, 4/13/2023 | ��170,000 | 170,335 |
City of New York, Fiscal Year 2014 | ||
Series I, Subseries 2014I-1, GO, 5.00%, 3/1/2023 (b) | 5,000 | 5,000 |
Series 2014I-1, GO, 5.00%, 3/1/2024 | 75,000 | 76,373 |
Series 2014E, GO, 5.00%, 8/1/2024 | 35,000 | 35,273 |
City of New York, Fiscal Year 2015 | ||
Series 1, GO, 5.00%, 8/1/2023 | 240,000 | 241,837 |
Series 2015A, GO, 5.00%, 8/1/2026 | 30,000 | 30,778 |
City of New York, Fiscal Year 2016 Series E, GO, 5.00%, 8/1/2024 | 90,000 | 92,371 |
City of New York, Fiscal Year 2017 Series C, GO, 5.00%, 8/1/2025 | 40,000 | 41,661 |
City of New York, Fiscal Year 2018 | ||
Series B, Subseries B-4, GO, VRDO, LIQ : Barclays Bank plc, 2.60%, 3/1/2023 (c) | 25,000,000 | 25,000,000 |
Series 2018F-1, GO, 4.00%, 4/1/2025 | 30,000 | 30,453 |
City of New York, Tax-Exempt | ||
Series A, Subseries A-1, GO, 5.00%, 8/1/2024 | 25,000 | 25,195 |
Subseries A-1, GO, 5.00%, 10/1/2024 | 70,000 | 70,105 |
Series 2015C, GO, 5.00%, 8/1/2025 | 30,000 | 31,067 |
Series A, Subseries A-1, GO, 5.25%, 8/1/2025 | 60,000 | 60,503 |
City of Rochester | ||
Series 2022III, GO, BAN, 4.00%, 8/2/2023 | 135,000 | 135,256 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 187 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
Series 2023I, GO, BAN, 4.50%, 2/28/2024 | 30,350,000 | 30,680,463 |
City of Syracuse, Public Improvement Series 2019A, GO, 4.00%, 5/15/2023 | 20,000 | 20,032 |
Cooperstown Central School District GO, BAN, 4.00%, 6/28/2023 | 5,204,000 | 5,205,347 |
Corning City School District Series 2022A, GO, BAN, 4.00%, 6/26/2023 | 5,119,500 | 5,127,494 |
County of Livingston, Public Improvement GO, 4.00%, 2/1/2024 | 35,000 | 35,269 |
County of Nassau Series 2013B, GO, 5.00%, 4/1/2023 (b) | 35,000 | 35,052 |
County of Nassau, General Improvement Series 2016A, GO, 5.00%, 1/1/2025 | 50,000 | 51,650 |
County of Onondaga | ||
GO, 5.00%, 3/15/2023 | 25,000 | 25,017 |
GO, 5.00%, 4/15/2023 | 60,000 | 60,135 |
County of Orange Series 2015A, GO, AGM, 5.00%, 3/1/2023 | 70,000 | 70,000 |
County of Saratoga GO, BAN, 4.00%, 9/22/2023 | 10,000,000 | 10,014,999 |
County of Westchester Series 2012B, GO, 2.00%, 7/1/2023 | 35,000 | 34,873 |
Dunkirk City School District GO, BAN, 4.00%, 6/28/2023 | 7,200,000 | 7,201,864 |
East Aurora Union Free School District GO, AGM, 5.00%, 6/15/2023 | 45,000 | 45,226 |
Erie County Industrial Development Agency (The), City School District of the City of Buffalo Project | ||
Rev., 5.00%, 5/1/2023 | 25,000 | 25,075 |
Series 2015A, Rev., 5.00%, 5/1/2023 | 25,000 | 25,075 |
Series 2013A, Rev., 5.00%, 5/1/2026 | 195,000 | 195,506 |
Series 2013A, Rev., 5.00%, 5/1/2027 | 75,000 | 75,195 |
Fairport Central School District GO, 4.00%, 6/15/2023 | 20,000 | 20,048 |
Greene Central School District Series B, GO, BAN, 4.00%, 6/29/2023 | 11,678,000 | 11,695,519 |
Greenport Union Free School District GO, BAN, 3.50%, 6/23/2023 | 2,880,000 | 2,875,978 |
Hudson Yards Infrastructure Corp., Second Indenture Series 2017A, Rev., 5.00%, 2/15/2025 | 20,000 | 20,705 |
Iroquois Central School District GO, 5.00%, 6/15/2025 | 25,000 | 25,940 |
Island Trees Union Free School District GO, 4.00%, 8/1/2023 | 25,000 | 25,018 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Long Island Power Authority, Electric System | ||
Series 2020B, Rev., 0.85%, 9/1/2025 (c) | 125,000 | 115,971 |
Rev., 1.00%, 9/1/2025 | 315,000 | 290,832 |
Longwood Central School District Suffolk County GO, 5.00%, 6/1/2023 | 20,000 | 20,092 |
Metropolitan Transportation Authority | ||
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | 60,000 | 60,213 |
Series 2013A, Rev., AGM - CR, 5.00%, 5/15/2023 (b) | 30,000 | 30,106 |
Series 2014C, Rev., 5.00%, 11/15/2023 | 355,000 | 358,040 |
Series 2017B, Rev., 5.00%, 11/15/2023 | 225,000 | 226,920 |
Series A-1, Rev., 5.00%, 11/15/2023 | 35,000 | 35,300 |
Series A2, Rev., 5.00%, 11/15/2023 | 100,000 | 100,856 |
Subseries B-3, Rev., 5.00%, 11/15/2023 | 20,000 | 20,171 |
Series 2017B, Rev., 5.00%, 11/15/2024 | 250,000 | 255,900 |
Metropolitan Transportation Authority, Dedicated Tax Fund | ||
Series 2016A, Rev., 5.00%, 11/15/2023 | 100,000 | 101,225 |
Series 2017A, Rev., 5.00%, 11/15/2023 | 10,000 | 10,123 |
Series 2013B-1, Rev., 5.00%, 11/15/2024 | 125,000 | 126,329 |
Minisink Valley Central School District GO, 4.00%, 4/15/2023 | 75,000 | 75,076 |
Monroe County Industrial Development Corp., The Rochester General Hospital Project Series 2013-B, Rev., 4.00%, 12/1/2023 | 500,000 | 500,064 |
Monroe County Industrial Development Corp., University of Rochester Project Series 2013A, Rev., 5.00%, 7/1/2023 (b) | 20,000 | 20,122 |
Moravia Central School District GO, AGM, 2.50%, 6/15/2023 | 200,000 | 199,397 |
Moriah Central School District GO, BAN, 3.75%, 7/13/2023 | 14,750,000 | 14,751,574 |
Mount Vernon City School District GO, 5.00%, 9/15/2023 | 25,000 | 25,236 |
Nassau Health Care Corp. Rev., 5.00%, 8/1/2023 | 100,000 | 100,625 |
188 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York City Health and Hospitals Corp., Health System Series 2008C, Rev., VRDO, LOC : TD Bank NA, 3.42%, 3/7/2023 (c) | 25,000,000 | 25,000,000 |
New York City Industrial Development Agency, Queens Baseball Stadium Project Series 2021A, Rev., AGM, 5.00%, 1/1/2028 | 1,250,000 | 1,346,868 |
New York City Industrial Development Agency, Yankee Stadium Project Series 2009A, Rev., AGC, Zero Coupon, 3/1/2023 (b) | 30,000 | 30,000 |
New York City Municipal Water Finance Authority, Water and Sewer System, Second General Resolution, Fiscal year 2021 Subseries SUBEE2, Rev., VRDO, LIQ : State Street Bank & Trust Co., 2.60%, 3/1/2023 (c) | 40,000,000 | 40,000,000 |
New York City Transitional Finance Authority Future Tax Secured | ||
Subseries F-1, Rev., 5.00%, 3/30/2023 | 1,675,000 | 1,677,313 |
Series 2013I, Rev., 5.00%, 5/1/2023 | 2,425,000 | 2,432,101 |
Series 2021A, Rev., 5.00%, 11/1/2023 | 120,000 | 121,541 |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 | 25,000 | 25,690 |
New York City Transitional Finance Authority, Building Aid, Fiscal Year 2016 Series 2016S-1, Rev., 5.00%, 7/15/2023 (b) | 45,000 | 45,309 |
New York City Transitional Finance Authority, Future Tax Secured | ||
Subseries F-1, Rev., 5.00%, 3/30/2023 | 20,000 | 20,028 |
Series 2013 I, Rev., 5.00%, 5/1/2023 | 45,000 | 45,142 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2011 Subseries A-4, Rev., VRDO, LIQ : Barclays Bank plc, 2.60%, 3/1/2023 (c) | 50,000,000 | 50,000,000 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2013 | ||
Series I, Rev., 3.00%, 5/1/2023 | 50,000 | 49,983 |
Series H, Rev., 5.00%, 5/1/2023 | 185,000 | 185,542 |
Series I, Rev., 5.00%, 5/1/2023 | 55,000 | 55,161 |
Series D, Rev., 2.00%, 11/1/2024 | 35,000 | 34,198 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2014 | ||
Series 2014B-1, Rev., 5.00%, 11/1/2024 | 25,000 | 25,577 |
Subseries C, Rev., 5.00%, 11/1/2026 | 20,000 | 20,415 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2015 Series B, Subseries B-1, Rev., 3.00%, 8/1/2023 | 15,000 | 14,997 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2016 Series 2016A-1, Rev., 4.00%, 8/1/2023 | 25,000 | 25,099 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2017 Series 2017F-1, Rev., 5.00%, 5/1/2024 | 25,000 | 25,562 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2018 | ||
Series 2018-A-1, Rev., 5.00%, 8/1/2023 | 10,000 | 10,080 |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 (b) | 30,000 | 30,752 |
Series B, Subseries B-1, Rev., 5.00%, 8/1/2024 | 10,000 | 10,276 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2020 Series 2020A, Rev., 5.00%, 5/1/2023 | 20,000 | 20,063 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2021 | ||
Series 2021C, Subseries C-1, Rev., 5.00%, 5/1/2024 | 25,000 | 25,562 |
Series 2021-1, Rev., 5.00%, 11/1/2025 | 40,000 | 41,918 |
New York City Transitional Finance Authority, Future Tax Secured, Fiscal Year 2022 Series 2022B, Rev., 5.00%, 8/1/2024 | 530,000 | 544,628 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt Subseries F-1, Rev., 5.00%, 3/30/2023 | 620,000 | 620,857 |
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2013 Series 2013H, Rev., 5.00%, 5/1/2023 | 70,000 | 70,205 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 189 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
New York City Transitional Finance Authority, Future Tax Secured, Tax-Exempt, Fiscal Year 2016 Subseries E-1, Rev., 5.00%, 2/1/2025 | 125,000 | 129,566 |
New York City Water and Sewer System, Second General Resolution, Fiscal Year 2019 Series 2019DD-2, Rev., 5.00%, 6/15/2025 | 25,000 | 25,342 |
New York City Water and Sewer System, Second General Resolution, Fiscal Year 2020 Series CC, Rev., 4.00%, 6/15/2023 (b) | 35,000 | 35,087 |
New York State Dormitory Authority, Barnard College Series 2020A, Rev., 4.00%, 7/1/2023 | 30,000 | 30,061 |
New York State Dormitory Authority, Court Facilities Series 2005A, Rev., 5.50%, 5/15/2023 | 135,000 | 135,630 |
New York State Dormitory Authority, Great Neck Library Series 2014, Rev., 3.00%, 5/1/2023 | 50,000 | 49,984 |
New York State Dormitory Authority, Icahn School of Medicine at Mount Sinai Series 2015A, Rev., 5.00%, 7/1/2025 | 35,000 | 36,195 |
New York State Dormitory Authority, Interagency Council Series 2019A, Rev., 4.00%, 7/1/2023 | 205,000 | 205,426 |
New York State Dormitory Authority, Memorial Sloan- Kettering Cancer Center Series 2017-1, Rev., 5.00%, 7/1/2023 | 25,000 | 25,144 |
New York State Dormitory Authority, New York University Series 2019A, Rev., 5.00%, 7/1/2023 | 110,000 | 110,677 |
New York State Dormitory Authority, Northwell Health Obligated Group Series 2019B2, Rev., 5.00%, 5/1/2024 (c) | 240,000 | 242,196 |
New York State Dormitory Authority, Onondaga-Cortland-Madison Board of Cooperative Educational Services Rev., 5.00%, 8/15/2023 | 25,000 | 25,194 |
New York State Dormitory Authority, School Districts Financing Program | ||
Series A, Rev., AGM, 5.00%, 4/1/2023 | 105,000 | 105,156 |
Series 2017G, Rev., 4.00%, 10/1/2023 | 20,000 | 20,103 |
Series 2012D, Rev., AGM, 5.00%, 10/1/2023 | 300,000 | 300,444 |
Series 2015D, Rev., 5.00%, 10/1/2023 | 20,000 | 20,217 |
Series 2016G, Rev., 5.00%, 10/1/2023 | 40,000 | 40,430 |
Series 2017F, Rev., 5.00%, 10/1/2023 | 20,000 | 20,204 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Series H, Rev., 5.00%, 10/1/2023 | 10,000 | 10,015 |
Series 2017G, Rev., 5.00%, 10/1/2024 | 65,000 | 66,947 |
Series 2018A, Rev., 5.00%, 10/1/2024 | 50,000 | 51,497 |
Series C, Rev., 5.00%, 10/1/2024 | 15,000 | 15,021 |
Series H, Rev., 5.00%, 10/1/2025 | 10,000 | 10,011 |
New York State Dormitory Authority, State Personal Income Tax | ||
Series 2021E, Rev., 5.00%, 3/15/2023 | 20,000 | 20,014 |
Series 2015B, Rev., 5.00%, 2/15/2024 (b) | 20,000 | 20,371 |
New York State Dormitory Authority, State Personal Income Tax, General Purpose | ||
Series A, Rev., 5.00%, 3/15/2023 (b) | 205,000 | 205,143 |
Series 2014A, Rev., 4.00%, 2/15/2024 (b) | 35,000 | 35,290 |
Series 2014A, Rev., 5.00%, 2/15/2024 (b) | 60,000 | 61,102 |
Series 2019D, Rev., 5.00%, 2/15/2024 | 40,000 | 40,726 |
New York State Dormitory Authority, State Sales Tax | ||
Series 2013A, Rev., 5.00%, 3/15/2023 (b) | 1,190,000 | 1,190,811 |
Series 2015A, Rev., 5.00%, 3/15/2023 | 215,000 | 215,154 |
Series 2015B, Rev., 5.00%, 3/15/2023 | 270,000 | 270,193 |
Series 2017A, Rev., 5.00%, 3/15/2023 | 95,000 | 95,068 |
Series 2018-A, Rev., 5.00%, 3/15/2023 (b) | 25,000 | 25,016 |
Series 2018-A, Rev., 5.00%, 3/15/2023 | 5,000 | 5,004 |
Series 2018C, Rev., 5.00%, 3/15/2023 | 20,000 | 20,014 |
Series 2016A, Rev., 5.00%, 3/15/2024 (b) | 50,000 | 50,975 |
Series 2015A, Rev., 5.00%, 3/15/2025 (b) | 25,000 | 25,949 |
New York State Dormitory Authority, Third General Resolution, State University Educational Facilities Series 2005A, Rev., NATL - RE, 5.50%, 5/15/2023 | 30,000 | 30,138 |
New York State Energy Research and Development Authority, Electric and Gas Corp. Project Series 2004C, Rev., 2.63%, 7/3/2023 (c) | 425,000 | 422,964 |
New York State Environmental Facilities Corp., State Clean Water and Drinking Water Revolving Funds, Municipal Water Finance Authority Projects - Second Resolution | ||
Series 2015A, Rev., 5.00%, 6/15/2023 | 20,000 | 20,106 |
190 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
Series 2013A, Rev., 5.00%, 6/15/2025 | 40,000 | 40,201 |
New York State Environmental Facilities Corp., State Revolving Funds, Master Financing Program Series 2012E, Rev., 5.00%, 5/15/2024 | 40,000 | 40,103 |
New York State Housing Finance Agency, Historic Front Street Series 2003A, Rev., VRDO, LOC : Landesbank Hessen-Thuringen Girozentrale, 3.46%, 3/7/2023 (c) | 22,000,000 | 22,000,000 |
New York State Thruway Authority | ||
Series K, Rev., 5.00%, 1/1/2024 | 50,000 | 50,706 |
Series L, Rev., 5.00%, 1/1/2024 | 40,000 | 40,565 |
New York State Thruway Authority, State Personal Income Tax, Transportation | ||
Series 2013A, Rev., 5.00%, 3/15/2024 | 25,000 | 25,038 |
Series 2013A, Rev., 5.00%, 3/15/2025 | 60,000 | 60,071 |
New York State Urban Development Corp., Personal Income Tax | ||
Series 2013C, Rev., 5.00%, 3/15/2023 (b) | 350,000 | 350,231 |
Series 2013D, Rev., 5.00%, 3/15/2023 (b) | 265,000 | 265,155 |
Series 2016-A, Rev., 5.00%, 3/15/2025 | 30,000 | 31,089 |
New York State Urban Development Corp., State Personal Income Tax, General Purpose | ||
Series 2013C, Rev., 5.00%, 3/15/2023 | 35,000 | 35,025 |
Series 2013C, Rev., 5.00%, 3/15/2023 (b) | 730,000 | 730,481 |
Series 2013D, Rev., 5.00%, 3/15/2023 | 45,000 | 45,032 |
Series 2013E-A, Rev., 5.00%, 3/15/2023 | 165,000 | 165,118 |
Series 2013E-B, Rev., 5.00%, 3/15/2023 (b) | 195,000 | 195,128 |
Series 2015A, Rev., 5.00%, 3/15/2023 | 150,000 | 150,107 |
Series 2020C, Rev., 5.00%, 3/15/2023 | 75,000 | 75,054 |
Series A-1, Rev., 5.00%, 3/15/2023 (b) | 120,000 | 120,079 |
Series 2014A, Rev., 5.00%, 3/15/2024 (b) | 50,000 | 50,955 |
New York State Urban Development Corp., State Personal Income Tax, State Facilities and Equipment Series A-2, Rev., NATL - RE, 5.50%, 3/15/2023 | 30,000 | 30,027 |
New York State Urban Development Corp., State Sales Tax Series 2021A, Rev., 5.00%, 3/15/2023 | 900,000 | 900,643 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Niskayuna Central School District GO, 4.00%, 4/15/2023 | 70,000 | 70,062 |
Norwood-Norfolk Central School District GO, BAN, 3.75%, 6/29/2023 | 8,055,000 | 8,050,621 |
Odessa-Montour Central School District GO, BAN, 4.00%, 6/30/2023 | 14,071,000 | 14,077,450 |
Onondaga County Water Authority Series 2015A, Rev., 2.25%, 9/15/2023 | 40,000 | 39,726 |
Otselic Valley Central School District GO, BAN, 4.00%, 6/29/2023 | 4,320,000 | 4,322,673 |
Pearl River Union Free School District GO, 2.00%, 6/1/2023 | 20,000 | 19,909 |
Pembroke Central School District GO, BAN, 4.00%, 6/30/2023 | 3,790,536 | 3,792,648 |
Pleasantville Union Free School District GO, 5.00%, 5/1/2023 | 20,000 | 20,057 |
Port Authority of New York and New Jersey, Consolidated | ||
Series 209, Rev., 5.00%, 7/15/2023 | 20,000 | 20,133 |
Series 189, Rev., 5.00%, 5/1/2025 | 45,000 | 46,826 |
Series 175, Rev., 5.00%, 12/1/2025 | 100,000 | 100,149 |
Series 179, Rev., 5.00%, 12/1/2025 | 175,000 | 177,355 |
Series 175, Rev., 4.00%, 12/1/2026 | 25,000 | 25,019 |
Putnam Valley Central School District GO, BAN, 3.75%, 7/14/2023 | 11,130,000 | 11,141,356 |
Queensbury Union Free School District Series A, GO, BAN, 3.50%, 6/28/2023 | 8,370,000 | 8,359,907 |
Sales Tax Asset Receivable Corp., Fiscal Year 2015 | ||
Series 2015A, Rev., 5.00%, 10/15/2023 (b) | 40,000 | 40,460 |
Series 2015A, Rev., 5.00%, 10/15/2024 (b) | 45,000 | 46,372 |
Sandy Creek Central School District GO, BAN, 3.25%, 6/23/2023 | 4,757,648 | 4,748,550 |
Saratoga Springs City School District GO, BAN, 3.50%, 6/29/2023 | 12,012,000 | 11,984,889 |
Sayville Union Free School District GO, 3.00%, 6/15/2023 | 25,000 | 24,987 |
Shenendehowa Central School District GO, 3.00%, 6/15/2023 | 65,000 | 64,952 |
South Country Central School District at Brookhaven GO, 5.00%, 10/15/2023 | 35,000 | 35,372 |
Southwestern Central School District GO, BAN, 3.75%, 7/19/2023 | 3,950,723 | 3,949,422 |
Spencer Van Etten Central School, Tompkins and Schuyler, New York District Refunding GO, 4.00%, 6/15/2023 | 25,000 | 25,044 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 191 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
New York — continued | ||
State of New York | ||
Series 2013A, GO, 3.00%, 3/1/2023 (b) | 30,000 | 30,000 |
Series 2013A, GO, 5.00%, 3/1/2023 (b) | 50,000 | 50,000 |
Series 2015A, GO, 5.00%, 3/15/2023 | 25,000 | 25,016 |
Suffolk County Water Authority, Water System Series 2014A, Rev., 5.00%, 6/1/2023 (b) | 20,000 | 20,091 |
Sweet Home Central School District GO, BAN, 3.75%, 6/28/2023 | 31,110,218 | 31,130,689 |
Three Village Central School District Brookhaven & Smithtown GO, 5.00%, 5/15/2025 | 30,000 | 31,191 |
Town of Colonie, Public Improvement GO, AGM, 2.00%, 3/1/2023 | 50,000 | 50,000 |
Town of Cornwall, Public Improvement GO, 3.50%, 3/1/2023 | 40,000 | 40,000 |
Town of Hempstead | ||
GO, AGM, 4.00%, 4/1/2023 | 200,000 | 200,128 |
Series 2018A, GO, 5.00%, 6/15/2023 | 35,000 | 35,180 |
Town of Oyster Bay GO, 3.00%, 3/9/2023 | 25,000 | 24,999 |
Town of Oyster Bay, Public Improvement GO, 4.00%, 11/1/2023 | 200,000 | 201,107 |
Triborough Bridge & Tunnel Authority | ||
Series 2012A, Rev., 4.00%, 3/16/2023 | 130,000 | 130,037 |
Series 2013A, Rev., 5.00%, 5/15/2023 | 1,005,000 | 1,008,546 |
Series 2022A, Rev., BAN, 5.00%, 8/15/2024 | 55,000 | 56,302 |
Series 2013A, Rev., 5.00%, 11/15/2024 | 65,000 | 65,223 |
Triborough Bridge and Tunnel Authority | ||
Series 2012B, Rev., 5.00%, 3/16/2023 | 40,000 | 40,027 |
Series 2013A, Rev., 5.00%, 5/15/2023 | 85,000 | 85,300 |
Series 2013C, Rev., 5.00%, 5/15/2023 (b) | 40,000 | 40,150 |
Series 2008B-1, Rev., 5.00%, 11/15/2023 (b) | 25,000 | 25,326 |
Triborough Bridge and Tunnel Authority, MTA Bridges and Tunnels | ||
Series 2012B, Rev., 4.00%, 3/16/2023 | 355,000 | 355,102 |
Series 2012B, Rev., 5.00%, 3/16/2023 | 1,445,000 | 1,445,967 |
Series 2013A, Rev., 5.00%, 5/15/2023 | 390,000 | 391,376 |
Series 2016A, Rev., 5.00%, 11/15/2023 | 20,000 | 20,256 |
Tully Central School District GO, BAN, 4.00%, 6/28/2023 | 3,400,000 | 3,400,880 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
New York — continued | ||
Utility Debt Securitization Authority | ||
Series 2016A, Rev., 5.00%, 6/15/2025 | 185,000 | 185,840 |
Series 2016B, Rev., 5.00%, 6/15/2025 | 25,000 | 25,114 |
Series 2016A, Rev., 5.00%, 12/15/2025 | 25,000 | 25,313 |
Utility Debt Securitization Authority, Restructuring Rev., 5.00%, 6/15/2025 | 25,000 | 25,114 |
Vestal Central School District GO, BAN, 4.00%, 9/29/2023 | 639,740 | 640,362 |
Victor Central School District Series B, GO, BAN, 3.75%, 9/15/2023 | 2,267,382 | 2,267,097 |
Village of Frankfort, Public Improvement GO, AGM, 3.00%, 11/15/2023 | 25,000 | 24,907 |
Washingtonville Central School District GO, 5.00%, 6/15/2023 | 65,000 | 65,325 |
Waverly Central School District GO, BAN, 3.75%, 7/27/2023 | 2,500,000 | 2,498,247 |
Wayland-Cohocton Central School District GO, BAN, 3.25%, 6/23/2023 | 9,000,000 | 8,985,569 |
Westchester County Local Development Corp., Purchase Senior Learning Community, Inc. Project Series 2021D, Rev., 2.88%, 7/1/2026 (e) | 1,885,000 | 1,798,077 |
Total New York | 482,909,245 | |
North Carolina — 1.1% | ||
Charlotte-Mecklenburg Hospital Authority (The), Atrium Health Variable Rate, Health Care | ||
Series 2021E, Rev., VRDO, LOC : Royal Bank of Canada, 2.30%, 3/1/2023 (c) | 20,000,000 | 20,000,000 |
Series 2021B, Rev., 5.00%, 12/2/2024 (c) | 1,430,000 | 1,469,804 |
Charlotte-Mecklenburg Hospital Authority (The), Healthcare System, Atrium Health Series 2018C, Rev., 3.45%, 10/31/2025 (c) | 910,000 | 909,081 |
City of Charlotte | ||
Series 2013C, COP, 5.00%, 6/1/2023 | 25,000 | 25,111 |
Series 2019B, COP, 5.00%, 6/1/2023 | 325,000 | 326,401 |
Series 2013B, GO, 5.00%, 7/1/2023 | 25,000 | 25,153 |
City of Charlotte, Airport Special Facilities, Charlotte Douglas International Airport Series 2017A, Rev., 5.00%, 7/1/2024 | 35,000 | 35,823 |
City of Charlotte, Convention Facility Project Series 2019A, COP, 5.00%, 6/1/2024 | 60,000 | 61,317 |
192 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
North Carolina — continued | ||
City of Charlotte, Equipment Acquisition and Public Facilities Series 2016A, COP, 5.00%, 12/1/2023 | 30,000 | 30,393 |
City of Durham GO, 5.00%, 9/1/2023 | 10,000 | 10,093 |
City of Raleigh Series 2020A, Rev., 5.00%, 6/1/2023 | 25,000 | 25,111 |
City of Raleigh, Combined Enterprise System Series 2013A, Rev., 5.00%, 3/1/2023 (b) | 45,000 | 45,000 |
City of Raleigh, Limited Obligation Rev., 5.00%, 2/1/2024 | 50,000 | 50,822 |
County of Brunswick, Enterprise Systems Rev., 5.00%, 4/1/2023 | 25,000 | 25,035 |
County of Buncombe Series A, Rev., 5.00%, 6/1/2023 | 70,000 | 70,316 |
County of Cabarrus GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
County of Forsyth | ||
GO, 5.00%, 4/1/2023 | 30,000 | 30,043 |
GO, 5.00%, 12/1/2023 | 25,000 | 25,337 |
County of Forsyth, Public Improvement GO, 4.00%, 5/1/2023 | 125,000 | 125,080 |
County of Johnson, Limited Obligation Series 2020A, Rev., 5.00%, 4/1/2023 | 10,000 | 10,015 |
County of New Hanover, Community College Series 2013A, GO, 3.00%, 6/1/2023 (b) | 20,000 | 19,992 |
County of Onslow Series 2012A, Rev., 4.00%, 6/1/2023 | 50,000 | 50,032 |
County of Onslow, Limited Obligation Rev., 5.00%, 6/1/2023 | 20,000 | 20,089 |
County of Wake, Hospital System Rev., NATL - RE, 5.13%, 10/1/2026 (b) | 100,000 | 103,685 |
County of Wake, Public Improvement Series 2018A, GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
Durham Capital Financing Corp., Limited Obligation Rev., 5.00%, 6/1/2023 (b) | 20,000 | 20,091 |
Greenville Utilities Commission Rev., 5.00%, 4/1/2023 | 75,000 | 75,110 |
Jacksonville Public Facilities Corp. Rev., 5.00%, 4/1/2023 | 20,000 | 20,028 |
North Carolina Capital Facilities Finance Agency, Duke University Project Series 2015B, Rev., 5.00%, 10/1/2025 (b) | 20,000 | 20,975 |
North Carolina Housing Finance Agency, Homeownership | ||
Series 45, Rev., GNMA / FNMA / FHLMC COLL, 0.40%, 7/1/2023 | 110,000 | 108,866 |
Series 44, Rev., 1.50%, 7/1/2024 | 230,000 | 223,404 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
North Carolina — continued | ||
North Carolina Medical Care Commission, Caromont Health Series 2021B, Rev., 5.00%, 2/1/2026 (c) | 325,000 | 339,850 |
North Carolina Medical Care Commission, Novant Health Series 2013A, Rev., 5.00%, 11/1/2024 | 160,000 | 160,210 |
North Carolina Medical Care Commission, Wake Forest Baptist Obligated Group Series 2012B, Rev., 5.00%, 12/1/2023 | 240,000 | 240,317 |
North Carolina Municipal Power Agency No. 1, Catawba Electric Series A, Rev., 5.00%, 1/1/2024 | 25,000 | 25,384 |
North Carolina State University at Raleigh Series 2013A, Rev., 5.00%, 10/1/2023 (b) | 20,000 | 20,210 |
North Carolina Turnpike Authority, Triangle Expressway System Rev., AGM, 5.00%, 1/1/2024 | 1,150,000 | 1,163,975 |
Orange County Public Facilities Co., Limited Obligation Rev., 5.00%, 10/1/2023 | 40,000 | 40,425 |
State of North Carolina | ||
Rev., 5.00%, 3/1/2023 | 800,000 | 800,000 |
Series 2015A, GO, 5.00%, 6/1/2023 | 25,000 | 25,118 |
Rev., 5.00%, 3/1/2024 | 40,000 | 40,704 |
State of North Carolina, Limited Obligation | ||
Series 2013A, Rev., 5.00%, 5/1/2023 | 10,000 | 10,030 |
Series 2013A, Rev., 2.25%, 5/1/2026 | 10,000 | 9,654 |
Town of Oak Island, Enterprise System Rev., AGM, 5.00%, 6/1/2023 | 10,000 | 10,042 |
University of North Carolina at Greensboro Rev., 5.00%, 4/1/2023 | 125,000 | 125,169 |
Total North Carolina | 27,018,295 | |
North Dakota — 0.0% ^ | ||
City of Fargo Series 2019A, GO, 5.00%, 5/1/2023 | 20,000 | 20,061 |
City of Grand Forks, Altru Health System Rev., 5.00%, 12/1/2024 | 120,000 | 122,168 |
City of West Fargo Series 2017A, GO, 5.00%, 5/1/2023 | 25,000 | 25,069 |
County of Stutsman Series 2014A, GO, 4.00%, 10/1/2023 | 25,000 | 25,077 |
Minot Public School District No. 1 GO, 4.00%, 8/1/2025 | 25,000 | 25,579 |
North Dakota Housing Finance Agency, Home Mortgage Finance Program Series 2020B, Rev., 1.05%, 7/1/2026 | 125,000 | 114,432 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 193 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
North Dakota — continued | ||
North Dakota Public Finance Authority, Capital Financing Program Series 2019A, Rev., 1.75%, 11/1/2023 | 430,000 | 423,927 |
North Dakota Public Finance Authority, State Revolving Fund Program Series 2012A, Rev., 5.00%, 10/1/2023 | 35,000 | 35,051 |
North Dakota State University of Housing and Auxiliary Facilities Series 2015A, Rev., 5.00%, 4/1/2023 | 20,000 | 20,026 |
West Fargo Public School District No. 6, School Building GO, 4.00%, 8/1/2024 | 40,000 | 40,455 |
Total North Dakota | 851,845 | |
Ohio — 4.8% | ||
Akron Bath Copley Joint Township Hospital District, Children's Hospital Medical Center of Akron | ||
Series 2022A, Rev., 5.00%, 11/15/2026 | 355,000 | 377,029 |
Series 2022A, Rev., 5.00%, 11/15/2027 | 470,000 | 507,839 |
American Municipal Power, Inc., Prairie State Energy Campus Project | ||
Series 2019B, Rev., 5.00%, 2/15/2024 | 20,000 | 20,312 |
Series 2015A, Rev., 5.00%, 2/15/2026 | 75,000 | 76,178 |
Bowling Green State University, General Receipts Series 2020A, Rev., 5.00%, 6/1/2023 | 20,000 | 20,081 |
Central Ohio Solid Waste Authority, Solid Waste Facilities, Limited Tax GO, 5.00%, 12/1/2023 | 45,000 | 45,589 |
City of Akron, Income Tax Rev., 5.00%, 12/1/2023 | 20,000 | 20,280 |
City of Akron, Various Purpose GO, 4.00%, 12/1/2023 | 200,000 | 200,119 |
City of Athens, Swimming Pool Facilities GO, 3.00%, 12/1/2023 | 25,000 | 24,956 |
City of Cincinnati | ||
Series 2015A, GO, 5.00%, 12/1/2023 (b) | 15,000 | 15,202 |
Series 2015A, GO, 5.00%, 12/1/2023 | 20,000 | 20,262 |
City of Delaware GO, BAN, 4.38%, 1/18/2024 | 2,675,000 | 2,682,248 |
City of Westerville, Special Obligation Rev., 5.00%, 12/1/2023 | 25,000 | 25,336 |
Cleveland Heights and University Heights City School District, School Improvement GO, 5.00%, 6/1/2023 (b) | 150,000 | 150,684 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
Columbus Metropolitan Library, Ohio Library Facilities, Special Obligation Series 2020, Rev., 4.00%, 12/1/2024 | 20,000 | 20,269 |
County of Allen, Hospital Facilities, Mercy Health Series 2017A, Rev., 5.00%, 8/1/2024 | 720,000 | 735,651 |
County of Franklin, Hospital Facilities Rev., 5.00%, 5/15/2023 | 35,000 | 35,130 |
County of Franklin, Limited Tax GO, 5.00%, 6/1/2023 | 25,000 | 25,113 |
County of Franklin, Ohio Health Corp. Series 2018D, Rev., VRDO, 2.78%, 3/9/2023 (c) | 30,000,000 | 30,000,000 |
County of Greene, Sewer System Series 2007A, Rev., AMBAC, 5.00%, 12/1/2023 | 50,000 | 50,654 |
County of Hamilton, Parking Facilities, Limited Tax Series 2021A, GO, 5.00%, 12/1/2023 | 25,000 | 25,329 |
County of Hamilton, Sales Tax Series 2016A, Rev., 5.00%, 12/1/2024 | 35,000 | 36,099 |
County of Montgomery, Catholic Health Initiatives Series 2008D-2, Rev., 5.45%, 11/13/2023 (b) | 140,000 | 142,142 |
Cuyahoga Community College District, Facilities Construction Improvement, Unlimited Tax GO, 3.00%, 12/1/2023 | 20,000 | 19,967 |
Cuyahoga Metropolitan Housing Authority Rev., FHA, 4.75%, 12/1/2025 (c) | 4,350,000 | 4,428,625 |
Cuyahoga Metropolitan Housing Authority, Carver Park Phase III Project Rev., FHA, 4.00%, 6/1/2025 (c) | 7,200,000 | 7,203,823 |
Dayton Metro Library, Unlimited Tax GO, 4.00%, 12/1/2024 | 40,000 | 40,588 |
Dublin City School District, School Facilities Construction and Improvement GO, 4.00%, 12/1/2024 | 20,000 | 20,308 |
Eastwood Local School District COP, 3.00%, 6/1/2023 | 30,000 | 29,965 |
Franklin County Convention Facilities Authority, Tax Lease | ||
Rev., 5.00%, 12/1/2023 (b) | 50,000 | 50,692 |
Rev., 5.00%, 12/1/2024 (b) | 75,000 | 77,484 |
Highland Local School District, School Improvement Series 2018A, GO, 5.00%, 6/1/2023 (b) | 100,000 | 100,456 |
Hocking Technical College District Rev., 5.00%, 7/1/2023 (b) | 40,000 | 40,225 |
194 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Ohio — continued | ||
Lakewood City School District Series 2014B, GO, 5.00%, 11/1/2023 | 115,000 | 116,378 |
Licking County Career and Technology Education Centers GO, 3.13%, 12/1/2023 | 50,000 | 49,954 |
Lucas-Plaza Housing Development Corp. Rev., FHA, Zero Coupon, 6/1/2024 (b) | 810,000 | 777,537 |
Northeast Ohio Regional Sewer District, Wastewater Improvement Rev., 5.00%, 5/15/2023 (b) | 40,000 | 40,141 |
Northwest Local School District, School Improvement, Unlimited Tax GO, 5.00%, 12/1/2023 (b) | 45,000 | 45,606 |
Oak Hills Local School District, School Improvement GO, 5.00%, 12/1/2023 | 20,000 | 20,247 |
Ohio Higher Educational Facility Commission, Case Western University Project | ||
Series 2021B, Rev., (SIFMA Municipal Swap Index Yield + 0.23%), 3.03%, 3/9/2023 (d) | 5,500,000 | 5,275,378 |
Rev., 5.00%, 12/1/2023 (b) | 45,000 | 45,556 |
Rev., 5.00%, 12/1/2023 | 100,000 | 101,198 |
Ohio Housing Finance Agency, Marianna Terrace Apartments Series 2022A, Rev., 1.30%, 3/1/2024 (c) | 1,000,000 | 971,382 |
Ohio Housing Finance Agency, RAD Post Oak LLC Series 2022, Rev., 3.35%, 7/1/2024 (c) | 4,740,000 | 4,666,619 |
Ohio State University (The), General Receipts | ||
Series 2012A, Rev., 5.00%, 6/1/2023 | 20,000 | 20,081 |
Series 2010D, Rev., 5.00%, 12/1/2023 | 40,000 | 40,494 |
Ohio State University (The), General Receipts, Special Purpose | ||
Series 2013A, Rev., 5.00%, 6/1/2024 | 170,000 | 170,718 |
Series 2013A, Rev., 5.00%, 6/1/2025 | 20,000 | 20,085 |
Ohio Water Development Authority Series 2013A, Rev., 5.00%, 6/1/2023 | 485,000 | 487,285 |
Orange City School District, Unlimited Tax GO, 5.00%, 12/1/2023 | 40,000 | 40,529 |
Perrysburg Exempted Village School District, Unlimited Tax GO, 5.00%, 12/1/2023 | 30,000 | 30,359 |
State of Ohio | ||
Series 2018A, Rev., 5.00%, 4/1/2023 | 25,000 | 25,034 |
Series 2016A, GO, 5.00%, 12/15/2023 | 35,000 | 35,512 |
Series 2016A, Rev., 5.00%, 2/1/2025 | 50,000 | 51,638 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Ohio — continued | ||
State of Ohio, Adult Correctional Building Fund Projects Series 2013A, Rev., 5.00%, 10/1/2024 | 35,000 | 36,010 |
State of Ohio, Capital Facilities Lease Appropriation | ||
Series 2017A, Rev., 5.00%, 12/1/2023 | 25,000 | 25,324 |
Series 2017A, Rev., 5.00%, 12/1/2024 | 25,000 | 25,802 |
State of Ohio, Capital Facilities Lease Appropriation Cultural and Sports Facilities Building Fund Projects Series 2016A, Rev., 5.00%, 10/1/2023 | 50,000 | 50,505 |
State of Ohio, Cleveland Clinic Health System Series 2019D-2, Rev., VRDO, 2.78%, 3/9/2023 (c) | 20,890,000 | 20,890,000 |
State of Ohio, Higher Education | ||
Series 2014A, GO, 4.00%, 5/1/2023 | 25,000 | 25,035 |
Series 2011A, GO, 5.00%, 8/1/2023 | 10,000 | 10,077 |
Series 2014A, GO, 4.00%, 5/1/2024 | 80,000 | 80,828 |
State of Ohio, Highway Improvement Series T, GO, 5.00%, 11/1/2023 | 95,000 | 96,151 |
State of Ohio, Infrastructure Improvement | ||
Series 2015B, GO, 5.00%, 3/1/2023 (b) | 75,000 | 75,000 |
Series 2012C, GO, 5.00%, 9/1/2023 | 25,000 | 25,233 |
Series 2015A, GO, 5.00%, 9/1/2023 | 25,000 | 25,233 |
Series 2015B, GO, 5.00%, 9/1/2023 | 25,000 | 25,233 |
Series 2016A, GO, 5.00%, 9/1/2023 | 20,000 | 20,187 |
Series 2017B, GO, 5.00%, 9/1/2025 | 30,000 | 31,467 |
State of Ohio, Juvenile Correctional Building Fund Projects Rev., 5.00%, 10/1/2023 | 35,000 | 35,354 |
State of Ohio, Major New Infrastructure Project | ||
Series 2016-1, Rev., 5.00%, 12/15/2023 | 25,000 | 25,340 |
Series 2018-1, Rev., 5.00%, 12/15/2023 | 120,000 | 121,633 |
Series 2019-1, Rev., 5.00%, 12/15/2023 | 25,000 | 25,340 |
Series 2018-1, Rev., 5.00%, 12/15/2024 | 30,000 | 30,986 |
State of Ohio, State Infrastructure Series 2019A, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
State of Ohio, University Hospitals Health System, Inc. | ||
Series 2021B, Rev., VRDO, 3.00%, 3/3/2023 (c) | 15,500,000 | 15,500,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 195 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Ohio — continued | ||
Series B, Rev., VRDO, 3.02%, 3/9/2023 (c) | 14,000,000 | 14,000,000 |
Series 2020B, Rev., 5.00%, 1/15/2025 (c) | 295,000 | 301,830 |
Tender Option Bond Trust Receipts/ Certificates | ||
Series C, Rev., VRDO, LIQ : Citibank NA, 2.87%, 3/9/2023 (c) (e) | 4,000,000 | 4,000,000 |
Series 2018-XF2703, GO, VRDO, LIQ : Barclays Bank plc, 2.90%, 3/9/2023 (c) (e) | 4,000,000 | 4,000,000 |
Toledo City School District, School Facilities Improvement GO, 5.00%, 12/1/2023 (b) | 20,000 | 20,269 |
University of Toledo Series 2018A, Rev., 5.00%, 6/1/2023 | 500,000 | 501,844 |
Westerville City School District, School Facilities Project COP, 5.00%, 12/1/2023 | 30,000 | 30,393 |
Wright State University Series 2021A, Rev., 4.00%, 5/1/2024 | 500,000 | 500,853 |
Total Ohio | 120,856,293 | |
Oklahoma — 1.6% | ||
Canadian County Independent School District No. 69 Mustang GO, 2.00%, 6/1/2023 | 45,000 | 44,787 |
City of Norman GO, 4.00%, 6/1/2023 | 60,000 | 60,120 |
City of Oklahoma City GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
Cleveland County Independent School District No. 2 Moore, Combined Purpose Series 2019-01, GO, 3.50%, 3/1/2023 | 380,000 | 380,000 |
Cleveland County Independent School District No. 29 Norman, Combined Purpose | ||
GO, 3.00%, 3/1/2023 | 45,000 | 45,000 |
Series 2019B, GO, 3.00%, 5/1/2023 | 10,000 | 9,992 |
Grady County School Finance Authority, Educational Facilities Lease, Tuttle Public Schools Project Rev., 5.00%, 9/1/2023 | 10,000 | 10,081 |
Oklahoma Capitol Improvement Authority, Office of Juvenile Affairs Project Series 2019B, Rev., 5.00%, 7/1/2023 | 20,000 | 20,109 |
Oklahoma County Finance Authority, Educational Facilities, Lease Midwest City-Del City Public Schools Project | ||
Rev., 5.00%, 10/1/2024 | 100,000 | 102,372 |
Rev., 5.00%, 10/1/2025 | 30,000 | 31,235 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oklahoma — continued | ||
Oklahoma County Finance Authority, Western Heights Public Schools Project Series 2018A, Rev., 5.00%, 9/1/2023 | 10,000 | 10,071 |
Oklahoma County Independent School District No. 89 Oklahoma City, Combined Purpose Series 2019A, GO, 3.00%, 7/1/2023 | 95,000 | 94,827 |
Oklahoma Development Finance Authority, Health System, Integris Obligated Group Series 2020C, Rev., VRDO, 3.10%, 3/9/2023 (c) | 39,125,000 | 39,125,000 |
Oklahoma Turnpike Authority, Second Senior Series 2020A, Rev., 5.00%, 1/1/2025 | 125,000 | 128,900 |
Oklahoma Water Resources Board, Master Trust Series 2013A, Rev., 5.00%, 4/1/2023 (b) | 15,000 | 15,022 |
Tulsa County Independent School District No. 1, Combined Purpose Series 2018B, GO, 3.00%, 8/1/2023 | 35,000 | 34,976 |
Tulsa County Industrial Authority Educational Facilities Lease, Broken Arrow Public Schools Project Rev., 5.00%, 9/1/2025 | 35,000 | 35,283 |
Tulsa Metropolitan Utility Authority Series 2019A, Rev., 5.00%, 4/1/2023 | 10,000 | 10,013 |
Tulsa Public Facilities Authority, Capital Improvement Rev., 3.00%, 6/1/2023 | 110,000 | 109,846 |
Total Oklahoma | 40,292,634 | |
Oregon — 0.7% | ||
City of Beaverton Series 2020A, Rev., 5.00%, 6/1/2023 | 30,000 | 30,129 |
City of Eugene, Electric Utility System Rev., 4.00%, 8/1/2024 | 140,000 | 140,078 |
City of Hermiston GO, 3.00%, 3/1/2023 | 25,000 | 25,000 |
City of Portland, Water System Series 2014A, Rev., 5.00%, 5/1/2023 | 125,000 | 125,374 |
City of Portland, Water System, Second Lien Rev., 5.00%, 10/1/2023 | 20,000 | 20,029 |
City of Salem GO, 5.00%, 6/1/2023 | 30,000 | 30,133 |
City of Salem, Water and Sewer Rev., 5.00%, 6/1/2023 | 20,000 | 20,089 |
City of St. Helens GO, 3.00%, 6/1/2023 | 25,000 | 24,984 |
Clackamas Community College District Series B, GO, Zero Coupon, 6/15/2023 | 20,000 | 19,792 |
Columbia Multnomah and Washington Counties School District No. 1J GO, 5.00%, 6/15/2023 | 35,000 | 35,176 |
196 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Oregon — continued | ||
County of Clatsop GO, 4.00%, 6/15/2023 | 20,000 | 20,046 |
Crook County School District GO, 5.00%, 6/15/2023 (b) | 200,000 | 200,971 |
Deschutes and Jefferson Counties School District No. 2J Redmond Series 2008B, GO, Zero Coupon, 6/15/2023 | 20,000 | 19,803 |
Hillsboro School District No. 1J GO, 5.00%, 6/15/2023 | 10,000 | 10,051 |
Hospital Facilities Authority of Multnomah County Oregon, Adventist Health System Rev., 5.00%, 3/1/2025 (c) | 260,000 | 260,216 |
Klamath Falls City Schools Series 2015A, GO, 5.00%, 6/15/2023 | 30,000 | 30,150 |
Lane County School District No. 52 Bethel GO, 4.00%, 6/15/2023 (b) | 25,000 | 25,062 |
Lebanon Rural Fire Protection District GO, 5.00%, 6/15/2023 | 25,000 | 25,114 |
Metro Series 2012A, GO, 5.00%, 6/1/2023 | 85,000 | 85,081 |
Metro, Oregon Convention Center Hotel Project Rev., 5.00%, 6/15/2025 | 20,000 | 20,824 |
Multnomah County School District No. 1 Portland Series 2020B, GO, 5.00%, 6/15/2023 | 200,000 | 201,029 |
Oregon State Facilities Authority, Peacehealth Series 2018B, Rev., VRDO, LOC : TD Bank NA, 2.50%, 3/1/2023 (c) | 15,000,000 | 15,000,000 |
Oregon State Lottery | ||
Series A, Rev., 4.00%, 4/1/2023 | 100,000 | 100,064 |
Series 2013A, Rev., 5.00%, 4/1/2023 (b) | 500,000 | 500,737 |
Portland Community College District | ||
GO, 3.00%, 6/15/2023 (b) | 55,000 | 54,976 |
GO, 5.00%, 6/15/2023 | 30,000 | 30,159 |
Salem Hospital Facility Authority, Salem Health Project Series 2019A, Rev., 5.00%, 5/15/2023 | 25,000 | 25,078 |
State of Oregon Series F, GO, 5.00%, 5/1/2023 | 45,000 | 45,138 |
State of Oregon, Article XI-F(1) University Projects Series I, GO, 5.00%, 8/1/2023 | 20,000 | 20,156 |
State of Oregon, Article XI-Q State Projects Series 2019A, GO, 5.00%, 5/1/2023 | 45,000 | 45,138 |
State of Oregon, Housing and Community Services Department, Single-Family Mortgage Program | ||
Series 2020A, Rev., 0.88%, 1/1/2024 | 325,000 | 317,408 |
Series 2014A, Rev., 3.00%, 1/1/2024 | 200,000 | 198,606 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oregon — continued | ||
Series 2020A, Rev., 0.90%, 7/1/2024 | 435,000 | 419,169 |
State of Oregon, University System Series 2013A, GO, 3.25%, 8/1/2023 (b) | 25,000 | 25,011 |
Tri-County Metropolitan Transportation District of Oregon Series 2017A, Rev., 5.00%, 10/1/2023 | 45,000 | 45,442 |
Washington County Clean Water Services, Senior Lien Rev., 5.00%, 10/1/2023 | 20,000 | 20,215 |
Total Oregon | 18,216,428 | |
Pennsylvania — 7.4% | ||
Abington School District Series 2021AA, GO, 5.00%, 3/15/2023 | 40,000 | 40,024 |
Allegheny County Higher Education Building Authority, Duquesne University Series 2014A, Rev., 5.00%, 3/1/2023 | 100,000 | 100,000 |
Allegheny County Hospital Development Authority, Allegheny Health Network Obligated Group Series 2018-A, Rev., 5.00%, 4/1/2023 | 420,000 | 420,522 |
Allegheny County Hospital Development Authority, Pittsburgh Medical Center Series 2019A, Rev., 5.00%, 7/15/2023 | 505,000 | 507,958 |
Bethel Park School District GO, 5.00%, 8/1/2025 | 35,000 | 36,512 |
Bristol Township School District GO, 5.00%, 6/1/2023 | 25,000 | 25,101 |
Canon McMillan School District Series 2014C, GO, 5.00%, 12/15/2023 (b) | 1,500,000 | 1,520,647 |
Carlisle Area School District, Limited Tax GO, 3.00%, 9/1/2024 | 25,000 | 24,881 |
Centennial School District Bucks County | ||
Series 2017C, GO, 5.00%, 12/15/2023 | 55,000 | 55,770 |
Series 2017A, GO, 5.00%, 12/15/2024 | 25,000 | 25,742 |
Cheltenham Township School District | ||
GO, 4.00%, 9/15/2023 | 25,000 | 25,117 |
Series 2019A, GO, 4.00%, 2/15/2025 | 20,000 | 20,257 |
City of Philadelphia, Water and Wastewater System Rev., 5.00%, 10/1/2023 | 100,000 | 100,993 |
Commonwealth Financing Authority Series B, Rev., 5.00%, 6/1/2023 | 10,000 | 10,038 |
Commonwealth Financing Authority, Tobacco Master Settlement Payment | ||
Rev., 5.00%, 6/1/2023 | 65,000 | 65,230 |
Rev., 5.00%, 6/1/2024 | 3,465,000 | 3,524,451 |
Rev., 5.00%, 6/1/2025 | 40,000 | 41,220 |
Rev., 5.00%, 6/1/2028 | 125,000 | 135,217 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 197 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Commonwealth of Pennsylvania | ||
Series 1, GO, 4.00%, 7/1/2023 | 20,000 | 20,064 |
Series 2, GO, 5.00%, 1/15/2024 | 25,000 | 25,413 |
Series 2014-1, GO, 5.00%, 6/15/2024 | 40,000 | 40,958 |
GO, 5.00%, 7/1/2024 | 25,000 | 25,621 |
GO, 5.00%, 9/15/2026 | 20,000 | 21,426 |
Council Rock School District | ||
GO, 4.00%, 11/15/2023 | 120,000 | 120,569 |
Series 2019A, GO, 4.00%, 11/15/2025 | 35,000 | 35,726 |
County of Adams Series 2017B, GO, 5.00%, 11/15/2023 | 25,000 | 25,298 |
County of Allegheny Series C-69, GO, 5.00%, 12/1/2023 | 50,000 | 50,071 |
County of Dauphin | ||
Series 2016C, GO, 4.00%, 10/1/2023 | 25,000 | 25,114 |
GO, 4.00%, 11/15/2023 | 35,000 | 35,193 |
County of Lancaster GO, 5.00%, 5/1/2023 | 45,000 | 45,132 |
County of Montgomery Series 2009C, GO, 5.00%, 12/15/2023 | 25,000 | 25,037 |
County of York | ||
GO, 5.00%, 6/1/2023 (b) | 20,000 | 20,091 |
Series 2016A, GO, 3.00%, 12/1/2023 | 30,000 | 29,898 |
Delaware County Authority, Villanova University Rev., 5.00%, 8/1/2024 | 25,000 | 25,554 |
Delaware County Industrial Development Authority, United Parcel Service Project Rev., VRDO, 2.80%, 3/1/2023 (c) | 40,000,000 | 40,000,000 |
Delaware River Port Authority Series 2018B, Rev., 5.00%, 1/1/2024 | 55,000 | 55,763 |
Delaware Valley Regional Finance Authority, Local Government Series 2020D, Rev., VRDO, LOC : TD Bank NA, 3.45%, 3/7/2023 (c) | 19,500,000 | 19,500,000 |
Derry Township Industrial and Commercial Development Authority, Derry Township Municipal Center Project Rev., 1.00%, 11/15/2023 | 160,000 | 155,737 |
East Penn School District GO, 4.00%, 11/15/2023 | 45,000 | 45,210 |
Elizabeth Forward School District | ||
Series 2021B, GO, AGM, 2.00%, 12/1/2023 | 20,000 | 19,666 |
Series 2021C, GO, AGM, 2.00%, 12/1/2023 | 10,000 | 9,833 |
Garnet Valley School District GO, 4.00%, 4/1/2023 | 25,000 | 25,013 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Geisinger Authority, Health System Series 2020B, Rev., 5.00%, 2/15/2027 (c) | 145,000 | 151,281 |
Gettysburg Area School District GO, 5.00%, 1/15/2024 | 20,000 | 20,253 |
Governor Mifflin School District Series 2012B, GO, 4.00%, 4/1/2023 (b) | 25,000 | 25,016 |
Hamburg Area School District GO, 5.00%, 4/1/2023 | 120,000 | 120,167 |
Hanover Public School District GO, 4.50%, 3/1/2023 | 25,000 | 25,000 |
Hatboro-Horsham School District Series B, GO, 5.00%, 3/15/2023 (b) | 80,000 | 80,053 |
Lancaster Industrial Development Authority, Garden Spot Village Project Rev., 5.38%, 5/1/2023 (b) | 65,000 | 65,230 |
Marple Newtown School District GO, 5.00%, 6/1/2023 | 30,000 | 30,135 |
Methacton School District | ||
GO, 5.00%, 3/1/2023 | 45,000 | 45,000 |
GO, 4.00%, 9/15/2025 | 75,000 | 76,472 |
Monroeville Finance Authority, University of Pittsburg Medical Center | ||
Series 2013B, Rev., 3.50%, 7/1/2023 | 230,000 | 229,936 |
Rev., 5.00%, 2/15/2026 | 55,000 | 57,383 |
Montgomery County Industrial Development Authority, Waverly Heights Ltd. Project Rev., 4.00%, 12/1/2023 | 125,000 | 124,878 |
North Allegheny School District, Unlimited Tax Series 2019A, GO, 4.00%, 5/1/2024 | 25,000 | 25,202 |
North Penn School District Series 2019A, GO, 3.00%, 1/15/2025 | 30,000 | 29,821 |
North Penn Water Authority Rev., (SIFMA Municipal Swap Index Yield + 0.56%), 3.36%, 3/9/2023 (d) | 1,225,000 | 1,224,475 |
Northampton County General Purpose Authority, Lafayette College Rev., 5.00%, 11/1/2023 | 30,000 | 30,349 |
Northampton County General Purpose Authority, St. Luke's University Health Network Project Series 2016A, Rev., 5.00%, 8/15/2023 | 45,000 | 45,278 |
Owen J Roberts School District GO, 5.00%, 5/15/2023 (b) | 70,000 | 70,261 |
Oxford Area School District Series 2019A, GO, 4.00%, 9/1/2023 | 40,000 | 40,130 |
Pennsylvania Economic Development Financing Authority Rev., 5.00%, 3/15/2026 | 50,000 | 52,239 |
198 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Pennsylvania Economic Development Financing Authority, PPL Electric Utilities Corporation Project Rev., 0.40%, 10/1/2023 | 800,000 | 779,602 |
Pennsylvania Economic Development Financing Authority, University of Pittsburgh Medical Center | ||
Series 2017C, Subseries C1, Rev., (SIFMA Municipal Swap Index Yield + 0.37%), 3.17%, 3/9/2023 (d) | 1,500,000 | 1,494,464 |
Series 2017A, Rev., 5.00%, 11/15/2023 | 1,730,000 | 1,747,095 |
Series 2014A, Rev., 5.00%, 2/1/2025 | 50,000 | 51,142 |
Series 2017A, Rev., 5.00%, 11/15/2026 | 25,000 | 26,408 |
Pennsylvania Higher Educational Facilities Authority Series AW, Rev., 5.00%, 6/15/2024 | 200,000 | 204,282 |
Pennsylvania Higher Educational Facilities Authority, BRYN MAWR College | ||
Rev., 5.00%, 12/1/2023 | 25,000 | 25,327 |
Rev., 5.00%, 12/1/2024 | 70,000 | 72,137 |
Pennsylvania Higher Educational Facilities Authority, Drexel University Rev., 5.00%, 5/1/2023 | 265,000 | 265,688 |
Pennsylvania Higher Educational Facilities Authority, Philadelphia University Rev., 5.00%, 6/1/2023 (b) | 20,000 | 20,081 |
Pennsylvania Higher Educational Facilities Authority, State System of Higher Education Series AN, Rev., 5.00%, 6/15/2023 | 25,000 | 25,118 |
Pennsylvania Higher Educational Facilities Authority, Trustees of the University | ||
Series 2016A, Rev., 5.00%, 8/15/2023 | 25,000 | 25,211 |
Series 2015A, Rev., 5.00%, 10/1/2023 | 25,000 | 25,270 |
Pennsylvania Housing Finance Agency, Single Family Mortgage Series 2019-130A, Rev., 1.40%, 4/1/2024 | 260,000 | 253,578 |
Pennsylvania Turnpike Commission | ||
Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/7/2023 (c) | 33,000,000 | 33,000,000 |
Series 2019-2, Rev., VRDO, LOC : TD Bank NA, 3.40%, 3/7/2023 (c) | 14,095,000 | 14,095,000 |
Series 2020A, Rev., VRDO, LOC : Barclays Bank plc, 2.72%, 3/9/2023 (c) | 39,000,000 | 39,000,000 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pennsylvania — continued | ||
Series 2018A-1, Rev., (SIFMA Municipal Swap Index Yield + 0.60%), 3.40%, 3/9/2023 (d) | 25,000 | 25,015 |
Series 2016B, Rev., 5.00%, 6/1/2023 | 25,000 | 25,089 |
Series 2011A, Rev., 5.00%, 12/1/2023 | 35,000 | 35,419 |
Series A-1, Rev., 5.00%, 12/1/2023 | 25,000 | 25,299 |
Pennsylvania Turnpike Commission, Senior Lien Series 2012A, Rev., 5.00%, 12/1/2023 | 175,000 | 175,221 |
Perkiomen Valley School District | ||
GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
GO, 5.00%, 3/1/2024 | 25,000 | 25,418 |
Peters Township School District Washington County GO, 5.00%, 1/15/2026 | 20,000 | 20,997 |
Philadelphia Authority for Industrial Development | ||
Series B-2, Rev., VRDO, LOC : TD Bank NA, 2.78%, 3/9/2023 (c) | 25,000,000 | 25,000,000 |
Rev., 5.00%, 5/1/2023 | 350,000 | 350,821 |
Pittsburgh School District GO, AGM, 5.00%, 9/1/2023 | 25,000 | 25,226 |
Reading Area Water Authority Rev., AGM, 4.00%, 12/1/2023 | 75,000 | 75,105 |
School District of Philadelphia Series F, GO, 5.00%, 9/1/2024 | 20,000 | 20,460 |
Southeastern Pennsylvania Transportation Authority Rev., 5.00%, 3/1/2025 | 45,000 | 46,607 |
Southeastern Pennsylvania Transportation Authority, Capital Grant Receipts Rev., 5.00%, 6/1/2024 | 20,000 | 20,427 |
Southern Lehigh School District Series A, GO, 5.00%, 9/1/2023 | 35,000 | 35,294 |
State College Area School District GO, 4.00%, 3/1/2023 | 40,000 | 40,000 |
State Public School Building Authority, The School District of the City of Harrisburg Project Series 2016A, Rev., AGM, 4.00%, 12/1/2026 (b) | 15,000 | 15,563 |
State Public School Building Authority, Westmoreland County Community College Series 2016A, Rev., AGM, 5.00%, 10/15/2023 | 10,000 | 10,109 |
Susquehanna Township School District GO, 4.00%, 5/15/2023 | 25,000 | 25,038 |
Township of Cranberry GO, 4.00%, 3/1/2023 | 35,000 | 35,000 |
Township of Hempfield GO, 5.00%, 10/15/2023 | 35,000 | 35,370 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 199 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Pennsylvania — continued | ||
Township of Lower Paxton GO, 4.00%, 4/1/2024 | 30,000 | 30,219 |
Township of Palmer Series 2020A, GO, 5.00%, 11/15/2023 | 30,000 | 30,359 |
Township of Radnor GO, 4.00%, 4/1/2023 | 225,000 | 225,107 |
Troy Area School District Bradford County GO, 4.00%, 3/1/2023 | 20,000 | 20,000 |
West Jefferson Hills School District | ||
Series 2017A, GO, 5.00%, 8/1/2023 | 30,000 | 30,225 |
GO, 3.00%, 8/1/2024 | 25,000 | 24,873 |
Total Pennsylvania | 187,194,290 | |
Rhode Island — 0.1% | ||
Rhode Island Commerce Corp. Series 2016A, Rev., 5.00%, 6/15/2023 | 150,000 | 150,677 |
Rhode Island Health and Educational Building Corp., Higher Education Facilities, Brown University Rev., 5.00%, 9/1/2023 | 25,000 | 25,229 |
Rhode Island Health and Educational Building Corp., Lifespan Obligated Group Rev., 5.00%, 5/15/2023 | 3,015,000 | 3,019,524 |
Rhode Island Health and Educational Building Corp., Providence College Series 2012B, Rev., 5.00%, 11/1/2023 | 125,000 | 125,167 |
Rhode Island Health and Educational Building Corp., Town of Lincoln Series 2020B, Rev., 4.00%, 5/15/2023 | 95,000 | 95,140 |
State of Rhode Island and Providence Plantations Lease Participation Certificates, School for The Deaf Project Series 2017D, COP, 5.00%, 4/1/2024 | 30,000 | 30,558 |
State of Rhode Island and Providence Plantations, Courthouse Project Series 2013A, COP, 5.00%, 10/1/2023 | 45,000 | 45,452 |
State of Rhode Island, Providence Plantations, Consolidated Capital Development Loan Series 2019A, GO, 5.00%, 5/1/2023 | 150,000 | 150,439 |
Town of Westerly Series 2014A, GO, 5.00%, 7/1/2023 | 45,000 | 45,268 |
Total Rhode Island | 3,687,454 | |
South Carolina — 0.5% | ||
Beaufort County School District Series 2015B, GO, 5.00%, 3/1/2024 | 30,000 | 30,567 |
Berkeley County School District, Securing Assets for Education Series 2015A, Rev., 5.00%, 12/1/2025 | 95,000 | 96,392 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
South Carolina — continued | ||
Charleston Educational Excellence Finance Corp. | ||
Series 2013B, Rev., 5.00%, 12/1/2024 | 65,000 | 65,899 |
Series 2013B, Rev., 5.00%, 12/1/2025 | 35,000 | 35,500 |
City of Camden, Combined Public Utility System Rev., AGM, 2.00%, 3/1/2023 | 600,000 | 600,000 |
Clemson University, Higher Education Bonds | ||
Rev., 5.00%, 5/1/2023 | 60,000 | 60,170 |
Series 2015B, Rev., 5.00%, 5/1/2023 | 80,000 | 80,226 |
County of Richland Series 2013B, GO, 5.00%, 3/1/2023 | 40,000 | 40,000 |
Dorchester County School District No. 2, Growth Installment Purchase Series 2013B, Rev., 4.00%, 12/1/2024 | 50,000 | 50,333 |
Fort Mill School District No. 4 Series 2017B, GO, SCSDE, 5.00%, 3/1/2023 | 20,000 | 20,000 |
Horry County School District GO, SCSDE, 5.00%, 3/1/2023 | 40,000 | 40,000 |
Joint Municipal Water and Sewer Commission, System Improvement Rev., 4.75%, 6/1/2023 (b) | 20,000 | 20,079 |
Patriots Energy Group Financing Agency Series 2018A, Rev., LIQ : Royal Bank of Canada, 4.00%, 2/1/2024 (c) | 4,395,000 | 4,407,130 |
Piedmont Municipal Power Agency | ||
Series 2017A, Rev., 5.00%, 1/1/2024 | 65,000 | 65,715 |
Series 2017B, Rev., 5.00%, 1/1/2024 | 50,000 | 50,550 |
Rev., NATL - RE, 5.38%, 1/1/2025 | 105,000 | 108,471 |
Richland County School District No. 1 Series 2014C, GO, SCSDE, 5.00%, 3/1/2023 | 35,000 | 35,000 |
South Carolina Jobs-Economic Development Authority, Anmed Health Project Rev., 5.00%, 2/1/2024 | 25,000 | 25,309 |
South Carolina Jobs-Economic Development Authority, Bon Secours Mercy Health, Inc. Rev., 5.00%, 10/1/2025 (c) | 300,000 | 309,644 |
South Carolina Jobs-Economic Development Authority, Tax-Exempt, York Preparation Academy Project Series 2014A, Rev., 7.25%, 11/1/2024 (b) (e) | 5,250,000 | 5,570,010 |
South Carolina Jobs-Economic Development Authority, Wofford College Rev., 5.00%, 4/1/2023 | 125,000 | 125,152 |
200 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
South Carolina — continued | ||
South Carolina Public Service Authority, Santee Cooper | ||
Series 2013A, Rev., 5.75%, 12/1/2023 (b) | 40,000 | 40,743 |
Series A, Rev., 5.00%, 12/1/2026 | 1,170,000 | 1,207,964 |
South Carolina Public Service Authority, Tax-Exempt Series 2014C, Rev., 5.00%, 12/1/2024 | 50,000 | 51,227 |
South Carolina Transportation Infrastructure Bank Series 2015A, Rev., 5.00%, 10/1/2024 | 25,000 | 25,694 |
Spartanburg Regional Health Services District, Forward Delivery Rev., 5.00%, 4/15/2023 | 85,000 | 85,125 |
Spartanburg Sanitary Sewer District, Sewer System Series B, Rev., 5.00%, 3/1/2023 (b) | 25,000 | 25,000 |
University of South Carolina, Higher Education Facilities | ||
Rev., 5.00%, 5/1/2023 | 90,000 | 90,266 |
Rev., 5.00%, 5/1/2025 | 70,000 | 72,737 |
York County School District No. 3 Rock Hill Series 2017B, GO, SCSDE, 5.00%, 3/1/2023 | 130,000 | 130,000 |
Total South Carolina | 13,564,903 | |
South Dakota — 0.0% ^ | ||
County of Pennington, Limited Tax | ||
Series 2017A, COP, 3.00%, 6/1/2023 | 25,000 | 24,989 |
Series 2017A, COP, 3.00%, 12/1/2023 | 100,000 | 99,881 |
South Dakota State Building Authority | ||
Series 2020C, Rev., 3.00%, 6/1/2023 | 35,000 | 34,971 |
Series B, Rev., 5.00%, 6/1/2023 (b) | 45,000 | 45,205 |
Series 2019A, Rev., 4.00%, 6/1/2024 | 30,000 | 30,258 |
Series 2014D, Rev., 5.00%, 9/1/2024 | 25,000 | 25,630 |
Total South Dakota | 260,934 | |
Tennessee — 1.8% | ||
City of Chattanooga GO, 3.13%, 10/1/2025 | 140,000 | 139,666 |
City of Clarksville GO, 3.00%, 6/1/2023 | 25,000 | 24,984 |
City of La Vergne, Sewage Works GO, 3.30%, 3/1/2023 (b) | 25,000 | 25,000 |
City of Memphis, General Improvement GO, 5.00%, 5/1/2023 | 105,000 | 105,325 |
County of Hamilton Series 2015B, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
County of Hawkins GO, 5.00%, 6/1/2023 | 25,000 | 25,101 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tennessee — continued | ||
County of Maury GO, 5.00%, 4/1/2024 | 30,000 | 30,580 |
County of Shelby | ||
Series 2012A, GO, 4.00%, 3/1/2023 | 30,000 | 30,000 |
Series 2019B, GO, 5.00%, 4/1/2023 | 15,000 | 15,022 |
County of Williamson, Public Improvement and School GO, 5.00%, 4/1/2023 | 25,000 | 25,035 |
County of Wilson GO, 4.00%, 4/1/2025 | 750,000 | 750,524 |
Greeneville Health and Educational Facilities Board, Ballad Health Obligated Group Series 2018A, Rev., 5.00%, 7/1/2024 | 145,000 | 145,549 |
Hallsdale-Powell Utility District, Water and Sewer Rev., 5.00%, 4/1/2023 | 45,000 | 45,064 |
Knox County Health Educational and Housing Facility Board, Covenant Health | ||
Series 2012A, Rev., 5.00%, 1/1/2024 | 85,000 | 85,643 |
Series 2012A, Rev., 5.00%, 1/1/2026 | 25,000 | 25,093 |
Metropolitan Government Nashville and Davidson County Health and Educational Facilities Board, Trevecca Nazarene University Project | ||
Series 2021B, Rev., 4.00%, 10/1/2023 | 130,000 | 129,661 |
Series 2021B, Rev., 4.00%, 10/1/2024 | 170,000 | 167,990 |
Metropolitan Government Nashville and Davidson County Sports Authority, Public Improvement Series A, Rev., 5.00%, 7/1/2023 | 125,000 | 125,620 |
Metropolitan Government of Nashville and Davidson County GO, 5.00%, 7/1/2023 (b) | 25,000 | 25,153 |
Metropolitan Government of Nashville and Davidson County, Electric System Series 2014A, Rev., 5.00%, 5/15/2023 | 20,000 | 20,073 |
Metropolitan Government of Nashville and Davidson County, Water and Sewer | ||
Series 2017B, Rev., 5.00%, 7/1/2023 | 25,000 | 25,149 |
Series 2020B, Rev., 5.00%, 7/1/2023 | 35,000 | 35,209 |
Tennessee Energy Acquisition Corp., Commodity Project | ||
Series 2021A, Rev., 5.00%, 11/1/2025 | 350,000 | 357,333 |
Series 2021A, Rev., 5.00%, 11/1/2026 | 500,000 | 515,274 |
Tennessee Energy Acquisition Corp., Gas Project Series 2017A, Rev., 4.00%, 5/1/2023 (c) | 41,800,000 | 41,849,015 |
Tennessee State School Bond Authority, Higher Educational Facilities Second Program Series B, Rev., 5.00%, 11/1/2024 | 20,000 | 20,612 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 201 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Tennessee — continued | ||
Town of Smyrna GO, 5.00%, 4/1/2024 | 30,000 | 30,583 |
West Wilson Utility District of Wilson County Tennessee Rev., 5.00%, 6/1/2023 | 75,000 | 75,271 |
Total Tennessee | 44,869,529 | |
Texas — 6.6% | ||
Arlington Higher Education Finance Corp. Series 2021A, Rev., 5.00%, 8/15/2023 | 310,000 | 309,503 |
Austin Community College District Public Facility Corp., Highland Campus - Building 3000 Project Series 2018A, Rev., 5.00%, 8/1/2023 | 25,000 | 25,184 |
Austin Community College District, Limited Tax GO, 5.00%, 8/1/2023 | 45,000 | 45,331 |
Bay City Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 2/15/2025 | 40,000 | 41,417 |
Bexar County Hospital District, Limited Tax GO, 5.00%, 2/15/2025 | 55,000 | 56,895 |
Board of Regents of the University of Texas System, Financing System | ||
Series 2012A, Rev., 5.00%, 8/15/2023 | 20,000 | 20,164 |
Series 2016C, Rev., 5.00%, 8/15/2023 | 30,000 | 30,246 |
Buna Independent School District, School Building, Unlimited Tax Series 2014, GO, PSF-GTD, 2.25%, 8/15/2023 | 40,000 | 39,727 |
City of Abilene GO, 5.00%, 2/15/2024 | 25,000 | 25,407 |
City of Amarillo, Waterworks and Sewer System Rev., 5.00%, 4/1/2023 | 20,000 | 20,029 |
City of Austin GO, 5.00%, 9/1/2023 | 25,000 | 25,232 |
City of Austin, Electric Utility System | ||
Series 2012A, Rev., 5.00%, 11/15/2024 | 495,000 | 495,726 |
Series A, Rev., 5.00%, 11/15/2025 | 100,000 | 100,142 |
City of Austin, Public Improvement GO, 5.00%, 9/1/2023 | 70,000 | 70,649 |
City of Austin, Water and Wastewater System | ||
Series 2013A, Rev., 5.00%, 5/15/2023 | 100,000 | 100,365 |
Series 2013A, Rev., 5.00%, 5/15/2023 (b) | 25,000 | 25,085 |
Series 2013A, Rev., 5.00%, 11/15/2023 | 5,000 | 5,018 |
Series 2013A, Rev., 5.00%, 11/15/2024 | 15,000 | 15,057 |
City of Beaumont GO, 5.00%, 3/1/2023 | 100,000 | 100,000 |
City of Boerne GO, 5.00%, 3/1/2023 | 50,000 | 50,000 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
City of Brownsville, Utilities System Series 2013A, Rev., 5.00%, 9/1/2024 | 275,000 | 277,162 |
City of Bryan, Electric System Rev., 5.00%, 7/1/2023 | 15,000 | 15,079 |
City of Bryan, Rural Electric System Rev., 5.00%, 7/1/2023 | 10,000 | 10,053 |
City of Buda GO, 5.00%, 8/15/2024 | 20,000 | 20,514 |
City of Cedar Hill, Refunding and Improvement GO, 5.00%, 2/15/2025 | 40,000 | 41,448 |
City of Conroe | ||
Series 2018B, GO, 5.00%, 11/15/2024 | 25,000 | 25,759 |
Series 2019A, GO, 5.00%, 3/1/2025 | 35,000 | 36,264 |
City of Copperas Cove GO, 4.00%, 8/15/2025 | 25,000 | 25,452 |
City of Corpus Christi, General Improvement | ||
GO, 5.00%, 3/1/2023 | 35,000 | 35,000 |
Series 2020A, GO, 5.00%, 3/1/2023 | 45,000 | 45,000 |
City of Dallas Series 2013A, GO, 5.00%, 2/15/2025 | 25,000 | 25,038 |
City of Dallas, Waterworks and Sewer System Series 2012A, Rev., 5.00%, 10/1/2023 | 120,000 | 120,172 |
City of Deer Park GO, 3.00%, 3/15/2024 | 25,000 | 24,947 |
City of Denton, Utility System Rev., 5.00%, 12/1/2023 | 450,000 | 456,023 |
City of Eagle Pass GO, AGM, 5.00%, 3/1/2023 | 25,000 | 25,000 |
City of El Paso, Water and Sewer System Rev., 5.00%, 3/1/2023 | 50,000 | 50,000 |
City of Farmers Branch GO, 4.00%, 2/15/2025 | 35,000 | 35,569 |
City of Frisco GO, 5.00%, 2/15/2025 | 35,000 | 36,307 |
City of Garland, Electric Utility System | ||
Rev., 5.00%, 3/1/2023 | 660,000 | 660,000 |
Series 2016A, Rev., 5.00%, 3/1/2023 | 20,000 | 20,000 |
Series 2016B, Rev., 5.00%, 3/1/2023 | 490,000 | 490,000 |
Series 2021A, Rev., 5.00%, 3/1/2023 | 690,000 | 690,000 |
Series 2016B, Rev., 5.00%, 3/1/2025 | 415,000 | 428,437 |
City of Georgetown GO, 5.00%, 8/15/2023 | 25,000 | 25,200 |
City of Granbury Series 2016A, GO, 4.00%, 8/15/2025 | 35,000 | 35,741 |
City of Heath, Combination Tax and Surplus GO, 5.00%, 2/15/2025 | 40,000 | 41,379 |
City of Houston | ||
Series 2019A, GO, 5.00%, 3/1/2023 | 175,000 | 175,000 |
202 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Series 2016A, GO, 5.00%, 3/1/2024 | 35,000 | 35,627 |
City of Houston, Airport System, Subordinate Lien | ||
Series 2018D, Rev., 5.00%, 7/1/2026 | 45,000 | 47,721 |
Series 2020B, Rev., 5.00%, 7/1/2026 | 35,000 | 37,116 |
City of Houston, Combined Utility System, First Lien | ||
Series 2013B, Rev., 4.00%, 11/15/2023 | 25,000 | 25,145 |
Series 2002C, Rev., 5.00%, 11/15/2023 | 25,000 | 25,317 |
City of Houston, Combined Utility System, Junior Lien Series A, Rev., AGM, Zero Coupon, 12/1/2024 | 85,000 | 79,950 |
City of Houston, Demolition Program Series 2013A, GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
City of Houston, Public Improvement Series 2013A, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
City of Hutto Series 2019A, GO, 5.00%, 8/1/2025 | 20,000 | 20,878 |
City of Kenedy, Combination Tax GO, 4.00%, 5/1/2025 | 25,000 | 25,422 |
City of Lakeway GO, 4.00%, 2/1/2024 | 45,000 | 45,277 |
City of Laredo | ||
GO, 5.00%, 2/15/2024 | 50,000 | 50,069 |
GO, 5.00%, 2/15/2024 | 25,000 | 25,414 |
City of Laredo, Combination Tax GO, 5.00%, 2/15/2025 | 40,000 | 41,340 |
City of Lubbock GO, 5.00%, 2/15/2027 | 20,000 | 20,662 |
City of Lubbock, Electric Light and Power System | ||
Rev., 5.00%, 4/15/2023 | 25,000 | 25,049 |
Rev., 5.00%, 4/15/2024 | 400,000 | 407,403 |
City of Mansfield, Combination Tax GO, 2.00%, 2/15/2024 | 25,000 | 24,619 |
City of McKinney | ||
GO, 5.00%, 8/15/2023 | 30,000 | 30,233 |
GO, 5.00%, 8/15/2025 | 25,000 | 26,125 |
City of McKinney, Waterworks and Sewer System Rev., 5.00%, 3/15/2023 | 20,000 | 20,012 |
City of Mesquite, Waterworks and Sewer System Rev., 3.00%, 3/1/2023 | 45,000 | 45,000 |
City of Midland | ||
GO, 5.00%, 3/1/2023 | 45,000 | 45,000 |
Series 2018A, GO, 5.00%, 3/1/2025 | 70,000 | 72,472 |
City of Midland, Certificates of Obligation GO, 5.00%, 3/1/2025 | 40,000 | 41,413 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
City of Midlothian, Combination Tax, Navarro College District GO, 3.00%, 8/15/2024 | 25,000 | 24,945 |
City of Missouri City | ||
GO, 5.00%, 6/15/2023 | 55,000 | 55,270 |
GO, 5.00%, 6/15/2024 | 30,000 | 30,650 |
City of Missouri City, Combination Tax, Certificates of Obligation Series 2018B, GO, 4.00%, 6/15/2025 | 25,000 | 25,396 |
City of New Braunfels, Combination Tax, Certificates of Obligation GO, 5.00%, 2/1/2025 | 40,000 | 41,310 |
City of New Braunfels, Utility System Rev., 5.00%, 7/1/2023 | 40,000 | 40,232 |
City of Odessa GO, 5.00%, 3/1/2023 | 110,000 | 110,000 |
City of Pasadena Series 2012A, GO, 5.00%, 2/15/2024 | 55,000 | 55,083 |
City of Pearland, Permanent Improvement | ||
GO, 5.00%, 3/1/2023 | 180,000 | 180,000 |
Series 2016A, GO, 5.00%, 3/1/2023 (b) | 50,000 | 50,000 |
GO, 5.00%, 3/1/2024 | 40,000 | 40,697 |
Series 2016B, GO, 5.00%, 3/1/2024 | 25,000 | 25,435 |
City of Plano | ||
GO, 5.00%, 9/1/2023 | 40,000 | 40,059 |
GO, 5.00%, 9/1/2023 | 30,000 | 30,277 |
City of Port Aransas, Combination Tax, Certificates of Obligation GO, 4.00%, 2/1/2025 | 25,000 | 25,359 |
City of Portland, Combination Tax, Certificates of Obligation GO, 4.00%, 8/15/2023 | 25,000 | 25,088 |
City of Sachse, Combination Tax and Limited Surplus Series 2017A, GO, 4.00%, 2/15/2025 | 65,000 | 66,068 |
City of San Antonio, Drainage Utility System | ||
Rev., 5.00%, 2/1/2024 | 100,000 | 100,146 |
Rev., 5.00%, 2/1/2027 | 50,000 | 50,072 |
City of San Antonio, Electric and Gas Systems Rev., 5.25%, 2/1/2024 | 155,000 | 157,725 |
City of San Marcos, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2024 | 35,000 | 35,879 |
City of Sherman, Combination Tax, Certificates of Obligation GO, 5.00%, 8/15/2024 | 25,000 | 25,664 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 203 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
City of Waco, Combination Tax, Certificates of Obligation | ||
GO, 5.00%, 2/1/2024 | 20,000 | 20,334 |
GO, 5.00%, 2/1/2025 | 30,000 | 31,034 |
City of Waxahachie GO, 4.00%, 8/1/2023 | 35,000 | 35,122 |
City of Waxahachie, Combination Tax, Certificates of Obligation GO, 4.00%, 8/1/2024 | 25,000 | 25,238 |
City of Weatherford GO, 4.00%, 3/1/2025 | 30,000 | 30,454 |
City of Weslaco, Certificates of Obligation GO, 5.00%, 2/15/2024 | 20,000 | 20,295 |
City of Woodway GO, 5.00%, 8/15/2023 | 25,000 | 25,195 |
Clear Lake City Water Authority GO, 4.00%, 3/1/2023 | 145,000 | 145,000 |
Clifton Higher Education Finance Corp., Idea Public Schools Rev., PSF-GTD, 5.00%, 8/15/2023 | 530,000 | 533,897 |
Columbia-Brazoria Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | 200,000 | 198,297 |
Comal Independent School District, Unlimited Tax | ||
GO, PSF-GTD, 5.00%, 2/1/2025 | 55,000 | 56,988 |
Series B, GO, PSF-GTD, 5.00%, 2/1/2025 | 25,000 | 25,438 |
Coppell Independent School District, Unlimited Tax Series 2019A, GO, 5.00%, 8/15/2023 | 40,000 | 40,336 |
Coppell Recreational Development Corp. Rev., 5.00%, 8/1/2023 | 25,000 | 25,172 |
County of Bexar Series 2013A, GO, 4.00%, 6/15/2023 (b) | 130,000 | 130,288 |
County of Bexar, Flood Control Tax GO, 5.00%, 6/15/2024 | 45,000 | 46,078 |
County of Comal, Limited Tax GO, 4.00%, 2/1/2025 | 35,000 | 35,554 |
County of El Paso Series 2015, GO, 5.00%, 2/15/2024 | 20,000 | 20,277 |
County of Fort Bend, Unlimited Tax | ||
GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
Series B, GO, 5.00%, 3/1/2023 | 20,000 | 20,000 |
County of Galveston, Limited Tax GO, 5.00%, 2/1/2025 | 30,000 | 30,988 |
County of Harris Series 2022A, GO, 5.00%, 10/1/2024 | 240,000 | 247,112 |
County of Harris, Permanent Improvement Series 2017A, GO, 5.00%, 10/1/2023 | 25,000 | 25,270 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
County of Harris, Toll Road, Senior Lien Series 2015B, Rev., 5.00%, 8/15/2023 | 25,000 | 25,200 |
County of Harris, Unlimited Tax Series 2022A, GO, 5.00%, 10/1/2024 | 220,000 | 226,520 |
County of Hays, Limited Tax GO, 5.00%, 2/15/2025 | 35,000 | 36,253 |
County of Hidalgo GO, 5.00%, 8/15/2023 | 20,000 | 20,162 |
County of Hidalgo, Limited Tax Series 2019B, GO, 5.00%, 8/15/2023 | 20,000 | 20,162 |
County of Kendall, Limited Tax GO, 4.00%, 3/1/2023 | 25,000 | 25,000 |
County of Montgomery, Unlimited Tax | ||
GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
Series 2016A, GO, 5.00%, 3/1/2023 | 250,000 | 250,000 |
County of Nueces | ||
GO, 4.00%, 2/15/2025 (b) | 15,000 | 15,194 |
GO, 4.00%, 2/15/2025 | 10,000 | 10,140 |
County of Taylor, Limited Tax GO, 5.00%, 2/15/2025 | 30,000 | 31,017 |
County of Tom Green, Combination Tax and Limited Surplus GO, 5.00%, 2/1/2025 | 35,000 | 36,120 |
Crowley Independent School District, Unlimited Tax Series 1, GO, PSF-GTD, 4.75%, 8/1/2023 (b) | 25,000 | 25,153 |
Dallas Area Rapid Transit, Sales Tax, Senior Lien | ||
Rev., 5.00%, 12/1/2024 | 35,000 | 36,105 |
Series 2014A, Rev., 5.00%, 12/1/2024 | 120,000 | 123,788 |
Dallas County Park Cities Municipal Utility District Rev., 4.00%, 8/1/2025 | 25,000 | 25,443 |
Dallas Fort Worth International Airport | ||
Series F, Rev., 5.00%, 11/1/2024 | 655,000 | 662,591 |
Series 2020B, Rev., 5.00%, 11/1/2025 | 30,000 | 31,439 |
Series 2013F, Rev., 5.13%, 11/1/2025 | 505,000 | 510,784 |
Dallas Independent School District, Unlimited Tax | ||
Series 2016A, GO, PSF-GTD, 4.00%, 2/15/2025 (b) | 25,000 | 25,371 |
GO, PSF-GTD, 5.00%, 2/15/2025 | 50,000 | 51,829 |
Del Mar College District, Limited Tax GO, 4.00%, 8/15/2023 | 20,000 | 20,072 |
Del Valle Independent School District, Unlimited Tax Series 2014A, GO, PSF-GTD, 5.00%, 6/15/2023 | 55,000 | 55,283 |
Denton County Housing Finance Corp., THF Pathway on Woodrow LP Series 2022, Rev., 5.00%, 2/1/2025 (c) | 3,250,000 | 3,317,015 |
204 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Denton Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | 30,000 | 30,253 |
Dilley Independent School District, Unlimited Tax, School Building GO, PSF-GTD, 5.00%, 8/15/2023 (b) | 25,000 | 25,195 |
El Paso County Hospital District GO, 5.00%, 8/15/2023 | 55,000 | 55,237 |
El Paso Housing Finance Corp., Columbia Housing Partners LP Rev., 4.50%, 3/1/2025 (c) | 3,500,000 | 3,538,550 |
El Paso Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | 75,000 | 75,632 |
Ferris Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 8/15/2023 | 25,000 | 24,957 |
Floresville Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 2/1/2025 | 35,000 | 34,702 |
Fort Bend County Municipal Utility District No. 58, Unlimited Tax GO, 3.00%, 4/1/2023 | 50,000 | 49,967 |
Fort Bend Grand Parkway Toll Road Authority, Subordinate Lien Series A, Rev., GTD, 5.00%, 3/1/2023 | 45,000 | 45,000 |
Galveston Public Facility Corp., The Oleanders at Broadway Rev., 0.47%, 8/1/2024 (c) | 3,775,000 | 3,575,733 |
Garland Independent School District, Unlimited Tax, School Building Series A, GO, 5.00%, 2/15/2025 | 50,000 | 51,819 |
Harris County Cultural Education Facilities Finance Corp., Memorial Hermann Health System | ||
Series 2019C-2, Rev., (SIFMA Municipal Swap Index Yield + 0.57%), 3.37%, 3/9/2023 (d) | 575,000 | 571,533 |
Series 2019A, Rev., 5.00%, 12/1/2023 | 35,000 | 35,380 |
Series 2019A, Rev., 5.00%, 12/1/2024 | 25,000 | 25,656 |
Series 2020C-2, Rev., 5.00%, 12/1/2024 (c) | 60,000 | 61,410 |
Series 2020C-3, Rev., 5.00%, 12/1/2026 (c) | 40,000 | 42,371 |
Series A, Rev., 5.00%, 12/1/2027 | 25,000 | 25,783 |
Harris County Cultural Education Facilities Finance Corp., Texas Children's Hospital Rev., 5.00%, 10/1/2023 | 20,000 | 20,183 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Harris County Cultural Education Facilities Finance Corp., Texas Medical Center Obligated Group Series 2019A, Rev., 5.00%, 5/15/2023 | 1,000,000 | 1,003,097 |
Harris County Flood Control District Series 2021A, GO, 5.00%, 10/1/2023 | 30,000 | 30,324 |
Harris County Health Facilities Development Corp., Sisters of Charity of the Incarnate Word Series B, Rev., 5.75%, 7/1/2027 (b) | 6,275,000 | 6,653,659 |
Housing Options, Inc., Brooks Manor - The Oaks Project Rev., 0.50%, 3/1/2025 (c) | 6,250,000 | 5,723,760 |
Houston Independent School District, Limited Tax Schoolhouse | ||
Series 2014A-1B, GO, PSF-GTD, 4.00%, 6/1/2023 (c) | 595,000 | 596,059 |
GO, PSF-GTD, 5.00%, 2/15/2025 | 155,000 | 160,610 |
Houston Independent School District, Maintenance Tax Notes GO, 5.00%, 7/15/2023 | 45,000 | 45,300 |
Humble Independent School District, Unlimited Tax School Building Series 2020A, GO, PSF-GTD, 5.00%, 2/15/2025 | 35,000 | 36,307 |
Klein Independent School District, Unlimited Tax | ||
Series 2015A, GO, PSF-GTD, 5.00%, 8/1/2024 | 65,000 | 66,685 |
GO, PSF-GTD, 5.00%, 2/1/2025 | 50,000 | 51,770 |
Leander Independent School District, Unlimited Tax | ||
Series 2013A, GO, PSF-GTD, Zero Coupon, 8/15/2023 (b) | 25,000 | 23,638 |
Series 2013A, GO, PSF-GTD, 5.00%, 8/15/2023 (b) | 40,000 | 40,285 |
Lewisville Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/15/2023 | 25,000 | 25,205 |
Lone Star College System, Limited Tax GO, 5.00%, 2/15/2024 | 40,000 | 40,058 |
Lower Colorado River Authority | ||
Rev., 5.00%, 5/15/2023 | 65,000 | 65,234 |
Series 2021 A, Rev., 5.00%, 5/15/2023 | 1,200,000 | 1,204,307 |
Series B, Rev., 5.00%, 5/15/2023 | 250,000 | 250,897 |
Rev., 5.13%, 5/15/2024 | 375,000 | 376,448 |
Lower Colorado River Authority, LCRA Transmission Services Corp. Project | ||
Rev., 5.00%, 5/15/2025 | 55,000 | 57,016 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 205 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
Rev., 5.00%, 5/15/2026 | 50,000 | 50,985 |
Lower Neches Valley Authority Industrial Development Corp., ExxonMobil Project Series 2019, Rev., VRDO, 2.48%, 3/1/2023 (c) | 20,000,000 | 20,000,000 |
Manor Independent School District, Unlimited Tax, School Building Series 2017A, GO, PSF-GTD, 5.00%, 8/1/2023 | 20,000 | 20,144 |
Mesquite Independent School District, Unlimited Tax Series 2016C, GO, PSF-GTD, 5.00%, 8/15/2023 | 25,000 | 25,200 |
Metropolitan Transit Authority of Harris County, Sales and Use Tax Series 2016D, Rev., 5.00%, 11/1/2023 | 440,000 | 445,184 |
Metropolitan Transit Authority of Harris County, Sales and Use Tax, Contractual Obligations | ||
Rev., 5.00%, 11/1/2023 | 30,000 | 30,353 |
Series 2015B, Rev., 5.00%, 11/1/2023 | 25,000 | 25,295 |
Montgomery County Health Facilities Development Co., Heritage Manor-Woodlands Project | ||
Rev., Zero Coupon, 7/15/2023 (b) | 90,000 | 88,851 |
Rev., AGM - CR, Zero Coupon, 7/15/2023 (b) | 235,000 | 231,998 |
New Hope Cultural Education Facilities Finance Corp., Jubilee Academic Center Rev., 4.00%, 8/15/2024 (e) | 1,475,000 | 1,452,524 |
North Texas Municipal Water District Water System | ||
Series 2019A, Rev., 3.00%, 9/1/2024 | 40,000 | 39,929 |
Rev., 5.00%, 9/1/2024 | 30,000 | 30,818 |
North Texas Municipal Water District, Upper East Fork Wastewater Interceptor System Rev., 5.00%, 6/1/2023 | 25,000 | 25,111 |
North Texas Tollway Authority, First Tier | ||
Series 2016A, Rev., 5.00%, 1/1/2024 | 20,000 | 20,279 |
Series 2019A, Rev., 5.00%, 1/1/2024 | 20,000 | 20,279 |
Series A, Rev., 5.00%, 1/1/2024 | 60,000 | 60,080 |
Series A, Rev., 5.00%, 1/1/2025 | 100,000 | 100,139 |
Series A, Rev., 5.00%, 1/1/2026 | 55,000 | 55,070 |
North Texas Tollway Authority, Second Tier | ||
Series B, Rev., 5.00%, 1/1/2024 | 20,000 | 20,027 |
Series B, Rev., 5.00%, 1/1/2025 | 50,000 | 50,070 |
Series B, Rev., 5.00%, 1/1/2026 | 260,000 | 260,344 |
Permanent University Fund - Texas A&M University System Series 2012A, Rev., 5.00%, 7/1/2023 | 65,000 | 65,102 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Permanent University Fund - University of Texas System Series 2015B, Rev., 5.00%, 7/1/2023 | 25,000 | 25,153 |
Port Beaumont Navigation District GO, 5.00%, 3/1/2023 | 125,000 | 125,000 |
RBC Municipal Products, Inc. Trust Series 2023-G-124, Rev., VRDO, LOC : Royal Bank of Canada, 3.00%, 3/9/2023 (c) (e) | 7,500,000 | 7,500,000 |
Red River Education Finance Corp., Christian University Project | ||
Rev., 5.00%, 3/15/2023 (b) | 40,000 | 40,025 |
Rev., 5.00%, 3/15/2025 | 20,000 | 20,662 |
Richardson Independent School District, Unlimited Tax Series 2015B, GO, 5.00%, 2/15/2025 | 30,000 | 31,057 |
Rockwall Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | 50,000 | 46,792 |
San Antonio Education Facilities Corp., Trinity University Project Rev., 5.00%, 6/1/2023 (b) | 50,000 | 50,217 |
San Antonio Independent School District GO, PSF-GTD, 5.00%, 8/15/2024 | 30,000 | 30,796 |
San Antonio Municipal Facilities Corp., Public Safety Answering Point Project Rev., 4.00%, 8/15/2023 | 25,000 | 25,017 |
San Antonio Water System, Junior Lien | ||
Series 2015B, Rev., 5.00%, 5/15/2023 | 10,000 | 10,037 |
Series 2019C, Rev., 5.00%, 5/15/2023 | 25,000 | 25,093 |
Series 2020A, Rev., 5.00%, 5/15/2023 | 20,000 | 20,074 |
Series 2013E, Rev., 5.00%, 5/15/2024 | 20,000 | 20,075 |
Series 2016A, Rev., 5.00%, 5/15/2024 | 25,000 | 25,555 |
Series 2014A, Rev., 5.00%, 5/15/2025 | 45,000 | 45,561 |
San Jacinto Community College District, Limited Tax GO, 5.00%, 2/15/2025 | 30,000 | 31,092 |
San Marcos Consolidated Independent School District, Unlimited Tax GO, PSF-GTD, 5.00%, 8/1/2023 (b) | 25,000 | 25,178 |
South Texas College, Limited Tax GO, 5.00%, 8/15/2023 | 20,000 | 20,145 |
Southwest Higher Education Authority, Inc., Southern Methodist University Project Series 2016A, Rev., 5.00%, 10/1/2024 | 20,000 | 20,518 |
State of Texas, Transport Commission GO, 5.00%, 4/1/2024 (b) | 35,000 | 35,684 |
State of Texas, Transportation Commission Series A, GO, 5.00%, 10/1/2023 | 20,000 | 20,207 |
206 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Texas — continued | ||
State of Texas, Transportation Commission Mobility Fund GO, 5.00%, 10/1/2024 | 20,000 | 20,393 |
State of Texas, Veterans | ||
Series 2015 A, GO, VRDO, LIQ : State Street Bank & Trust Co., 3.50%, 3/7/2023 (c) | 16,840,000 | 16,840,000 |
Series 2013A, GO, VRDO, LIQ : State Street Bank & Trust Co., 2.90%, 3/9/2023 (c) | 10,285,000 | 10,285,000 |
Tarrant County Cultural Education Facilities Finance Corp., Cook Children's Medical Center Rev., 5.00%, 12/1/2028 | 300,000 | 302,640 |
Tarrant County Cultural Education Facilities Finance Corp., Texas Health Resources System Series 2016A, Rev., 5.00%, 2/15/2024 | 95,000 | 96,492 |
Tarrant County Hospital District, Senior Lien Rev., 5.00%, 8/15/2023 | 100,000 | 100,135 |
Tender Option Bond Trust Receipts/ Certificates Series 2015-XF0228, Rev., VRDO, LIQ : TD Bank NA, 2.95%, 3/9/2023 (c) (e) | 50,745,000 | 50,745,000 |
Texas A&M University, Financing System Series 2013B, Rev., 5.00%, 5/15/2023 | 25,000 | 25,099 |
Texas Department of Housing & Community Affairs, Socorro Village 34 LLC Series 2022, Rev., 4.00%, 8/1/2024 (c) | 3,175,000 | 3,171,889 |
Texas Department of Housing and Community Affairs, Fishpond at Corpus Christi Apartments Rev., 0.50%, 6/1/2023 (c) | 750,000 | 742,197 |
Texas Department of Housing and Community Affairs, Multi-Family Housing, Scott Street Lofts Rev., (MMD + 0.42%), 0.70%, 8/1/2023 (d) | 540,000 | 531,390 |
Texas Public Finance Authority Rev., 5.00%, 2/1/2025 | 25,000 | 25,894 |
Texas State University System | ||
Rev., 5.00%, 3/15/2023 | 30,000 | 30,020 |
Series 2021A, Rev., 5.00%, 3/15/2023 | 25,000 | 25,016 |
Series 2017A, Rev., 5.00%, 3/15/2025 | 60,000 | 62,226 |
Texas State University, Financing System | ||
Rev., 3.00%, 3/15/2023 (b) | 35,000 | 34,995 |
Series 2019A, Rev., 5.00%, 3/15/2025 | 40,000 | 41,484 |
Texas Transportation Commission State Highway Fund, First Tier | ||
Series 2014-A, Rev., 5.00%, 4/1/2023 | 495,000 | 495,725 |
Rev., 5.00%, 10/1/2023 | 110,000 | 111,181 |
Series 2016B, Rev., 0.56%, 4/1/2026 | 10,135,000 | 9,056,089 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Texas — continued | ||
Texas Water Development Board, Water Implementation Fund | ||
Series 2019A, Rev., 5.00%, 4/15/2023 | 245,000 | 245,527 |
Series 2018A, Rev., 5.00%, 10/15/2024 | 50,000 | 51,504 |
Texas Water Development Board, Water Implementation, Master Trust Series 2018B, Rev., 5.00%, 4/15/2023 | 145,000 | 145,312 |
Texas Woman's University, Financing System Rev., 4.00%, 7/1/2023 | 20,000 | 20,053 |
Tomball Independent School District, Unlimited Tax School Building GO, PSF-GTD, 5.00%, 2/15/2025 | 35,000 | 36,307 |
Trinity River Authority, Central Regional Wastewater System Rev., 5.00%, 8/1/2023 | 30,000 | 30,228 |
Trinity River Authority, Denton Creek Wastewater Treatment System Rev., 5.00%, 2/1/2024 | 40,000 | 40,643 |
Trinity River Authority, Water Project | ||
Rev., 5.00%, 2/1/2024 | 25,000 | 25,402 |
Rev., 5.00%, 2/1/2025 | 75,000 | 77,612 |
Troy Independent School District, Unlimited Tax GO, PSF-GTD, 3.00%, 8/1/2023 | 30,000 | 29,952 |
University of Houston Series 2017A, Rev., 5.00%, 2/15/2025 | 45,000 | 46,663 |
University of North Texas System, Financing System Series 2017A, Rev., 5.00%, 4/15/2025 | 25,000 | 25,955 |
University of North Texas, Financing System Series 2020A, Rev., 5.00%, 4/15/2025 | 500,000 | 519,096 |
Weatherford Independent School District, Unlimited Tax GO, PSF-GTD, Zero Coupon, 2/15/2025 | 50,000 | 46,827 |
Total Texas | 165,514,034 | |
Utah — 1.3% | ||
Alpine School District, School Building, Guaranty Program | ||
GO, 5.00%, 3/15/2023 | 25,000 | 25,016 |
Series 2017B, GO, 5.00%, 3/15/2023 | 25,000 | 25,016 |
City of Salt Lake City, Sales and Excise Tax Series 2016A, Rev., 4.00%, 10/1/2023 | 30,000 | 30,158 |
City of Sandy City, Sales Tax Rev., 5.00%, 3/1/2024 | 25,000 | 25,453 |
City of St. George, Excise Tax GO, 4.00%, 8/1/2023 | 75,000 | 75,051 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 207 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Utah — continued | ||
City of St. George, Franchise Tax Rev., 5.00%, 12/1/2023 | 40,000 | 40,494 |
County of Utah, IHC Health Services, Inc. | ||
Series 2016D, Rev., VRDO, LIQ : US Bank NA, 2.85%, 3/9/2023 (c) | 30,000,000 | 30,000,000 |
Series 2020B-1, Rev., 5.00%, 8/1/2024 (c) | 775,000 | 791,631 |
Series 2020B-2, Rev., 5.00%, 8/1/2026 (c) | 880,000 | 927,997 |
Davis School District, School District Bond Guaranty Program Series 2019B, GO, 5.00%, 6/1/2023 | 25,000 | 25,114 |
Magna Water District GO, 5.00%, 6/1/2023 | 50,000 | 50,218 |
Midvale Redevelopment Agency, Sales Tax Rev., 4.00%, 5/1/2023 | 20,000 | 20,026 |
Nebo School District Series 2017C, GO, 4.00%, 7/1/2023 | 20,000 | 20,054 |
State of Utah GO, 5.00%, 7/1/2024 | 75,000 | 76,941 |
University of Utah (The) | ||
Series 2013A, Rev., 5.00%, 8/1/2023 | 30,000 | 30,237 |
Series 2017A, Rev., 5.00%, 8/1/2023 | 20,000 | 20,158 |
Series A-1, Rev., 5.00%, 8/1/2023 | 20,000 | 20,158 |
Series 2017A, Rev., 5.00%, 8/1/2024 | 45,000 | 46,192 |
Utah Associated Municipal Power Systems, Horse Butte Wind Series 2017A, Rev., 5.00%, 9/1/2026 | 725,000 | 768,877 |
Utah Charter School Finance Authority, Summit Academy Incorporated Series A, Rev., 5.00%, 4/15/2023 | 155,000 | 155,288 |
Utah State Building Ownership Authority, Facilities Master Lease Program Rev., 5.00%, 5/15/2023 | 40,000 | 40,149 |
Utah State Building Ownership Authority, Master Lease Program Series 2012A, Rev., 3.00%, 5/15/2025 | 35,000 | 34,866 |
Utah Transit Authority, Sales Tax Series 2015A, Rev., 5.00%, 6/15/2023 | 20,000 | 20,103 |
Utah Water Finance Agency, Loan Financing Program | ||
Series 2017C, Rev., 4.00%, 3/1/2023 | 175,000 | 175,000 |
Series 2019B, Rev., 5.00%, 3/1/2023 | 110,000 | 110,000 |
Washington County School District Board of Education, School Bond Guaranty Program Series 2016B, GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
Total Utah | 33,584,197 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Vermont — 0.0% ^ | ||
Vermont Municipal Bond Bank Series 3, Rev., 5.00%, 12/1/2023 | 25,000 | 25,337 |
Virgin Islands — 0.0% ^ | ||
Matching Fund Special Purpose Securitization Corp. Series 2022A, Rev., 5.00%, 10/1/2025 | 1,000,000 | 1,021,056 |
Virginia — 1.2% | ||
Chesapeake Bay Bridge and Tunnel District General Resolution Series 2019, Rev., BAN, 5.00%, 11/1/2023 | 17,885,000 | 18,054,491 |
City of Chesapeake | ||
Series A, Rev., 5.00%, 7/15/2023 | 185,000 | 185,247 |
Series A, Rev., AGM - CR, 4.00%, 7/15/2024 | 25,000 | 25,017 |
City of Hampton Series 2015-B, GO, 5.00%, 9/1/2024 (b) | 30,000 | 30,800 |
City of Norfolk | ||
Series A, GO, 5.00%, 10/1/2023 | 10,000 | 10,106 |
Rev., 5.00%, 11/1/2024 | 100,000 | 102,997 |
City of Winchester, Public Improvement GO, 5.00%, 3/1/2023 | 35,000 | 35,000 |
Commonwealth of Virginia Series 2013B, GO, 4.00%, 6/1/2025 | 20,000 | 20,044 |
County of Chesterfield COP, 4.00%, 11/1/2023 | 100,000 | 100,059 |
County of Culpeper GO, 5.00%, 1/15/2024 | 25,000 | 25,389 |
County of Fairfax, Public Improvement Series 2012B, GO, 5.00%, 4/1/2023 | 25,000 | 25,037 |
County of Henrico, Water and Sewer Rev., 3.13%, 5/1/2023 (b) | 20,000 | 19,999 |
County of Pulaski GO, 5.00%, 2/1/2024 | 40,000 | 40,654 |
Culpeper County Economic Development Authority, Capital Projects Rev., 5.00%, 6/1/2024 | 30,000 | 30,677 |
Fairfax County Industrial Development Authority, Virginia Health Care, Inova Health System Project Series 2018B, Rev., 5.00%, 5/15/2023 (c) | 6,115,000 | 6,133,061 |
Hampton Roads Sanitation District, Wastewater | ||
Series 2014A, Rev., 5.00%, 7/1/2023 | 10,000 | 10,061 |
Series 2016A, Rev., 5.00%, 8/1/2023 | 25,000 | 25,192 |
Henry County Industrial Development Authority Rev., GAN, 2.00%, 11/1/2023 | 1,040,000 | 1,027,584 |
208 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Virginia — continued | ||
Louisa Industrial Development Authority, Electric and Power Co. Project Series 2008B, Rev., 0.75%, 9/2/2025 (c) | 100,000 | 90,821 |
Virginia Commonwealth Transportation Board, Capital Projects | ||
Rev., 5.00%, 5/15/2023 | 100,000 | 100,373 |
Rev., 5.00%, 5/15/2024 | 35,000 | 35,760 |
Series 2017A, Rev., 5.00%, 5/15/2025 | 40,000 | 41,622 |
Virginia Commonwealth Transportation Board, Federal Transportation | ||
Series 2013A, Rev., GAN, 5.00%, 3/15/2023 (b) | 235,000 | 235,155 |
Rev., GAN, 5.00%, 3/15/2025 | 30,000 | 31,125 |
Virginia Commonwealth University Series 2014A, Rev., 4.50%, 5/1/2023 | 125,000 | 125,276 |
Virginia Commonwealth University Health System Authority Rev., 5.00%, 7/1/2025 | 45,000 | 46,762 |
Virginia Housing Development Authority Series 2020B, Rev., 0.99%, 3/1/2024 | 210,000 | 203,659 |
Virginia Public Building Authority, Public Facilities | ||
Series 2012A, Rev., 4.00%, 8/1/2023 | 10,000 | 10,036 |
Series 2018A, Rev., 5.00%, 8/1/2023 | 30,000 | 30,231 |
Series 2020B, Rev., 5.00%, 8/1/2023 | 10,000 | 10,077 |
Series A, Rev., 5.00%, 8/1/2023 | 20,000 | 20,154 |
Series C, Rev., 4.00%, 8/1/2026 | 25,000 | 25,282 |
Virginia Public School Authority, School Financing 1997 Resolution | ||
Series 2013A, Rev., 5.00%, 8/1/2023 | 10,000 | 10,077 |
Series 2013A, Rev., 5.00%, 8/1/2023 (b) | 25,000 | 25,192 |
Series 2014C, Rev., 5.00%, 8/1/2023 | 25,000 | 25,192 |
Series 2015A, Rev., 5.00%, 8/1/2024 | 25,000 | 25,662 |
Virginia Public School Authority, School Technology and Security Notes Series VI, Rev., 5.00%, 4/15/2023 | 80,000 | 80,175 |
Virginia Resources Authority, Infrastructure Moral Obligation Series 2012B, Rev., 4.00%, 11/1/2024 | 15,000 | 15,011 |
Wise County Industrial Development Authority, Electric and Power Co. Project Series 2010A, Rev., 1.20%, 5/31/2024 (c) | 2,110,000 | 2,027,739 |
Total Virginia | 29,116,796 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — 1.5% | ||
Auburn School District No. 408 of King and Pierce Counties, Unlimited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,819 |
Benton County School District No. 17 Kennewick, Unlimited Tax GO, 5.00%, 12/1/2023 | 60,000 | 60,808 |
Benton County School District No. 400 Richland, Unlimited Tax GO, 5.00%, 12/1/2023 | 50,000 | 50,229 |
Central Washington University Rev., 4.00%, 5/1/2026 | 270,000 | 270,273 |
City of Auburn, Utility System Rev., 5.00%, 12/1/2023 | 35,000 | 35,448 |
City of Bothell, Limited Tax GO, 5.00%, 3/1/2023 | 25,000 | 25,000 |
City of Edmonds, Water and Sewer Rev., 5.00%, 12/1/2023 | 25,000 | 25,113 |
City of Everett, Water and Sewer | ||
Rev., 5.00%, 12/1/2023 | 25,000 | 25,336 |
Rev., 5.00%, 12/1/2024 | 40,000 | 40,039 |
City of Lynnwood, Utility System Rev., 4.00%, 12/1/2023 | 30,000 | 30,191 |
City of Olympia, Limited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,798 |
City of Richland, Waterworks Utility Rev., 4.00%, 11/1/2023 | 20,000 | 20,103 |
City of Seattle, Limited Tax | ||
Series 2016A, GO, 5.00%, 4/1/2023 | 30,000 | 30,045 |
GO, 5.00%, 5/1/2023 | 20,000 | 20,062 |
Series 2013A, GO, 4.00%, 10/1/2023 | 25,000 | 25,018 |
City of Seattle, Municipal Light and Power Improvement | ||
Series 2019A, Rev., 5.00%, 4/1/2023 | 25,000 | 25,036 |
Series 2020A, Rev., 5.00%, 7/1/2023 | 30,000 | 30,179 |
Series 2016C, Rev., 5.00%, 10/1/2023 | 45,000 | 45,473 |
City of Spokane, Water and Wastewater System Rev., 5.00%, 12/1/2023 | 20,000 | 20,272 |
City of University Place, Limited Tax GO, 4.00%, 12/1/2023 | 35,000 | 35,215 |
City of Walla Walla, Unlimited Tax GO, 3.00%, 12/1/2023 | 25,000 | 24,942 |
City of Yakima, Limited Tax Series 2014A, GO, 5.00%, 6/1/2023 | 25,000 | 25,098 |
Clark County Public Utility District No. 1 Rev., 5.00%, 1/1/2024 | 15,000 | 15,213 |
Clark County School District No. 37 Vancouver, Unlimited Tax GO, 5.00%, 12/1/2023 | 30,000 | 30,415 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 209 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — continued | ||
Clark County, Vancouver School District No. 37 GO, 3.00%, 12/1/2023 | 25,000 | 24,970 |
County of Benton, Limited Tax GO, 3.00%, 12/1/2023 | 30,000 | 29,931 |
County of King, Junior Lien, Sewer Series 2020A, Rev., 0.62%, 1/1/2024 (c) | 1,545,000 | 1,497,845 |
County of King, Sewer, Junior Lien Series B, Rev., 0.88%, 1/1/2026 (c) | 60,000 | 54,707 |
County of Skagit, Limited Tax GO, 5.00%, 12/1/2024 | 60,000 | 61,935 |
East Wenatchee Water District Rev., 4.00%, 8/1/2023 | 25,000 | 25,075 |
Eastern Washington University, Services and Activities Fee Rev., 5.00%, 10/1/2023 | 35,000 | 35,338 |
Energy Northwest, Columbia Generating Station Series 2017-A, Rev., 5.00%, 7/1/2023 | 35,000 | 35,191 |
Energy Northwest, Project 3 Electric | ||
Series 2018C, Rev., 4.00%, 7/1/2023 | 30,000 | 30,066 |
Series C, Rev., 5.00%, 7/1/2023 | 25,000 | 25,137 |
Series 2018C, Rev., 5.00%, 7/1/2025 | 25,000 | 26,111 |
FYI Properties, State of Washington District Project Rev., 5.00%, 6/1/2023 | 45,000 | 45,183 |
Grays Harbor County, Public Utility District No. 1 Rev., 5.00%, 7/1/2023 (b) | 20,000 | 20,119 |
King and Snohomish Counties School District No. 417 Northshore, Unlimited Tax GO, 5.00%, 12/1/2024 | 25,000 | 25,806 |
King County Fire Protection District No. 39, Unlimited Tax Series 2015A, GO, 5.00%, 12/1/2024 | 40,000 | 41,290 |
King County School District No. 403 Renton, Unlimited Tax GO, 4.00%, 12/1/2024 | 65,000 | 65,922 |
King County School District No. 405 Bellevue, Unlimited Tax | ||
GO, 5.00%, 12/1/2023 | 25,000 | 25,353 |
GO, 5.00%, 12/1/2024 | 160,000 | 165,410 |
King County School District No. 415 Kent, Unlimited Tax GO, 5.00%, 12/1/2023 | 30,000 | 30,393 |
Lewis County Public Utility District No. 1, Cowlitz Falls Hydro Electric Project Rev., 5.00%, 10/1/2023 | 100,000 | 101,057 |
Port of Seattle, Intermediate Lien Series B, Rev., 5.00%, 3/1/2023 | 315,000 | 315,000 |
RBC Municipal Products, Inc. Trust Series G-123, Rev., VRDO, LIQ : Royal Bank of Canada, 3.00%, 3/9/2023 (c) (e) | 5,860,000 | 5,860,000 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Washington — continued | ||
Spokane County School District No. 356 Central Valley, Unlimited Tax GO, 5.00%, 12/1/2023 | 45,000 | 45,622 |
Spokane Public Facilities District, Hotel and Sales Tax Series 2013A, Rev., 5.00%, 6/1/2023 (b) | 25,000 | 25,108 |
State of Washington Series R-2022C, GO, 4.00%, 7/1/2027 | 15,000,000 | 15,711,072 |
State of Washington, Motor Vehicle Fuel Tax | ||
Series 2003C, GO, NATL - RE, Zero Coupon, 6/1/2023 | 205,000 | 203,320 |
Series R-2013D, GO, 5.00%, 7/1/2023 | 20,000 | 20,124 |
Series 2013E, GO, 5.00%, 2/1/2024 | 20,000 | 20,019 |
Series 2013E, GO, 5.00%, 2/1/2025 | 85,000 | 85,086 |
State of Washington, Senior 520 Corridor Program, Federal Highway Series 2014C, Rev., 5.00%, 9/1/2024 | 95,000 | 95,724 |
State of Washington, State and Local Agency Personal Property Series 2014B, COP, 5.00%, 7/1/2024 | 50,000 | 51,175 |
State of Washington, State and Local Agency Real and Personal Property | ||
Series 2015C, COP, 5.00%, 7/1/2023 | 55,000 | 55,319 |
Series 2016A, COP, 5.00%, 7/1/2023 | 35,000 | 35,203 |
Series 2019D, COP, 5.00%, 7/1/2023 | 210,000 | 211,216 |
Series 2018C, COP, 5.00%, 7/1/2024 | 35,000 | 35,823 |
State of Washington, Various Purpose | ||
Series R-2015C, GO, 5.00%, 7/1/2023 | 80,000 | 80,495 |
Series R-C, GO, 5.00%, 7/1/2023 | 20,000 | 20,122 |
Series 2015E, GO, 5.00%, 7/1/2024 | 25,000 | 25,624 |
Series 2018A, GO, 5.00%, 8/1/2024 | 40,000 | 41,065 |
Series R-2013C, GO, 5.00%, 7/1/2025 | 50,000 | 50,306 |
Series 2014A, GO, 5.00%, 8/1/2025 | 35,000 | 35,271 |
Series R-2013C, GO, 4.00%, 7/1/2026 | 75,000 | 75,197 |
Series 2014A, GO, 5.00%, 8/1/2026 | 70,000 | 70,542 |
Series 2013R-C, GO, 4.00%, 7/1/2028 | 1,500,000 | 1,502,856 |
Washington Economic Development Finance Authority, Washington Biomedical Research Properties II Rev., 5.00%, 6/1/2023 | 35,000 | 35,149 |
Washington Health Care Facilities Authority, Overlake Hospital Medical Center Rev., 5.00%, 7/1/2023 | 30,000 | 30,134 |
Washington Health Care Facilities Authority, Providence Health and Services | ||
Series 2012A, Rev., 5.00%, 10/1/2023 | 230,000 | 230,621 |
210 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Washington — continued | ||
Series 2012A, Rev., 5.00%, 10/1/2024 | 55,000 | 55,037 |
Series 2012A, Rev., 5.00%, 10/1/2026 | 1,030,000 | 1,035,375 |
Washington Health Care Facilities Authority, Seattle Cancer Care Alliance Rev., 5.00%, 3/1/2026 | 500,000 | 513,394 |
Washington State Housing Finance Commission Series A, Rev., 7.00%, 7/1/2025 (b) (e) | 6,530,000 | 6,988,379 |
Western Washington University, Housing and Dining System Rev., AGM, 5.00%, 4/1/2023 | 50,000 | 50,063 |
Total Washington | 36,937,405 | |
West Virginia — 0.1% | ||
West Virginia Economic Development Authority, Appalachian Power Co. Series 2015A, Rev., 2.55%, 4/1/2024 (c) | 135,000 | 132,233 |
West Virginia Economic Development Authority, Correctional Juvenile and Public Safety Facilities | ||
Series 2012A, Rev., 5.00%, 6/1/2024 | 125,000 | 125,219 |
Rev., 5.00%, 6/1/2025 | 805,000 | 816,933 |
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Co. Amos Project Rev., 0.62%, 12/15/2025 (c) | 100,000 | 89,983 |
West Virginia Higher Education Policy Commission Rev., 5.00%, 4/1/2023 | 255,000 | 255,303 |
West Virginia State School Building Authority, Lottery Series 2015A, Rev., 5.00%, 7/1/2023 | 25,000 | 25,136 |
West Virginia State School Building Authority, Lottery Capital Improvement Series 2012A, Rev., 5.00%, 7/1/2023 | 100,000 | 100,147 |
Total West Virginia | 1,544,954 | |
Wisconsin — 1.7% | ||
City of Madison, Water Utility Rev., BAN, 1.50%, 11/1/2024 | 1,075,000 | 1,030,262 |
City of Milwaukee Series 2016N2, GO, 5.00%, 5/15/2023 | 40,000 | 40,102 |
City of Milwaukee, Promissory Notes | ||
Series 2016N2, GO, 4.00%, 3/1/2023 | 30,000 | 30,000 |
Series 2020N4, GO, 5.00%, 4/1/2023 | 85,000 | 85,085 |
City of Milwaukee, Sewerage System Series 2016S7, Rev., 5.00%, 6/1/2023 | 25,000 | 25,101 |
City of Oak Creek Series 2021B, Rev., 2.00%, 4/1/2024 | 5,020,000 | 4,913,957 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wisconsin — continued | ||
City of Oshkosh, Street Improvement Series 2019A, GO, 2.00%, 12/1/2023 | 200,000 | 196,877 |
City of Oshkosh, Wisconsin Sewer System Series D, Rev., 5.00%, 5/1/2023 | 25,000 | 25,063 |
County of Dane, Promissory Notes Series 2019A, GO, 2.00%, 6/1/2023 | 20,000 | 19,910 |
County of Milwaukee, Corporate Purpose Series 2018D, GO, 3.00%, 8/1/2024 | 100,000 | 99,190 |
County of St. Croix Series 2022A, GO, 4.00%, 3/1/2023 | 210,000 | 210,000 |
County of Washington GO, 3.00%, 3/1/2023 | 50,000 | 50,000 |
County of Waushara Series 2023A, Rev., 4.75%, 12/1/2023 (f) | 10,200,000 | 10,248,084 |
East Troy Community School District GO, 3.00%, 3/1/2023 | 20,000 | 20,000 |
Eau Claire Area School District Rev., BAN, 4.00%, 3/21/2023 | 8,000,000 | 8,003,123 |
Fond Du Lac School District, Promissory Notes Series 2019A, GO, 3.00%, 4/1/2023 | 40,000 | 39,986 |
Franklin Public School District GO, 4.00%, 4/1/2023 | 300,000 | 300,204 |
Grafton School District, School Building and Improvement GO, 5.00%, 4/1/2023 (b) | 20,000 | 20,029 |
Kohler School District GO, 5.00%, 3/1/2023 | 30,000 | 30,000 |
Milton School District GO, 5.00%, 3/1/2023 | 85,000 | 85,000 |
Milwaukee Area Technical College District, Promissory Notes Series B, GO, 4.00%, 6/1/2023 | 25,000 | 25,053 |
Milwaukee Redevelopment Authority, Public Schools | ||
Rev., 5.00%, 11/15/2023 | 130,000 | 131,520 |
Series 2016A, Rev., 5.00%, 11/15/2023 | 40,000 | 40,468 |
Onalaska School District Rev., BAN, 4.00%, 4/26/2023 | 7,000,000 | 7,007,873 |
Public Finance Authority, Coral Academy of Science Series 2021A, Rev., 4.00%, 7/1/2025 | 315,000 | 309,829 |
Public Finance Authority, Entrance Fee Principal Redemption, Searstone CCRC Project Series 2021B2, Rev., 2.25%, 6/1/2027 (e) | 1,975,000 | 1,772,207 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 211 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Public Finance Authority, KU Campus Development Corp. - Central District Development Project Rev., 5.00%, 3/1/2023 | 145,000 | 145,000 |
River Falls School District, Corporate Purpose Series 2018A, GO, 5.00%, 4/1/2023 | 40,000 | 40,056 |
River Falls School District, School Building and Improvement Series 2019A, GO, 3.00%, 4/1/2023 | 25,000 | 24,993 |
School District of Maple Series 2015A, GO, 5.00%, 4/1/2023 | 30,000 | 30,040 |
State of Wisconsin | ||
Series 2013-1, GO, 5.00%, 5/1/2023 | 25,000 | 25,077 |
Series 2015A, GO, 5.00%, 5/1/2023 (b) | 30,000 | 30,090 |
Series 2017A, GO, 5.00%, 5/1/2023 | 20,000 | 20,062 |
Series 2018A, GO, 5.00%, 5/1/2023 | 25,000 | 25,077 |
Series 2018B, GO, 5.00%, 5/1/2023 (b) | 45,000 | 45,136 |
Series 2021A, GO, 5.00%, 5/1/2023 | 25,000 | 25,077 |
Series 1, GO, 5.00%, 5/1/2024 | 190,000 | 190,572 |
Series 2, GO, 5.00%, 11/1/2024 | 20,000 | 20,629 |
Series 4, GO, 5.00%, 5/1/2025 | 90,000 | 92,490 |
State of Wisconsin Clean Water Fund Leveraged Loan Portfolio | ||
Series 2013-1, Rev., 4.00%, 6/1/2023 (b) | 40,000 | 40,065 |
Series 2013-1, Rev., 5.00%, 6/1/2023 (b) | 30,000 | 30,122 |
State of Wisconsin, Environmental Improvement Fund Series 2017A, Rev., 5.00%, 6/1/2023 | 20,000 | 20,092 |
State of Wisconsin, Master Lease Series 2021A, COP, 4.00%, 3/1/2023 | 30,000 | 30,000 |
University of Wisconsin Hospitals & Clinics Series 2021B, Rev., 5.00%, 4/1/2023 | 500,000 | 500,700 |
University of Wisconsin Hospitals and Clinics | ||
Series 2013A, Rev., 3.60%, 4/1/2023 (b) | 100,000 | 100,018 |
Series 2013-A, Rev., 5.00%, 4/1/2023 (b) | 320,000 | 320,419 |
Village of Fox Crossing, Corporate Purpose GO, 3.00%, 4/1/2024 | 185,000 | 183,851 |
Village of Menomonee Falls, Corporate Purpose Series B, GO, 3.50%, 2/1/2024 | 245,000 | 245,722 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Wisconsin — continued | ||
Walworth County Joint School District No. 2 Genoa - Bloomfield, School Improvement GO, 4.00%, 4/1/2023 | 20,000 | 20,010 |
Waterford Graded Joint School District No. 1, Promissory Notes GO, 3.00%, 4/1/2023 | 25,000 | 24,989 |
Wisconsin Department of Transportation | ||
Series 2013-1, Rev., 5.00%, 7/1/2023 (b) | 25,000 | 25,153 |
Series 2017-1, Rev., 5.00%, 7/1/2023 | 10,000 | 10,062 |
Wisconsin Health & Educational Facilities Authority | ||
Rev., 5.00%, 4/1/2023 | 650,000 | 650,877 |
Series 2013A, Rev., 5.13%, 4/15/2023 (b) | 80,000 | 80,182 |
Series 2016A, Rev., 5.00%, 11/15/2024 | 375,000 | 385,574 |
Series 2013B-5, Rev., 5.00%, 12/3/2024 (c) | 1,005,000 | 1,015,406 |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Rev., 5.00%, 1/29/2025 (c) | 420,000 | 431,672 |
Wisconsin Health and Educational Facilities Authority, Advocate Aurora Health Credit Group Series 2018C1, Rev., 5.00%, 7/29/2026 (c) | 280,000 | 294,504 |
Wisconsin Health and Educational Facilities Authority, Ascension Health Credit Series 2013A, Rev., 5.00%, 11/15/2023 (b) | 20,000 | 20,219 |
Wisconsin Health and Educational Facilities Authority, Ascension Senior Credit Group Series 2019A, Rev., 5.00%, 11/15/2024 | 250,000 | 257,050 |
Wisconsin Health and Educational Facilities Authority, Aspirus, Inc., Obligated Group Rev., 5.00%, 8/15/2023 | 365,000 | 367,667 |
Wisconsin Health and Educational Facilities Authority, Mercy Alliance, Inc. Rev., 5.00%, 6/1/2026 | 160,000 | 160,129 |
Wisconsin Health and Educational Facilities Authority, Oakwood Lutheran Senior Ministries | ||
Rev., 4.00%, 1/1/2024 | 160,000 | 158,744 |
Rev., 4.00%, 1/1/2025 | 210,000 | 206,286 |
Wisconsin Health and Educational Facilities Authority, The Monroe Clinic, Inc. | ||
Rev., 3.00%, 8/15/2025 (b) | 25,000 | 24,896 |
Rev., 4.00%, 8/15/2025 (b) | 30,000 | 30,599 |
212 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Wisconsin — continued | ||
Wisconsin Health and Educational Facilities Authority, Unity Point Health | ||
Series 2014A, Rev., 5.00%, 12/1/2024 | 185,000 | 189,028 |
Series 2014A, Rev., 5.00%, 12/1/2025 | 285,000 | 292,742 |
Total Wisconsin | 41,590,000 | |
Wyoming — 0.0% ^ | ||
Albany County School District No. 1 GO, 4.00%, 6/1/2023 | 20,000 | 20,035 |
County of Laramie, Cheyenne Regional Medical Center Rev., 4.00%, 5/1/2023 | 285,000 | 285,257 |
Wyoming State Loan and Investment Board, Capital Facilities Series 2012A, Rev., 5.00%, 10/1/2023 | 30,000 | 30,044 |
Total Wyoming | 335,336 | |
Total Municipal Bonds (Cost $2,387,038,408) | 2,373,404,213 | |
SHARES | ||
Short-Term Investments — 5.7% | ||
Investment Companies — 5.7% | ||
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (g) (h) (Cost $143,872,568) | 143,854,508 | 143,883,279 |
Total Investments — 99.9% (Cost $2,530,910,976) | 2,517,287,492 | |
Other Assets Less Liabilities — 0.1% | 3,174,009 | |
NET ASSETS — 100.0% | 2,520,461,501 |
Percentages indicated are based on net assets. |
Abbreviations | |
AGC | Insured by Assured Guaranty Corp. |
AGM | Insured by Assured Guaranty Municipal Corp. |
AMBAC | Insured by American Municipal Bond Assurance Corp. |
AMT | Alternative Minimum Tax |
BAN | Bond Anticipation Note |
CCRC | Congregate Care Retirement Center |
COLL | Collateral |
COP | Certificate of Participation |
CR | Custodial Receipts |
FGIC | Insured by Financial Guaranty Insurance Co. |
FHA | Federal Housing Administration |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GAN | Grant Anticipation Notes |
GNMA | Government National Mortgage Association |
GO | General Obligation |
GTD | Guaranteed |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
LIQ | Liquidity Agreement |
LOC | Letter of Credit |
MMD | Municipal Market Data |
MTA | Metropolitan Transportation Authority |
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 |
SOFR | Secured Overnight Financing Rate |
TRAN | Tax & Revenue Anticipation Note |
USD | United States Dollar |
VRDO | Variable Rate Demand Obligation |
XLCA | Insured by XL Capital Assurance |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(b) | Security is prerefunded or escrowed to maturity. | |
(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 28, 2023. | |
(d) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(e) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(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 28, 2023. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 213 |
AS OF February 28, 2023 (continued)
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 2 Year Note | 632 | 06/30/2023 | USD | 128,765,063 | (325,334) |
Abbreviations | |
USD | United States Dollar |
214 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | JPMorgan Municipal ETF | |
ASSETS: | ||||
Investments in non-affiliates, at value | $673,462,407 | $362,256,937 | $269,611,124 | $370,953,249 |
Investments in affiliates, at value | 111,022,635 | 4,011,385 | 486,978 | 28,406,555 |
Cash | 56,659 | 195,846 | — | 28,973 |
Foreign currency, at value | 30 | 36 | 4,274,023 | — |
Deposits at broker for futures contracts | 3,253,000 | 1,469,000 | 1,752,500 | 45,000 |
Deposits at broker for centrally cleared swaps | 373,000 | 1,624,000 | 514,000 | — |
Receivables: | ||||
Due from custodian | 647,522 | 824,316 | 673,021 | — |
Investment securities sold | 83,512 | 321,125 | 2,210,141 | — |
Investment securities sold — delayed delivery securities | — | 12,334,603 | — | — |
Fund shares sold | — | — | 4,684,684 | 12,446,808 |
Interest from non-affiliates | 4,075,216 | 3,200,214 | 3,193,697 | 3,773,323 |
Dividends from affiliates | 13,488 | 519 | 59 | 77,948 |
Tax reclaims | — | 1,078 | 1,708 | — |
Variation margin on futures contracts | — | 28,694 | 555,716 | — |
Variation margin on centrally cleared swaps | 1,884 | — | 22,148 | 577,005 |
Unrealized appreciation on forward foreign currency exchange contracts | — | — | 4,705,500 | — |
Total Assets | 792,989,353 | 386,267,753 | 292,685,299 | 416,308,861 |
LIABILITIES: | ||||
Payables: | ||||
TBA short commitments, at value | — | 12,186,727 | — | — |
Investment securities purchased | 4,242,014 | 3,566,210 | 6,638,264 | 6,661,239 |
Investment securities purchased — delayed delivery securities | 25,690,436 | 21,219,233 | 537,222 | 1,456,180 |
Variation margin on futures contracts | 73,217 | — | — | 1,535 |
Unrealized depreciation on forward foreign currency exchange contracts | 109,880 | 229,080 | 895,252 | — |
Variation margin on centrally cleared swaps | — | 53,381 | — | — |
Accrued liabilities: | ||||
Management fees (See Note 3.A.) | 200,225 | 102,232 | 107,125 | 47,364 |
Total Liabilities | 30,315,772 | 37,356,863 | 8,177,863 | 8,166,318 |
Net Assets | $762,673,581 | $348,910,890 | $284,507,436 | $408,142,543 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 215 |
AS OF February 28, 2023 (continued)
JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | JPMorgan Municipal ETF | |
NET ASSETS: | ||||
Paid-in-Capital | $812,015,708 | $366,942,802 | $316,537,985 | $416,962,659 |
Total distributable earnings (loss) | (49,342,127) | (18,031,912) | (32,030,549) | (8,820,116) |
Total Net Assets | $762,673,581 | $348,910,890 | $284,507,436 | $408,142,543 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 16,500,000 | 7,770,000 | 6,100,000 | 8,200,000 |
Net asset value, per share | $46.22 | $44.90 | $46.64 | $49.77 |
Cost of investments in non-affiliates | $714,798,917 | $376,414,840 | $306,141,680 | $375,754,351 |
Cost of investments in affiliates | 111,022,635 | 4,011,399 | 486,978 | 28,404,779 |
Cost of foreign currency | 28 | 36 | 4,555,763 | — |
Proceeds from short TBAs | — | 12,334,603 | — | — |
Net upfront payments/(receipts) on centrally cleared swaps | 175,020 | (451,329) | — | 334,019 |
216 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Short Duration Core Plus ETF | JPMorgan Ultra-Short Income ETF | JPMorgan Ultra-Short Municipal Income ETF | |
ASSETS: | |||
Investments in non-affiliates, at value | $186,026,254 | $22,004,838,496 | $2,373,404,213 |
Investments in affiliates, at value | — | 2,751,326,315 | 143,883,279 |
Investments of cash collateral received from securities loaned, at value (See Note 2.E.) | 805,328 | 16,115,034 | — |
Repurchase agreements, at value | — | 200,000,000 | — |
Cash | — | 10,347,581 | 8,339,193 |
Foreign currency, at value | 41 | — | — |
Deposits at broker for futures contracts | — | — | 717,000 |
Receivables: | |||
Due from custodian | 43,533,714 | — | — |
Investment securities sold | 7,784,519 | 46,256,938 | 20,000,000 |
Fund shares sold | — | 135,809,883 | 4,943 |
Interest from non-affiliates | 1,402,708 | 135,286,981 | 22,542,621 |
Dividends from affiliates | — | 334,267 | 558,510 |
Securities lending income (See Note 2.E.) | 893 | 15,377 | — |
Total Assets | 239,553,457 | 25,300,330,872 | 2,569,449,759 |
LIABILITIES: | |||
Payables: | |||
Investment securities purchased | 1,429,142 | 80,144,450 | 12,698,282 |
Investment securities purchased — delayed delivery securities | 509,113 | 56,451,717 | 20,786,861 |
Collateral received on securities loaned (See Note 2.E.) | 805,328 | 16,115,034 | — |
Fund shares redeemed | 46,314,784 | — | 15,175,846 |
Variation margin on futures contracts | 8,407 | — | 4,942 |
Variation margin on centrally cleared swaps | 6,424 | — | — |
Accrued liabilities: | |||
Management fees (See Note 3.A.) | 58,262 | 3,118,904 | 322,327 |
Total Liabilities | 49,131,460 | 155,830,105 | 48,988,258 |
Net Assets | $190,421,997 | $25,144,500,767 | $2,520,461,501 |
NET ASSETS: | |||
Paid-in-Capital | $207,267,841 | $25,225,576,190 | $2,545,564,050 |
Total distributable earnings (loss) | (16,845,844) | (81,075,423) | (25,102,549) |
Total Net Assets | $190,421,997 | $25,144,500,767 | $2,520,461,501 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 4,150,000 | 500,050,000 | 49,800,000 |
Net asset value, per share | $45.88 | $50.28 | $50.61 |
Cost of investments in non-affiliates | $195,678,122 | $22,146,430,167 | $2,387,038,408 |
Cost of investments in affiliates | — | 2,751,326,315 | 143,872,568 |
Cost of repurchase agreements | — | 200,000,000 | — |
Cost of foreign currency | 39 | — | — |
Investment securities on loan, at value (See Note 2.E.) | 776,266 | 15,697,856 | — |
Cost of investment of cash collateral (See Note 2.E.) | 805,328 | 16,116,034 | — |
Net upfront payments/(receipts) on centrally cleared swaps | (54,135) | — | — |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 217 |
FOR THE YEAR ENDED February 28, 2023
JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | JPMorgan International Bond Opportunities ETF | JPMorgan Municipal ETF | |
INVESTMENT INCOME: | ||||
Interest income from non-affiliates | $15,924,325 | $10,062,124 | $11,509,670 | $6,081,332 |
Interest income from affiliates | 4 | 296 | 1,071 | — |
Dividend income from non-affiliates | 2,888 | 98,696 | 33,835 | — |
Dividend income from affiliates | 1,234,430 | 81,114 | 159,398 | 480,423 |
Foreign taxes withheld (net) | — | — | (11,958) | — |
Total investment income | 17,161,647 | 10,242,230 | 11,692,016 | 6,561,755 |
EXPENSES: | ||||
Management fees (See Note 3.A.) | 1,678,730 | 729,986 | 1,491,026 | 368,142 |
Interest expense to non-affiliates | 3,445 | 615 | 2,544 | 293 |
Interest expense to affiliates | 4 | 1,683 | 1,868 | — |
Other | 30,225 | — | 9,497 | — |
Total expenses | 1,712,404 | 732,284 | 1,504,935 | 368,435 |
Net investment income (loss) | 15,449,243 | 9,509,946 | 10,187,081 | 6,193,320 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | (4,676,155) | (3,227,706) | (23,292,244) | (4,335,724) |
Investments in affiliates | — | (3,228) | — | (6,511) |
Options purchased | — | (47,440) | — | — |
Futures contracts | (3,661,168) | (2,111,629) | 5,992,156 | 194,492 |
Foreign currency transactions | (3,168) | (1,636) | (2,072,342) | — |
Forward foreign currency exchange contracts | (48,964) | (117,664) | 12,047,374 | — |
Swaps | 126,077 | 456,097 | 3,149,045 | (105,115) |
Net realized gain (loss) | (8,263,378) | (5,053,206) | (4,176,011) | (4,252,858) |
Distribution of capital gains received from investment company affiliates | — | — | — | 1,815 |
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | (34,091,423) | (10,046,752) | (15,913,711)(a) | (4,178,984) |
Investments in affiliates | — | 552 | — | 1,776 |
Futures contracts | (234,035) | (13,542) | 1,023,641 | 20,852 |
Foreign currency translations | 2 | — | (573,106) | — |
Forward foreign currency exchange contracts | (130,316) | (248,622) | 5,131,794 | — |
Swaps | 53,715 | (396,002) | (1,774,502) | (562,868) |
Change in net unrealized appreciation/depreciation | (34,402,057) | (10,704,366) | (12,105,884) | (4,719,224) |
Net realized/unrealized gains (losses) | (42,665,435) | (15,757,572) | (16,281,895) | (8,970,267) |
Change in net assets resulting from operations | $(27,216,192) | $(6,247,626) | $(6,094,814) | $(2,776,947) |
218 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Short Duration Core Plus ETF | JPMorgan Ultra-Short Income ETF | JPMorgan Ultra-Short Municipal Income ETF | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $6,172,682 | $472,112,768 | $43,269,054 |
Interest income from affiliates | 938 | 3,079 | 155 |
Dividend income from affiliates | 302,335 | 57,998,492 | 3,935,404 |
Income from securities lending (net) (See Note 2.E.) | 4,238 | 91,120 | — |
Total investment income | 6,480,193 | 530,205,459 | 47,204,613 |
EXPENSES: | |||
Management fees (See Note 3.A.) | 660,115 | 35,035,467 | 5,010,686 |
Interest expense to non-affiliates | 516 | 1,551 | 56 |
Interest expense to affiliates | — | 9,698 | 8 |
Other | 351 | 59,580 | — |
Total expenses | 660,982 | 35,106,296 | 5,010,750 |
Net investment income (loss) | 5,819,211 | 495,099,163 | 42,193,863 |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | (8,108,197) | (41,021,536) | (15,672,454) |
Investments in affiliates | (416) | — | (44,091) |
Futures contracts | 942,880 | 59,810,620 | (1,052,972) |
Swaps | 160,804 | — | — |
Net realized gain (loss) | (7,004,929) | 18,789,084 | (16,769,517) |
Distribution of capital gains received from investment company affiliates | — | — | 13,700 |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | (4,675,460) | (56,621,480) | (2,520,782) |
Investments in affiliates | 1,398 | 4,545 | 9,575 |
Futures contracts | 79,737 | 3,700,590 | (325,334) |
Foreign currency translations | 2 | — | — |
Swaps | (8,691) | — | — |
Change in net unrealized appreciation/depreciation | (4,603,014) | (52,916,345) | (2,836,541) |
Net realized/unrealized gains (losses) | (11,607,943) | (34,127,261) | (19,592,358) |
Change in net assets resulting from operations | $(5,788,732) | $460,971,902 | $22,601,505 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 219 |
FOR THE PERIODS INDICATED
JPMorgan Core Plus Bond ETF | JPMorgan Income ETF | |||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | Year Ended February 28, 2023 | Period Ended February 28, 2022 (a) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $15,449,243 | $3,795,906 | $9,509,946 | $1,328,187 |
Net realized gain (loss) | (8,263,378) | (1,600,902) | (5,053,206) | 147,031 |
Change in net unrealized appreciation/depreciation | (34,402,057) | (7,745,875) | (10,704,366) | (3,827,621) |
Change in net assets resulting from operations | (27,216,192) | (5,550,871) | (6,247,626) | (2,352,403) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (13,633,852) | (4,121,522) | (8,447,314) | (984,569) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 526,669,693 | 139,878,215 | 225,744,829 | 141,197,973 |
NET ASSETS: | ||||
Change in net assets | 485,819,649 | 130,205,822 | 211,049,889 | 137,861,001 |
Beginning of period | 276,853,932 | 146,648,110 | 137,861,001 | — |
End of period | $762,673,581 | $276,853,932 | $348,910,890 | $137,861,001 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $526,669,693 | $139,878,215 | $225,744,829 | $141,197,973 |
Total change in net assets resulting from capital transactions | $526,669,693 | $139,878,215 | $225,744,829 | $141,197,973 |
SHARE TRANSACTIONS: | ||||
Issued | 11,200,000 | 2,600,000 | 4,950,000 | 2,820,000 |
Net increase (decrease) in shares from share transactions | 11,200,000 | 2,600,000 | 4,950,000 | 2,820,000 |
220 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan International Bond Opportunities ETF | JPMorgan Municipal ETF | |||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $10,187,081 | $6,732,085 | $6,193,320 | $1,397,193 |
Net realized gain (loss) | (4,176,011) | 10,350,399 | (4,252,858) | (100,086) |
Distributions of capital gains received from investment company affiliates | — | — | 1,815 | 34 |
Change in net unrealized appreciation/depreciation | (12,105,884) | (23,460,795) | (4,719,224) | (2,535,308) |
Change in net assets resulting from operations | (6,094,814) | (6,378,311) | (2,776,947) | (1,238,167) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (9,201,940) | (7,636,751) | (5,243,802) | (1,753,715) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (23,314,375) | 87,036,344 | 315,520,744 | 27,514,125 |
NET ASSETS: | ||||
Change in net assets | (38,611,129) | 73,021,282 | 307,499,995 | 24,522,243 |
Beginning of period | 323,118,565 | 250,097,283 | 100,642,548 | 76,120,305 |
End of period | $284,507,436 | $323,118,565 | $408,142,543 | $100,642,548 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $37,437,091 | $87,036,344 | $346,910,716 | $41,051,194 |
Cost of shares redeemed | (60,751,466) | — | (31,389,972) | (13,537,069) |
Total change in net assets resulting from capital transactions | $(23,314,375) | $87,036,344 | $315,520,744 | $27,514,125 |
SHARE TRANSACTIONS: | ||||
Issued | 800,000 | 1,700,000 | 6,950,000 | 750,000 |
Redeemed | (1,300,000) | — | (650,000) | (250,000) |
Net increase (decrease) in shares from share transactions | (500,000) | 1,700,000 | 6,300,000 | 500,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 221 |
FOR THE PERIODS INDICATED (continued)
JPMorgan Short Duration Core Plus ETF | JPMorgan Ultra-Short Income ETF | |||
Year Ended February 28, 2023 | Period Ended February 28, 2022 (a) | Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $5,819,211 | $1,516,076 | $495,099,163 | $98,746,807 |
Net realized gain (loss) | (7,004,929) | (415,043) | 18,789,084 | 30,234,646 |
Change in net unrealized appreciation/depreciation | (4,603,014) | (5,106,963) | (52,916,345) | (158,866,623) |
Change in net assets resulting from operations | (5,788,732) | (4,005,930) | 460,971,902 | (29,885,170) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (5,562,119) | (1,489,063) | (471,003,120) | (124,672,702) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 9,311,169 | 197,956,672 | 6,468,357,505 | 2,696,694,639 |
NET ASSETS: | ||||
Change in net assets | (2,039,682) | 192,461,679 | 6,458,326,287 | 2,542,136,767 |
Beginning of period | 192,461,679 | — | 18,686,174,480 | 16,144,037,713 |
End of period | $190,421,997 | $192,461,679 | $25,144,500,767 | $18,686,174,480 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $74,909,941 | $197,956,672 | $9,164,313,805 | $3,431,664,325 |
Cost of shares redeemed | (65,598,772) | — | (2,695,956,300) | (734,969,686) |
Total change in net assets resulting from capital transactions | $9,311,169 | $197,956,672 | $6,468,357,505 | $2,696,694,639 |
SHARE TRANSACTIONS: | ||||
Issued | 1,620,000 | 3,960,000 | 182,650,000 | 67,750,000 |
Redeemed | (1,430,000) | — | (53,750,000) | (14,550,000) |
Net increase (decrease) in shares from share transactions | 190,000 | 3,960,000 | 128,900,000 | 53,200,000 |
222 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Ultra-Short Municipal Income ETF | ||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $42,193,863 | $5,322,377 |
Net realized gain (loss) | (16,769,517) | (261,767) |
Distributions of capital gains received from investment company affiliates | 13,700 | 2,079 |
Change in net unrealized appreciation/depreciation | (2,836,541) | (13,691,226) |
Change in net assets resulting from operations | 22,601,505 | (8,628,537) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (37,164,875) | (5,051,152) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | (581,594,995) | 1,719,988,397 |
NET ASSETS: | ||
Change in net assets | (596,158,365) | 1,706,308,708 |
Beginning of period | 3,116,619,866 | 1,410,311,158 |
End of period | $2,520,461,501 | $3,116,619,866 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $980,178,647 | $1,819,089,400 |
Cost of shares redeemed | (1,561,773,642) | (99,101,003) |
Total change in net assets resulting from capital transactions | $(581,594,995) | $1,719,988,397 |
SHARE TRANSACTIONS: | ||
Issued | 19,300,000 | 35,700,000 |
Redeemed | (30,900,000) | (1,950,000) |
Net increase (decrease) in shares from share transactions | (11,600,000) | 33,750,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 223 |
FOR THE YEAR ENDED February 28, 2023
JPMorgan Income ETF | |
INCREASE (DECREASE) IN CASH | |
Cash flows provided (used) by operating activities: | |
Net decrease in net assets resulting from operations | $(6,247,626) |
Adjustments to reconcile net increase/decrease in net assets resulting from operations to net cash provided (used) by operating activities: | |
Purchases of investment securities | (508,149,826) |
Proceeds from disposition of investment securities | 272,185,771 |
Purchases of short-term investments — affiliates, net | 14,515,672 |
Change in unrealized (appreciation)/depreciation on investments in non-affiliates | 10,046,752 |
Change in unrealized (appreciation)/depreciation on investments in affiliates | (552) |
Net realized (gain)/loss on investments in non-affiliates | 3,227,706 |
Net realized (gain)/loss on investments in affiliates | 3,228 |
Net realized (gain)/loss on options purchased | 47,440 |
Net amortization (accretion) of income | 1,501,712 |
Increase in interest receivable from non-affiliates | (2,125,628) |
Increase in dividends receivable from affiliates | (485) |
Increase in tax reclaims receivable | (463) |
Increase in variation margin receivable | (28,694) |
Decrease in unrealized appreciation on forward foreign currency exchange contracts | 46,873 |
Increase in due from custodian | (719,166) |
Increase in outstanding swap contracts, at value, net | 249,883 |
Increase in unrealized depreciation on forward foreign currency exchange contracts | 201,749 |
Decrease in variation margin payable | (172,138) |
Increase in management fees payable | 63,398 |
Net cash provided (used) by operating activities | (215,354,394) |
Cash flows provided (used) by financing activities: | |
Proceeds from shares issued | 225,744,829 |
Cash distributions paid to shareholders (net of reinvestments $0) | (8,447,314) |
Net cash provided (used) by financing activities | 217,297,515 |
Cash: | |
Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker | 1,943,121 |
Restricted and unrestricted cash and foreign currency at beginning of period | 1,345,761 |
Restricted and unrestricted cash and foreign currency at end of period | $3,288,882 |
Supplemental disclosure of cash flow information:
JPMorgan Income ETF | JPMorgan Income ETF | |
February 28, 2022 | February 28, 2023 | |
Cash | $593,761 | $195,846 |
Foreign currency, at value | — | 36 |
Deposits at broker: | ||
Futures contracts | 399,000 | 1,469,000 |
Centrally cleared swaps | 353,000 | 1,624,000 |
$1,345,761 | $3,288,882 |
224 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 Core Plus Bond ETF | |||||||
Year Ended February 28, 2023 | $52.24 | $1.68 | $(6.23) | $(4.55) | $(1.47) | $— | $(1.47) |
Year Ended February 28, 2022 | 54.31 | 1.09 | (1.96) | (0.87) | (1.09) | (0.11) | (1.20) |
Year Ended February 28, 2021 | 54.17 | 0.97 | 0.70(f) | 1.67 | (0.88) | (0.65) | (1.53) |
Year Ended February 29, 2020 | 50.36 | 1.45 | 4.13 | 5.58 | (1.44) | (0.33) | (1.77) |
January 28, 2019 (h) through February 28, 2019 | 50.00 | 0.13 | 0.36 | 0.49 | (0.13) | — | (0.13) |
JPMorgan Income ETF | |||||||
Year Ended February 28, 2023 | 48.89 | 2.36 | (4.24) | (1.88) | (2.10) | (0.01) | (2.11) |
October 28, 2021 (h) through February 28, 2022 | 50.00 | 0.58 | (1.24) | (0.66) | (0.45) | — | (0.45) |
JPMorgan International Bond Opportunities ETF | |||||||
Year Ended February 28, 2023 | 48.96 | 1.57 | (2.48) | (0.91) | (1.41) | — | (1.41) |
Year Ended February 28, 2022 | 51.04 | 1.16 | (1.92) | (0.76) | (1.32) | — | (1.32) |
Year Ended February 28, 2021 | 49.98 | 1.45 | 1.00(f) | 2.45 | (1.39) | — | (1.39) |
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) |
JPMorgan Municipal ETF | |||||||
Year Ended February 28, 2023 | 52.97 | 1.37 | (3.44) | (2.07) | (1.13) | — | (1.13) |
Year Ended February 28, 2022 | 54.37 | 0.85 | (1.18) | (0.33) | (0.85) | (0.22) | (1.07) |
Year Ended February 28, 2021 | 55.15 | 1.00 | (0.71) | 0.29 | (0.94) | (0.13) | (1.07) |
Year Ended February 29, 2020 | 51.92 | 1.24 | 3.91 | 5.15 | (1.22) | (0.70) | (1.92) |
October 29, 2018 (h) through February 28, 2019 | 50.00 | 0.46 | 1.90 | 2.36 | (0.44) | — | (0.44) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(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) | Calculation of the net realized and unrealized gains (losses) per share does 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. |
(g) | 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. |
(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 net asset value 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. |
(k) | Amount rounds to less than 0.5%. |
226 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | Portfolio turnover rate (c) |
$46.22 | $46.30 | (8.76)% | (8.84)% | $762,673,581 | 0.39% | 3.55% | 0.39% | 36% |
52.24 | 52.37 | (1.66) | (1.73) | 276,853,932 | 0.40 | 2.02 | 0.40 | 81 |
54.31 | 54.48 | 3.08 | 2.87 | 146,648,110 | 0.36 | 1.76 | 0.36 | 272 |
54.17 | 54.44 | 11.24 | 11.52 | 54,168,824 | 0.38 | 2.76 | 0.69(g) | 91 |
50.36 | 50.48 | 0.97 | 1.21(i) | 25,178,102 | 0.38(j) | 2.96 | 5.38(g)(j) | —(k) |
44.90 | 45.25 | (3.84) | (3.52) | 348,910,890 | 0.40 | 5.17 | 0.40 | 216 |
48.89 | 49.09 | (1.34) | (0.94)(i) | 137,861,001 | 0.39 | 3.47 | 0.39 | 13 |
46.64 | 46.84 | (1.81) | (1.43) | 284,507,436 | 0.50 | 3.39 | 0.50 | 71 |
48.96 | 48.98 | (1.56) | (2.10) | 323,118,565 | 0.50 | 2.28 | 0.50 | 52 |
51.04 | 51.34 | 5.02 | 5.95 | 250,097,283 | 0.50 | 2.90 | 0.50 | 136 |
49.98 | 49.83 | 7.39 | 6.89 | 169,928,839 | 0.53 | 3.40 | 0.69(g) | 88 |
48.75 | 48.83 | 2.09 | 2.13 | 180,357,231 | 0.54 | 3.92 | 0.82(g) | 73 |
49.77 | 49.81 | (3.89) | (3.88) | 408,142,543 | 0.16 | 2.74 | 0.16 | 33 |
52.97 | 53.01 | (0.66) | (0.55) | 100,642,548 | 0.18 | 1.56 | 0.18 | 48 |
54.37 | 54.35 | 0.54 | 0.67 | 76,120,305 | 0.23 | 1.84 | 0.23 | 56 |
55.15 | 55.06 | 10.09 | 9.71 | 52,390,882 | 0.23 | 2.31 | 0.67(g) | 51 |
51.92 | 52.01 | 4.74 | 4.92(i) | 31,153,558 | 0.23(j) | 2.65 | 1.06(g)(j) | 15 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 227 |
FOR THE PERIODS INDICATED (continued)
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 Short Duration Core Plus ETF | |||||||
Year Ended February 28, 2023 | $48.60 | $1.31 | $(2.78) | $(1.47) | $(1.25) | $— | $(1.25) |
March 1, 2021 (f) through February 28, 2022 | 50.00 | 0.62 | (1.42) | (0.80) | (0.59) | (0.01) | (0.60) |
JPMorgan Ultra-Short Income ETF | |||||||
Year Ended February 28, 2023 | 50.35 | 1.17 | (0.18) | 0.99 | (0.97) | (0.09) | (1.06) |
Year Ended February 28, 2022 | 50.78 | 0.28 | (0.35) | (0.07) | (0.32) | (0.04) | (0.36) |
Year Ended February 28, 2021 | 50.51 | 0.58 | 0.28 | 0.86 | (0.59) | —(h) | (0.59) |
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)(j) | 1.33 | (1.14) | — | (1.14) |
JPMorgan Ultra-Short Municipal Income ETF | |||||||
Year Ended February 28, 2023 | 50.76 | 0.70 | (0.19) | 0.51 | (0.66) | — | (0.66) |
Year Ended February 28, 2022 | 51.01 | 0.13 | (0.25) | (0.12) | (0.13) | — | (0.13) |
Year Ended February 28, 2021 | 50.53 | 0.32 | 0.52 | 0.84 | (0.36) | — | (0.36) |
Year Ended February 29, 2020 | 50.26 | 0.78 | 0.26 | 1.04 | (0.77) | — | (0.77) |
October 16, 2018 (f) through February 28, 2019 | 50.00 | 0.35 | 0.23 | 0.58 | (0.32) | — | (0.32) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(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) | Commencement of operations. |
(g) | 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 net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
(h) | Amount rounds to less than $0.005. |
(i) | 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. |
(j) | Calculation of the net realized and unrealized gains (losses) per share does 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. |
(k) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
228 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | Portfolio turnover rate (c) |
$45.88 | $45.85 | (3.03)% | (3.11)% | $190,421,997 | 0.32% | 2.82% | 0.32% | 199% |
48.60 | 48.61 | (1.63) | (1.61)(g) | 192,461,679 | 0.32 | 1.26 | 0.32 | 175 |
50.28 | 50.30 | 2.01 | 2.00 | 25,144,500,767 | 0.17 | 2.34 | 0.17 | 57 |
50.35 | 50.37 | (0.14) | (0.12) | 18,686,174,480 | 0.18 | 0.56 | 0.18 | 70 |
50.78 | 50.79 | 1.72 | 1.67 | 16,144,037,713 | 0.17 | 1.14 | 0.17 | 94 |
50.51 | 50.54 | 3.22 | 3.22 | 11,591,489,504 | 0.18 | 2.53 | 0.22(i) | 46 |
50.20 | 50.23 | 2.68 | 2.66 | 5,703,062,275 | 0.17 | 2.74 | 0.28(i) | 43 |
50.61 | 50.58 | 1.01 | 0.97 | 2,520,461,501 | 0.17 | 1.39 | 0.17 | 94 |
50.76 | 50.75 | (0.23) | (0.29) | 3,116,619,866 | 0.17 | 0.26 | 0.17 | 50 |
51.01 | 51.03 | 1.66 | 1.64 | 1,410,311,158 | 0.16 | 0.63 | 0.16 | 67 |
50.53 | 50.56 | 2.09 | 2.09 | 207,185,582 | 0.18 | 1.55 | 0.34(i) | 153 |
50.26 | 50.29 | 1.16 | 1.22(g) | 57,799,591 | 0.17(k) | 1.88 | 0.79(i)(k) | 61 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 229 |
AS OF February 28, 2023
Diversification Classification | |
JPMorgan Core Plus Bond ETF | Diversified |
JPMorgan Income ETF | Diversified |
JPMorgan International Bond Opportunities ETF | Diversified |
JPMorgan Municipal ETF | Diversified |
JPMorgan Short Duration Core Plus ETF | Diversified |
JPMorgan Ultra-Short Income ETF | Diversified |
JPMorgan Ultra-Short Municipal Income ETF | Diversified |
Listing Exchange | |
Core Plus Bond ETF | Cboe BZX Exchange, Inc. |
Income ETF | NYSE Arca |
International Bond Opportunities ETF | Cboe BZX Exchange, Inc. |
Municipal ETF | Cboe BZX Exchange, Inc. |
Short Duration Core Plus ETF | NYSE Arca |
Ultra-Short Income ETF | NYSE Arca* |
Ultra-Short Municipal Income ETF | Cboe BZX Exchange, Inc. |
* | Effective September 15, 2022, the Ultra-Short Income ETF changed its listing exchange from Cboe BZX Exchange, Inc. to NYSE Arca. |
230 |
231 |
AS OF February 28, 2023 (continued)
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 | $— | $123,880,789 | $2,208,139 | $126,088,928 |
Collateralized Mortgage Obligations | — | 25,610,283 | 3,547,824 | 29,158,107 |
Commercial Mortgage-Backed Securities | — | 40,432,225 | 825,407 | 41,257,632 |
Common Stocks | ||||
Oil, Gas & Consumable Fuels | 14,950 | — | 1,925 | 16,875 |
Professional Services | — | — | 153 | 153 |
Wireless Telecommunication Services | — | — | 6,615 | 6,615 |
Total Common Stocks | 14,950 | — | 8,693 | 23,643 |
Corporate Bonds | ||||
Aerospace & Defense | — | 3,236,391 | — | 3,236,391 |
Airlines | — | 1,226,649 | — | 1,226,649 |
Auto Components | — | 2,580,855 | — | 2,580,855 |
Automobiles | — | 1,082,034 | — | 1,082,034 |
Banks | — | 44,703,846 | — | 44,703,846 |
Beverages | — | 2,772,286 | — | 2,772,286 |
Biotechnology | — | 4,331,901 | — | 4,331,901 |
Building Products | — | 1,833,893 | — | 1,833,893 |
Capital Markets | — | 16,979,803 | — | 16,979,803 |
Chemicals | — | 2,735,799 | — | 2,735,799 |
Commercial Services & Supplies | — | 2,735,265 | — | 2,735,265 |
Communications Equipment | — | 483,163 | — | 483,163 |
Construction & Engineering | — | 675,244 | — | 675,244 |
Construction Materials | — | 55,845 | — | 55,845 |
Consumer Finance | — | 6,378,347 | — | 6,378,347 |
Containers & Packaging | — | 2,785,752 | — | 2,785,752 |
Diversified Consumer Services | — | 239,662 | — | 239,662 |
Diversified Financial Services | — | 958,126 | — | 958,126 |
Diversified Telecommunication Services | — | 8,022,303 | 3 | 8,022,306 |
Electric Utilities | — | 14,820,589 | — | 14,820,589 |
Electrical Equipment | — | 753,109 | — | 753,109 |
Electronic Equipment, Instruments & Components | — | 354,226 | — | 354,226 |
Energy Equipment & Services | — | 721,515 | — | 721,515 |
Entertainment | — | 5,429,347 | — | 5,429,347 |
Equity Real Estate Investment Trusts (REITs) | — | 3,644,876 | — | 3,644,876 |
Food & Staples Retailing | — | 1,739,289 | — | 1,739,289 |
Food Products | — | 1,431,369 | — | 1,431,369 |
Gas Utilities | — | 1,349,419 | — | 1,349,419 |
Health Care Equipment & Supplies | — | 1,086,508 | — | 1,086,508 |
232 |
Core Plus Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Health Care Providers & Services | $— | $11,855,263 | $— | $11,855,263 |
Health Care Technology | — | 190,294 | — | 190,294 |
Hotels, Restaurants & Leisure | — | 7,207,495 | — | 7,207,495 |
Household Durables | — | 869,630 | — | 869,630 |
Household Products | — | 1,250,178 | — | 1,250,178 |
Independent Power and Renewable Electricity Producers | — | 965,642 | — | 965,642 |
Insurance | — | 1,850,466 | — | 1,850,466 |
Interactive Media & Services | — | 637,709 | — | 637,709 |
Internet & Direct Marketing Retail | — | 1,286,577 | — | 1,286,577 |
IT Services | — | 1,579,621 | — | 1,579,621 |
Leisure Products | — | 140,924 | — | 140,924 |
Life Sciences Tools & Services | — | 478,041 | — | 478,041 |
Machinery | — | 1,840,603 | — | 1,840,603 |
Media | — | 11,600,150 | — | 11,600,150 |
Metals & Mining | — | 3,752,539 | — | 3,752,539 |
Mortgage Real Estate Investment Trusts (REITs) | — | 951,304 | — | 951,304 |
Multiline Retail | — | 542,981 | — | 542,981 |
Multi-Utilities | — | 1,189,150 | — | 1,189,150 |
Oil, Gas & Consumable Fuels | — | 19,226,507 | — | 19,226,507 |
Personal Products | — | 746,586 | — | 746,586 |
Pharmaceuticals | — | 6,005,196 | — | 6,005,196 |
Real Estate Management & Development | — | 136,351 | — | 136,351 |
Road & Rail | — | 2,758,063 | — | 2,758,063 |
Semiconductors & Semiconductor Equipment | — | 4,935,725 | — | 4,935,725 |
Software | — | 3,068,846 | — | 3,068,846 |
Specialty Retail | — | 4,691,945 | — | 4,691,945 |
Technology Hardware, Storage & Peripherals | — | 2,322,015 | — | 2,322,015 |
Textiles, Apparel & Luxury Goods | — | 229,160 | — | 229,160 |
Thrifts & Mortgage Finance | — | 1,951,492 | — | 1,951,492 |
Tobacco | — | 3,217,097 | — | 3,217,097 |
Trading Companies & Distributors | — | 1,916,429 | — | 1,916,429 |
Transportation Infrastructure | — | 9,492 | — | 9,492 |
Wireless Telecommunication Services | — | 1,910,478 | — | 1,910,478 |
Total Corporate Bonds | — | 236,461,360 | 3 | 236,461,363 |
Mortgage-Backed Securities | — | 122,414,473 | — | 122,414,473 |
Municipal Bonds | — | 23,601 | — | 23,601 |
Preferred Stocks | — | — | 2,567 | 2,567 |
Rights | — | — | 1 | 1 |
U.S. Government Agency Securities | — | 1,600,421 | — | 1,600,421 |
U.S. Treasury Obligations | — | 116,429,211 | — | 116,429,211 |
Warrants | — | — | 2,460 | 2,460 |
Short-Term Investments | ||||
Investment Companies | 111,022,635 | — | — | 111,022,635 |
Total Investments in Securities | $111,037,585 | $666,852,363 | $6,595,094 | $784,485,042 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $176,453 | $— | $— | $176,453 |
Swaps | — | 169,097 | — | 169,097 |
233 |
AS OF February 28, 2023 (continued)
Core Plus Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $(109,880) | $— | $(109,880) |
Futures Contracts | (344,828) | — | — | (344,828) |
Swaps | — | (152,439) | — | (152,439) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(168,375) | $(93,222) | $— | $(261,597) |
Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $83,482,822 | $3,524,503 | $87,007,325 |
Collateralized Mortgage Obligations | — | 23,603,561 | 1,620,029 | 25,223,590 |
Commercial Mortgage-Backed Securities | — | 56,033,728 | — | 56,033,728 |
Corporate Bonds | — | 155,988,497 | — | 155,988,497 |
Foreign Government Securities | — | 9,513,349 | — | 9,513,349 |
Mortgage-Backed Securities | — | 28,490,448 | — | 28,490,448 |
Short-Term Investments | ||||
Investment Companies | 4,011,385 | — | — | 4,011,385 |
Total Investments in Securities | $4,011,385 | $357,112,405 | $5,144,532 | $366,268,322 |
Liabilities | ||||
TBA Short Commitment | $— | $(12,186,727) | $— | $(12,186,727) |
Total Liabilities in Securities Sold Short | $— | $(12,186,727) | $— | $(12,186,727) |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $13,022 | $— | $— | $13,022 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (229,080) | — | (229,080) |
Futures Contracts | (147,058) | — | — | (147,058) |
Swaps | — | (158,830) | — | (158,830) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(134,036) | $(387,910) | $— | $(521,946) |
International 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 | $— | $6,178,702 | $— | $6,178,702 |
Collateralized Mortgage Obligations | ||||
United Kingdom | — | 21,634 | — | 21,634 |
United States | — | 2,058,854 | 1,124,280 | 3,183,134 |
Total Collateralized Mortgage Obligations | — | 2,080,488 | 1,124,280 | 3,204,768 |
Commercial Mortgage-Backed Securities | ||||
United States | — | 4,292,131 | 394,851 | 4,686,982 |
Corporate Bonds | — | 175,660,102 | — | 175,660,102 |
234 |
International Bond Opportunities ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Foreign Government Securities | $— | $79,050,602 | $— | $79,050,602 |
Supranational | — | 829,848 | — | 829,848 |
Warrants | — | — | 120 | 120 |
Short-Term Investments | ||||
Investment Companies | 486,978 | — | — | 486,978 |
Total Investments in Securities | $486,978 | $268,091,873 | $1,519,251 | $270,098,102 |
Appreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | $— | $4,705,500 | $— | $4,705,500 |
Futures Contracts | 1,736,782 | — | — | 1,736,782 |
Swaps | — | 227,843 | — | 227,843 |
Depreciation in Other Financial Instruments | ||||
Forward Foreign Currency Exchange Contracts | — | (895,252) | — | (895,252) |
Futures Contracts | (470,539) | — | — | (470,539) |
Swaps | — | (348,099) | — | (348,099) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $1,266,243 | $3,689,992 | $— | $4,956,235 |
Municipal ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $370,953,249 | $— | $370,953,249 |
Short-Term Investments | ||||
Investment Companies | 28,406,555 | — | — | 28,406,555 |
Total Investments in Securities | $28,406,555 | $370,953,249 | $— | $399,359,804 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $313 | $— | $— | $313 |
Depreciation in Other Financial Instruments | ||||
Swaps | — | (562,868) | — | (562,868) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $313 | $(562,868) | $— | $(562,555) |
Short Duration Core Plus ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $35,665,331 | $1,755,429 | $37,420,760 |
Collateralized Mortgage Obligations | — | 9,586,098 | — | 9,586,098 |
Commercial Mortgage-Backed Securities | — | 12,574,491 | — | 12,574,491 |
Corporate Bonds | — | 78,866,892 | — | 78,866,892 |
Foreign Government Securities | — | 2,094,412 | — | 2,094,412 |
Mortgage-Backed Securities | — | 18,365,424 | — | 18,365,424 |
Municipal Bonds | — | 114,577 | — | 114,577 |
U.S. Treasury Obligations | — | 26,116,202 | — | 26,116,202 |
235 |
AS OF February 28, 2023 (continued)
Short Duration Core Plus ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment of Cash Collateral from Securities Loaned | $805,328 | $— | $— | $805,328 |
U.S. Treasury Obligations | — | 887,398 | — | 887,398 |
Total Short-Term Investments | 805,328 | 887,398 | — | 1,692,726 |
Total Investments in Securities | $805,328 | $184,270,825 | $1,755,429 | $186,831,582 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $8,858 | $— | $— | $8,858 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (22,761) | — | — | (22,761) |
Swaps | — | (44,208) | — | (44,208) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $(13,903) | $(44,208) | $— | $(58,111) |
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 | $— | $1,707,635,847 | $8,476,404 | $1,716,112,251 |
Commercial Mortgage-Backed Securities | — | 216,470,911 | — | 216,470,911 |
Corporate Bonds | — | 9,645,080,199 | — | 9,645,080,199 |
Foreign Government Securities | — | 28,474,422 | — | 28,474,422 |
U.S. Government Agency Securities | — | 126,556,750 | — | 126,556,750 |
U.S. Treasury Obligations | — | 495,602,048 | — | 495,602,048 |
Short-Term Investments | ||||
Certificates of Deposits | — | 4,315,092,661 | — | 4,315,092,661 |
Commercial Paper | — | 5,461,449,254 | — | 5,461,449,254 |
Investment Companies | 2,751,326,315 | — | — | 2,751,326,315 |
Investment of Cash Collateral from Securities Loaned | 16,115,034 | — | — | 16,115,034 |
Repurchase Agreements | — | 200,000,000 | — | 200,000,000 |
Total Short-Term Investments | 2,767,441,349 | 9,976,541,915 | — | 12,743,983,264 |
Total Investments in Securities | $2,767,441,349 | $22,196,362,092 | $8,476,404 | $24,972,279,845 |
Ultra-Short Municipal Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Municipal Bonds | $— | $2,373,404,213 | $— | $2,373,404,213 |
Short-Term Investments | ||||
Investment Companies | 143,883,279 | — | — | 143,883,279 |
Total Investments in Securities | $143,883,279 | $2,373,404,213 | $— | $2,517,287,492 |
236 |
Ultra-Short Municipal Income ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | $(325,334) | $— | $— | $(325,334) |
Core Plus Bond ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Other(a) | Balance as of February 28, 2023 |
Investments in Securities: | ||||||||||
Asset-Backed Securities | $20,370,556 | $51 | $(119,317) | $2,838 | $732,022 | $(1,536,730) | $1,145,515 | $(19,350,105) | $963,309 | $2,208,139 |
Collateralized Mortgage Obligations | 2,918,444 | — | (128,362) | 2,783 | 3,940,762 | (501,297) | — | (2,300,079) | (384,427) | 3,547,824 |
Commercial Mortgage-Backed Securities | 5,075,115 | — | (7,935) | 307 | 32,106 | (631,191) | 793,502 | (3,857,615) | (578,882) | 825,407 |
Common Stocks | 9,180 | 19,539 | (21,015) | — | — | (25,164) | 26,153 | — | — | 8,693 |
Corporate Bonds | 3 | — | — | — | 280 | (280) | — | — | — | 3 |
Preferred Stocks | 5,377 | — | (2,810) | — | — | — | — | — | — | 2,567 |
Rights | 1 | — | — | — | — | — | — | — | — | 1 |
Warrants | 1,861 | — | 599 | — | — | — | — | — | — | 2,460 |
Total | $28,380,537 | $19,590 | $(278,840) | $5,928 | $4,705,170 | $(2,694,662) | $1,965,170 | $(25,507,799) | $— | $6,595,094 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Certain Level 3 investments were re-classified between Asset-Backed Securities, Collateralized Mortgage Obligations and Commercial Mortgage-Backed Securities. |
Income ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2023 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $8,815,163 | $— | $(33,104) | $40,362 | $4,521,467 | $(4,943,884) | $1,150,421 | $(6,025,922) | $3,524,503 |
Collateralized Mortgage Obligations | 1,517,003 | — | (39,946) | 1 | 1,659,974 | — | — | (1,517,003) | 1,620,029 |
237 |
AS OF February 28, 2023 (continued)
Income ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2023 |
Commercial Mortgage-Backed Securities | $6,631,360 | $— | $4,845 | $178 | $— | $(994,145) | $— | $(5,642,238) | $— |
Total | $16,963,526 | $— | $(68,205) | $40,541 | $6,181,441 | $(5,938,029) | $1,150,421 | $(13,185,163) | $5,144,532 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
International Bond Opportunities ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2023 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $1,043,618 | $9 | $(1,891) | $30 | $— | $(132,284) | $— | $(909,482) | $— |
Collateralized Mortgage Obligations | — | — | (75,715) | 2 | 1,199,993 | — | — | — | 1,124,280 |
Commercial Mortgage-Backed Securities | 2,815,947 | 930 | (32,669) | 297 | 31,325 | (194,239) | 379,589 | (2,606,329) | 394,851 |
Warrants | 184 | — | (64) | — | — | — | — | — | 120 |
Total | $3,859,749 | $939 | $(110,339) | $329 | $1,231,318 | $(326,523) | $379,589 | $(3,515,811) | $1,519,251 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
Short Duration Core Plus ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Other(a) | Balance as of February 28, 2023 |
Investments in Securities: |
238 |
Short Duration Core Plus ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Other(a) | Balance as of February 28, 2023 |
Asset-Backed Securities | $7,077,155 | $— | $(20,258) | $(1,146) | $868,912 | $(1,363,440) | $1,207,295 | $(6,511,813) | $498,724 | $1,755,429 |
Collateralized Mortgage Obligations | 649,255 | — | — | — | — | — | — | (649,255) | — | — |
Commercial Mortgage-Backed Securities | 8,663,746 | (106,151) | 24,132 | (207) | — | (1,063,487) | — | (7,019,309) | (498,724) | — |
Total | $16,390,156 | $(106,151) | $3,874 | $(1,353) | $868,912 | $(2,426,927) | $1,207,295 | $(14,180,377) | $— | $1,755,429 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
(a) | Certain Level 3 investments were re-classified between Asset-Backed Securities and Commercial Mortgage-Backed Securities. |
Bond ETF
Fair Value at February 28, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$1,675,740 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (1.73%) | |
Constant Default Rate | 0.00% - 1.00% (0.22%) | |||
Yield (Discount Rate of Cash Flows) | 6.55% - 13.73% (8.95%) | |||
Asset-Backed Securities | 1,675,740 | |||
1,395,632 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (3.83%) | |
Yield (Discount Rate of Cash Flows) | 7.81% - 15.68% (11.92%) | |||
Collateralized Mortgage Obligations | 1,395,632 | |||
Total | $3,071,372 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $3,523,722. The inputs for these investments are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 2.A. |
239 |
AS OF February 28, 2023 (continued)
(a) | Unobservable inputs were weighted by the relative fair value of the instruments. |
Fair Value at February 28, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$491,652 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 8.00% (6.88%) | |
Constant Default Rate | 0.00% - 11.00% (9.46%) | |||
Yield (Discount Rate of Cash Flows) | 6.76% - 8.24% (8.03%) | |||
2,358,334 | Recovery Analysis | Expected Recovery | 100% (100%) | |
Asset-Backed Securities | 2,849,986 | |||
454,900 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 15.68% (15.68%) | |
Collateralized Mortgage Obligations | 454,900 | |||
Total | $3,304,886 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $1,839,646. The inputs for these investments 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. |
Bond
Opportunities
ETF
Fair Value at February 28, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$1,124,280 | Discounted Cash Flow | Yield (Discount Rate of Cash Flows) | 11.69% (11.69%) | |
Collateralized Mortgage Obligations | 1,124,280 | |||
Total | $1,124,280 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $394,971. The inputs for these investments 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. |
240 |
Duration
Core Plus
ETF
Fair Value at February 28, 2023 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) (a) | |
$886,360 | Discounted Cash Flow | Constant Prepayment Rate | 0.00% - 100.00% (5.09%) | |
Yield (Discount Rate of Cash Flows) | 5.96% - 6.76% (6.59%) | |||
Asset-Backed Securities | 886,360 | |||
Total | $886,360 |
# | The table above does not include certain level 3 investments that are valued by brokers and Pricing Services. At February 28, 2023, the value of these investments was $869,069. The inputs for these investments 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. |
241 |
AS OF February 28, 2023 (continued)
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) | |
Short Duration Core Plus ETF | $776,266 | $(776,266) | $— |
Ultra-Short Income ETF | 15,697,856 | (15,697,856) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
Short Duration Core Plus ETF | $258 |
Ultra-Short Income ETF | 3,372 |
242 |
Core Plus Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $35,701,290 | $422,927,256 | $347,605,911 | $— | $— | $111,022,635 | 111,022,635 | $1,234,430 | $— |
(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 28, 2023. |
Income ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | $18,529,733 | $137,817,300 | $152,332,972 | $(3,228) | $552 | $4,011,385 | 4,009,381 | $81,114 | $— |
(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 28, 2023. |
International Bond Opportunities ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $9,903,539 | $148,902,879 | $158,319,440 | $— | $— | $486,978 | 486,978 | $159,398 | $— |
(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 28, 2023. |
243 |
AS OF February 28, 2023 (continued)
Municipal ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (a) (b) | $10,795,128 | $305,603,053 | $287,986,891 | $(6,511) | $1,776 | $28,406,555 | 28,400,875 | $480,423 | $1,815 |
(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 28, 2023. |
Short Duration Core Plus ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | $23,982,204 | $125,626,979 | $149,610,165 | $(416) | $1,398 | $— | — | $302,335 | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 110,760 | 4,488,124 | 3,793,556 | — | — | 805,328 | 805,328 | 12,150* | — |
Total | $24,092,964 | $130,115,103 | $153,403,721 | $(416) | $1,398 | $805,328 | $314,485 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Ultra-Short Income ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | $36,712,288 | $98,000,000 | $120,000,000 | $(2,881)* | $4,545 | $14,713,952 | 14,708,069 | $323,562 * | $— |
244 |
Ultra-Short Income ETF (continued) | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $5,092,765 | $161,669,807 | $165,361,490 | $— | $— | $1,401,082 | 1,401,082 | $86,962* | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 3,227,762,466 | 14,896,050,381 | 15,372,486,532 | — | — | 2,751,326,315 | 2,751,326,315 | 57,998,492 | — |
Total | $3,269,567,519 | $15,155,720,188 | $15,657,848,022 | $(2,881) | $4,545 | $2,767,441,349 | $58,409,016 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Ultra-Short Municipal Income ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Institutional Tax Free Money Market Fund Class IM Shares, 2.93% (a) (b) | $288,389,747 | $4,449,311,594 | $4,593,783,546 | $(44,091) | $9,575 | $143,883,279 | 143,854,508 | $3,935,404 | $13,700 |
(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 28, 2023. |
245 |
AS OF February 28, 2023 (continued)
246 |
247 |
AS OF February 28, 2023 (continued)
Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | Municipal ETF | Short Duration Core Plus ETF | Ultra-Short Municipal Income ETF | |
Foreign Exchange Rate Risk Exposure: | ||||||
Unrealized Appreciation on Forward Foreign Currency Exchange Contracts | $— | $— | $4,705,500 | $— | $— | $— |
Unrealized Depreciation on Forward Foreign Currency Exchange Contracts | (109,880) | (229,080) | (895,252) | — | — | — |
Interest Rate Risk Exposure: | ||||||
Unrealized Appreciation on Futures Contracts * | 176,453 | 13,022 | 1,736,782 | 313 | 8,858 | — |
Swaps at Value (Assets) ** | — | — | 227,843 | — | — | — |
Unrealized Depreciation on Futures Contracts * | (344,828) | (147,058) | (470,539) | — | (22,761) | (325,334) |
Swaps at Value (Liabilities) ** | — | — | (348,099) | — | — | — |
Credit Risk Exposure: | ||||||
Swaps at Value (Assets) ** | 244,301 | — | — | — | — | — |
Swaps at Value (Liabilities) ** | (52,623) | (610,159) | — | (228,849) | (98,343) | — |
Net Fair Value of Derivative Contracts: | ||||||
Unrealized Appreciation (Depreciation) on Futures Contracts * | (168,375) | (134,036) | 1,266,243 | 313 | (13,903) | (325,334) |
Swaps at Value ** | 191,678 | (610,159) | (120,256) | (228,849) | (98,343) | — |
Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts | (109,880) | (229,080) | 3,810,248 | — | — | — |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
** | Includes the fair value of centrally cleared swap contracts as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivatives Available for Offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) |
Barclays Bank plc | $567,300 | $— | $— | $567,300 |
BNP Paribas | 617,848 | (166,315) | — | 451,533 |
Citibank, NA | 335,689 | (335,689) | — | — |
Goldman Sachs International | 113,917 | (113,917) | — | — |
HSBC Bank, NA | 2,466,145 | (61,764) | — | 2,404,381 |
Merrill Lynch International | 4,915 | (4,915) | — | — |
Morgan Stanley | 336,839 | — | — | 336,839 |
Royal Bank of Canada | 3,927 | (1,065) | — | 2,862 |
248 |
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivatives Available for Offset | Collateral Received | Net Amount Due From Counterparty (Not less than zero) |
Standard Chartered Bank | $9,681 | $(9,681) | $— | $— |
TD Bank Financial Group | 249,239 | — | — | 249,239 |
$4,705,500 | $(693,346) | $— | $4,012,154 |
Counterparty | Gross Amount of Derivative Liabilities Subject to Netting Arrangements Presented on the Statement of Assets and Liabilities(a) | Derivative Available for Offset | Collateral Posted | Net Amount Due to Counterparty (Not less than zero) |
BNP Paribas | $166,315 | $(166,315) | $— | $— |
Citibank, NA | 343,650 | (335,689) | — | 7,961 |
Goldman Sachs International | 116,719 | (113,917) | — | 2,802 |
HSBC Bank, NA | 61,764 | (61,764) | — | — |
Merrill Lynch International | 14,606 | (4,915) | — | 9,691 |
Royal Bank of Canada | 1,065 | (1,065) | — | — |
Standard Chartered Bank | 182,091 | (9,681) | — | 172,410 |
State Street Corp. | 9,042 | — | — | 9,042 |
$895,252 | $(693,346) | $— | $201,906 |
(a) | For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | Municipal ETF | Short Duration Core Plus ETF | Ultra-Short Income ETF | Ultra-Short Municipal Income ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |||||||
Foreign Exchange Rate Risk Exposure: | |||||||
Forward Foreign Currency Exchange Contracts | $(48,964) | $(117,664) | $12,047,374 | $— | $— | $— | $— |
Purchased Options | — | (47,440) | — | — | — | — | — |
Interest Rate Risk Exposure: | |||||||
Futures Contracts | (3,661,168) | (2,111,629) | 5,992,156 | 194,492 | 942,880 | 59,810,620 | (1,052,972) |
Swap Contracts | — | — | 2,231,356 | — | — | — | — |
Credit Exposure Risk: | |||||||
Swap Contracts | 126,077 | 456,097 | 917,689 | (105,115) | 160,804 | — | — |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |||||||
Foreign Exchange Rate Risk Exposure: | |||||||
Forward Foreign Currency Exchange Contracts | (130,316) | (248,622) | 5,131,794 | — | — | — | — |
Interest Rate Risk Exposure: | |||||||
Futures Contracts | (234,035) | (13,542) | 1,023,641 | 20,852 | 79,737 | 3,700,590 | (325,334) |
Swap Contracts | — | — | (975,182) | — | — | — | — |
Credit Exposure Risk: | |||||||
Swap Contracts | 53,715 | (396,002) | (799,320) | (562,868) | (8,691) | — | — |
249 |
AS OF February 28, 2023 (continued)
Core Plus Bond ETF | Income ETF | International Bond Opportunities ETF | Municipal ETF | |
Futures Contracts: | ||||
Average Notional Balance Long | $69,231,419 | $47,912,537 | $17,361,470 | $— |
Average Notional Balance Short | (9,561,625) | (19,709,407) | (79,331,448) | (964,142) |
Ending Notional Balance Long | 167,609,352 | 117,471,501 | 35,611,974 | — |
Ending Notional Balance Short | (9,715,461) | (6,139,501) | (81,184,962) | (821,188) |
Forward Foreign Currency Exchange Contracts: | ||||
Average Settlement Value Purchased | (836,822) | (1,348,024) | (59,189,799) | — |
Average Settlement Value Sold | 297,062 | 299,995 | 277,839,884 | — |
Ending Settlement Value Purchased | (3,861,054) | (6,942,393) | (40,548,181) | — |
Ending Settlement Value Sold | — | — | 288,934,739 | — |
Interest Rate-Related Swaps : | ||||
Average Notional Balance - Pays Fixed Rate | — | — | 46,065,754 | — |
Average Notional Balance - Receives Fixed Rate | — | — | 16,010,316 | — |
Ending Notional Balance - Pays Fixed Rate | — | — | 51,000,000 | — |
Ending Notional Balance - Receives Fixed Rate | — | — | 11,250,000 | — |
OTC Options: | ||||
Average Number of Contracts Purchased | — | 1,253,596 | — | — |
Credit Default Swaps: | ||||
Average Notional Balance - Buy Protection | 2,496,923 | 5,040,615 | 1,654,537 | 4,134,615 |
Average Notional Balance -Sell Protection | 7,896,154 | 744,231 | 113,623 | — |
Ending Notional Balance - Buy Protection | 2,150,000 | 24,929,000 | — | 9,350,000 |
Ending Notional Balance - Sell Protection | 18,250,000 | — | — | — |
Short Duration Core Plus ETF | Ultra-Short Income ETF | Ultra-Short Municipal Income ETF | |
Futures Contracts: | |||
Average Notional Balance Long | $30,061,815 | $— | $9,905,005 |
Average Notional Balance Short | (22,029,819) | (993,531,581) | — |
Ending Notional Balance Long | 29,678,813 | — | 128,765,063 |
Ending Notional Balance Short | (13,198,876) | — | — |
Credit Default Swaps: | |||
Average Notional Balance - Buy Protection | 1,850,000 | — | — |
Average Notional Balance -Sell Protection | 603,846 | — | — |
Ending Notional Balance - Buy Protection | 4,000,000 | — | — |
250 |
Fund | Fund Counterparty | Value of swap contracts | Collateral amount | |
International Bond Opportunities ETF | Collateral Received | Goldman Sachs International | $— | $(270,000) |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Core Plus Bond ETF | $— | $(5,461) | $5,461 |
Income ETF | — | 54,180 | (54,180) |
International Bond Opportunities ETF | — | 1,453,691 | (1,453,691) |
Municipal ETF | — | (530) | 530 |
Short Duration Core Plus ETF | — | 127,032 | (127,032) |
Ultra-Short Income ETF | — | 6,901,784 | (6,901,784) |
Ultra-Short Municipal Income ETF | — | (14,527) | 14,527 |
251 |
AS OF February 28, 2023 (continued)
Core Plus Bond ETF | 0.40% |
Income ETF | 0.40 |
International Bond Opportunities ETF | 0.50 |
Municipal ETF | 0.18 |
Short Duration Core Plus ETF | 0.33 |
Ultra-Short Income ETF | 0.18 |
Ultra-Short Municipal Income ETF | 0.18 |
252 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
Core Plus Bond ETF | $499,447,960 | $125,003,453 | $108,986,794 | $17,345,364 |
Income ETF | 689,515,547 | 428,755,116 | — | — |
International Bond Opportunities ETF | 187,862,031 | 198,073,941 | 4,943,342 | 5,174,388 |
Municipal ETF | 348,357,897 | 66,595,423 | — | — |
Short Duration Core Plus ETF | 314,567,305 | 290,087,676 | 87,976,202 | 101,687,324 |
Ultra-Short Income ETF | 7,044,172,800 | 6,655,682,323 | 495,808,453 | — |
Ultra-Short Municipal Income ETF | 2,257,337,911 | 2,287,226,006 | — | — |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Core Plus Bond ETF | $826,358,320 | $2,365,582 | $44,325,437 | $(41,959,855) |
Income ETF | 367,692,969 | 1,211,661 | 15,796,310 | (14,584,649) |
International Bond Opportunities ETF | 301,710,414 | 8,478,087 | 35,134,164 | (26,656,077) |
Municipal ETF | 404,540,785 | 2,203,933 | 7,613,450 | (5,409,517) |
Short Duration Core Plus ETF | 196,738,230 | 220,382 | 10,239,276 | (10,018,894) |
Ultra-Short Income ETF | 25,116,260,754 | 4,670,475 | 148,651,384 | (143,980,909) |
Ultra-Short Municipal Income ETF | 2,530,586,721 | 522,215 | 14,146,778 | (13,624,563) |
Ordinary Income* | Net Long-Term Capital Gains | Tax Exempt Income | Total Distributions Paid | |
Core Plus Bond ETF | $13,633,852 | $— | $— | $13,633,852 |
Income ETF | 8,401,235 | 46,079 | — | 8,447,314 |
International Bond Opportunities ETF | 9,201,940 | — | — | 9,201,940 |
Municipal ETF | 38,277 | — | 5,205,525 | 5,243,802 |
Short Duration Core Plus ETF | 5,562,119 | — | — | 5,562,119 |
Ultra-Short Income ETF | 433,122,466 | 37,880,654 | — | 471,003,120 |
Ultra-Short Municipal Income ETF | 187,897 | — | 36,976,978 | 37,164,875 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
253 |
AS OF February 28, 2023 (continued)
Ordinary Income* | Net Long-Term Capital Gains | Tax Exempt Income | Total Distributions Paid | |
Core Plus Bond ETF | $3,826,089 | $295,433 | $— | $4,121,522 |
Income ETF | 984,569 | — | — | 984,569 |
International Bond Opportunities ETF | 7,636,751 | — | — | 7,636,751 |
Municipal ETF | 172,844 | 217,354 | 1,363,517 | 1,753,715 |
Short Duration Core Plus ETF | 1,471,354 | 17,709 | — | 1,489,063 |
Ultra-Short Income ETF | 124,373,607 | 299,095 | — | 124,672,702 |
Ultra-Short Municipal Income ETF | 7,072 | — | 5,044,080 | 5,051,152 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Tax exempt income | Unrealized Appreciation (Depreciation) | |
Core Plus Bond ETF | $2,479,221 | $(7,861,230) | $— | $(42,031,763) |
Income ETF | 1,773,156 | (2,453,378) | — | (14,584,649) |
International Bond Opportunities ETF | 3,585,693 | (5,925,547) | — | (27,294,411) |
Municipal ETF | — | (4,224,639) | 1,087,544 | (5,409,517) |
Short Duration Core Plus ETF | 752,058 | (4,129,205) | — | (10,018,892) |
Ultra-Short Income ETF | 78,196,002 | — | — | (143,980,909) |
Ultra-Short Municipal Income ETF | — | (15,555,763) | 5,882,061 | (13,624,563) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Core Plus Bond ETF | $4,248,680 | $3,612,550 |
Income ETF | 2,129,264 | 324,114 |
International Bond Opportunities ETF | 1,218,196 | 4,707,351 |
Municipal ETF | 2,687,809 | 1,536,830 |
Short Duration Core Plus ETF | 3,729,251 | 399,954 |
Ultra-Short Municipal Income ETF | 8,097,767 | 7,457,996 |
254 |
Net Capital Losses (Gains) | Specified Ordinary Losses | ||
Short-Term | Long-Term | ||
Core Plus Bond ETF | $645,515 | $1,099,281 | $174,661 |
Income ETF | 931,969 | 1,826,186 | 1 |
International Bond Opportunities ETF | (120,254) | 2,507,917 | — |
Municipal ETF | 211,373 | 53,428 | — |
Short Duration Core Plus ETF | 233,434 | 3,207,638 | — |
Ultra-Short Income ETF | 3,619,486 | 11,643,452 | — |
Ultra-Short Municipal Income ETF | 762,814 | 1,030,672 | — |
Capital Loss Utilized | ||
Short-Term | Long-Term | |
International Bond Opportunities ETF | $31,785 | $— |
255 |
AS OF February 28, 2023 (continued)
256 |
257 |
AS OF February 28, 2023 (continued)
International Bond Opportunities ETF | Ultra-Short Income ETF | |
Canada | —% | 12.3% |
United Kingdom | 10.5 | — |
258 |
JPMorgan Core Plus Bond ETF (1) | JPMorgan Short Duration Core Plus ETF (3) |
JPMorgan Income ETF (2) | JPMorgan Ultra-Short Income ETF (1) |
JPMorgan International Bond Opportunities ETF (1) | JPMorgan Ultra-Short Municipal Income ETF (1) |
JPMorgan Municipal ETF (1) |
(1) Statements of changes in net assets for the years ended February 28, 2023 and February 28, 2022 |
(2) Statements of changes in net assets for the year ended February 28, 2023 and the period October 28, 2021 (commencement of operations) through February 28, 2022 |
(3) Statements of changes in net assets for the year ended February 28, 2023 and the period March 1, 2021 (commencement of operations) through February 28, 2022 |
259 |
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 178 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 178 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 178 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 178 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 178 | None |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 178 | None |
260 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 178 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 178 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 178 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 178 | None |
Marilyn McCoy (1948); Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 178 | None |
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 178 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
261 |
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 178 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; 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. | 178 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 178 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 178 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | 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. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
262 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2022) (formerly Assistant Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2022) (formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962), Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. 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 & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 263 |
(Unaudited) (continued)
Nektarios E. Manolakakis (1972), Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981), Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
264 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Core Plus Bond ETF | ||||
Actual | $1,000.00 | $986.80 | $1.92 | 0.39% |
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 |
JPMorgan Income ETF | ||||
Actual | 1,000.00 | 1,008.80 | 1.99 | 0.40 |
Hypothetical | 1,000.00 | 1,022.81 | 2.01 | 0.40 |
JPMorgan International Bond Opportunities ETF | ||||
Actual | 1,000.00 | 1,033.70 | 2.52 | 0.50 |
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 |
JPMorgan Municipal ETF | ||||
Actual | 1,000.00 | 1,009.50 | 0.80 | 0.16 |
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 |
JPMorgan Short Duration Core Plus ETF | ||||
Actual | 1,000.00 | 1,005.90 | 1.59 | 0.32 |
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 |
JPMorgan Ultra-Short Income ETF | ||||
Actual | 1,000.00 | 1,018.50 | 0.80 | 0.16 |
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 |
JPMorgan Ultra-Short Municipal Income ETF | ||||
Actual | 1,000.00 | 1,010.60 | 0.80 | 0.16 |
Hypothetical | 1,000.00 | 1,024.00 | 0.80 | 0.16 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 265 |
(Unaudited)
266 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Long-Term Capital Gain Distribution | |
JPMorgan Income ETF | $46,079 |
JPMorgan Ultra-Short Income ETF | 37,880,654 |
Qualified Interest Income | Short-Term Capital Gain | |
JPMorgan Core Plus Bond ETF | $12,399,989 | $— |
JPMorgan Income ETF | 7,021,965 | — |
JPMorgan International Bond Opportunities ETF | 1,331,945 | — |
JPMorgan Short Duration Core Plus ETF | 4,125,633 | — |
JPMorgan Ultra-Short Income ETF | 223,194,077 | 5,744,503 |
Exempt Distributions Paid | |
JPMorgan Municipal ETF | $5,205,525 |
JPMorgan Ultra-Short Municipal Income ETF | 36,976,978 |
Income from U.S. Treasury Obligations | |
JPMorgan Core Plus Bond ETF | 12.1% |
JPMorgan International Bond Opportunities ETF | 0.3 |
JPMorgan Short Duration Core Plus ETF | 13.4 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 267 |
Fund | Ticker | Listing Exchange |
JPMorgan BetaBuilders MSCI US REIT ETF | BBRE | Cboe BZX Exchange, Inc. |
1 | |
2 | |
5 | |
8 | |
12 | |
14 | |
22 | |
23 | |
27 | |
29 | |
30 | |
31 |
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.
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 large creation/redemption units. Brokerage commissions will reduce returns.
April 11, 2023 (Unaudited)
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel |
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 1 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (11.84)% |
Market Price ** | (11.85)% |
MSCI US REIT Custom Capped Index | (11.74)% |
MSCI US REIT Index | (11.74)% |
Net Assets as of 2/28/2023 | $741,364,325 |
Fund Ticker | BBRE |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Prologis, Inc. | 11.3% |
2. | Equinix, Inc. | 6.3 |
3. | Public Storage | 4.7 |
4. | Realty Income Corp. | 4.0 |
5. | Simon Property Group, Inc. | 3.9 |
6. | Welltower, Inc. | 3.5 |
7. | VICI Properties, Inc. | 3.2 |
8. | Digital Realty Trust, Inc. | 3.0 |
9. | AvalonBay Communities, Inc. | 2.4 |
10. | Alexandria Real Estate Equities, Inc. | 2.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Diversified | 17.8% |
Apartments | 17.5 |
Industrial | 16.0 |
Storage | 10.8 |
Health Care | 10.0 |
Office | 6.7 |
Single Tenant | 6.7 |
Shopping Centers | 5.7 |
Regional Malls | 4.4 |
Hotels | 3.6 |
Short-Term Investments | 0.8 |
2 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 3 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders MSCI US REIT ETF | |||
Net Asset Value | June 15, 2018 | (11.84)% | 5.42% |
Market Price | (11.85) | 5.42 |
4 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — 99.5% | ||
Apartments — 17.6% | ||
American Homes 4 Rent, Class A, REIT | 233,754 | 7,251,049 |
Apartment Income REIT Corp., REIT | 110,374 | 4,172,137 |
Apartment Investment and Management Co., Class A, REIT | 111,624 | 837,180 |
AvalonBay Communities, Inc., REIT | 102,996 | 17,768,870 |
Camden Property Trust, REIT | 74,502 | 8,549,850 |
Centerspace, REIT | 11,095 | 694,658 |
Equity LifeStyle Properties, Inc., REIT | 130,165 | 8,917,604 |
Equity Residential, REIT | 264,308 | 16,524,536 |
Essex Property Trust, Inc., REIT | 47,672 | 10,872,076 |
Independence Realty Trust, Inc., REIT | 164,962 | 2,984,163 |
Invitation Homes, Inc., REIT | 450,106 | 14,070,314 |
Mid-America Apartment Communities, Inc., REIT | 85,017 | 13,611,222 |
NexPoint Residential Trust, Inc., REIT | 16,929 | 819,871 |
Sun Communities, Inc., REIT | 91,210 | 13,055,799 |
UDR, Inc., REIT | 239,654 | 10,266,777 |
130,396,106 | ||
Diversified — 17.8% | ||
Alexander & Baldwin, Inc., REIT | 53,403 | 997,034 |
American Assets Trust, Inc., REIT | 37,873 | 955,536 |
Armada Hoffler Properties, Inc., REIT | 49,868 | 639,308 |
Broadstone Net Lease, Inc., REIT | 127,449 | 2,262,220 |
Digital Realty Trust, Inc., REIT | 211,676 | 22,062,990 |
Elme Communities, REIT | 64,426 | 1,198,968 |
EPR Properties, REIT | 55,230 | 2,255,593 |
Equinix, Inc., REIT | 68,131 | 46,892,523 |
Farmland Partners, Inc., REIT | 38,171 | 409,193 |
Gaming and Leisure Properties, Inc., REIT | 189,586 | 10,214,894 |
Gladstone Commercial Corp., REIT | 29,164 | 398,964 |
Gladstone Land Corp., REIT | 24,275 | 427,240 |
Global Net Lease, Inc., REIT | 76,418 | 1,079,022 |
InvenTrust Properties Corp., REIT | 49,638 | 1,200,743 |
iStar, Inc., REIT | 62,852 | 483,960 |
LXP Industrial Trust, REIT | 202,987 | 2,117,154 |
Necessity Retail REIT, Inc. (The), REIT | 98,819 | 677,898 |
One Liberty Properties, Inc., REIT | 12,411 | 281,109 |
Safehold, Inc., REIT | 18,314 | 547,222 |
UMH Properties, Inc., REIT | 38,980 | 663,050 |
VICI Properties, Inc., REIT | 709,018 | 23,773,374 |
WP Carey, Inc., REIT | 153,149 | 12,429,573 |
131,967,568 | ||
Health Care — 10.1% | ||
CareTrust REIT, Inc., REIT | 71,432 | 1,405,068 |
Community Healthcare Trust, Inc., REIT | 17,697 | 685,582 |
INVESTMENTS | SHARES | VALUE($) |
Health Care — continued | ||
Global Medical REIT, Inc., REIT | 45,820 | 460,949 |
Healthcare Realty Trust, Inc., REIT | 280,172 | 5,463,354 |
Healthpeak Properties, Inc., REIT | 395,729 | 9,521,240 |
LTC Properties, Inc., REIT | 29,824 | 1,068,296 |
Medical Properties Trust, Inc., REIT (a) | 440,238 | 4,534,451 |
National Health Investors, Inc., REIT | 31,937 | 1,756,535 |
Omega Healthcare Investors, Inc., REIT | 172,398 | 4,618,542 |
Physicians Realty Trust, REIT | 168,043 | 2,492,078 |
Sabra Health Care REIT, Inc., REIT | 170,040 | 2,025,176 |
Universal Health Realty Income Trust, REIT | 9,653 | 511,802 |
Ventas, Inc., REIT | 294,265 | 14,315,992 |
Welltower, Inc., REIT | 347,866 | 25,783,828 |
74,642,893 | ||
Hotels — 3.6% | ||
Apple Hospitality REIT, Inc., REIT | 159,980 | 2,641,270 |
Chatham Lodging Trust, REIT | 34,134 | 416,776 |
DiamondRock Hospitality Co., REIT | 154,136 | 1,344,066 |
Host Hotels & Resorts, Inc., REIT | 526,389 | 8,843,335 |
Park Hotels & Resorts, Inc., REIT | 165,523 | 2,275,941 |
Pebblebrook Hotel Trust, REIT | 96,794 | 1,381,250 |
RLJ Lodging Trust, REIT | 119,299 | 1,352,851 |
Ryman Hospitality Properties, Inc., REIT | 38,578 | 3,578,881 |
Service Properties Trust, REIT | 121,805 | 1,337,419 |
Summit Hotel Properties, Inc., REIT | 78,696 | 582,350 |
Sunstone Hotel Investors, Inc., REIT | 154,892 | 1,637,209 |
Xenia Hotels & Resorts, Inc., REIT | 83,812 | 1,176,721 |
26,568,069 | ||
Industrial — 16.0% | ||
Americold Realty Trust, Inc., REIT | 198,326 | 5,830,784 |
EastGroup Properties, Inc., REIT | 32,078 | 5,237,375 |
First Industrial Realty Trust, Inc., REIT | 97,275 | 5,131,256 |
Indus Realty Trust, Inc., REIT | 2,998 | 199,457 |
Innovative Industrial Properties, Inc., REIT | 20,590 | 1,820,362 |
Plymouth Industrial REIT, Inc., REIT | 31,550 | 682,427 |
Prologis, Inc., REIT | 679,552 | 83,856,717 |
Rexford Industrial Realty, Inc., REIT | 135,091 | 8,167,602 |
STAG Industrial, Inc., REIT | 131,941 | 4,438,495 |
Terreno Realty Corp., REIT | 56,003 | 3,483,947 |
118,848,422 | ||
Office — 6.7% | ||
Alexandria Real Estate Equities, Inc., REIT | 114,754 | 17,187,854 |
Boston Properties, Inc., REIT | 109,627 | 7,178,376 |
Brandywine Realty Trust, REIT | 126,308 | 743,954 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 5 |
AS OF February 28, 2023 (continued)
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — continued | ||
Office — continued | ||
City Office REIT, Inc., REIT | 29,237 | 247,345 |
Corporate Office Properties Trust, REIT | 82,763 | 2,104,663 |
Cousins Properties, Inc., REIT | 111,485 | 2,730,268 |
Douglas Emmett, Inc., REIT | 129,414 | 1,828,620 |
Easterly Government Properties, Inc., REIT | 63,514 | 959,061 |
Empire State Realty Trust, Inc., Class A, REIT | 100,389 | 731,836 |
Equity Commonwealth, REIT | 80,565 | 1,710,395 |
Highwoods Properties, Inc., REIT | 77,451 | 2,052,451 |
Hudson Pacific Properties, Inc., REIT | 103,742 | 957,539 |
JBG SMITH Properties, REIT | 75,398 | 1,300,615 |
Kilroy Realty Corp., REIT | 77,444 | 2,789,533 |
Office Properties Income Trust, REIT | 35,749 | 587,714 |
Orion Office REIT, Inc., REIT | 41,692 | 356,883 |
Paramount Group, Inc., REIT | 129,468 | 682,296 |
Piedmont Office Realty Trust, Inc., Class A, REIT | 90,845 | 831,232 |
SL Green Realty Corp., REIT | 47,351 | 1,612,302 |
Veris Residential, Inc., REIT * | 56,999 | 919,964 |
Vornado Realty Trust, REIT | 120,029 | 2,374,174 |
49,887,075 | ||
Regional Malls — 4.5% | ||
CBL & Associates Properties, Inc., REIT | 9,376 | 239,557 |
Macerich Co. (The), REIT | 158,125 | 1,889,594 |
Simon Property Group, Inc., REIT | 240,688 | 29,385,598 |
Tanger Factory Outlet Centers, Inc., REIT | 76,814 | 1,451,016 |
32,965,765 | ||
Shopping Centers — 5.7% | ||
Acadia Realty Trust, REIT | 69,901 | 1,018,458 |
Alexander's, Inc., REIT | 1,691 | 370,177 |
Brixmor Property Group, Inc., REIT | 220,791 | 4,998,708 |
Federal Realty Investment Trust, REIT | 53,806 | 5,745,405 |
Kimco Realty Corp., REIT | 455,297 | 9,383,671 |
Kite Realty Group Trust, REIT | 161,303 | 3,503,501 |
NETSTREIT Corp., REIT | 40,400 | 815,676 |
Phillips Edison & Co., Inc., REIT | 86,206 | 2,938,763 |
Regency Centers Corp., REIT | 113,376 | 7,131,350 |
Retail Opportunity Investments Corp., REIT | 91,683 | 1,304,649 |
RPT Realty, REIT | 62,758 | 672,766 |
Saul Centers, Inc., REIT | 10,550 | 414,826 |
SITE Centers Corp., REIT | 140,805 | 1,882,563 |
Urban Edge Properties, REIT | 86,451 | 1,331,345 |
Urstadt Biddle Properties, Inc., Class A, REIT | 21,974 | 380,150 |
Whitestone, REIT | 34,541 | 326,412 |
42,218,420 |
INVESTMENTS | SHARES | VALUE($) |
Single Tenant — 6.7% | ||
Agree Realty Corp., REIT | 65,206 | 4,615,281 |
Essential Properties Realty Trust, Inc., REIT | 104,814 | 2,700,009 |
Four Corners Property Trust, Inc., REIT | 61,757 | 1,676,702 |
Getty Realty Corp., REIT | 29,241 | 1,003,843 |
National Retail Properties, Inc., REIT | 131,585 | 5,963,432 |
Realty Income Corp., REIT | 461,704 | 29,525,971 |
Spirit Realty Capital, Inc., REIT | 102,816 | 4,233,963 |
49,719,201 | ||
Storage — 10.8% | ||
CubeSmart, REIT | 165,331 | 7,768,904 |
Extra Space Storage, Inc., REIT | 98,588 | 16,232,514 |
Iron Mountain, Inc., REIT | 214,023 | 11,289,713 |
Life Storage, Inc., REIT | 62,578 | 7,541,901 |
National Storage Affiliates Trust, REIT | 63,551 | 2,688,207 |
Public Storage, REIT | 116,376 | 34,790,605 |
80,311,844 | ||
Total Common Stocks (Cost $879,062,443) | 737,525,363 | |
Short-Term Investments — 0.8% | ||
Investment Companies — 0.4% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (b) (c) (Cost $2,659,750) | 2,659,750 | 2,659,750 |
Investment of Cash Collateral from Securities Loaned — 0.4% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (b) (c) | 20 | 20 |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (b) (c) | 3,129,388 | 3,129,388 |
Total Investment of Cash Collateral from Securities Loaned (Cost $3,129,408) | 3,129,408 | |
Total Short-Term Investments (Cost $5,789,158) | 5,789,158 | |
Total Investments — 100.3% (Cost $884,851,601) | 743,314,521 | |
Liabilities in Excess of Other Assets — (0.3)% | (1,950,196) | |
NET ASSETS — 100.0% | 741,364,325 |
Percentages indicated are based on net assets. |
6 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Abbreviations | |
REIT | Real Estate Investment Trust |
* | Non-income producing security. |
(a) | The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $2,930,638. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of February 28, 2023. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
DJ US Real Estate Index | 101 | 03/17/2023 | USD | 3,406,730 | 53,588 |
Abbreviations | |
USD | United States Dollar |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 7 |
AS OF February 28, 2023
JPMorgan BetaBuilders MSCI US REIT ETF | |
ASSETS: | |
Investments in non-affiliates, at value | $737,525,363 |
Investments in affiliates, at value | 2,659,750 |
Investments of cash collateral received from securities loaned, at value (See Note 2.B.) | 3,129,408 |
Cash | 24,583 |
Deposits at broker for futures contracts | 482,000 |
Receivables: | |
Investment securities sold | 33,358,536 |
Fund shares sold | 4,297,764 |
Dividends from non-affiliates | 885,922 |
Dividends from affiliates | 323 |
Securities lending income (See Note 2.B.) | 408 |
Total Assets | 782,364,057 |
LIABILITIES: | |
Payables: | |
Investment securities purchased | 7,709,219 |
Collateral received on securities loaned (See Note 2.B.) | 3,129,408 |
Fund shares redeemed | 30,084,348 |
Variation margin on futures contracts | 8,113 |
Accrued liabilities: | |
Management fees (See Note 3.A.) | 68,644 |
Total Liabilities | 40,999,732 |
Net Assets | $741,364,325 |
NET ASSETS: | |
Paid-in-Capital | $939,569,860 |
Total distributable earnings (loss) | (198,205,535) |
Total Net Assets | $741,364,325 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 8,625,000 |
Net asset value, per share | $85.96 |
Cost of investments in non-affiliates | $879,062,443 |
Cost of investments in affiliates | 2,659,750 |
Investment securities on loan, at value (See Note 2.B.) | 2,930,638 |
Cost of investment of cash collateral (See Note 2.B.) | 3,129,408 |
8 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
FOR THE YEAR ENDED February 28, 2023
JPMorgan BetaBuilders MSCI US REIT ETF | |
INVESTMENT INCOME: | |
Interest income from non-affiliates | $10,465 |
Interest income from affiliates | 73 |
Dividend income from non-affiliates | 32,873,363 |
Dividend income from affiliates | 116,137 |
Income from securities lending (net) (See Note 2.B.) | 13,139 |
Total investment income | 33,013,177 |
EXPENSES: | |
Management fees (See Note 3.A.) | 1,152,104 |
Interest expense to non-affiliates | 183 |
Other | 877 |
Total expenses | 1,153,164 |
Net investment income (loss) | 31,860,013 |
REALIZED/UNREALIZED GAINS (LOSSES): | |
Net realized gain (loss) on transactions from: | |
Investments in non-affiliates | (62,958,006) |
In-kind redemptions of investments in non-affiliates (See Note 4) | 85,156,818 |
Futures contracts | (159,726) |
Net realized gain (loss) | 22,039,086 |
Change in net unrealized appreciation/depreciation on: | |
Investments in non-affiliates | (193,360,599) |
Investments in affiliates | 1,100 |
Futures contracts | 69,961 |
Change in net unrealized appreciation/depreciation | (193,289,538) |
Net realized/unrealized gains (losses) | (171,250,452) |
Change in net assets resulting from operations | $(139,390,439) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 9 |
FOR THE PERIODS INDICATED
JPMorgan BetaBuilders MSCI US REIT ETF | ||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $31,860,013 | $28,015,841 |
Net realized gain (loss) | 22,039,086 | 120,936,985 |
Change in net unrealized appreciation/depreciation | (193,289,538) | 136,251,529 |
Change in net assets resulting from operations | (139,390,439) | 285,204,355 |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (24,640,292) | (27,102,001) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | (451,881,328) | 155,051,115 |
NET ASSETS: | ||
Change in net assets | (615,912,059) | 413,153,469 |
Beginning of period | 1,357,276,384 | 944,122,915 |
End of period | $741,364,325 | $1,357,276,384 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $456,973,055 | $741,079,084 |
Cost of shares redeemed | (908,854,383) | (586,027,969) |
Total change in net assets resulting from capital transactions | $(451,881,328) | $155,051,115 |
SHARE TRANSACTIONS: | ||
Issued | 4,900,000 | 8,000,000 |
Redeemed | (9,850,000) | (5,875,000) |
Net increase (decrease) in shares from share transactions | (4,950,000) | 2,125,000 |
10 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 28, 2023 | $99.98 | $2.75 | $(14.63) | $(11.88) | $(2.14) | $— | $(2.14) |
Year Ended February 28, 2022 | 82.46 | 1.93 | 17.48 | 19.41 | (1.89) | — | (1.89) |
Year Ended February 28, 2021 | 82.62 | 2.07 | 0.28(f) | 2.35 | (2.51) | — | (2.51) |
Year Ended February 29, 2020 | 81.21 | 2.55 | 0.80(f) | 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 noted. |
(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) | Calculation of the net realized and unrealized gains (losses) per share does 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. |
(g) | 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. |
(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 net asset value 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. |
12 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | Portfolio turnover rate (c) |
$85.96 | $85.99 | (11.84)% | (11.85)% | $741,364,325 | 0.11% | 3.03% | 0.11% | 8% |
99.98 | 100.02 | 23.55 | 23.45 | 1,357,276,384 | 0.11 | 1.96 | 0.11 | 5 |
82.46 | 82.56 | 3.37 | 3.36 | 944,122,915 | 0.11 | 2.82 | 0.11 | 7 |
82.62 | 82.73 | 4.06 | 4.18 | 1,206,297,493 | 0.11 | 2.88 | 0.16(g) | 5 |
81.21 | 81.22 | 9.40 | 9.41(i) | 136,028,924 | 0.11(j) | 3.37 | 0.40(g)(j) | 5 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 13 |
AS OF February 28, 2023
14 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $743,314,521 | $— | $— | $743,314,521 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts (a) | $53,588 | $— | $— | $53,588 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
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) | |
$2,930,638 | $(2,930,638) | $— |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 15 |
AS OF February 28, 2023 (continued)
$2,057 |
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | $10,994,199 | $123,000,000 | $133,997,609 | $2,330* | $1,100 | $20 | 20 | $85,002 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 2,282,053 | 170,152,496 | 169,305,161 | — | — | 3,129,388 | 3,129,388 | 49,192* | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 11,322,728 | 96,527,196 | 105,190,174 | — | — | 2,659,750 | 2,659,750 | 116,137 | — |
Total | $24,598,980 | $389,679,692 | $408,492,944 | $2,330 | $1,100 | $5,789,158 | $250,331 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
16 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Futures Contracts: | |
Average Notional Balance Long | $5,890,581 |
Ending Notional Balance Long | 3,406,730 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
$80,419,086 | $(297,456) | $(80,121,630) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 17 |
AS OF February 28, 2023 (continued)
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |
$89,678,690 | $191,419,318 |
In-Kind Purchases | In-Kind Sales | |
$451,447,127 | $787,015,487 |
18 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
$889,863,605 | $10,321,523 | $156,817,019 | $(146,495,496) |
Ordinary Income* | Total Distributions Paid | |
$24,640,292 | $24,640,292 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Total Distributions Paid | |
$27,102,001 | $27,102,001 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
$7,345,276 | $(38,834,282) | $(146,495,496) |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
$25,400,113 | $13,434,169 |
Net Capital Losses (Gains) | ||
Short-Term | Long-Term | |
$7,936,103 | $12,275,324 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 19 |
AS OF February 28, 2023 (continued)
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
12.4% | 24.9% |
20 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 21 |
22 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 178 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 178 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 178 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 178 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 178 | None |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 23 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 178 | None |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 178 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 178 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 178 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 178 | None |
Marilyn McCoy (1948); Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 178 | None |
24 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 178 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 178 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; 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. | 178 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 178 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 178 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | 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. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 25 |
(Unaudited) (continued)
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
26 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2022) (formerly Assistant Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2022) (formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962), Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. 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 & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 27 |
(Unaudited) (continued)
Nektarios E. Manolakakis (1972), Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981), Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
28 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan BetaBuilders MSCI US REIT ETF | ||||
Actual | $1,000.00 | $973.10 | $0.54 | 0.11% |
Hypothetical | 1,000.00 | 1,024.25 | 0.55 | 0.11 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 29 |
(Unaudited)
30 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Qualified Business Income | |
JPMorgan BetaBuilders MSCI US REIT ETF | $24,640,292 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 31 |
Fund | Ticker | Listing Exchange |
JPMorgan Inflation Managed Bond ETF | JCPI | Cboe BZX Exchange, Inc. |
JPMorgan Realty Income ETF | JPRE | NYSE Arca |
1 | |
2 | |
3 | |
3 | |
6 | |
9 | |
30 | |
40 | |
42 | |
57 | |
58 | |
61 | |
63 | |
64 | |
65 |
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.
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 1-844-457-6383 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.
April 11, 2023 (Unaudited)
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel |
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 1 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
2 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (6.73)% |
Market Price ** | (6.59)% |
Bloomberg 1-10 Year U.S. TIPS Index | (6.98)% |
Bloomberg U.S. Intermediate Aggregate Index | (7.22)% |
Net Assets as of 2/28/2023 | $904,606,857 |
Duration as of 2/28/2023 | 4.6 Years |
Fund Ticker | JCPI |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 3 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 33.9% |
Corporate Bonds | 25.0 |
Asset-Backed Securities | 11.4 |
Commercial Mortgage-Backed Securities | 11.3 |
Mortgage-Backed Securities | 8.9 |
Collateralized Mortgage Obligations | 5.9 |
U.S. Government Agency Securities | 1.5 |
Others (each less than 1.0%) | 0.3 |
Short-Term Investments | 1.8 |
4 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Inflation Managed Bond ETF | ||||
Net Asset Value | November 30, 2010* | (6.73)% | 1.98% | 1.22% |
Market Price | (6.59) | 2.01 | 1.24 |
* | Inception date for Class R6 Shares of the Predecessor Fund (as defined below). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 5 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (13.43)% |
Market Price ** | (13.31)% |
MSCI US REIT Index | (11.74)% |
Net Assets as of 2/28/2023 | $509,554,235 |
Fund Ticker | JPRE |
6 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TOP TEN HOLDINGS OF THE PORTFOLIO AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS | |
1. | Prologis, Inc. | 15.0% |
2. | Equinix, Inc. | 7.9 |
3. | Realty Income Corp. | 7.1 |
4. | Ventas, Inc. | 5.0 |
5. | Sun Communities, Inc. | 4.9 |
6. | Public Storage | 4.1 |
7. | WP Carey, Inc. | 4.1 |
8. | UDR, Inc. | 4.0 |
9. | Welltower, Inc. | 3.8 |
10. | Alexandria Real Estate Equities, Inc. | 3.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Apartments | 20.3% |
Industrial | 19.7 |
Diversified | 16.3 |
Health Care | 12.3 |
Single Tenant | 7.1 |
Shopping Centers | 6.3 |
Storage | 5.7 |
Office | 4.1 |
Hotels | 2.6 |
Regional Malls | 1.2 |
Real Estate Management & Development | 0.2 |
Short-Term Investments | 4.2 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 7 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | 5 YEAR | 10 YEAR | |
JPMorgan Realty Income ETF | ||||
Net Asset Value | May 15, 2006* | (13.43)% | 7.86% | 6.41% |
Market Price | (13.31) | 7.89 | 6.42 |
* | Inception date for Class R5 Shares of the predecessor Fund (as defined below). |
8 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 34.0% | ||
U.S. Treasury Inflation Indexed Notes | ||
0.25%, 1/15/2025 (a) | 72,431,783 | 70,092,605 |
0.63%, 1/15/2026 | 69,837,871 | 67,416,052 |
0.13%, 4/15/2027 | 77,776,598 | 72,686,180 |
0.38%, 7/15/2027 | 47,751,028 | 45,194,203 |
0.25%, 7/15/2029 | 6,464,728 | 5,962,869 |
0.13%, 1/15/2032 | 2,357,017 | 2,081,756 |
0.63%, 7/15/2032 | 32,610,685 | 30,143,865 |
U.S. Treasury Inflation Linked Notes 1.63%, 10/15/2027 | 12,453,866 | 12,447,420 |
U.S. Treasury Notes 0.25%, 8/31/2025 | 1,961,800 | 1,761,942 |
Total U.S. Treasury Obligations (Cost $315,266,167) | 307,786,892 | |
Corporate Bonds — 25.1% | ||
Aerospace & Defense — 0.8% | ||
BAE Systems plc (United Kingdom) 3.40%, 4/15/2030 (b) | 1,000,000 | 890,526 |
Boeing Co. (The) | ||
2.75%, 2/1/2026 | 1,180,000 | 1,093,628 |
2.20%, 2/4/2026 | 1,082,000 | 982,835 |
3.10%, 5/1/2026 | 1,359,000 | 1,265,228 |
L3Harris Technologies, Inc. | ||
3.85%, 12/15/2026 | 485,000 | 463,320 |
4.85%, 4/27/2035 | 500,000 | 474,590 |
Leidos, Inc. 2.30%, 2/15/2031 | 1,055,000 | 822,530 |
Northrop Grumman Corp. 2.93%, 1/15/2025 | 50,000 | 47,866 |
Raytheon Technologies Corp. 3.15%, 12/15/2024 | 476,000 | 458,310 |
Textron, Inc. 3.00%, 6/1/2030 | 1,099,000 | 953,958 |
7,452,791 | ||
Airlines — 0.0% ^ | ||
Continental Airlines Pass-Through Trust Series 2012-2, Class A Shares, 4.00%, 10/29/2024 | 159,533 | 153,646 |
Auto Components — 0.0% ^ | ||
Lear Corp. 2.60%, 1/15/2032 | 222,000 | 167,835 |
Automobiles — 0.7% | ||
General Motors Co. 6.13%, 10/1/2025 | 706,000 | 713,567 |
Honda Motor Co. Ltd. (Japan) 2.53%, 3/10/2027 | 50,000 | 45,883 |
Hyundai Capital America | ||
0.80%, 1/8/2024 (b) | 50,000 | 47,982 |
3.00%, 2/10/2027 (b) | 1,321,000 | 1,207,938 |
2.38%, 10/15/2027 (b) | 479,000 | 418,070 |
1.80%, 1/10/2028 (b) | 308,000 | 258,202 |
Mercedes-Benz Finance North America LLC (Germany) 2.13%, 3/10/2025 (b) | 1,250,000 | 1,172,975 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Automobiles — continued | ||
Nissan Motor Co. Ltd. (Japan) | ||
4.35%, 9/17/2027 (b) | 800,000 | 729,239 |
4.81%, 9/17/2030 (b) | 800,000 | 694,096 |
Stellantis Finance US, Inc. 2.69%, 9/15/2031 (b) | 378,000 | 297,193 |
Volkswagen Group of America Finance LLC (Germany) 1.63%, 11/24/2027 (b) | 621,000 | 525,402 |
6,110,547 | ||
Banks — 5.5% | ||
ABN AMRO Bank NV (Netherlands) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.47%, 12/13/2029 (b) (c) | 1,000,000 | 833,447 |
Australia & New Zealand Banking Group Ltd. (Australia) 4.40%, 5/19/2026 (b) (d) | 1,000,000 | 958,101 |
Banco Santander SA (Spain) | ||
5.15%, 8/18/2025 | 200,000 | 197,518 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.72%, 9/14/2027 (c) | 200,000 | 172,367 |
2.75%, 12/3/2030 | 600,000 | 468,773 |
Bank of America Corp. | ||
4.00%, 1/22/2025 | 1,130,000 | 1,100,871 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | 21,000 | 19,049 |
Series N, (SOFR + 0.91%), 1.66%, 3/11/2027 (c) | 1,502,000 | 1,337,556 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (c) | 250,000 | 220,195 |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (c) | 2,127,000 | 1,996,292 |
(SOFR + 1.53%), 1.90%, 7/23/2031 (c) | 3,035,000 | 2,365,463 |
Bank of Ireland Group plc (Ireland) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.03%, 9/30/2027 (b) (c) | 1,125,000 | 976,198 |
Bank of Montreal (Canada) | ||
2.65%, 3/8/2027 | 40,000 | 36,447 |
(USD Swap Semi 5 Year + 1.28%), 4.34%, 10/5/2028 (c) (d) | 784,000 | 771,785 |
Bank of New Zealand (New Zealand) 3.50%, 2/20/2024 (b) | 830,000 | 814,665 |
Barclays plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.61%), 3.93%, 5/7/2025 (c) | 1,255,000 | 1,221,513 |
BNP Paribas SA (France) | ||
(ICE LIBOR USD 3 Month + 2.24%), 4.70%, 1/10/2025 (b) (c) | 500,000 | 494,777 |
(SOFR + 2.07%), 2.22%, 6/9/2026 (b) (c) | 800,000 | 738,884 |
Citigroup, Inc. | ||
(SOFR + 0.77%), 1.12%, 1/28/2027 (c) | 3,450,000 | 3,031,377 |
4.45%, 9/29/2027 | 734,000 | 700,972 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 9 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(ICE LIBOR USD 3 Month + 1.56%), 3.89%, 1/10/2028 (c) | 90,000 | 84,565 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | 948,000 | 779,920 |
Citizens Financial Group, Inc. 2.64%, 9/30/2032 | 500,000 | 380,886 |
Commonwealth Bank of Australia (Australia) 2.30%, 3/14/2025 (b) | 40,000 | 37,775 |
Cooperatieve Rabobank UA (Netherlands) | ||
2.63%, 7/22/2024 (b) | 250,000 | 240,524 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.73%), 1.98%, 12/15/2027 (b) (c) | 1,000,000 | 871,295 |
Credit Agricole SA (France) | ||
(SOFR + 1.68%), 1.91%, 6/16/2026 (b) (c) | 1,500,000 | 1,376,487 |
(SOFR + 0.89%), 1.25%, 1/26/2027 (b) (c) | 1,124,000 | 992,029 |
Danske Bank A/S (Denmark) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.10%), 6.47%, 1/9/2026 (b) (c) | 407,000 | 409,502 |
Discover Bank | ||
2.45%, 9/12/2024 | 900,000 | 856,131 |
3.45%, 7/27/2026 | 447,000 | 416,138 |
DNB Bank ASA (Norway) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.68%), 1.60%, 3/30/2028 (b) (c) | 1,450,000 | 1,238,848 |
Fifth Third Bank NA 2.25%, 2/1/2027 | 250,000 | 224,938 |
HSBC Holdings plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 0.99%), 3.95%, 5/18/2024 (c) | 1,400,000 | 1,393,788 |
(ICE LIBOR USD 3 Month + 1.35%), 4.29%, 9/12/2026 (c) | 1,250,000 | 1,203,311 |
(SOFR + 1.73%), 2.01%, 9/22/2028 (c) | 300,000 | 253,955 |
(ICE LIBOR USD 3 Month + 1.61%), 3.97%, 5/22/2030 (c) | 640,000 | 573,436 |
(SOFR + 2.39%), 2.85%, 6/4/2031 (c) | 1,141,000 | 938,643 |
Huntington Bancshares, Inc. (SOFR + 2.05%), 5.02%, 5/17/2033 (c) | 1,202,000 | 1,151,307 |
ING Groep NV (Netherlands) | ||
(SOFR + 1.01%), 1.73%, 4/1/2027 (c) | 480,000 | 426,055 |
4.55%, 10/2/2028 | 406,000 | 387,663 |
KeyBank NA 3.30%, 6/1/2025 | 250,000 | 239,319 |
KeyCorp (SOFR + 1.25%), 3.88%, 5/23/2025 (c) | 184,000 | 180,023 |
Lloyds Banking Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 2.44%, 2/5/2026 (c) | 550,000 | 515,704 |
3.75%, 1/11/2027 | 869,000 | 809,928 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Mitsubishi UFJ Financial Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.83%), 2.34%, 1/19/2028 (c) | 1,050,000 | 930,663 |
Mizuho Financial Group Cayman 3 Ltd. (Japan) 4.60%, 3/27/2024 (b) (d) | 1,000,000 | 985,272 |
National Australia Bank Ltd. (Australia) 2.33%, 8/21/2030 (b) (d) | 250,000 | 194,683 |
NatWest Group plc (United Kingdom) | ||
(ICE LIBOR USD 3 Month + 1.55%), 4.52%, 6/25/2024 (c) | 1,000,000 | 994,606 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (c) | 286,000 | 250,987 |
(ICE LIBOR USD 3 Month + 1.75%), 4.89%, 5/18/2029 (c) | 620,000 | 592,647 |
NatWest Markets plc (United Kingdom) 0.80%, 8/12/2024 (b) | 777,000 | 723,845 |
PNC Financial Services Group, Inc. (The) (SOFR + 1.09%), 4.76%, 1/26/2027 (c) | 845,000 | 832,332 |
Santander UK Group Holdings plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.25%), 1.53%, 8/21/2026 (c) | 200,000 | 178,721 |
(SOFR + 2.60%), 6.53%, 1/10/2029 (c) | 1,000,000 | 1,012,223 |
Societe Generale SA (France) | ||
2.63%, 1/22/2025 (b) | 1,200,000 | 1,130,872 |
4.25%, 4/14/2025 (b) | 400,000 | 383,503 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.00%), 1.79%, 6/9/2027 (b) (c) | 937,000 | 818,789 |
Sumitomo Mitsui Financial Group, Inc. (Japan) 2.70%, 7/16/2024 | 2,182,000 | 2,100,247 |
Toronto-Dominion Bank (The) (Canada) 1.15%, 6/12/2025 | 40,000 | 36,502 |
Truist Bank 3.30%, 5/15/2026 | 200,000 | 187,361 |
UniCredit SpA (Italy) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.20%), 1.98%, 6/3/2027 (b) (c) | 835,000 | 728,202 |
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (b) (c) | 600,000 | 544,535 |
Wachovia Corp. 7.57%, 8/1/2026 (e) | 452,000 | 478,650 |
Wells Fargo & Co. | ||
(SOFR + 1.09%), 2.41%, 10/30/2025 (c) | 1,196,000 | 1,134,421 |
10 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c) | 1,015,000 | 864,895 |
Westpac Banking Corp. (Australia) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | 540,000 | 502,000 |
50,044,376 | ||
Beverages — 0.1% | ||
Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026 | 657,000 | 629,298 |
Constellation Brands, Inc. | ||
3.15%, 8/1/2029 | 420,000 | 368,388 |
2.88%, 5/1/2030 | 119,000 | 101,064 |
1,098,750 | ||
Biotechnology — 0.4% | ||
AbbVie, Inc. | ||
3.85%, 6/15/2024 | 1,276,000 | 1,252,021 |
2.95%, 11/21/2026 | 1,947,000 | 1,796,823 |
Amgen, Inc. 5.25%, 3/2/2030 (f) | 633,000 | 629,913 |
Gilead Sciences, Inc. 3.50%, 2/1/2025 | 35,000 | 33,902 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 431,000 | 335,557 |
4,048,216 | ||
Capital Markets — 2.1% | ||
Blackstone Secured Lending Fund 3.65%, 7/14/2023 | 622,000 | 617,254 |
Brookfield Finance, Inc. (Canada) 4.25%, 6/2/2026 | 834,000 | 802,797 |
Credit Suisse AG (Switzerland) 3.63%, 9/9/2024 | 1,920,000 | 1,814,769 |
Credit Suisse Group AG (Switzerland) | ||
3.80%, 6/9/2023 | 250,000 | 247,000 |
(SOFR + 2.04%), 2.19%, 6/5/2026 (b) (c) | 250,000 | 215,333 |
(SOFR + 1.73%), 3.09%, 5/14/2032 (b) (c) | 378,000 | 265,974 |
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 360,000 | 351,901 |
(SOFR + 1.32%), 2.55%, 1/7/2028 (c) | 700,000 | 609,039 |
(SOFR + 1.72%), 3.04%, 5/28/2032 (c) | 626,000 | 493,176 |
Goldman Sachs Group, Inc. (The) | ||
(SOFR + 0.57%), 0.68%, 3/8/2024 (c) | 398,000 | 396,805 |
4.25%, 10/21/2025 | 1,135,000 | 1,099,400 |
3.50%, 11/16/2026 | 1,835,000 | 1,722,507 |
(ICE LIBOR USD 3 Month + 1.51%), 3.69%, 6/5/2028 (c) | 1,125,000 | 1,044,968 |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (c) | 500,000 | 468,088 |
(SOFR + 1.09%), 1.99%, 1/27/2032 (c) | 784,000 | 602,359 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
Invesco Finance plc 3.75%, 1/15/2026 | 436,000 | 420,910 |
Macquarie Group Ltd. (Australia) (ICE LIBOR USD 3 Month + 1.75%), 5.03%, 1/15/2030 (b) (c) | 200,000 | 194,978 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | 40,000 | 37,282 |
4.35%, 9/8/2026 | 3,903,000 | 3,752,748 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (c) | 110,000 | 84,022 |
Nomura Holdings, Inc. (Japan) | ||
2.33%, 1/22/2027 | 1,200,000 | 1,060,900 |
2.68%, 7/16/2030 | 453,000 | 367,945 |
S&P Global, Inc. 4.25%, 5/1/2029 (b) | 346,000 | 328,367 |
UBS Group AG (Switzerland) | ||
4.13%, 9/24/2025 (b) | 200,000 | 193,547 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.05%), 4.70%, 8/5/2027 (b) (c) | 437,000 | 423,038 |
(ICE LIBOR USD 3 Month + 1.47%), 3.13%, 8/13/2030 (b) (c) | 449,000 | 384,217 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.10%), 2.75%, 2/11/2033 (b) (c) | 750,000 | 589,395 |
18,588,719 | ||
Chemicals — 0.3% | ||
Albemarle Corp. 5.05%, 6/1/2032 | 812,000 | 771,810 |
International Flavors & Fragrances, Inc. 1.83%, 10/15/2027 (b) | 310,000 | 259,537 |
Nutrien Ltd. (Canada) 2.95%, 5/13/2030 | 240,000 | 204,836 |
RPM International, Inc. 2.95%, 1/15/2032 | 238,000 | 187,526 |
Westlake Corp. 3.60%, 8/15/2026 | 1,152,000 | 1,083,942 |
2,507,651 | ||
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 175,000 | 144,835 |
2.35%, 1/15/2032 | 708,000 | 540,742 |
685,577 | ||
Construction Materials — 0.0% ^ | ||
Martin Marietta Materials, Inc. Series CB, 2.50%, 3/15/2030 | 40,000 | 33,075 |
Consumer Finance — 1.7% | ||
AerCap Ireland Capital DAC (Ireland) | ||
4.50%, 9/15/2023 | 234,000 | 232,385 |
2.88%, 8/14/2024 | 700,000 | 665,621 |
4.45%, 10/1/2025 | 800,000 | 768,584 |
2.45%, 10/29/2026 | 1,404,000 | 1,237,727 |
3.00%, 10/29/2028 | 1,235,000 | 1,052,359 |
American Express Co. 2.50%, 7/30/2024 | 440,000 | 423,302 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 11 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Consumer Finance — continued | ||
Avolon Holdings Funding Ltd. (Ireland) | ||
5.25%, 5/15/2024 (b) | 834,000 | 820,711 |
3.95%, 7/1/2024 (b) | 680,000 | 657,540 |
5.50%, 1/15/2026 (b) | 400,000 | 387,074 |
2.13%, 2/21/2026 (b) | 864,000 | 756,839 |
4.25%, 4/15/2026 (b) | 1,090,000 | 1,011,515 |
4.38%, 5/1/2026 (b) | 1,407,000 | 1,308,911 |
2.53%, 11/18/2027 (b) | 3,567,000 | 2,972,120 |
Capital One Financial Corp. | ||
(SOFR + 1.37%), 4.17%, 5/9/2025 (c) | 646,000 | 631,521 |
(SOFR + 1.27%), 2.62%, 11/2/2032 (c) | 1,097,000 | 850,769 |
General Motors Financial Co., Inc. | ||
1.20%, 10/15/2024 | 480,000 | 446,142 |
2.35%, 1/8/2031 | 1,404,000 | 1,078,401 |
Park Aerospace Holdings Ltd. (Ireland) 5.50%, 2/15/2024 (b) | 392,000 | 387,322 |
15,688,843 | ||
Containers & Packaging — 0.1% | ||
Graphic Packaging International LLC 1.51%, 4/15/2026 (b) | 513,000 | 448,325 |
Packaging Corp. of America 3.00%, 12/15/2029 | 320,000 | 275,152 |
WRKCo, Inc. 4.90%, 3/15/2029 | 150,000 | 143,871 |
867,348 | ||
Diversified Financial Services — 0.3% | ||
LSEGA Financing plc (United Kingdom) 2.00%, 4/6/2028 (b) | 1,700,000 | 1,452,207 |
Mitsubishi HC Capital, Inc. (Japan) 3.96%, 9/19/2023 (b) | 820,000 | 811,029 |
2,263,236 | ||
Diversified Telecommunication Services — 0.5% | ||
AT&T, Inc. 1.65%, 2/1/2028 | 1,951,000 | 1,657,487 |
NBN Co. Ltd. (Australia) 2.63%, 5/5/2031 (b) | 1,300,000 | 1,056,607 |
Verizon Communications, Inc. | ||
2.63%, 8/15/2026 | 1,963,000 | 1,802,796 |
1.68%, 10/30/2030 | 70,000 | 54,171 |
4,571,061 | ||
Electric Utilities — 1.7% | ||
American Electric Power Co., Inc. 2.03%, 3/15/2024 | 305,000 | 293,754 |
Arizona Public Service Co. 3.35%, 6/15/2024 | 372,000 | 360,988 |
Atlantic City Electric Co. 4.00%, 10/15/2028 | 20,000 | 18,795 |
CenterPoint Energy Houston Electric LLC Series AA, 3.00%, 2/1/2027 | 10,000 | 9,380 |
Cleveland Electric Illuminating Co. (The) | ||
5.50%, 8/15/2024 | 10,000 | 9,956 |
3.50%, 4/1/2028 (b) | 476,000 | 435,380 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
4.55%, 11/15/2030 (b) | 290,000 | 274,131 |
Connecticut Light and Power Co. (The) Series A, 3.20%, 3/15/2027 | 20,000 | 18,781 |
Duke Energy Carolinas LLC 6.45%, 10/15/2032 | 50,000 | 53,886 |
Duquesne Light Holdings, Inc. | ||
2.53%, 10/1/2030 (b) | 421,000 | 334,685 |
2.78%, 1/7/2032 (b) | 254,000 | 199,770 |
Edison International 3.55%, 11/15/2024 | 1,112,000 | 1,073,049 |
Entergy Arkansas LLC | ||
3.05%, 6/1/2023 | 749,000 | 744,303 |
3.50%, 4/1/2026 | 262,000 | 249,635 |
Entergy Mississippi LLC 2.85%, 6/1/2028 | 261,000 | 234,485 |
Evergy, Inc. 2.90%, 9/15/2029 | 368,000 | 314,967 |
Fells Point Funding Trust 3.05%, 1/31/2027 (b) | 1,324,000 | 1,206,405 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 591,000 | 548,760 |
Indiana Michigan Power Co. Series J, 3.20%, 3/15/2023 | 100,000 | 99,926 |
Interstate Power and Light Co. 4.10%, 9/26/2028 | 30,000 | 28,688 |
ITC Holdings Corp. 2.95%, 5/14/2030 (b) | 251,000 | 214,129 |
Jersey Central Power & Light Co. 2.75%, 3/1/2032 (b) | 288,000 | 235,157 |
Kentucky Utilities Co. 3.30%, 10/1/2025 | 200,000 | 189,716 |
NextEra Energy Capital Holdings, Inc. 2.25%, 6/1/2030 | 200,000 | 161,799 |
Niagara Mohawk Power Corp. 3.51%, 10/1/2024 (b) | 922,000 | 888,553 |
NRG Energy, Inc. 2.45%, 12/2/2027 (b) | 465,000 | 392,042 |
OGE Energy Corp. 0.70%, 5/26/2023 | 208,000 | 205,720 |
Oncor Electric Delivery Co. LLC 5.75%, 3/15/2029 | 300,000 | 309,930 |
Pacific Gas and Electric Co. | ||
2.95%, 3/1/2026 | 1,276,000 | 1,172,035 |
4.55%, 7/1/2030 | 1,176,999 | 1,062,855 |
Pennsylvania Electric Co. 3.25%, 3/15/2028 (b) | 256,000 | 231,508 |
PG&E Recovery Funding LLC Series A-1, 5.05%, 7/15/2032 | 1,138,000 | 1,126,375 |
PG&E Wildfire Recovery Funding LLC Series A-2, 4.26%, 6/1/2036 | 1,106,000 | 1,024,664 |
SCE Recovery Funding LLC Series A-2, 1.94%, 5/15/2038 | 285,000 | 200,783 |
Southern Co. (The) Series 21-B, 1.75%, 3/15/2028 | 500,000 | 420,181 |
Southwestern Electric Power Co. Series M, 4.10%, 9/15/2028 | 10,000 | 9,459 |
12 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Virginia Electric and Power Co. Series A, 3.50%, 3/15/2027 | 10,000 | 9,414 |
Vistra Operations Co. LLC 4.88%, 5/13/2024 (b) | 1,068,000 | 1,046,544 |
15,410,588 | ||
Electrical Equipment — 0.0% ^ | ||
Eaton Corp. 3.10%, 9/15/2027 | 50,000 | 46,166 |
Electronic Equipment, Instruments & Components — 0.1% | ||
Arrow Electronics, Inc. 3.88%, 1/12/2028 | 950,000 | 870,189 |
Energy Equipment & Services — 0.0% ^ | ||
Halliburton Co. 2.92%, 3/1/2030 | 200,000 | 172,868 |
Schlumberger Holdings Corp. 3.90%, 5/17/2028 (b) | 39,000 | 36,644 |
209,512 | ||
Entertainment — 0.1% | ||
Walt Disney Co. (The) 7.43%, 10/1/2026 | 660,000 | 708,999 |
Equity Real Estate Investment Trusts (REITs) — 2.3% | ||
Alexandria Real Estate Equities, Inc. | ||
3.95%, 1/15/2027 | 285,000 | 272,178 |
3.38%, 8/15/2031 | 745,000 | 653,605 |
American Tower Corp. | ||
1.45%, 9/15/2026 | 2,058,000 | 1,789,459 |
1.50%, 1/31/2028 | 545,000 | 449,664 |
AvalonBay Communities, Inc. 3.35%, 5/15/2027 | 253,000 | 235,428 |
Brixmor Operating Partnership LP | ||
3.85%, 2/1/2025 | 375,000 | 359,512 |
2.25%, 4/1/2028 | 186,000 | 156,307 |
2.50%, 8/16/2031 | 450,000 | 349,750 |
Corporate Office Properties LP 2.00%, 1/15/2029 | 257,000 | 197,834 |
Crown Castle, Inc. 4.45%, 2/15/2026 | 1,176,000 | 1,143,438 |
Equinix, Inc. 2.90%, 11/18/2026 | 1,213,000 | 1,107,320 |
Essex Portfolio LP 1.65%, 1/15/2031 | 549,000 | 412,909 |
Extra Space Storage LP 2.35%, 3/15/2032 | 1,055,000 | 807,840 |
Goodman US Finance Three LLC (Australia) 3.70%, 3/15/2028 (b) | 163,000 | 146,446 |
Healthcare Realty Holdings LP | ||
3.10%, 2/15/2030 | 269,000 | 229,116 |
2.00%, 3/15/2031 | 681,000 | 519,615 |
Healthpeak Properties Interim, Inc. 2.13%, 12/1/2028 | 310,000 | 262,118 |
Kilroy Realty LP 2.65%, 11/15/2033 | 874,000 | 599,621 |
Life Storage LP | ||
2.20%, 10/15/2030 | 682,000 | 543,807 |
2.40%, 10/15/2031 | 476,000 | 376,728 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Equity Real Estate Investment Trusts (REITs) — continued | ||
Mid-America Apartments LP 1.70%, 2/15/2031 | 447,000 | 348,972 |
National Retail Properties, Inc. | ||
3.60%, 12/15/2026 | 247,000 | 229,699 |
4.30%, 10/15/2028 | 622,000 | 580,815 |
Office Properties Income Trust | ||
2.65%, 6/15/2026 | 218,000 | 172,597 |
2.40%, 2/1/2027 | 754,000 | 557,231 |
3.45%, 10/15/2031 | 466,000 | 311,048 |
Physicians Realty LP 2.63%, 11/1/2031 | 469,000 | 374,494 |
Public Storage 2.25%, 11/9/2031 | 515,000 | 414,527 |
Regency Centers LP | ||
2.95%, 9/15/2029 | 678,000 | 570,752 |
3.70%, 6/15/2030 | 400,000 | 353,804 |
Sabra Health Care LP 3.20%, 12/1/2031 | 702,000 | 521,569 |
Safehold Operating Partnership LP 2.80%, 6/15/2031 | 1,070,000 | 823,983 |
Scentre Group Trust 1 (Australia) 3.50%, 2/12/2025 (b) | 400,000 | 382,686 |
SITE Centers Corp. 3.63%, 2/1/2025 | 100,000 | 94,885 |
UDR, Inc. | ||
2.95%, 9/1/2026 | 106,000 | 97,397 |
3.50%, 1/15/2028 | 315,000 | 290,533 |
3.20%, 1/15/2030 | 260,000 | 227,847 |
2.10%, 8/1/2032 | 306,000 | 230,513 |
2.10%, 6/15/2033 | 400,000 | 291,555 |
Ventas Realty LP | ||
3.75%, 5/1/2024 | 462,000 | 451,828 |
3.50%, 2/1/2025 | 110,000 | 105,616 |
4.13%, 1/15/2026 | 45,000 | 43,314 |
3.25%, 10/15/2026 | 355,000 | 326,940 |
Welltower OP LLC | ||
4.50%, 1/15/2024 | 884,000 | 876,206 |
2.75%, 1/15/2032 | 656,000 | 523,890 |
WP Carey, Inc. | ||
2.40%, 2/1/2031 | 335,000 | 270,072 |
2.25%, 4/1/2033 | 1,407,000 | 1,058,835 |
21,144,303 | ||
Food & Staples Retailing — 0.1% | ||
7-Eleven, Inc. 1.80%, 2/10/2031 (b) | 1,093,000 | 839,150 |
Food Products — 0.2% | ||
Cargill, Inc. 2.13%, 4/23/2030 (b) | 400,000 | 329,258 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 89,000 | 86,440 |
Smithfield Foods, Inc. 5.20%, 4/1/2029 (b) | 628,000 | 573,832 |
Tyson Foods, Inc. 3.90%, 9/28/2023 | 500,000 | 495,599 |
1,485,129 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 13 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Gas Utilities — 0.0% ^ | ||
Eastern Energy Gas Holdings LLC Series A, 2.50%, 11/15/2024 | 50,000 | 47,705 |
ONE Gas, Inc. 2.00%, 5/15/2030 | 248,000 | 202,463 |
250,168 | ||
Health Care Equipment & Supplies — 0.0% ^ | ||
Abbott Laboratories 3.88%, 9/15/2025 | 50,000 | 48,507 |
Becton Dickinson and Co. 3.36%, 6/6/2024 | 46,000 | 44,824 |
93,331 | ||
Health Care Providers & Services — 0.5% | ||
CommonSpirit Health | ||
3.35%, 10/1/2029 | 717,000 | 622,205 |
2.78%, 10/1/2030 | 623,000 | 521,822 |
CVS Health Corp. 1.88%, 2/28/2031 | 683,000 | 530,455 |
HCA, Inc. | ||
5.25%, 6/15/2026 | 20,000 | 19,687 |
4.13%, 6/15/2029 | 1,718,000 | 1,563,834 |
Humana, Inc. 3.95%, 3/15/2027 | 704,000 | 673,015 |
Quest Diagnostics, Inc. | ||
2.95%, 6/30/2030 | 93,000 | 80,260 |
2.80%, 6/30/2031 | 689,000 | 577,964 |
UnitedHealth Group, Inc. 3.38%, 4/15/2027 | 20,000 | 18,851 |
4,608,093 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 1,479,000 | 1,247,070 |
Household Products — 0.0% ^ | ||
Kimberly-Clark Corp. 2.40%, 6/1/2023 | 20,000 | 19,860 |
Insurance — 1.1% | ||
AIA Group Ltd. (Hong Kong) | ||
3.60%, 4/9/2029 (b) | 595,000 | 545,193 |
3.38%, 4/7/2030 (b) | 200,000 | 180,288 |
American International Group, Inc. 3.90%, 4/1/2026 | 210,000 | 201,395 |
Assurant, Inc. 4.20%, 9/27/2023 | 23,000 | 22,802 |
Athene Global Funding | ||
2.75%, 6/25/2024 (b) | 622,000 | 592,473 |
2.72%, 1/7/2029 (b) | 1,099,000 | 923,870 |
Brighthouse Financial Global Funding 1.00%, 4/12/2024 (b) | 528,000 | 498,458 |
CNA Financial Corp. 3.95%, 5/15/2024 | 499,000 | 490,264 |
CNO Global Funding | ||
1.75%, 10/7/2026 (b) | 531,000 | 467,132 |
2.65%, 1/6/2029 (b) | 400,000 | 341,747 |
F&G Global Funding 2.30%, 4/11/2027 (b) | 1,062,000 | 930,900 |
Guardian Life Global Funding | ||
3.40%, 4/25/2023 (b) | 230,000 | 229,438 |
0.88%, 12/10/2025 (b) | 784,000 | 691,108 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Insurance — continued | ||
Jackson National Life Global Funding 3.05%, 4/29/2026 (b) | 1,114,000 | 1,030,495 |
Liberty Mutual Group, Inc. | ||
4.25%, 6/15/2023 (b) | 210,000 | 209,035 |
4.57%, 2/1/2029 (b) | 1,045,000 | 988,797 |
Manulife Financial Corp. (Canada) 4.15%, 3/4/2026 | 449,000 | 437,214 |
Marsh & McLennan Cos., Inc. 3.88%, 3/15/2024 | 30,000 | 29,496 |
Principal Financial Group, Inc. | ||
3.10%, 11/15/2026 | 20,000 | 18,484 |
3.70%, 5/15/2029 | 30,000 | 27,872 |
Prudential Insurance Co. of America (The) 8.30%, 7/1/2025 (b) | 650,000 | 681,034 |
9,537,495 | ||
Internet & Direct Marketing Retail — 0.0% ^ | ||
eBay, Inc. 2.60%, 5/10/2031 | 50,000 | 41,067 |
IT Services — 0.1% | ||
Global Payments, Inc. | ||
2.15%, 1/15/2027 | 763,000 | 668,623 |
3.20%, 8/15/2029 | 656,000 | 557,772 |
1,226,395 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 874,000 | 770,498 |
Media — 0.7% | ||
Charter Communications Operating LLC 4.91%, 7/23/2025 | 1,658,000 | 1,622,362 |
Comcast Corp. | ||
3.70%, 4/15/2024 | 1,015,000 | 996,739 |
4.15%, 10/15/2028 | 1,142,000 | 1,091,835 |
Discovery Communications LLC 3.95%, 3/20/2028 | 934,000 | 852,958 |
Grupo Televisa SAB (Mexico) 4.63%, 1/30/2026 | 285,000 | 275,702 |
Paramount Global 2.90%, 1/15/2027 | 539,000 | 488,244 |
Time Warner Cable Enterprises LLC 8.38%, 7/15/2033 | 492,000 | 552,603 |
5,880,443 | ||
Metals & Mining — 0.1% | ||
Glencore Funding LLC (Australia) | ||
2.50%, 9/1/2030 (b) | 530,000 | 429,468 |
2.85%, 4/27/2031 (b) | 400,000 | 327,266 |
Steel Dynamics, Inc. 1.65%, 10/15/2027 | 374,000 | 314,433 |
1,071,167 | ||
Multi-Utilities — 0.2% | ||
CenterPoint Energy, Inc. 1.45%, 6/1/2026 | 288,000 | 255,016 |
14 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
CMS Energy Corp. 2.95%, 2/15/2027 | 170,000 | 154,305 |
Consolidated Edison Co. of New York, Inc. 3.80%, 5/15/2028 | 10,000 | 9,450 |
PG&E Energy Recovery Funding LLC Series A-2, 2.28%, 1/15/2036 | 225,000 | 164,163 |
Public Service Enterprise Group, Inc. 1.60%, 8/15/2030 | 841,000 | 649,720 |
Puget Energy, Inc. 2.38%, 6/15/2028 | 234,000 | 199,191 |
WEC Energy Group, Inc. 1.38%, 10/15/2027 | 784,000 | 663,829 |
2,095,674 | ||
Oil, Gas & Consumable Fuels — 1.7% | ||
Aker BP ASA (Norway) 2.00%, 7/15/2026 (b) | 730,000 | 647,529 |
APA Infrastructure Ltd. (Australia) 4.25%, 7/15/2027 (b) | 906,000 | 859,472 |
BP Capital Markets America, Inc. 4.23%, 11/6/2028 | 542,000 | 522,751 |
Cameron LNG LLC 2.90%, 7/15/2031 (b) | 146,000 | 126,737 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 734,000 | 736,454 |
Coterra Energy, Inc. 3.90%, 5/15/2027 | 676,000 | 633,552 |
Ecopetrol SA (Colombia) | ||
4.13%, 1/16/2025 | 459,000 | 438,144 |
5.38%, 6/26/2026 | 757,000 | 716,311 |
Energy Transfer LP | ||
5.95%, 12/1/2025 | 506,000 | 510,475 |
4.40%, 3/15/2027 | 524,000 | 500,574 |
5.50%, 6/1/2027 | 244,000 | 242,589 |
Eni SpA (Italy) Series X-R, 4.00%, 9/12/2023 (b) | 1,145,000 | 1,133,597 |
Enterprise Products Operating LLC 3.95%, 2/15/2027 | 644,000 | 614,946 |
Flex Intermediate Holdco LLC 3.36%, 6/30/2031 (b) | 1,660,000 | 1,339,716 |
Gray Oak Pipeline LLC | ||
2.60%, 10/15/2025 (b) | 312,000 | 282,323 |
3.45%, 10/15/2027 (b) | 1,015,000 | 893,744 |
HF Sinclair Corp. | ||
2.63%, 10/1/2023 | 95,000 | 93,262 |
5.88%, 4/1/2026 | 520,000 | 520,347 |
MPLX LP | ||
4.13%, 3/1/2027 | 518,000 | 494,176 |
4.25%, 12/1/2027 | 118,000 | 111,628 |
2.65%, 8/15/2030 | 514,000 | 421,747 |
5.00%, 3/1/2033 | 400,000 | 375,292 |
NGPL PipeCo LLC 3.25%, 7/15/2031 (b) | 271,000 | 224,002 |
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | 480,000 | 475,770 |
Phillips 66 2.15%, 12/15/2030 | 206,000 | 164,610 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Pioneer Natural Resources Co. | ||
1.13%, 1/15/2026 | 710,000 | 632,227 |
1.90%, 8/15/2030 | 623,000 | 485,525 |
Plains All American Pipeline LP | ||
4.65%, 10/15/2025 | 407,000 | 397,080 |
3.55%, 12/15/2029 | 100,000 | 86,707 |
Sabine Pass Liquefaction LLC 4.50%, 5/15/2030 | 250,000 | 234,186 |
Suncor Energy, Inc. (Canada) 5.95%, 12/1/2034 | 302,000 | 299,745 |
Targa Resources Partners LP 4.00%, 1/15/2032 | 153,000 | 129,683 |
15,344,901 | ||
Pharmaceuticals — 0.2% | ||
Bristol-Myers Squibb Co. 3.40%, 7/26/2029 | 30,000 | 27,523 |
Mylan, Inc. 4.55%, 4/15/2028 | 20,000 | 18,646 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 696,000 | 647,897 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 1,500,000 | 1,223,100 |
1,917,166 | ||
Real Estate Management & Development — 0.1% | ||
Mitsui Fudosan Co. Ltd. (Japan) 3.65%, 7/20/2027 (b) | 219,000 | 206,211 |
Ontario Teachers' Cadillac Fairview Properties Trust (Canada) 3.88%, 3/20/2027 (b) | 325,000 | 297,035 |
503,246 | ||
Road & Rail — 0.4% | ||
ERAC USA Finance LLC 3.85%, 11/15/2024 (b) | 668,000 | 646,545 |
Penske Truck Leasing Co. LP | ||
4.20%, 4/1/2027 (b) | 1,226,000 | 1,158,585 |
4.40%, 7/1/2027 (b) | 200,000 | 190,824 |
Triton Container International Ltd. (Bermuda) | ||
2.05%, 4/15/2026 (b) | 1,015,000 | 894,469 |
3.25%, 3/15/2032 | 780,000 | 596,825 |
3,487,248 | ||
Semiconductors & Semiconductor Equipment — 0.7% | ||
Broadcom, Inc. 4.11%, 9/15/2028 | 1,756,000 | 1,640,642 |
Intel Corp. 4.88%, 2/10/2028 | 1,044,000 | 1,028,747 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 674,000 | 542,321 |
Microchip Technology, Inc. | ||
0.97%, 2/15/2024 | 818,000 | 781,734 |
0.98%, 9/1/2024 | 656,000 | 612,789 |
NXP BV (China) 2.50%, 5/11/2031 | 1,276,000 | 1,001,213 |
Xilinx, Inc. 2.38%, 6/1/2030 | 656,000 | 552,741 |
6,160,187 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 15 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — 0.3% | ||
Oracle Corp. | ||
2.65%, 7/15/2026 | 60,000 | 54,826 |
4.50%, 5/6/2028 | 295,000 | 283,681 |
2.88%, 3/25/2031 | 1,536,000 | 1,273,447 |
6.50%, 4/15/2038 | 50,000 | 52,101 |
Roper Technologies, Inc. 3.80%, 12/15/2026 | 1,065,000 | 1,012,865 |
Workday, Inc. 3.50%, 4/1/2027 | 320,000 | 298,895 |
2,975,815 | ||
Specialty Retail — 0.2% | ||
Advance Auto Parts, Inc. 3.50%, 3/15/2032 | 530,000 | 435,286 |
AutoZone, Inc. 1.65%, 1/15/2031 | 837,000 | 645,405 |
Home Depot, Inc. (The) 2.95%, 6/15/2029 | 50,000 | 44,650 |
Lowe's Cos., Inc. 3.75%, 4/1/2032 | 20,000 | 17,717 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 463,000 | 435,058 |
1,578,116 | ||
Technology Hardware, Storage & Peripherals — 0.1% | ||
Apple, Inc. 3.20%, 5/13/2025 | 10,000 | 9,659 |
Dell International LLC | ||
4.90%, 10/1/2026 | 696,000 | 680,676 |
5.30%, 10/1/2029 | 684,000 | 660,883 |
1,351,218 | ||
Thrifts & Mortgage Finance — 0.2% | ||
BPCE SA (France) | ||
(SOFR + 1.09%), 2.05%, 10/19/2027 (b) (c) | 1,364,000 | 1,189,430 |
(SOFR + 1.31%), 2.28%, 1/20/2032 (b) (c) | 694,000 | 531,402 |
1,720,832 | ||
Tobacco — 0.3% | ||
Altria Group, Inc. 2.45%, 2/4/2032 | 1,130,000 | 852,970 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 550,000 | 530,063 |
2.26%, 3/25/2028 | 1,074,000 | 899,794 |
2,282,827 | ||
Trading Companies & Distributors — 0.6% | ||
Air Lease Corp. | ||
3.88%, 7/3/2023 | 400,000 | 397,964 |
3.00%, 9/15/2023 | 1,407,000 | 1,388,775 |
1.88%, 8/15/2026 | 676,000 | 590,053 |
3.63%, 4/1/2027 | 1,015,000 | 932,722 |
Aircastle Ltd. 4.40%, 9/25/2023 | 622,000 | 616,940 |
Aviation Capital Group LLC 5.50%, 12/15/2024 (b) | 844,000 | 832,847 |
BOC Aviation Ltd. (China) 3.50%, 10/10/2024 (b) | 400,000 | 386,796 |
5,146,097 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.85%, 3/1/2024 | 20,000 | 19,673 |
Wireless Telecommunication Services — 0.3% | ||
Rogers Communications, Inc. (Canada) 3.80%, 3/15/2032 (b) | 1,172,000 | 1,023,717 |
T-Mobile USA, Inc. | ||
2.05%, 2/15/2028 | 769,000 | 659,997 |
4.95%, 3/15/2028 | 500,000 | 490,820 |
3.88%, 4/15/2030 | 976,000 | 884,985 |
3,059,519 | ||
Total Corporate Bonds (Cost $253,822,121) | 227,383,813 | |
Asset-Backed Securities — 11.5% | ||
ACM Auto Trust Series 2023-1A, Class A, 6.61%, 1/22/2030 (b) | 367,881 | 367,766 |
Air Canada Pass-Through Trust (Canada) | ||
Series 2013-1, Class A, 4.13%, 5/15/2025 (b) | 385,257 | 365,356 |
Series 2017-1, Class AA, 3.30%, 1/15/2030 (b) | 512,554 | 439,362 |
Aligned Data Centers Issuer LLC Series 2021-1A, Class A2, 1.94%, 8/15/2046 (b) | 1,966,000 | 1,712,132 |
American Airlines Pass-Through Trust | ||
Series 2016-3, Class AA, 3.00%, 10/15/2028 | 79,437 | 70,351 |
Series 2021-1, Class B, 3.95%, 7/11/2030 | 1,391,435 | 1,216,982 |
American Credit Acceptance Receivables Trust | ||
Series 2022-1, Class A, 0.99%, 12/15/2025 (b) | 221,522 | 220,623 |
Series 2022-2, Class A, 2.66%, 2/13/2026 (b) | 302,177 | 300,696 |
Series 2023-1, Class C, 5.59%, 4/12/2029 (b) | 799,000 | 787,365 |
American Tower Trust #1, 3.07%, 3/15/2023 (b) | 504,000 | 503,276 |
AmeriCredit Automobile Receivables Trust | ||
Series 2020-2, Class A3, 0.66%, 12/18/2024 | 4,606 | 4,596 |
Series 2021-1, Class A3, 0.37%, 8/18/2025 | 515,437 | 507,035 |
Series 2020-3, Class B, 0.76%, 12/18/2025 | 740,000 | 711,988 |
Series 2021-2, Class B, 0.69%, 1/19/2027 | 704,000 | 661,079 |
Series 2022-2, Class A3, 4.38%, 4/18/2028 | 81,000 | 79,762 |
AMSR Trust | ||
Series 2020-SFR4, Class A, 1.36%, 11/17/2037 (b) | 2,019,000 | 1,807,030 |
16 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2020-SFR5, Class A, 1.38%, 11/17/2037 (b) | 526,971 | 472,699 |
Amur Equipment Finance Receivables X LLC Series 2022-1A, Class A2, 1.64%, 10/20/2027 (b) | 1,291,330 | 1,226,721 |
Avis Budget Rental Car Funding AESOP LLC Series 2020-1A, Class A, 2.33%, 8/20/2026 (b) | 710,000 | 659,240 |
BA Credit Card Trust Series 2020-A1, Class A1, 0.34%, 5/15/2026 | 930,000 | 895,555 |
BMW Vehicle Lease Trust Series 2023-1, Class A3, 5.16%, 11/25/2025 | 260,000 | 259,677 |
Business Jet Securities LLC | ||
Series 2020-1A, Class A, 2.98%, 11/15/2035 ‡ (b) | 160,830 | 151,405 |
Series 2022-1A, Class A, 4.46%, 6/15/2037 ‡ (b) | 1,074,359 | 1,006,828 |
CarMax Auto Owner Trust | ||
Series 2020-1, Class A3, 1.89%, 12/16/2024 | 174,343 | 172,632 |
Series 2020-3, Class A3, 0.62%, 3/17/2025 | 203,828 | 200,766 |
Series 2021-1, Class A3, 0.34%, 12/15/2025 | 1,658,979 | 1,602,459 |
Series 2022-2, Class A3, 3.49%, 2/16/2027 | 1,038,000 | 1,008,234 |
Carvana Auto Receivables Trust | ||
Series 2021-P3, Class A3, 0.70%, 11/10/2026 | 1,230,000 | 1,155,143 |
Series 2022-P3, Class A3, 4.61%, 11/10/2027 | 245,000 | 237,133 |
Series 2021-P4, Class A4, 1.64%, 12/10/2027 | 2,700,000 | 2,394,546 |
CIG Auto Receivables Trust Series 2021-1A, Class A, 0.69%, 4/14/2025 (b) | 176,521 | 174,203 |
CoreVest American Finance Trust | ||
Series 2019-3, Class A, 2.71%, 10/15/2052 (b) | 168,259 | 158,174 |
Series 2022-1, Class A, 4.74%, 6/17/2055 (b) (g) | 542,358 | 534,392 |
CPS Auto Receivables Trust | ||
Series 2021-B, Class B, 0.81%, 12/15/2025 (b) | 355,382 | 353,998 |
Series 2023-A, Class C, 5.54%, 4/16/2029 (b) | 651,000 | 641,037 |
Series 2022-C, Class B, 4.88%, 4/15/2030 (b) | 2,200,000 | 2,163,294 |
Credit Acceptance Auto Loan Trust | ||
Series 2020-2A, Class A, 1.37%, 7/16/2029 (b) | 994,129 | 987,480 |
Series 2020-3A, Class A, 1.24%, 10/15/2029 (b) | 1,281,122 | 1,259,776 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2021-2A, Class A, 0.96%, 2/15/2030 (b) | 1,396,000 | 1,354,604 |
Series 2021-3A, Class A, 1.00%, 5/15/2030 (b) | 695,000 | 669,534 |
Drive Auto Receivables Trust Series 2021-3, Class B, 1.11%, 5/15/2026 | 357,000 | 349,978 |
DT Auto Owner Trust | ||
Series 2021-1A, Class B, 0.62%, 9/15/2025 (b) | 106,216 | 105,751 |
Series 2022-1A, Class A, 1.58%, 4/15/2026 (b) | 897,717 | 883,130 |
Series 2022-2A, Class A, 2.88%, 6/15/2026 (b) | 771,129 | 759,297 |
Series 2021-3A, Class C, 0.87%, 5/17/2027 (b) | 1,292,000 | 1,219,718 |
Series 2021-4A, Class D, 1.99%, 9/15/2027 (b) | 760,000 | 684,016 |
Series 2023-1A, Class C, 5.55%, 10/16/2028 (b) | 1,798,000 | 1,771,775 |
Exeter Automobile Receivables Trust | ||
Series 2021-2A, Class B, 0.57%, 9/15/2025 | 152,841 | 152,295 |
Series 2021-3A, Class B, 0.69%, 1/15/2026 | 410,324 | 405,339 |
Series 2022-3A, Class A3, 4.21%, 1/15/2026 | 400,000 | 397,462 |
Series 2021-4A, Class B, 1.05%, 5/15/2026 | 946,000 | 928,624 |
Series 2022-5A, Class B, 5.97%, 3/15/2027 | 1,392,000 | 1,394,100 |
Series 2022-4A, Class C, 4.92%, 12/15/2028 | 1,076,000 | 1,052,846 |
Series 2023-1A, Class D, 6.69%, 6/15/2029 | 243,000 | 241,889 |
First Investors Auto Owner Trust Series 2021-1A, Class A, 0.45%, 3/16/2026 (b) | 44,088 | 43,724 |
FirstKey Homes Trust | ||
Series 2020-SFR2, Class A, 1.27%, 10/19/2037 (b) | 1,067,246 | 951,968 |
Series 2021-SFR1, Class E1, 2.39%, 8/17/2038 (b) | 600,000 | 513,372 |
Series 2021-SFR2, Class D, 2.06%, 9/17/2038 (b) | 2,900,000 | 2,456,067 |
Flagship Credit Auto Trust | ||
Series 2019-4, Class C, 2.77%, 12/15/2025 (b) | 226,391 | 224,214 |
Series 2021-4, Class A, 0.81%, 7/17/2026 (b) | 674,354 | 654,412 |
Series 2022-1, Class A, 1.79%, 10/15/2026 (b) | 1,392,949 | 1,354,518 |
Series 2023-1, Class A2, 5.38%, 12/15/2026 (b) | 183,000 | 182,665 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 17 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
Series 2021-3, Class A, 0.36%, 7/15/2027 (b) | 700,951 | 680,168 |
Series 2023-1, Class C, 5.43%, 5/15/2029 (b) | 1,800,000 | 1,776,486 |
FRTKL Series 2021-SFR1, Class A, 1.57%, 9/17/2038 (b) | 2,118,000 | 1,824,616 |
GLS Auto Receivables Issuer Trust | ||
Series 2021-4A, Class A, 0.84%, 7/15/2025 (b) | 517,585 | 510,986 |
Series 2021-2A, Class B, 0.77%, 9/15/2025 (b) | 238,039 | 236,570 |
Series 2021-3A, Class C, 1.11%, 9/15/2026 (b) | 815,000 | 769,273 |
GM Financial Automobile Leasing Trust | ||
Series 2021-3, Class A3, 0.39%, 10/21/2024 | 1,125,201 | 1,099,581 |
Series 2021-1, Class A4, 0.33%, 2/20/2025 | 1,000,000 | 987,250 |
Series 2022-2, Class A3, 3.42%, 6/20/2025 | 1,057,000 | 1,033,324 |
Series 2023-1, Class A3, 5.16%, 4/20/2026 | 753,000 | 752,516 |
GM Financial Consumer Automobile Receivables Trust | ||
Series 2020-1, Class A3, 1.84%, 9/16/2024 | 364,551 | 363,177 |
Series 2021-1, Class A3, 0.35%, 10/16/2025 | 282,764 | 274,551 |
Series 2021-1, Class A4, 0.54%, 5/17/2027 | 2,800,000 | 2,595,338 |
HERO Funding (Cayman Islands) Series 2017-3A, Class A2, 3.95%, 9/20/2048 ‡ (b) | 130,790 | 121,196 |
Hertz Vehicle Financing III LLC Series 2022-1A, Class A, 1.99%, 6/25/2026 (b) | 922,000 | 852,713 |
Home Partners of America Trust Series 2022-1, Class D, 4.73%, 4/17/2039 (b) | 1,161,750 | 1,069,682 |
Honda Auto Receivables Owner Trust | ||
Series 2019-4, Class A3, 1.83%, 1/18/2024 | 22,098 | 22,061 |
Series 2023-1, Class A3, 5.04%, 4/21/2027 | 422,000 | 421,200 |
Hyundai Auto Lease Securitization Trust Series 2021-A, Class A3, 0.33%, 1/16/2024 (b) | 67,962 | 67,748 |
Lendmark Funding Trust Series 2022-1A, Class A, 5.12%, 7/20/2032 (b) | 177,000 | 172,389 |
Mercedes-Benz Auto Lease Trust Series 2021-A, Class A3, 0.25%, 1/16/2024 | 199,759 | 198,085 |
Mercedes-Benz Auto Receivables Trust Series 2023-1, Class A3, 4.51%, 11/15/2027 | 584,000 | 576,981 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
MVW LLC | ||
Series 2021-2A, Class A, 1.43%, 5/20/2039 (b) | 883,683 | 782,554 |
Series 2021-1WA, Class A, 1.14%, 1/22/2041 (b) | 169,623 | 152,802 |
Nissan Auto Lease Trust Series 2023-A, Class A3, 4.91%, 1/15/2026 | 659,000 | 655,446 |
Octane Receivables Trust Series 2020-1A, Class A, 1.71%, 2/20/2025 (b) | 261,151 | 258,861 |
OneMain Direct Auto Receivables Trust Series 2023-1A, Class A, 5.41%, 11/14/2029 (b) | 1,534,000 | 1,552,768 |
PRET LLC Series 2021-NPL6, Class A1, 2.49%, 7/25/2051 (b) (e) | 847,227 | 789,187 |
Progress Residential Trust | ||
Series 2020-SFR3, Class B, 1.50%, 10/17/2027 (b) | 785,000 | 703,325 |
Series 2021-SFR2, Class E1, 2.55%, 4/19/2038 (b) | 350,000 | 300,866 |
Series 2021-SFR8, Class E1, 2.38%, 10/17/2038 (b) | 1,144,000 | 962,847 |
Series 2021-SFR11, Class A, 2.28%, 1/17/2039 (b) | 1,995,577 | 1,700,657 |
Series 2023-SFR1, Class A, 4.30%, 3/17/2040 (b) | 1,255,000 | 1,202,286 |
Series 2021-SFR9, Class E1, 2.81%, 11/17/2040 (b) | 1,048,000 | 852,311 |
Santander Consumer Auto Receivables Trust Series 2021-AA, Class A3, 0.33%, 10/15/2025 (b) | 234,543 | 230,810 |
Santander Drive Auto Receivables Trust | ||
Series 2022-1, Class A2, 1.36%, 12/16/2024 | 101,393 | 101,258 |
Series 2021-3, Class B, 0.60%, 12/15/2025 | 713,396 | 709,011 |
Series 2020-4, Class C, 1.01%, 1/15/2026 | 211,903 | 209,960 |
Series 2021-2, Class C, 0.90%, 6/15/2026 | 956,000 | 937,823 |
Series 2022-3, Class A3, 3.40%, 12/15/2026 | 914,000 | 900,159 |
Series 2022-4, Class A3, 4.14%, 2/16/2027 | 1,248,000 | 1,231,183 |
Series 2022-5, Class B, 4.43%, 3/15/2027 | 562,000 | 549,770 |
Series 2023-1, Class B, 4.98%, 2/15/2028 | 440,000 | 433,528 |
Santander Retail Auto Lease Trust Series 2022-A, Class A3, 1.34%, 7/21/2025 (b) | 611,000 | 581,134 |
SCF Equipment Leasing LLC Series 2022-2A, Class A3, 6.50%, 10/21/2030 (b) | 1,780,000 | 1,792,936 |
Sierra Timeshare Receivables Funding LLC Series 2022-2A, Class A, 4.73%, 6/20/2040 (b) | 118,216 | 114,872 |
Spirit Airlines Pass-Through Trust Series 2017-1, Class AA, 3.38%, 2/15/2030 | 110,985 | 98,757 |
18 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — continued | ||
SpringCastle America Funding LLC Series 2020-AA, Class A, 1.97%, 9/25/2037 (b) | 232,280 | 209,467 |
Tesla Auto Lease Trust Series 2021-B, Class A4, 0.63%, 9/22/2025 (b) | 715,000 | 675,208 |
Theorem Funding Trust Series 2021-1A, Class A, 1.21%, 12/15/2027 (b) | 368,006 | 363,034 |
Toyota Auto Receivables Owner Trust | ||
Series 2020-A, Class A3, 1.66%, 5/15/2024 | 40,203 | 40,053 |
Series 2021-A, Class A3, 0.26%, 5/15/2025 | 971,940 | 945,352 |
Series 2020-C, Class A4, 0.57%, 10/15/2025 | 532,000 | 508,122 |
United Airlines Pass-Through Trust | ||
Series 2016-1, Class AA, 3.10%, 7/7/2028 | 998,670 | 887,149 |
Series 2016-2, Class AA, 2.88%, 10/7/2028 | 1,035,116 | 922,338 |
Series 2018-1, Class AA, 3.50%, 3/1/2030 | 631,544 | 565,291 |
Series 2018-1, Class A, 3.70%, 3/1/2030 | 1,085,045 | 927,465 |
United Auto Credit Securitization Trust Series 2021-1, Class C, 0.84%, 6/10/2026 (b) | 81,023 | 80,751 |
US Auto Funding Trust Series 2022-1A, Class A, 3.98%, 4/15/2025 (b) | 479,822 | 473,786 |
Volkswagen Auto Lease Trust Series 2020-A, Class A3, 0.39%, 1/22/2024 | 55,751 | 55,584 |
VOLT C LLC Series 2021-NPL9, Class A1, 1.99%, 5/25/2051 (b) (e) | 448,053 | 405,352 |
VOLT CI LLC Series 2021-NP10, Class A1, 1.99%, 5/25/2051 (b) (e) | 887,103 | 796,833 |
VOLT XCIII LLC Series 2021-NPL2, Class A1, 1.89%, 2/27/2051 (b) (e) | 838,737 | 757,983 |
VOLT XCIV LLC Series 2021-NPL3, Class A1, 2.24%, 2/27/2051 (b) (e) | 1,154,685 | 1,062,629 |
VOLT XCIX LLC Series 2021-NPL8, Class A1, 2.12%, 4/25/2051 (b) (e) | 664,182 | 600,937 |
VOLT XCVI LLC Series 2021-NPL5, Class A1, 2.12%, 3/27/2051 (b) (e) | 1,165,644 | 1,078,492 |
VOLT XCVII LLC Series 2021-NPL6, Class A1, 2.24%, 4/25/2051 (b) (e) | 1,424,160 | 1,295,146 |
Westgate Resorts LLC Series 2022-1A, Class A, 1.79%, 8/20/2036 (b) | 965,118 | 911,154 |
Westlake Automobile Receivables Trust | ||
Series 2021-3A, Class A3, 0.95%, 6/16/2025 (b) | 550,000 | 538,130 |
Series 2020-3A, Class B, 0.78%, 11/17/2025 (b) | 165,993 | 165,630 |
Series 2022-3A, Class A3, 5.49%, 7/15/2026 (b) | 2,196,000 | 2,191,169 |
Series 2021-3A, Class D, 2.12%, 1/15/2027 (b) | 806,000 | 733,934 |
Series 2023-1A, Class A3, 5.21%, 1/18/2028 (b) | 450,000 | 446,694 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2023-1A, Class C, 5.74%, 8/15/2028 (b) | 180,000 | 179,456 |
World Omni Auto Receivables Trust | ||
Series 2021-A, Class A3, 0.30%, 1/15/2026 | 1,039,065 | 1,002,112 |
Series 2021-C, Class A3, 0.44%, 8/17/2026 | 747,000 | 713,966 |
Series 2022-B, Class A3, 3.25%, 7/15/2027 | 1,750,000 | 1,690,912 |
Series 2023-A, Class A3, 4.83%, 5/15/2028 | 970,000 | 962,150 |
World Omni Automobile Lease Securitization Trust | ||
Series 2021-A, Class A3, 0.42%, 8/15/2024 | 882,181 | 860,072 |
Series 2020-B, Class A4, 0.52%, 2/17/2026 | 480,000 | 476,841 |
World Omni Select Auto Trust Series 2020-A, Class A3, 0.55%, 7/15/2025 | 92,648 | 92,105 |
Total Asset-Backed Securities (Cost $109,710,025) | 104,048,388 | |
Commercial Mortgage-Backed Securities — 11.4% | ||
20 Times Square Trust Series 2018-20TS, Class A, 3.10%, 5/15/2035 (b) (g) | 1,162,000 | 1,144,432 |
BB-UBS Trust Series 2012-SHOW, Class A, 3.43%, 11/5/2036 (b) | 1,400,000 | 1,301,891 |
BXP Trust Series 2017-GM, Class A, 3.38%, 6/13/2039 (b) | 1,500,000 | 1,356,322 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K034, Class A2, 3.53%, 7/25/2023 (g) | 4,768,351 | 4,733,997 |
Series K036, Class A2, 3.53%, 10/25/2023 (g) | 2,991,593 | 2,958,818 |
Series K038, Class A2, 3.39%, 3/25/2024 | 4,749,990 | 4,662,129 |
Series K039, Class A2, 3.30%, 7/25/2024 | 2,550,000 | 2,489,499 |
Series J22F, Class A2, 4.09%, 9/25/2024 | 112,429 | 110,923 |
Series K729, Class A2, 3.14%, 10/25/2024 | 1,219,000 | 1,182,301 |
Series K041, Class A2, 3.17%, 10/25/2024 | 7,000,000 | 6,785,597 |
Series K046, Class A2, 3.21%, 3/25/2025 | 2,503,000 | 2,410,716 |
Series KL3L, Class ALNZ, 3.46%, 4/25/2025 (g) | 2,000,000 | 1,917,195 |
Series K048, Class A2, 3.28%, 6/25/2025 (g) | 3,480,000 | 3,354,296 |
Series K049, Class A2, 3.01%, 7/25/2025 | 2,469,000 | 2,362,955 |
Series KLU2, Class A7, 2.23%, 9/25/2025 (g) | 334,333 | 310,471 |
Series K056, Class A2, 2.53%, 5/25/2026 | 4,000,000 | 3,735,831 |
Series K058, Class A1, 2.34%, 7/25/2026 | 1,177,331 | 1,120,421 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 19 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K737, Class AM, 2.10%, 10/25/2026 | 3,110,000 | 2,833,984 |
Series K060, Class A2, 3.30%, 10/25/2026 | 2,000,000 | 1,903,816 |
Series K066, Class A2, 3.12%, 6/25/2027 | 1,362,000 | 1,282,254 |
Series K067, Class A2, 3.19%, 7/25/2027 | 1,686,000 | 1,590,624 |
Series K069, Class A2, 3.19%, 9/25/2027 (g) | 3,235,000 | 3,048,388 |
Series K070, Class A2, 3.30%, 11/25/2027 (g) | 910,000 | 861,092 |
Series K072, Class A2, 3.44%, 12/25/2027 | 473,000 | 450,187 |
Series K081, Class A1, 3.88%, 2/25/2028 | 1,015,379 | 995,577 |
Series K078, Class A2, 3.85%, 6/25/2028 | 1,541,000 | 1,490,475 |
Series K079, Class A2, 3.93%, 6/25/2028 | 3,600,000 | 3,491,172 |
Series K083, Class A2, 4.05%, 9/25/2028 (g) | 594,000 | 578,720 |
Series K-150, Class A2, 3.71%, 9/25/2032 (g) | 3,000,000 | 2,821,904 |
Series K-151, Class A2, 3.80%, 10/25/2032 (g) | 2,750,000 | 2,605,720 |
Series K145, Class AM, 2.58%, 6/25/2055 | 880,000 | 750,245 |
FNMA ACES | ||
Series 2013-M13, Class A2, 2.59%, 4/25/2023 (g) | 195,961 | 194,805 |
Series 2014-M1, Class A2, 3.13%, 7/25/2023 (g) | 414,956 | 411,198 |
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (g) | 2,199,131 | 2,162,844 |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | 487,161 | 478,332 |
Series 2014-M8, Class A2, 3.06%, 6/25/2024 (g) | 2,455,647 | 2,382,089 |
Series 2014-M13, Class A2, 3.02%, 8/25/2024 (g) | 937,209 | 908,120 |
Series 2016-M6, Class A2, 2.49%, 5/25/2026 | 703,010 | 657,315 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | 964,224 | 909,627 |
Series 2017-M8, Class A2, 3.06%, 5/25/2027 (g) | 1,305,653 | 1,228,736 |
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (g) | 2,854,803 | 2,662,644 |
Series 2017-M13, Class A2, 2.93%, 9/25/2027 (g) | 360,637 | 336,034 |
Series 2018-M2, Class A2, 2.91%, 1/25/2028 (g) | 3,236,443 | 2,995,731 |
Series 2018-M4, Class A2, 3.06%, 3/25/2028 (g) | 1,927,701 | 1,789,424 |
Series 2018-M9, Class APT2, 3.11%, 4/25/2028 (g) | 2,981,809 | 2,790,343 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (g) | 382,479 | 364,014 |
Series 2017-M5, Class A2, 3.10%, 4/25/2029 (g) | 2,852,992 | 2,653,185 |
Series 2018-M3, Class A2, 3.07%, 2/25/2030 (g) | 1,215,240 | 1,112,212 |
Series 2020-M50, Class A1, 0.67%, 10/25/2030 | 628,119 | 575,817 |
Series 2020-M50, Class A2, 1.20%, 10/25/2030 | 415,000 | 355,343 |
Series 2020-M50, Class X1, IO, 1.89%, 10/25/2030 (g) | 6,338,110 | 459,906 |
Series 2021-M11, Class A2, 1.46%, 3/25/2031 (g) | 1,517,000 | 1,191,110 |
Series 2022-M1G, Class A2, 1.53%, 9/25/2031 (g) | 5,000,000 | 4,018,289 |
Series 2021-M3, Class 1A1, 1.00%, 11/25/2033 | 30,541 | 28,725 |
Series 2021-M3, Class X1, IO, 1.94%, 11/25/2033 (g) | 344,223 | 30,104 |
FREMF Mortgage Trust | ||
Series 2015-K44, Class B, 3.72%, 1/25/2048 (b) (g) | 1,500,000 | 1,439,461 |
Series 2016-K722, Class B, 3.93%, 7/25/2049 (b) (g) | 735,000 | 732,376 |
Morgan Stanley Capital I Trust Series 2021-PLZA, Class A, 2.57%, 11/9/2043 ‡ (b) | 1,958,000 | 1,508,498 |
MRCD MARK Mortgage Trust Series 2019-PARK, Class A, 2.72%, 12/15/2036 (b) | 300,000 | 275,641 |
SLG Office Trust Series 2021-OVA, Class A, 2.59%, 7/15/2041 (b) | 1,770,000 | 1,430,555 |
UBS-BAMLL Trust Series 2012-WRM, Class A, 3.66%, 6/10/2030 (b) | 27,444 | 27,171 |
UBS-Barclays Commercial Mortgage Trust Series 2013-C6, Class A4, 3.24%, 4/10/2046 | 349,613 | 349,007 |
Total Commercial Mortgage-Backed Securities (Cost $108,983,730) | 103,100,608 | |
Mortgage-Backed Securities — 8.9% | ||
FHLMC Gold Pools, 15 Year Pool # G13603, 5.50%, 2/1/2024 | 57 | 57 |
FHLMC Gold Pools, 20 Year | ||
Pool # C91030, 5.50%, 5/1/2027 | 22,749 | 22,749 |
Pool # C91802, 3.50%, 1/1/2035 | 2,188,118 | 2,093,368 |
FHLMC Gold Pools, 30 Year | ||
Pool # A15232, 5.00%, 10/1/2033 | 100,565 | 100,605 |
Pool # A57681, 6.00%, 12/1/2036 | 621 | 645 |
Pool # G06493, 4.50%, 5/1/2041 | 423,834 | 421,260 |
20 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
FHLMC Gold Pools, Other | ||
Pool # WN1157, 1.80%, 11/1/2028 | 1,000,000 | 863,293 |
Pool # U90690, 3.50%, 6/1/2042 | 434,537 | 405,037 |
FHLMC UMBS, 30 Year | ||
Pool # ZM6956, 4.50%, 6/1/2048 | 904,871 | 892,448 |
Pool # RA6702, 3.00%, 2/1/2052 | 3,680,865 | 3,255,258 |
Pool # RA7937, 5.00%, 9/1/2052 (f) | 3,888,413 | 3,836,011 |
FNMA UMBS, 15 Year Pool # 995381, 6.00%, 1/1/2024 | 103 | 103 |
FNMA UMBS, 20 Year | ||
Pool # MA1138, 3.50%, 8/1/2032 | 369,892 | 353,501 |
Pool # AP9584, 3.00%, 10/1/2032 | 1,772,280 | 1,644,038 |
FNMA UMBS, 30 Year | ||
Pool # AL0045, 6.00%, 12/1/2032 | 161,843 | 166,977 |
Pool # 735503, 6.00%, 4/1/2035 | 41,594 | 42,710 |
Pool # 888460, 6.50%, 10/1/2036 | 267,215 | 282,833 |
Pool # 888890, 6.50%, 10/1/2037 | 5,870 | 6,154 |
Pool # 949320, 7.00%, 10/1/2037 | 20,400 | 20,234 |
Pool # 995149, 6.50%, 10/1/2038 | 13,447 | 14,109 |
Pool # 994410, 7.00%, 11/1/2038 | 131,030 | 134,695 |
Pool # AD9151, 5.00%, 8/1/2040 | 209,231 | 211,087 |
Pool # AE0681, 4.50%, 12/1/2040 | 492,565 | 489,006 |
Pool # BM3500, 4.00%, 9/1/2047 | 874,431 | 850,711 |
Pool # BM3499, 4.00%, 12/1/2047 | 1,071,067 | 1,022,492 |
Pool # BE8354, 4.00%, 3/1/2048 | 424,911 | 405,507 |
Pool # CB2637, 2.50%, 1/1/2052 | 2,490,316 | 2,116,339 |
Pool # CB2670, 3.00%, 1/1/2052 | 2,302,403 | 2,027,146 |
Pool # FS0882, 2.50%, 3/1/2052 | 941,209 | 804,942 |
Pool # CB3629, 4.00%, 5/1/2052 (f) | 4,831,958 | 4,545,594 |
FNMA, Other | ||
Pool # AL3594, 2.69%, 4/1/2023 (g) | 329,007 | 327,492 |
Pool # AM3301, 2.35%, 5/1/2023 | 2,001,786 | 1,986,299 |
Pool # AM4716, 3.38%, 12/1/2023 | 1,366,430 | 1,342,470 |
Pool # AM8674, 2.81%, 4/1/2025 | 2,200,000 | 2,101,065 |
Pool # AM8846, 2.68%, 5/1/2025 | 1,791,392 | 1,705,821 |
Pool # AN1413, 2.49%, 5/1/2026 | 793,419 | 740,661 |
Pool # AN1497, 2.61%, 6/1/2026 | 860,000 | 804,145 |
Pool # AN1243, 2.64%, 6/1/2026 | 1,600,000 | 1,497,588 |
Pool # AN1247, 2.64%, 6/1/2026 | 1,576,000 | 1,475,407 |
Pool # AN6732, 2.83%, 5/1/2027 | 1,187,894 | 1,106,625 |
Pool # AN7338, 3.06%, 11/1/2027 | 962,826 | 900,556 |
Pool # AN7943, 3.10%, 1/1/2028 | 2,412,132 | 2,253,765 |
Pool # AN1161, 3.05%, 4/1/2028 | 949,813 | 883,337 |
Pool # AN9486, 3.57%, 6/1/2028 | 3,716,000 | 3,535,490 |
Pool # AN2069, 2.35%, 8/1/2028 | 1,400,693 | 1,258,874 |
Pool # BL0907, 3.88%, 12/1/2028 | 700,000 | 675,457 |
Pool # BM4162, 3.12%, 10/1/2029 (g) | 129,175 | 120,029 |
Pool # BL4333, 2.52%, 11/1/2029 | 1,152,603 | 1,020,669 |
Pool # BM7037, 1.75%, 3/1/2032 (g) | 999,676 | 803,941 |
Pool # BS5117, 2.58%, 3/1/2032 | 2,393,690 | 2,059,531 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA1125, 4.00%, 7/1/2042 | 570,330 | 547,034 |
Pool # MA1437, 3.50%, 5/1/2043 | 804,776 | 749,400 |
Pool # MA1463, 3.50%, 6/1/2043 | 759,476 | 707,181 |
Pool # BF0669, 4.00%, 6/1/2052 (f) | 2,394,631 | 2,283,233 |
Pool # BF0230, 5.50%, 1/1/2058 | 3,380,666 | 3,482,338 |
Pool # BM6734, 4.00%, 8/1/2059 | 3,974,802 | 3,782,356 |
Pool # BF0497, 3.00%, 7/1/2060 | 1,903,242 | 1,669,252 |
Pool # BF0546, 2.50%, 7/1/2061 | 905,354 | 749,246 |
Pool # BF0617, 2.50%, 3/1/2062 | 2,194,337 | 1,815,966 |
GNMA II, 30 Year | ||
Pool # 4245, 6.00%, 9/20/2038 | 67,820 | 71,511 |
Pool # BA7567, 4.50%, 5/20/2048 | 694,537 | 672,101 |
Pool # BI0416, 4.50%, 11/20/2048 | 78,793 | 76,997 |
Pool # BM9692, 4.50%, 7/20/2049 | 326,103 | 317,367 |
Pool # MA7534, 2.50%, 8/20/2051 | 8,856,071 | 7,678,150 |
Pool # MA7649, 2.50%, 10/20/2051 | 2,530,846 | 2,192,216 |
Total Mortgage-Backed Securities (Cost $87,779,414) | 80,422,479 | |
Collateralized Mortgage Obligations — 6.0% | ||
CHL Mortgage Pass-Through Trust Series 2004-8, Class 2A1, 4.50%, 6/25/2019 ‡ | 414 | 244 |
Citigroup Mortgage Loan Trust Series 2004-HYB4, Class WA, 4.25%, 12/25/2034 (g) | 11,033 | 10,427 |
Citigroup Mortgage Loan Trust, Inc. Series 2003-1, Class 3A4, 5.25%, 9/25/2033 | 4,024 | 3,741 |
CSFB Mortgage-Backed Pass-Through Certificates Series 2003-27, Class 5A4, 5.25%, 11/25/2033 | 756 | 740 |
CSMC Trust Series 2022-JR1, Class A1, 4.27%, 10/25/2066 ‡ (b) (e) | 981,128 | 934,909 |
FHLMC, REMIC | ||
Series 1578, Class K, 6.90%, 9/15/2023 | 477 | 477 |
Series 2685, Class DT, 5.00%, 10/15/2023 | 18,894 | 18,820 |
Series 2687, Class JH, 5.00%, 10/15/2023 | 5,212 | 5,190 |
Series 2701, Class AC, 5.00%, 11/15/2023 | 43,686 | 43,475 |
Series 3521, Class B, 4.00%, 4/15/2024 | 44,012 | 43,455 |
Series 3544, Class BC, 4.00%, 6/15/2024 | 4,287 | 4,240 |
Series 3546, Class NB, 4.00%, 6/15/2024 | 214,423 | 212,399 |
Series 3562, Class JC, 4.00%, 8/15/2024 | 117,832 | 116,609 |
Series 3563, Class BD, 4.00%, 8/15/2024 | 73,173 | 72,470 |
Series 3571, Class MY, 4.00%, 9/15/2024 | 32,225 | 31,891 |
Series 3575, Class EB, 4.00%, 9/15/2024 | 74,973 | 73,971 |
Series 3577, Class B, 4.00%, 9/15/2024 | 135,090 | 133,647 |
Series 3578, Class KB, 4.00%, 9/15/2024 | 18,302 | 18,105 |
Series 2989, Class TG, 5.00%, 6/15/2025 | 105,208 | 104,667 |
Series 2988, Class TY, 5.50%, 6/15/2025 | 5,328 | 5,298 |
Series 3816, Class HA, 3.50%, 11/15/2025 | 564,222 | 551,875 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 21 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 3087, Class KX, 5.50%, 12/15/2025 | 15,077 | 14,960 |
Series 3787, Class AY, 3.50%, 1/15/2026 | 197,569 | 193,153 |
Series 3794, Class LB, 3.50%, 1/15/2026 | 162,305 | 158,691 |
Series 3102, Class CE, 5.50%, 1/15/2026 | 141,453 | 140,611 |
Series 3123, Class HT, 5.00%, 3/15/2026 | 22,174 | 21,925 |
Series 3121, Class JD, 5.50%, 3/15/2026 | 7,251 | 7,193 |
Series 3150, Class EQ, 5.00%, 5/15/2026 | 62,285 | 61,897 |
Series 3898, Class KH, 3.50%, 6/15/2026 | 265,744 | 259,403 |
Series 3885, Class AC, 4.00%, 6/15/2026 | 91,807 | 90,754 |
Series 3911, Class B, 3.50%, 8/15/2026 | 248,099 | 241,880 |
Series 3959, Class PB, 3.00%, 11/15/2026 | 1,519,476 | 1,467,583 |
Series 4337, Class VJ, 3.50%, 6/15/2027 | 554,714 | 552,409 |
Series 3337, Class MD, 5.50%, 6/15/2027 | 18,092 | 18,029 |
Series 2110, Class PG, 6.00%, 1/15/2029 | 46,734 | 47,212 |
Series 3563, Class LB, 4.00%, 8/15/2029 | 7,464 | 7,262 |
Series 3653, Class B, 4.50%, 4/15/2030 | 65,922 | 64,976 |
Series 3824, Class EY, 3.50%, 3/15/2031 | 169,961 | 163,135 |
Series 2525, Class AM, 4.50%, 4/15/2032 | 356,521 | 349,895 |
Series 2441, Class GF, 6.50%, 4/15/2032 | 11,615 | 12,008 |
Series 2436, Class MC, 7.00%, 4/15/2032 | 6,616 | 6,796 |
Series 2760, Class KT, 4.50%, 9/15/2032 | 45,471 | 44,281 |
Series 2505, Class D, 5.50%, 9/15/2032 | 49,810 | 50,302 |
Series 2544, Class KE, 5.50%, 12/15/2032 | 32,506 | 32,937 |
Series 2557, Class HL, 5.30%, 1/15/2033 | 81,995 | 82,297 |
Series 2575, Class PE, 5.50%, 2/15/2033 | 24,580 | 24,934 |
Series 2586, Class WG, 4.00%, 3/15/2033 | 104,175 | 101,317 |
Series 2596, Class QD, 4.00%, 3/15/2033 | 90,365 | 87,165 |
Series 2621, Class QH, 5.00%, 5/15/2033 | 103,180 | 102,883 |
Series 2624, Class QH, 5.00%, 6/15/2033 | 124,559 | 124,204 |
Series 2648, Class BK, 5.00%, 7/15/2033 | 10,806 | 10,829 |
Series 4238, Class UY, 3.00%, 8/15/2033 | 2,492,509 | 2,337,582 |
Series 2673, Class PE, 5.50%, 9/15/2033 | 202,850 | 205,991 |
Series 2696, Class DG, 5.50%, 10/15/2033 | 182,221 | 185,005 |
Series 2725, Class TA, 4.50%, 12/15/2033 | 284,000 | 279,531 |
Series 2733, Class ME, 5.00%, 1/15/2034 | 175,000 | 174,623 |
Series 2768, Class PK, 5.00%, 3/15/2034 | 158,562 | 155,579 |
Series 2934, Class KG, 5.00%, 2/15/2035 | 128,066 | 128,096 |
Series 3077, Class TO, PO, 4/15/2035 | 4,328 | 4,134 |
Series 2960, Class JH, 5.50%, 4/15/2035 | 375,127 | 380,355 |
Series 3082, Class PW, 5.50%, 12/15/2035 | 26,383 | 26,936 |
Series 3084, Class BH, 5.50%, 12/15/2035 | 546,233 | 558,165 |
Series 3098, Class KG, 5.50%, 1/15/2036 | 559,394 | 572,249 |
Series 3136, Class CO, PO, 4/15/2036 | 12,192 | 10,421 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 3145, Class AJ, 5.50%, 4/15/2036 | 21,126 | 21,613 |
Series 3819, Class ZQ, 6.00%, 4/15/2036 | 386,275 | 400,002 |
Series 3200, PO, 8/15/2036 | 42,181 | 33,743 |
Series 3270, Class AT, 5.50%, 1/15/2037 | 15,189 | 15,516 |
Series 3272, Class PA, 6.00%, 2/15/2037 | 4,006 | 4,194 |
Series 3348, Class HT, 6.00%, 7/15/2037 | 37,696 | 39,544 |
Series 3501, Class A, 4.50%, 1/15/2039 | 92,041 | 88,091 |
Series 3508, Class PK, 4.00%, 2/15/2039 | 2,353 | 2,221 |
Series 3513, Class A, 4.50%, 2/15/2039 | 10,177 | 9,819 |
Series 3653, Class HJ, 5.00%, 4/15/2040 | 431,710 | 432,770 |
Series 3677, Class KB, 4.50%, 5/15/2040 | 749,261 | 730,639 |
Series 3677, Class PB, 4.50%, 5/15/2040 | 369,345 | 359,272 |
Series 3715, Class PC, 4.50%, 8/15/2040 | 124,313 | 121,255 |
Series 3955, Class HB, 3.00%, 12/15/2040 | 79,992 | 76,720 |
Series 3828, Class PU, 4.50%, 3/15/2041 | 41,048 | 40,458 |
Series 3852, Class TP, IF, 5.50%, 5/15/2041 (g) | 137,258 | 132,977 |
Series 3956, Class EB, 3.25%, 11/15/2041 | 742,968 | 686,659 |
Series 3963, Class JB, 4.50%, 11/15/2041 | 1,153,436 | 1,123,168 |
Series 4026, Class MQ, 4.00%, 4/15/2042 | 43,481 | 40,654 |
Series 4616, Class HP, 3.00%, 9/15/2046 | 1,053,265 | 957,138 |
Series 3688, Class GT, 7.54%, 11/15/2046 (g) | 21,769 | 23,310 |
FHLMC, STRIPS Series 262, Class 35, 3.50%, 7/15/2042 | 471,007 | 437,920 |
FNMA, REMIC | ||
Series 2003-48, Class TC, 5.00%, 6/25/2023 | 1,020 | 1,016 |
Series 2003-55, Class HY, 5.00%, 6/25/2023 | 788 | 784 |
Series 2006-22, Class CE, 4.50%, 8/25/2023 | 5,266 | 5,237 |
Series 2004-44, Class KT, 6.00%, 6/25/2024 | 1,819 | 1,813 |
Series 2004-53, Class NC, 5.50%, 7/25/2024 | 2,085 | 2,076 |
Series 2009-71, Class MB, 4.50%, 9/25/2024 | 138 | 137 |
Series 2004-70, Class EB, 5.00%, 10/25/2024 | 5,068 | 5,035 |
Series 2010-49, Class KB, 4.00%, 5/25/2025 | 111,607 | 110,194 |
Series 2010-41, Class DC, 4.50%, 5/25/2025 | 8,878 | 8,768 |
Series 1997-57, Class PN, 5.00%, 9/18/2027 | 48,173 | 47,514 |
Series 2009-39, Class LB, 4.50%, 6/25/2029 | 48,858 | 47,533 |
22 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2009-96, Class DB, 4.00%, 11/25/2029 | 57,993 | 56,241 |
Series 2010-28, Class DE, 5.00%, 4/25/2030 | 168,354 | 165,894 |
Series 2001-63, Class TC, 6.00%, 12/25/2031 | 34,195 | 35,026 |
Series 2001-81, Class HE, 6.50%, 1/25/2032 | 84,260 | 86,691 |
Series 2002-75, Class GB, 5.50%, 11/25/2032 | 41,404 | 40,727 |
Series 2011-39, Class ZA, 6.00%, 11/25/2032 | 340,697 | 347,852 |
Series 2002-85, Class PE, 5.50%, 12/25/2032 | 28,403 | 28,736 |
Series 2003-21, Class OU, 5.50%, 3/25/2033 | 23,026 | 23,327 |
Series 2003-26, Class EB, 3.50%, 4/25/2033 | 590,708 | 553,668 |
Series 2003-23, Class CH, 5.00%, 4/25/2033 | 21,051 | 20,950 |
Series 2003-63, Class YB, 5.00%, 7/25/2033 | 76,751 | 76,410 |
Series 2003-69, Class N, 5.00%, 7/25/2033 | 139,295 | 138,759 |
Series 2003-80, Class QG, 5.00%, 8/25/2033 | 190,345 | 189,454 |
Series 2003-85, Class QD, 5.50%, 9/25/2033 | 78,821 | 79,889 |
Series 2003-94, Class CE, 5.00%, 10/25/2033 | 12,782 | 12,621 |
Series 2005-5, Class CK, 5.00%, 1/25/2035 | 123,876 | 121,829 |
Series 2005-29, Class WC, 4.75%, 4/25/2035 | 216,023 | 211,477 |
Series 2005-48, Class TD, 5.50%, 6/25/2035 | 195,682 | 199,735 |
Series 2005-53, Class MJ, 5.50%, 6/25/2035 | 188,911 | 192,269 |
Series 2005-58, Class EP, 5.50%, 7/25/2035 | 13,507 | 13,625 |
Series 2005-68, Class BE, 5.25%, 8/25/2035 | 219,075 | 216,351 |
Series 2005-68, Class PG, 5.50%, 8/25/2035 | 75,470 | 75,840 |
Series 2005-102, Class PG, 5.00%, 11/25/2035 | 246,848 | 246,284 |
Series 2005-110, Class GL, 5.50%, 12/25/2035 | 312,993 | 319,475 |
Series 2006-49, Class PA, 6.00%, 6/25/2036 | 34,054 | 35,255 |
Series 2009-19, Class PW, 4.50%, 10/25/2036 | 199,832 | 194,517 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2006-114, Class HE, 5.50%, 12/25/2036 | 235,229 | 239,354 |
Series 2007-33, Class HE, 5.50%, 4/25/2037 | 16,674 | 17,059 |
Series 2007-65, Class KI, IF, IO, 2.00%, 7/25/2037 (g) | 4,167 | 355 |
Series 2007-71, Class KP, 5.50%, 7/25/2037 | 16,210 | 15,833 |
Series 2007-71, Class GB, 6.00%, 7/25/2037 | 137,414 | 143,635 |
Series 2009-86, Class OT, PO, 10/25/2037 | 25,340 | 20,391 |
Series 2008-72, Class BX, 5.50%, 8/25/2038 | 11,961 | 12,165 |
Series 2008-74, Class B, 5.50%, 9/25/2038 | 5,005 | 5,101 |
Series 2009-62, Class HJ, 6.00%, 5/25/2039 | 26,982 | 26,897 |
Series 2009-37, Class KI, IF, IO, 1.38%, 6/25/2039 (g) | 3,164 | 131 |
Series 2009-86, Class IP, IO, 5.50%, 10/25/2039 | 7,797 | 1,456 |
Series 2009-92, Class AD, 6.00%, 11/25/2039 | 362,892 | 362,777 |
Series 2009-112, Class ST, IF, IO, 1.63%, 1/25/2040 (g) | 57,807 | 4,343 |
Series 2010-22, Class PE, 5.00%, 3/25/2040 | 1,229,936 | 1,231,375 |
Series 2010-35, Class SB, IF, IO, 1.80%, 4/25/2040 (g) | 22,813 | 1,435 |
Series 2010-37, Class CY, 5.00%, 4/25/2040 | 732,136 | 729,797 |
Series 2010-54, Class EA, 4.50%, 6/25/2040 | 24,100 | 23,529 |
Series 2010-64, Class DM, 5.00%, 6/25/2040 | 3,494 | 3,484 |
Series 2010-71, Class HJ, 5.50%, 7/25/2040 | 77,527 | 79,562 |
Series 2010-123, Class BP, 4.50%, 11/25/2040 | 1,809,282 | 1,769,536 |
Series 2011-5, Class CP, 4.50%, 11/25/2040 | 4,996 | 4,970 |
Series 2011-41, Class KL, 4.00%, 5/25/2041 | 908,467 | 854,129 |
Series 2011-50, Class LP, 4.00%, 6/25/2041 | 415,676 | 395,539 |
Series 2012-137, Class CF, 4.92%, 8/25/2041 (g) | 104,226 | 103,722 |
Series 2012-103, Class DA, 3.50%, 10/25/2041 | 15,711 | 15,285 |
Series 2012-14, Class DE, 3.50%, 3/25/2042 | 621,615 | 581,505 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 23 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
Series 2012-139, Class JA, 3.50%, 12/25/2042 | 305,884 | 286,581 |
Series 2013-104, Class CY, 5.00%, 10/25/2043 | 2,250,000 | 2,223,564 |
Series 2019-65, Class PA, 2.50%, 5/25/2048 | 235,700 | 211,004 |
Series 2009-96, Class CB, 4.00%, 11/25/2049 | 16,522 | 15,507 |
Series 2019-7, Class CA, 3.50%, 11/25/2057 | 2,648,630 | 2,498,549 |
FNMA, STRIPS | ||
Series 293, Class 1, PO, 12/25/2024 | 1,889 | 1,854 |
Series 314, Class 1, PO, 7/25/2031 | 25,382 | 22,310 |
GNMA | ||
Series 2003-10, Class KJ, 5.50%, 2/20/2033 | 40,115 | 40,014 |
Series 2003-29, Class PD, 5.50%, 4/16/2033 | 156,365 | 156,150 |
Series 2003-65, Class AP, 5.50%, 8/20/2033 | 52,820 | 53,128 |
Series 2003-77, Class TK, 5.00%, 9/16/2033 | 209,612 | 208,038 |
Series 2004-16, Class GC, 5.50%, 2/20/2034 | 564,400 | 568,134 |
Series 2004-54, Class BG, 5.50%, 7/20/2034 | 11,857 | 11,901 |
Series 2004-93, Class PD, 5.00%, 11/16/2034 | 322,737 | 319,223 |
Series 2004-101, Class BE, 5.00%, 11/20/2034 | 278,479 | 277,613 |
Series 2005-11, Class PL, 5.00%, 2/20/2035 | 132,002 | 132,036 |
Series 2005-26, Class XY, 5.50%, 3/20/2035 | 518,164 | 524,835 |
Series 2005-33, Class AY, 5.50%, 4/16/2035 | 132,235 | 132,845 |
Series 2005-49, Class B, 5.50%, 6/20/2035 | 43,751 | 44,331 |
Series 2005-51, Class DC, 5.00%, 7/20/2035 | 105,525 | 106,244 |
Series 2005-56, Class BD, 5.00%, 7/20/2035 | 16,375 | 16,299 |
Series 2006-7, Class ND, 5.50%, 8/20/2035 | 16,488 | 16,575 |
Series 2007-37, Class LB, 5.50%, 6/16/2037 | 131,769 | 132,701 |
Series 2007-79, Class BL, 5.75%, 8/20/2037 | 92,008 | 92,589 |
Series 2009-106, Class ST, IF, IO, 1.40%, 2/20/2038 (g) | 88,210 | 3,630 |
Series 2008-7, Class PQ, 5.00%, 2/20/2038 | 274,468 | 271,163 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2008-9, Class PW, 5.25%, 2/20/2038 | 287,778 | 288,041 |
Series 2008-23, Class YA, 5.25%, 3/20/2038 | 67,792 | 67,192 |
Series 2008-35, Class NF, 5.00%, 4/20/2038 | 69,096 | 68,819 |
Series 2008-34, Class PG, 5.25%, 4/20/2038 | 79,647 | 79,590 |
Series 2008-33, Class PB, 5.50%, 4/20/2038 | 233,016 | 234,964 |
Series 2008-38, Class BG, 5.00%, 5/16/2038 | 387,667 | 387,366 |
Series 2008-43, Class NB, 5.50%, 5/20/2038 | 116,402 | 117,339 |
Series 2008-56, Class PX, 5.50%, 6/20/2038 | 225,828 | 224,382 |
Series 2008-58, Class PE, 5.50%, 7/16/2038 | 612,163 | 617,444 |
Series 2008-62, Class SA, IF, IO, 1.55%, 7/20/2038 (g) | 1,707 | 17 |
Series 2008-76, Class US, IF, IO, 1.30%, 9/20/2038 (g) | 49,825 | 1,258 |
Series 2011-97, Class WA, 6.11%, 11/20/2038 (g) | 495,106 | 511,447 |
Series 2008-95, Class DS, IF, IO, 2.70%, 12/20/2038 (g) | 46,896 | 1,897 |
Series 2009-14, Class AG, 4.50%, 3/20/2039 | 80,694 | 79,547 |
Series 2009-72, Class SM, IF, IO, 1.66%, 8/16/2039 (g) | 109,887 | 5,814 |
Series 2009-61, Class AP, 4.00%, 8/20/2039 | 8,570 | 8,360 |
Series 2010-130, Class BD, 4.00%, 12/20/2039 | 237,557 | 232,390 |
Series 2010-157, Class OP, PO, 12/20/2040 | 77,528 | 63,939 |
Series 2014-H11, Class VA, 4.89%, 6/20/2064 (g) | 1,042,889 | 1,036,846 |
Series 2015-H20, Class FA, 4.86%, 8/20/2065 (g) | 1,455,653 | 1,447,034 |
Series 2015-H26, Class FG, 4.91%, 10/20/2065 (g) | 1,025,418 | 1,011,881 |
GSR Mortgage Loan Trust Series 2004-6F, Class 2A4, 5.50%, 5/25/2034 | 45,375 | 44,013 |
JPMorgan Mortgage Trust | ||
Series 2006-A2, Class 5A3, 4.18%, 11/25/2033 (g) | 87,680 | 83,352 |
Series 2007-A1, Class 5A5, 4.00%, 7/25/2035 (g) | 21,310 | 20,547 |
MASTR Adjustable Rate Mortgages Trust Series 2004-13, Class 2A1, 4.06%, 4/21/2034 (g) | 33,217 | 31,215 |
24 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Collateralized Mortgage Obligations — continued | ||
MASTR Asset Securitization Trust Series 2003-11, Class 8A1, 5.50%, 12/25/2033 | 24,199 | 23,177 |
Merrill Lynch Mortgage Investors Trust | ||
Series 2003-F, Class A1, 5.26%, 10/25/2028 (g) | 35,725 | 33,136 |
Series 2004-B, Class A1, 5.12%, 5/25/2029 (g) | 51,128 | ��� 48,787 |
Morgan Stanley Mortgage Loan Trust Series 2004-3, Class 4A, 5.65%, 4/25/2034 (g) | 19,475 | 18,925 |
PHH Mortgage Trust Series 2008-CIM2, Class 5A1, 6.00%, 7/25/2038 | 7,109 | 6,773 |
PRPM LLC Series 2021-10, Class A1, 2.49%, 10/25/2026 (b) (e) | 674,582 | 631,270 |
Seasoned Credit Risk Transfer Trust | ||
Series 2018-1, Class M60C, 3.50%, 5/25/2057 | 1,515,015 | 1,423,001 |
Series 2017-4, Class M60C, 3.50%, 6/25/2057 | 1,463,636 | 1,372,272 |
Series 2017-4, Class MT, 3.50%, 6/25/2057 | 361,924 | 332,612 |
Series 2018-2, Class M55D, 4.00%, 11/25/2057 | 1,546,645 | 1,464,709 |
Series 2019-3, Class M55D, 4.00%, 10/25/2058 | 345,296 | 327,077 |
Series 2020-1, Class M55G, 3.00%, 8/25/2059 | 3,500,862 | 3,193,732 |
Seasoned Loans Structured Transaction Series 2018-2, Class A1, 3.50%, 11/25/2028 | 413,649 | 391,860 |
Sequoia Mortgage Trust Series 2004-11, Class A1, 5.20%, 12/20/2034 (g) | 150,366 | 133,688 |
Structured Asset Mortgage Investments II Trust Series 2003-AR4, Class A1, 5.30%, 1/19/2034 (g) | 78,510 | 73,530 |
Thornburg Mortgage Securities Trust Series 2004-4, Class 3A, 3.72%, 12/25/2044 (g) | 99,589 | 91,412 |
Vendee Mortgage Trust Series 2003-2, Class Z, 5.00%, 5/15/2033 | 295,855 | 293,149 |
VOLT CV LLC Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (b) (e) | 788,133 | 685,472 |
WaMu Mortgage Pass-Through Certificates Trust Series 2003-AR11, Class A6, 4.23%, 10/25/2033 (g) | 63,604 | 57,938 |
Total Collateralized Mortgage Obligations (Cost $58,071,702) | 53,914,327 | |
U.S. Government Agency Securities — 1.5% | ||
FNMA 0.50%, 6/17/2025 (Cost $14,740,554) | 14,834,000 | 13,481,249 |
Foreign Government Securities — 0.3% | ||
Republic of Colombia 7.38%, 9/18/2037 | 300,000 | 277,650 |
Republic of Panama 3.16%, 1/23/2030 | 400,000 | 342,825 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
United Mexican States | ||
4.13%, 1/21/2026 | 332,000 | 323,534 |
2.66%, 5/24/2031 | 1,846,000 | 1,489,722 |
Total Foreign Government Securities (Cost $2,902,344) | 2,433,731 | |
SHARES | ||
Short-Term Investments — 1.8% | ||
Investment Companies — 1.8% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (h) (i) (Cost $16,174,550) | 16,168,898 | 16,176,982 |
Total Investments — 100.5% (Cost $967,450,607) | 908,748,469 | |
Liabilities in Excess of Other Assets — (0.5)% | (4,141,612) | |
NET ASSETS — 100.0% | 904,606,857 |
Percentages indicated are based on net assets. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
CME | Chicago Mercantile Exchange |
CSMC | Credit Suisse Mortgage Trust |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
ICE | Intercontinental Exchange |
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 28, 2023. 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. |
LIBOR | London Interbank Offered Rate |
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. |
REMIC | Real Estate Mortgage Investment Conduit |
SOFR | Secured Overnight Financing Rate |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 25 |
AS OF February 28, 2023 (continued)
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. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
‡ | Value determined using significant unobservable inputs. | |
(a) | All or a portion of this security is deposited with the broker as initial margin for futures contracts or centrally cleared swaps. | |
(b) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(d) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $3,411,841 or 0.38% of the Fund’s net assets as of February 28, 2023 . |
(e) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(h) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(i) | The rate shown is the current yield as of February 28, 2023. |
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
Long Contracts | |||||
U.S. Treasury 10 Year Note | 968 | 06/21/2023 | USD | 108,113,500 | (175,971) |
U.S. Treasury 10 Year Ultra Note | 893 | 06/21/2023 | USD | 104,760,063 | (47,481) |
U.S. Treasury 5 Year Note | 91 | 06/30/2023 | USD | 9,744,820 | (8,534) |
(231,986) | |||||
Short Contracts | |||||
U.S. Treasury Long Bond | (86) | 06/21/2023 | USD | (10,787,625) | 46,175 |
U.S. Treasury Ultra Bond | (2) | 06/21/2023 | USD | (271,375) | (2,793) |
U.S. Treasury 2 Year Note | (765) | 06/30/2023 | USD | (155,862,774) | 330,167 |
373,549 | |||||
141,563 |
Abbreviations | |
USD | United States Dollar |
26 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
FLOATING RATE INDEX(a) | FIXED RATE | PAY/ RECEIVE FLOATING RATE | MATURITY DATE | NOTIONAL AMOUNT | UPFRONT PAYMENTS (RECEIPTS) $ | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CPI-U at termination | 2.29% at termination | Receive | 2/7/2025 | USD 8,800,000 | — | 73,930 | 73,930 |
CPI-U at termination | 2.31% at termination | Receive | 2/7/2026 | USD 3,080,000 | — | 28,348 | 28,348 |
CPI-U at termination | 2.37% at termination | Receive | 10/4/2032 | USD 808,000 | (1,896) | 18,246 | 16,350 |
CPI-U at termination | 2.38% at termination | Receive | 10/4/2029 | USD 5,454,000 | (11,012) | 93,120 | 82,108 |
CPI-U at termination | 2.39% at termination | Receive | 1/19/2033 | USD 6,926,000 | (12,209) | 125,954 | 113,745 |
CPI-U at termination | 2.41% at termination | Receive | 10/4/2032 | USD 8,534,000 | — | 143,517 | 143,517 |
CPI-U at termination | 2.42% at termination | Receive | 2/7/2030 | USD 8,096,000 | — | 93,370 | 93,370 |
CPI-U at termination | 2.45% at termination | Receive | 12/21/2029 | USD 29,599,000 | 21,438 | 270,625 | 292,063 |
CPI-U at termination | 2.47% at termination | Receive | 2/6/2033 | USD 5,475,000 | — | 53,392 | 53,392 |
CPI-U at termination | 2.51% at termination | Receive | 12/22/2029 | USD 7,742,000 | 6,569 | 41,213 | 47,782 |
CPI-U at termination | 2.51% at termination | Receive | 11/23/2030 | USD 61,240,000 | (20,887) | 541,914 | 521,027 |
CPI-U at termination | 2.52% at termination | Receive | 11/23/2031 | USD 9,906,000 | (4,568) | 88,958 | 84,390 |
CPI-U at termination | 2.52% at termination | Receive | 2/9/2033 | USD 2,900,000 | — | 17,085 | 17,085 |
CPI-U at termination | 2.55% at termination | Receive | 2/10/2033 | USD 3,973,000 | — | 11,386 | 11,386 |
CPI-U at termination | 2.56% at termination | Receive | 2/14/2025 | USD 4,860,000 | 1,544 | 17,424 | 18,968 |
CPI-U at termination | 2.56% at termination | Receive | 2/14/2033 | USD 9,292,000 | — | 25,251 | 25,251 |
CPI-U at termination | 2.57% at termination | Receive | 2/10/2030 | USD 4,170,000 | — | 9,189 | 9,189 |
CPI-U at termination | 2.58% at termination | Receive | 10/5/2025 | USD 12,079,000 | (4,717) | 46,912 | 42,195 |
CPI-U at termination | 2.58% at termination | Receive | 2/14/2030 | USD 2,788,000 | — | 5,553 | 5,553 |
CPI-U at termination | 2.58% at termination | Receive | 2/22/2033 | USD 13,310,000 | (30,933) | 49,283 | 18,350 |
CPI-U at termination | 2.59% at termination | Receive | 11/23/2026 | USD 18,871,000 | 28,155 | 39,530 | 67,685 |
CPI-U at termination | 2.62% at termination | Receive | 12/2/2027 | USD 69,323,000 | (247,982) | 378,513 | 130,531 |
CPI-U at termination | 2.63% at termination | Receive | 2/22/2026 | USD 51,327,000 | 928 | 87,278 | 88,206 |
CPI-U at termination | 2.63% at termination | Receive | 3/2/2033 | USD 6,136,000 | 22,619 | 6 | 22,625 |
CPI-U at termination | 2.64% at termination | Receive | 12/14/2024 | USD 27,576,000 | — | 98,712 | 98,712 |
CPI-U at termination | 2.64% at termination | Receive | 2/22/2026 | USD 15,954,000 | (10,085) | 35,734 | 25,649 |
CPI-U at termination | 2.67% at termination | Receive | 12/2/2025 | USD 72,505,000 | (240,179) | 388,275 | 148,096 |
(503,215) | 2,782,718 | 2,279,503 | |||||
CPI-U at termination | 2.60% at termination | Receive | 2/22/2033 | USD 27,587,000 | (678) | (177) | (855) |
CPI-U at termination | 2.64% at termination | Receive | 9/27/2032 | USD 6,320,000 | (28,086) | (801) | (28,887) |
CPI-U at termination | 2.64% at termination | Receive | 12/6/2032 | USD 3,439,000 | — | (9,960) | (9,960) |
CPI-U at termination | 2.69% at termination | Receive | 9/27/2029 | USD 11,833,000 | (36,836) | (26,352) | (63,188) |
CPI-U at termination | 2.70% at termination | Receive | 11/16/2029 | USD 19,949,000 | — | (70,023) | (70,023) |
CPI-U at termination | 2.75% at termination | Receive | 3/2/2026 | USD 15,885,000 | (21,480) | (20) | (21,500) |
CPI-U at termination | 2.76% at termination | Receive | 9/15/2029 | USD 16,832,000 | — | (118,920) | (118,920) |
CPI-U at termination | 2.77% at termination | Receive | 11/16/2025 | USD 8,293,000 | 1,237 | (4,634) | (3,397) |
CPI-U at termination | 2.91% at termination | Receive | 9/1/2028 | USD 6,991,000 | 936 | (122,014) | (121,078) |
(84,907) | (352,901) | (437,808) | |||||
(588,122) | 2,429,817 | 1,841,695 |
Abbreviations | |
CPI-U | Consumer Price Index for All Urban Consumers |
USD | United States Dollar |
(a) Value of floating rate index at February 28, 2023 was as follows: |
FLOATING RATE INDEX | VALUE |
CPI-U | 3.01% |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 27 |
AS OF February 28, 2023 (continued)
REFERENCE OBLIGATION/INDEX | FINANCING RATE PAID BY THE FUND (%) | PAYMENT FREQUENCY | MATURITY DATE | IMPLIED CREDIT SPREAD (%)(a) | NOTIONAL AMOUNT(b) | UPFRONT PAYMENTS (RECEIPTS) ($)(c) | UNREALIZED APPRECIATION (DEPRECIATION) ($) | VALUE ($) |
CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.76 | USD 48,551,000 | (461,033) | (127,293) | (588,326) |
CDX.NA.IG.39-V1 | 1.00 | Quarterly | 12/20/2027 | 0.76 | USD 53,970,000 | (603,727) | (50,264) | (653,991) |
(1,064,760) | (177,557) | (1,242,317) |
(*) | 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. | ||||||||
(a) | 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. | ||||||||
(b) | 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. | ||||||||
(c) | 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). |
Abbreviations | |
CDX | Credit Default Swap Index |
USD | United States Dollar |
28 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | SHARES | VALUE($) |
Common Stocks — 95.8% | ||
Apartments — 20.3% | ||
American Homes 4 Rent, Class A, REIT | 415,521 | 12,889,462 |
Apartment Income REIT Corp., REIT | 437,461 | 16,536,026 |
Camden Property Trust, REIT | 97,290 | 11,165,000 |
Equity LifeStyle Properties, Inc., REIT | 36,332 | 2,489,105 |
Equity Residential, REIT | 99,928 | 6,247,499 |
Independence Realty Trust, Inc., REIT | 498,092 | 9,010,484 |
Sun Communities, Inc., REIT | 174,731 | 25,010,995 |
UDR, Inc., REIT | 469,805 | 20,126,446 |
103,475,017 | ||
Diversified — 16.3% | ||
American Tower Corp., REIT | 48,229 | 9,549,824 |
Equinix, Inc., REIT | 58,151 | 40,023,589 |
SBA Communications Corp., REIT | 42,256 | 10,959,094 |
Weyerhaeuser Co., REIT | 56,827 | 1,775,844 |
WP Carey, Inc., REIT | 257,416 | 20,891,882 |
83,200,233 | ||
Health Care — 12.3% | ||
Healthcare Realty Trust, Inc., REIT | 740,949 | 14,448,505 |
Medical Properties Trust, Inc., REIT | 343,310 | 3,536,093 |
Ventas, Inc., REIT | 520,704 | 25,332,250 |
Welltower, Inc., REIT | 264,046 | 19,571,090 |
62,887,938 | ||
Hotels — 2.6% | ||
DiamondRock Hospitality Co., REIT | 181,546 | 1,583,081 |
Host Hotels & Resorts, Inc., REIT | 621,101 | 10,434,497 |
Sunstone Hotel Investors, Inc., REIT | 99,231 | 1,048,872 |
13,066,450 | ||
Industrial — 19.7% | ||
First Industrial Realty Trust, Inc., REIT | 318,745 | 16,813,799 |
Prologis, Inc., REIT | 617,980 | 76,258,732 |
Rexford Industrial Realty, Inc., REIT | 122,142 | 7,384,705 |
100,457,236 | ||
Office — 4.1% | ||
Alexandria Real Estate Equities, Inc., REIT | 115,859 | 17,353,361 |
Kilroy Realty Corp., REIT | 99,496 | 3,583,846 |
20,937,207 | ||
Real Estate Management & Development — 0.2% | ||
Cushman & Wakefield plc * | 82,358 | 1,065,712 |
INVESTMENTS | SHARES | VALUE($) |
Regional Malls — 1.2% | ||
Simon Property Group, Inc., REIT | 48,011 | 5,861,663 |
Shopping Centers — 6.3% | ||
Federal Realty Investment Trust, REIT | 96,260 | 10,278,643 |
Kimco Realty Corp., REIT | 711,436 | 14,662,696 |
Kite Realty Group Trust, REIT | 323,255 | 7,021,098 |
31,962,437 | ||
Single Tenant — 7.1% | ||
Realty Income Corp., REIT | 563,959 | 36,065,178 |
Storage — 5.7% | ||
Life Storage, Inc., REIT | 68,200 | 8,219,464 |
Public Storage, REIT | 70,507 | 21,078,068 |
29,297,532 | ||
Total Common Stocks (Cost $453,048,413) | 488,276,603 | |
Short-Term Investments — 4.2% | ||
Investment Companies — 4.2% | ||
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) (Cost $21,218,676) | 21,207,833 | 21,218,437 |
Total Investments — 100.0% (Cost $474,267,089) | 509,495,040 | |
Other Assets Less Liabilities — 0.0% ^ | 59,195 | |
NET ASSETS — 100.0% | 509,554,235 |
Percentages indicated are based on net assets. |
Abbreviations | |
REIT | Real Estate Investment Trust |
^ | Amount rounds to less than 0.1% of net assets. | |
* | Non-income producing security. | |
(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 28, 2023. |
February 28, 2023 | Realty Income ETF | 29 |
AS OF February 28, 2023
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |
ASSETS: | ||
Investments in non-affiliates, at value | $892,571,487 | $488,276,603 |
Investments in affiliates, at value | 16,176,982 | 21,218,437 |
Cash | 430,509 | 84,028 |
Deposits at broker for centrally cleared swaps | 40,000 | — |
Segregated cash balance with Authorized Participant for deposit securities | 860,012 | — |
Receivables: | ||
Investment securities sold | 7,467,058 | 1,844,260 |
Investment securities sold — delayed delivery securities | 86,000 | — |
Interest from non-affiliates | 3,300,939 | — |
Dividends from non-affiliates | — | 304,596 |
Dividends from affiliates | 2,091 | 2,743 |
Securities lending income (See Note 2.C.) | — | 355 |
Variation margin on futures contracts | 265,522 | — |
Variation margin on centrally cleared swaps | 687,147 | — |
Total Assets | 921,887,747 | 511,731,022 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | — | 1,810,772 |
Investment securities purchased — delayed delivery securities | 11,381,135 | — |
Fund shares redeemed | 4,627,417 | — |
Collateral upon return of deposit securities | 860,012 | — |
Accrued liabilities: | ||
Investment advisory fees | 85,480 | 153,816 |
Administration fees | 51,481 | 32,571 |
Printing and mailing costs | 94,604 | 60,953 |
Custodian and accounting fees | 51,184 | 31,614 |
Other | 129,577 | 87,061 |
Total Liabilities | 17,280,890 | 2,176,787 |
Net Assets | $904,606,857 | $509,554,235 |
30 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |
NET ASSETS: | ||
Paid-in-Capital | $1,000,192,543 | $495,160,261 |
Total distributable earnings (loss) | (95,585,686) | 14,393,974 |
Total Net Assets | $904,606,857 | $509,554,235 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) (a) (b) | 19,543,210 | 11,797,859 |
Net asset value, per share | $46.29 | $43.19 |
Cost of investments in non-affiliates | $951,276,057 | $453,048,413 |
Cost of investments in affiliates | 16,174,550 | 21,218,676 |
Net upfront receipts on centrally cleared swaps | (1,652,882) | — |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 31 |
FOR THE YEAR ENDED February 28, 2023
JPMorgan Inflation Managed Bond ETF (a) | JPMorgan Realty Income ETF (b) | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $35,520,763 | $6,982 |
Interest income from affiliates | 447 | 5,536 |
Dividend income from non-affiliates | — | 23,021,304 |
Dividend income from affiliates | 572,301 | 543,411 |
Income from securities lending (net) (See Note 2.C.) | — | 867 |
Total investment income | 36,093,511 | 23,578,100 |
EXPENSES: | ||
Investment advisory fees | 2,791,049 | 5,758,231 |
Administration fees | 747,608 | 719,779 |
Distribution fees (See Note 3.C.) | 16,322 | 19,878 |
Service fees (See Note 3.D.) | 68,635 | 59,482 |
Custodian and accounting fees | 173,429 | 58,003 |
Interest expense to affiliates | 336 | — |
Professional fees | 106,151 | 79,174 |
Trustees’ and Chief Compliance Officer’s fees | 28,063 | 27,926 |
Printing and mailing costs | 122,797 | 97,687 |
Registration and filing fees | 136,589 | 122,294 |
Transfer agency fees (See Note 2.G.) | 1,437 | 6,019 |
Other | 24,321 | 42,005 |
Total expenses | 4,216,737 | 6,990,478 |
Less fees waived | (168,418) | (188,568) |
Less expense reimbursements | (1,398,417) | (1,418,877) |
Net expenses | 2,649,902 | 5,383,033 |
Net investment income (loss) | 33,443,609 | 18,195,067 |
32 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Inflation Managed Bond ETF (a) | JPMorgan Realty Income ETF (b) | |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | $(27,382,420) | $111,243,280 |
Investments in affiliates | 13,856 | (3,018) |
In-kind redemptions of investments in non-affiliates (See Note 4) | (2,460,502) | 207,383,162 |
Futures contracts | (34,832,019) | — |
Swaps | 27,215,498 | — |
Net realized gain (loss) | (37,445,587) | 318,623,424 |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | (54,854,885) | (488,183,848) |
Investments in affiliates | (3,711) | 149 |
Futures contracts | (1,453,861) | — |
Swaps | (15,213,014) | — |
Change in net unrealized appreciation/depreciation | (71,525,471) | (488,183,699) |
Net realized/unrealized gains (losses) | (108,971,058) | (169,560,275) |
Change in net assets resulting from operations | $(75,527,449) | $(151,365,208) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 33 |
FOR THE PERIODS INDICATED
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 28, 2023 (a) | Year Ended February 28, 2022 (a) | Year Ended February 28, 2023 (b) | Year Ended February 28, 2022 (b) | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | 33,443,609 | 33,058,100 | 18,195,067 | 18,870,161 |
Net realized gain (loss) | (37,445,587) | 61,666,081 | 318,623,424 | 271,663,607 |
Change in net unrealized appreciation/ depreciation | (71,525,471) | (39,670,845) | (488,183,699) | 174,696,642 |
Change in net assets resulting from operations | (75,527,449) | 55,053,336 | (151,365,208) | 465,230,410 |
Total distributions to shareholders | (35,607,004) | (33,229,570) | (209,509,368) | (155,134,166) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (151,417,047) | (255,104,251) | (671,849,490) | (676,938,664) |
NET ASSETS: | ||||
Change in net assets | (262,551,500) | (233,280,485) | (1,032,724,066) | (366,842,420) |
Beginning of period | 1,167,158,357 | 1,400,438,842 | 1,542,278,301 | 1,909,120,721 |
End of period | 904,606,857 | 1,167,158,357 | 509,554,235 | 1,542,278,301 |
34 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | Year Ended February 28, 2022(b) | |
CAPITAL TRANSACTIONS: (c) (d) | ||||
Proceeds from shares issued | $143,694,884 | $109,028,137 | $85,385,444 | $141,320,325 |
Distributions reinvested | 2,379,990 | 27,014,278 | 116,182,036 | 140,755,402 |
Cost of shares redeemed | (280,551,196) | (429,007,482) | (771,368,525) | (757,325,764) |
Redemptions in-kind | — | — | (231,616,311) | — |
Change in net assets resulting from capital transactions | (134,476,322) | (292,965,067) | (801,417,356) | (475,250,037) |
Class A | ||||
Proceeds from shares issued | 327,168 | 35,274,598 | 556,975 | 5,773,141 |
Distributions reinvested | 112,969 | 738,032 | 2,660,213 | 1,922,502 |
Cost of shares redeemed | (4,796,467) | (12,335,362) | (3,873,369) | (4,276,243) |
Change in net assets resulting from Class A capital transactions | (4,356,330) | 23,677,268 | (656,181) | 3,419,400 |
Class C | ||||
Proceeds from shares issued | 368,640 | 2,772,443 | 112,851 | 1,898,686 |
Distributions reinvested | 12,667 | 57,816 | 425,744 | 275,902 |
Cost of shares redeemed | (394,486) | (601,781) | (405,113) | (778,352) |
Change in net assets resulting from Class C capital transactions | (13,179) | 2,228,478 | 133,482 | 1,396,236 |
Class I | ||||
Proceeds from shares issued | 8,724,880 | 72,398,399 | 129,926,978 | 96,820,415 |
Distributions reinvested | 477,895 | 4,669,819 | 13,727,046 | 7,912,362 |
Cost of shares redeemed | (18,917,128) | (66,652,083) | (3,968,685) | (304,095,084) |
Change in net assets resulting from Class I capital transactions | (9,714,353) | 10,416,135 | 139,685,339 | (199,362,307) |
Class L | ||||
Proceeds from shares issued | — | — | 454,227 | 6,327,061 |
Distributions reinvested | — | — | 3,503,082 | 2,681,565 |
Cost of shares redeemed | — | — | (8,909,073) | (17,936,072) |
Change in net assets resulting from Class L capital transactions | — | — | (4,951,764) | (8,927,446) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 35 |
FOR THE PERIODS INDICATED (continued)
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | Year Ended February 28, 2022(b) | |
CAPITAL TRANSACTIONS: (c) (d) (continued) | ||||
Class R5 | ||||
Proceeds from shares issued | $218,011 | $4,616,313 | $290,370 | $2,595,870 |
Distributions reinvested | 6,602 | 80,590 | 1,343,475 | 1,090,495 |
Cost of shares redeemed | (3,081,476) | (3,157,968) | (6,276,855) | (1,900,876) |
Change in net assets resulting from Class R5 capital transactions | (2,856,863) | 1,538,935 | (4,643,010) | 1,785,489 |
Total change in net assets resulting from capital transactions | $(151,417,047) | $(255,104,251) | $(671,849,490) | $(676,938,665) |
36 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | Year Ended February 28, 2022(b) | |
SHARES TRANSACTIONS: (c) (d) | ||||
Issued | 2,978,252 | 10,013,533 | 1,646,419 | 9,095,815 |
Reinvested | 47,051 | 2,475,521 | 2,310,713 | 8,644,053 |
Redeemed | (5,844,105) | (39,414,895) | (15,158,501) | (46,884,614) |
Redemptions in-kind | — | — | (3,574,267) | — |
Change in Shares | (2,818,802) | (26,925,841) | (14,775,636) | (29,144,746) |
Class A | ||||
Issued | 6,350 | 3,223,923 | 8,864 | 362,649 |
Reinvested | 2,233 | 67,689 | 53,046 | 119,427 |
Redeemed | (94,521) | (1,135,134) | (73,337) | (276,648) |
Change in Class A Shares | (85,938) | 2,156,478 | (11,427) | 205,428 |
Class C | ||||
Issued | 7,128 | 255,541 | 1,671 | 122,967 |
Reinvested | 250 | 5,338 | 8,495 | 17,913 |
Redeemed | (7,815) | (55,875) | (7,226) | (52,699) |
Change in Class C Shares | (437) | 205,004 | 2,940 | 88,181 |
Class I | ||||
Issued | 170,457 | 6,653,148 | 1,964,395 | 6,323,956 |
Reinvested | 9,449 | 428,645 | 274,216 | 489,166 |
Redeemed | (372,698) | (6,117,885) | (69,363) | (18,743,708) |
Change in Class I Shares | (192,792) | 963,908 | 2,169,248 | (11,930,586) |
Class L | ||||
Issued | — | — | 6,979 | 386,631 |
Reinvested | — | — | 69,818 | 164,742 |
Redeemed | — | — | (170,346) | (1,169,957) |
Change in Class L Shares | — | — | (93,549) | (618,584) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 37 |
FOR THE PERIODS INDICATED (continued)
JPMorgan Inflation Managed Bond ETF | JPMorgan Realty Income ETF | |||
Year Ended February 28, 2023(a) | Year Ended February 28, 2022(a) | Year Ended February 28, 2023(b) | Year Ended February 28, 2022(b) | |
SHARES TRANSACTIONS: (c) (d) (continued) | ||||
Class R5 | ||||
Issued | 4,219 | 421,764 | 4,497 | 163,570 |
Reinvested | 131 | 7,367 | 26,820 | 66,491 |
Redeemed | (61,097) | (290,549) | (120,979) | (117,089) |
Change in Class R5 Shares | (56,747) | 138,582 | (89,662) | 112,972 |
38 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
FOR THE PERIODS INDICATED
Per share operating performance (a) | ||||||
Investment operations | Distributions | |||||
Net asset value beginning of period | Net investment income (loss) (c) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | |
JPMorgan Inflation Managed Bond ETF (h) | ||||||
Year Ended February 28, 2023 | $51.43 | $1.63 | $(5.05) | $(3.42) | $(1.58) | $(0.14) |
Year Ended February 28, 2022 | 50.58 | 1.27 | 0.85 | 2.12 | (1.27) | — |
Year Ended February 28, 2021 | 49.26 | 0.94 | 1.32 | 2.26 | (0.94) | — |
Year Ended February 29, 2020 | 47.33 | 1.27 | 1.93 | 3.20 | (1.27) | — |
Year Ended February 28, 2019 | 47.85 | 1.18 | (0.52) | 0.66 | (1.18) | — |
JPMorgan Realty Income ETF (i) | ||||||
Year Ended February 28, 2023 | 62.71 | 0.98(j) | (9.14) | (8.16) | (0.76) | (10.60) |
Year Ended February 28, 2022 | 54.76 | 0.64 | 13.05 | 13.69 | (0.80) | (4.94) |
Year Ended February 28, 2021 | 54.40 | 0.84 | 1.89 | 2.73 | (0.72) | (1.65) |
Year Ended February 29, 2020 | 54.92 | 1.12 | 3.53 | 4.65 | (1.20) | (3.97) |
September 1, 2018 (k) through February 28, 2019 | 54.44 | 0.52 | 0.60 | 1.12 | (0.64) | — |
Year Ended August 31, 2018 | 53.24 | 1.20 | 1.24 | 2.44 | (1.24) | — |
(a) | Per share amounts reflect the conversion of the JPMorgan Inflation Managed Bond Fund into the JPMorgan Inflation Managed Bond ETF as of the close of business on April 8, 2022 and the conversion of the JPMorgan Realty Income Fund into the JPMorgan Realty Income ETF as of the close of business on May 20, 2022. See Note 1. |
(b) | Annualized for periods less than one year, unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
(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) | JPMorgan Inflation Managed Bond ETF acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Market price returns are calculated using the official closing price of the JPMorgan Inflation Managed Bond ETF on the listing exchange as of the time that the JPMorgan Inflation Managed Bond ETF's NAV is calculated. Prior to the JPMorgan Inflation Managed Bond ETF's listing on April 11, 2022, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
(f) | JPMorgan Realty Income ETF acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Market price returns are calculated using the official closing price of the JPMorgan Realty Income ETF on the listing exchange as of the time that the JPMorgan Realty Income ETF's NAV is calculated. Prior to the JPMorgan Realty Income ETF's listing on May 23, 2022, the NAV performance of the Class R6 Shares of the Predecessor Fund are used as proxy market price returns. |
(g) | Not annualized for periods less than one year. |
(h) | JPMorgan Inflation Managed Bond ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Inflation Managed Bond Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on April 8, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the financial highlight information reflects that of the Predecessor Fund’s Class R6 Shares for the period March 1, 2017 up through the reorganization. |
(i) | JPMorgan Realty Income ETF (the “Fund”) acquired all of the assets and liabilities of the JPMorgan Realty Income Fund (“Predecessor Fund”) in a reorganization that occurred as of the close of business on May 20, 2022. Performance and financial history of the Predecessor Fund’s Class R6 Shares have been adopted by the Fund and will be used going forward. As a result, the financial highlight information reflects that of the Predecessor Fund’s Class R6 Shares for the period September 1, 2017 up through the reorganization. |
(j) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.81 and the net investment income (loss) ratio would have been 1.59%. |
(k) | The Fund changed its fiscal year end from August 31st to the last day of February. |
40 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Ratios/Supplemental data | |||||||||
Ratios to average net assets (b) | |||||||||
Total Distributions | Net asset value, end of period | Market price, end of period | Total Return(d) | Market price total return(e) (f) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate(g) |
��� | |||||||||
$(1.72) | $46.29 | $46.36 | (6.73)% | (6.59)% | $904,606,857 | 0.26% | 3.38% | 0.41% | 107% |
(1.27) | 51.43 | 51.43 | 4.23 | 4.23 | 897,545,065 | 0.34 | 2.49 | 0.39 | 159 |
(0.94) | 50.58 | 50.58 | 4.70 | 4.70 | 1,172,320,983 | 0.34 | 1.93 | 0.38 | 89 |
(1.27) | 49.26 | 49.26 | 6.84 | 6.84 | 1,169,195,274 | 0.42 | 2.62 | 0.44 | 146 |
(1.18) | 47.33 | 47.33 | 1.41 | 1.41 | 859,081,298 | 0.47 | 2.46 | 0.47 | 74 |
(11.36) | 43.19 | 43.25 | (13.43) | (13.31) | 509,554,235 | 0.55 | 1.93(j) | 0.72 | 84 |
(5.74) | 62.71 | 62.71 | 24.69 | 24.69 | 1,450,453,154 | 0.68 | 0.98 | 0.70 | 59 |
(2.37) | 54.76 | 54.76 | 5.38 | 5.38 | 1,663,701,422 | 0.68 | 1.67 | 0.70 | 90 |
(5.17) | 54.40 | 54.40 | 8.23 | 8.23 | 1,289,280,883 | 0.68 | 1.92 | 0.76 | 71 |
(0.64) | 54.92 | 54.92 | 2.13 | 2.13 | 2,238,096,452 | 0.67 | 1.99 | 0.85 | 50 |
(1.24) | 54.44 | 54.44 | 4.79 | 4.79 | 2,325,640,388 | 0.68 | 2.34 | 0.85 | 107 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 41 |
AS OF February 28, 2023
Diversification Classification | |
JPMorgan Inflation Managed Bond ETF | Diversified |
JPMorgan Realty Income ETF | Non-Diversified |
Acquired Fund | Fund | Closing Date |
JPMorgan Inflation Managed Bond Fund | JPMorgan Inflation Managed Bond ETF | April 8, 2022 |
JPMorgan Realty Income Fund | JPMorgan Realty Income ETF | May 20, 2022 |
Listing Exchange | |
Inflation Managed Bond ETF | Cboe BZX Exchange, Inc. |
Realty Income ETF | NYSE Arca |
42 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 43 |
AS OF February 28, 2023 (continued)
Inflation Managed Bond ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $102,768,959 | $1,279,429 | $104,048,388 |
Collateralized Mortgage Obligations | — | 52,979,174 | 935,153 | 53,914,327 |
Commercial Mortgage-Backed Securities | — | 101,592,110 | 1,508,498 | 103,100,608 |
Corporate Bonds | — | 227,383,813 | — | 227,383,813 |
Foreign Government Securities | — | 2,433,731 | — | 2,433,731 |
Mortgage-Backed Securities | — | 80,422,479 | — | 80,422,479 |
U.S. Government Agency Securities | — | 13,481,249 | — | 13,481,249 |
U.S. Treasury Obligations | — | 307,786,892 | — | 307,786,892 |
Short-Term Investments | ||||
Investment Companies | 16,176,982 | — | — | 16,176,982 |
Total Investments in Securities | $16,176,982 | $888,848,407 | $3,723,080 | $908,748,469 |
Appreciation in Other Financial Instruments | ||||
Futures Contracts | $376,342 | $— | $— | $376,342 |
Swaps | — | 2,782,718 | — | 2,782,718 |
Depreciation in Other Financial Instruments | ||||
Futures Contracts | (234,779) | — | — | (234,779) |
Swaps | — | (530,458) | — | (530,458) |
Total Net Appreciation/ Depreciation in Other Financial Instruments | $141,563 | $2,252,260 | $— | $2,393,823 |
Realty Income ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Total Investments in Securities (a) | $509,495,040 | $— | $— | $509,495,040 |
(a) | Please refer to the SOI for specifics of portfolio holdings. |
44 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Inflation Managed Bond ETF | Balance as of February 28, 2022 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of February 28, 2023 |
Investments in Securities: | |||||||||
Asset-Backed Securities | $5,714,010 | $— | $(233,781) | $1,174 | $1,164,187 | $(348,547) | $475,122 | $(5,492,736) | $1,279,429 |
Collateralized Mortgage Obligations | 449,673 | — | (45,645) | (1) | 1,354,981 | (374,559) | 40 | (449,336) | 935,153 |
Commercial Mortgage-Backed Securities | — | — | (204,634) | (1,838) | — | — | 1,714,970 | — | 1,508,498 |
Total | $6,163,683 | $— | $(484,060) | $(665) | $2,519,168 | $(723,106) | $2,190,132 | $(5,942,072) | $3,723,080 |
1 | Purchases include all purchases of securities and securities received in corporate actions. | ||||||||
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 45 |
AS OF February 28, 2023 (continued)
Realty Income ETF | $527 |
Inflation Managed Bond ETF | |||||||||
For the year ended February 28, 2023* | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | $— | $505,635,571 | $489,471,218 | $10,198 | $2,431 | $16,176,982 | 16,168,898 | $568,032 | $— |
JPMorgan Prime Money Market Fund Class Institutional Shares, 4.66% (a) (b) | 20,605,752 | 67,013,403 | 87,616,671 | 3,658 | (6,142) | — | — | 4,269 | — |
Total | $20,605,752 | $572,648,974 | $577,087,889 | $13,856 | $(3,711) | $16,176,982 | $572,301 | $— |
(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 28, 2023. |
* | As of the close of business on April 8, 2022, JPMorgan Inflation Managed Bond Fund (the "Acquired Fund"), a series of Trust I Funds, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Inflation Managed Bond ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The tables include transactions from the Acquired Fund for the period March 1, 2022 through April 8, 2022. |
46 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Realty Income ETF | |||||||||
For the year ended February 28, 2023** | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Prime Money Market Fund Class IM Shares, 4.72% (a) (b) | $28,286,016 | $606,402,078 | $613,466,788 | $(3,018) | $149 | $21,218,437 | 21,207,833 | $543,411 | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | — | 10,689,449 | 10,689,449 | — | — | — | — | 13,146* | — |
Total | $28,286,016 | $617,091,527 | $624,156,237 | $(3,018) | $149 | $21,218,437 | $556,557 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
** | As of the close of business on May 20, 2022, JPMorgan Realty Income Fund (the "Acquired Fund"), a series of Undiscovered Managers Funds, reorganized ("the Reorganization") into a newly created exchange-traded fund, JPMorgan Realty Income ETF (the "Fund"). Following the Reorganization, the Acquired Fund's performance and financial history were adopted by the Fund. The tables include transactions from the Acquired Fund for the period March 1, 2022 through May 20, 2022. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 47 |
AS OF February 28, 2023 (continued)
Inflation Managed Bond ETF | |
Interest Rate Risk Exposure: | |
Unrealized Appreciation on Futures Contracts * | $376,342 |
Swaps at Value (Assets) ** | 2,279,503 |
Unrealized Depreciation on Futures Contracts * | (234,779) |
Swaps at Value (Liabilities) ** | (437,808) |
Credit Risk Exposure: | |
Swaps at Value (Liabilities) ** | (1,242,317) |
Net Fair Value of Derivative Contracts: | |
Unrealized Appreciation (Depreciation) on Futures Contracts * | 141,563 |
Swaps at Value ** | 599,378 |
* | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
48 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
** | Includes the fair value of centrally cleared swap contracts as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
Inflation Managed Bond ETF | |
Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: | |
Interest Rate Risk Exposure: | |
Futures Contracts | $(34,832,019) |
Swap Contracts | 27,304,817 |
Credit Exposure Risk: | |
Swap Contracts | (89,320) |
Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: | |
Interest Rate Risk Exposure: | |
Futures Contracts | (1,453,861) |
Swap Contracts | (15,035,457) |
Credit Exposure Risk: | |
Swap Contracts | (177,557) |
Inflation Managed Bond ETF | |
Futures Contracts: | |
Average Notional Balance Long | $271,424,076 |
Average Notional Balance Short | (156,200,548) |
Ending Notional Balance Long | 222,618,383 |
Ending Notional Balance Short | (166,921,774) |
Interest Rate-Related Swaps (Inflation-Linked Swaps): | |
Average Notional Balance - Pays Fixed Rate | 653,599,385 |
Ending Notional Balance - Pays Fixed Rate | 587,853,000 |
Credit Default Swaps: | |
Average Notional Balance - Buy Protection | 22,327,692 |
Ending Notional Balance - Buy Protection | 102,521,000 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 49 |
AS OF February 28, 2023 (continued)
Class A | Class C | Class I | Class L | Class R5 | ETF Shares | Total | |
Inflation Managed Bond ETF | |||||||
Transfer agency fees | $189 | $72 | $300 | n/a | $16 | $860 | $1,437 |
Realty Income ETF | |||||||
Transfer agency fees | 1,478 | 130 | 1,765 | $450 | 204 | 1,992 | 6,019 |
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
Inflation Managed Bond ETF | $(2,465,827) | $36,167 | $2,429,660 |
Realty Income ETF | 219,058,416 | (8) | (219,058,408) |
Inflation Managed Bond ETF | 0.28% |
Realty Income ETF | 0.60 |
50 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Class A | Class C | |
Inflation Managed Bond ETF | 0.25% | 0.75% |
Realty Income ETF | 0.25 | 0.75 |
Class A | Class C | Class I | Class L | Class R5 | |
Inflation Managed Bond ETF | 0.25% | 0.25% | 0.25% | n/a | 0.10% |
Realty Income ETF | 0.25 | 0.25 | 0.25 | 0.10% | 0.10 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 51 |
AS OF February 28, 2023 (continued)
Class A | Class C | Class I | Class L | Class R5 | Class R6 | |
Inflation Managed Bond ETF | 0.75% | 1.40% | 0.55% | n/a | 0.45% | 0.35% |
Realty Income ETF | 1.18 | 1.68 | 0.93 | 0.78% | 0.78 | 0.68 |
Contractual Waivers | Voluntary Waivers | |||||
Investment Advisory Fees | Administration Fees | Service Fees | Total | Contractual Reimbursements | 12b-1 | |
Inflation Managed Bond ETF | $74,098 | $36,677 | $16,061 | $126,836 | $1,396,702 | $16,322 |
Realty Income ETF | 90,559 | 45,010 | 3,809 | 139,378 | 1,417,160 | 19,878 |
Inflation Managed Bond ETF | $25,260 |
Realty Income ETF | 29,312 |
Inflation Managed Bond ETF | $1,715 |
Realty Income ETF | 1,717 |
52 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |
Inflation Managed Bond ETF | $120,255,737 | $312,697,418 | $918,689,879 | $891,296,618 |
Realty Income ETF | 792,818,999 | 1,008,892,067 | — | — |
In-Kind Purchases | In-Kind Sales | |
Inflation Managed Bond ETF | $43,180,860 | $53,917,582 |
Realty Income ETF | 41,815,440 | 509,023,732 |
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
Inflation Managed Bond ETF | $966,584,503 | $3,425,058 | $60,520,151 | $(57,095,093) |
Realty Income ETF | 491,673,642 | 51,706,128 | 33,884,730 | 17,821,398 |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
Inflation Managed Bond ETF | $35,607,004 | $— | $35,607,004 |
Realty Income ETF | 36,430,149 | 173,079,219 | 209,509,368 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
Inflation Managed Bond ETF | $33,229,570 | $— | $33,229,570 |
Realty Income ETF | 89,223,309 | 65,910,857 | 155,134,166 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 53 |
AS OF February 28, 2023 (continued)
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | |
Inflation Managed Bond ETF | $588,458 | $(30,326,602) | $(57,146,184) |
Realty Income ETF | 4,290,602 | — | 17,821,398 |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
Inflation Managed Bond ETF | $— | $30,326,602 |
Net Capital Losses (Gains) | ||
Short-Term | Long-Term | |
Inflation Managed Bond ETF | $6,615,022 | $2,031,487 |
Realty Income ETF | 18,675,027 | (11,007,839) |
54 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
Inflation Managed Bond ETF | —% | 50.9% | 24.9% |
Realty Income ETF | 28.9 | 54.1 | — |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 55 |
AS OF February 28, 2023 (continued)
Fund | Value | Gain/(Loss) | Type |
Realty Income ETF | $231,616,311(a) | $46,870,934 | Redemption-in-kind |
(a) | This amount includes cash of $4,856,743 associated with the redemption in-kind. |
56 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 57 |
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 178 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 178 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 178 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 178 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 178 | None |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 178 | None |
58 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 178 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 178 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 178 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 178 | None |
Marilyn McCoy (1948); Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 178 | None |
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 178 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 59 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 178 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; 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. | 178 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 178 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 178 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | 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. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
60 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2022) (formerly Assistant Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2022) (formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962), Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. 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 & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 61 |
(Unaudited) (continued)
Nektarios E. Manolakakis (1972), Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981), Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
62 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan Inflation Managed Bond ETF | ||||
Actual | $1,000.00 | $972.20 | $1.22 | 0.25% |
Hypothetical | 1,000.00 | 1,023.55 | 1.25 | 0.25 |
JPMorgan Realty Income ETF | ||||
Actual | 1,000.00 | 965.00 | 2.42 | 0.50 |
Hypothetical | 1,000.00 | 1,022.33 | 2.49 | 0.50 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 63 |
(Unaudited)
64 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(Unaudited)
(Dollar values in thousands)
Long-Term Capital Gain Distribution | |
JPMorgan Realty Income ETF | $173,079,219* |
* | Included in this amount is unrecaptured Section 1250 gains of $1,178,500. |
Qualified Interest Income | Short-Term Capital Gain | |
JPMorgan Inflation Managed Bond ETF | $30,667,048 | $2,538,049 |
Qualified Business Income | |
JPMorgan Realty Income ETF | $16,799,822 |
Income from U.S. Treasury Obligations | |
JPMorgan Inflation Managed Bond ETF | 48.0% |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 65 |
Fund | Ticker | Listing Exchange |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | BBSA | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | BBAG | NYSE Arca |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | BBHY | Cboe BZX Exchange, Inc. |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | BBCB | NYSE Arca |
JPMorgan USD Emerging Markets Sovereign Bond ETF | JPMB | NYSE Arca |
1 | |
2 | |
3 | |
5 | |
7 | |
10 | |
12 | |
15 | |
106 | |
114 | |
118 | |
132 | |
133 | |
136 | |
138 | |
139 | |
140 |
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.
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 1-844-457-6383 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.
April 11, 2023 (Unaudited)
“As investors assess the potential risks to financial market returns, we believe it is important to recognize both the potential benefits of portfolio diversification and the potential investment opportunities uncovered by changes in relative asset valuations.” — Brian S. Shlissel |
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 1 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
2 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (4.24)% |
Market Price ** | (4.20)% |
Bloomberg Short-Term U.S. Aggregate Bond Index | (4.22)% |
Net Assets as of 2/28/2023 | $35,218,791 |
Duration as of 2/28/2023 | 2.7 Years |
Fund Ticker | BBSA |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 56.4% |
Corporate Bonds | 25.5 |
Mortgage-Backed Securities | 7.3 |
Supranational | 2.5 |
Commercial Mortgage-Backed Securities | 2.2 |
U.S. Government Agency Securities | 1.7 |
Foreign Government Securities | 1.2 |
Asset-Backed Securities | 1.0 |
Others (each less than 1.0%) | 0.1 |
Short-Term Investments | 2.1 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 3 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |||
Net Asset Value | March 12, 2019 | (4.24)% | 0.35% |
Market Price | (4.20) | 0.37 |
4 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (9.91)% |
Market Price ** | (9.93)% |
Bloomberg U.S. Aggregate Index | (9.72)% |
Net Assets as of 2/28/2023 | $1,312,100,977 |
Duration as of 2/28/2023 | 6.2 Years |
Fund Ticker | BBAG |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
U.S. Treasury Obligations | 37.8% |
Mortgage-Backed Securities | 25.8 |
Corporate Bonds | 23.0 |
Commercial Mortgage-Backed Securities | 1.5 |
Foreign Government Securities | 1.4 |
U.S. Government Agency Securities | 1.2 |
Supranational | 1.1 |
Others (each less than 1.0%) | 0.6 |
Short-Term Investments | 7.6 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 5 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | |||
Net Asset Value | December 12, 2018 | (9.91)% | 0.12% |
Market Price | (9.93) | 0.12 |
6 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (5.16)% |
Market Price ** | (5.20)% |
Bloomberg U.S. Corporate High Yield – 2% Issuer Capped Index | (5.45)% |
ICE BofA U.S. High Yield Total Return Index | (5.46)% |
Net Assets as of 2/28/2023 | $337,479,306 |
Duration as of 2/28/2023 | 4.1 Years |
Fund Ticker | BBHY |
PORTFOLIO COMPOSITION BY INDUSTRY AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Oil, Gas & Consumable Fuels | 10.6% |
Hotels, Restaurants & Leisure | 8.4 |
Media | 7.0 |
Diversified Telecommunication Services | 5.9 |
Consumer Finance | 4.4 |
Health Care Providers & Services | 3.4 |
Aerospace & Defense | 3.4 |
Commercial Services & Supplies | 3.1 |
Chemicals | 2.9 |
Specialty Retail | 2.9 |
Equity Real Estate Investment Trusts (REITs) | 2.8 |
Containers & Packaging | 2.5 |
Software | 2.3 |
Auto Components | 2.3 |
Metals & Mining | 1.9 |
Pharmaceuticals | 1.8 |
Electric Utilities | 1.7 |
Airlines | 1.7 |
Trading Companies & Distributors | 1.6 |
Household Durables | 1.6 |
Energy Equipment & Services | 1.4 |
Wireless Telecommunication Services | 1.4 |
Thrifts & Mortgage Finance | 1.4 |
Building Products | 1.3 |
Food & Staples Retailing | 1.2 |
Insurance | 1.2 |
Road & Rail | 1.2 |
Entertainment | 1.1 |
Food Products | 1.0 |
Automobiles | 1.0 |
Health Care Equipment & Supplies | 1.0 |
Others (each less than 1.0%) | 13.7 |
Short-Term Investments | 0.9 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 7 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
8 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | ||||
Net Asset Value | September 14, 2016 | (5.16)% | 2.51% | 3.07% |
Market Price | (5.20) | 2.40 | 3.06 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 9 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (10.21)% |
Market Price ** | (10.32)% |
Bloomberg U.S. Corporate Index | (10.43)% |
Net Assets as of 2/28/2023 | $44,702,756 |
Duration as of 2/28/2023 | 7.1 Years |
Fund Ticker | BBCB |
PORTFOLIO COMPOSITION AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Corporate Bonds | 99.3% |
Others (each less than 1.0%) | 0.1 |
Short-Term Investments | 0.6 |
10 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INCEPTION DATE | 1 YEAR | SINCE INCEPTION | |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | |||
Net Asset Value | December 12, 2018 | (10.21)% | 1.31% |
Market Price | (10.32) | 1.31 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 11 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited)
REPORTING PERIOD RETURN: | |
Net Asset Value * | (6.58)% |
Market Price ** | (7.36)% |
JPMorgan Emerging Markets Risk-Aware Bond Index | (6.06)% |
Net Assets as of 2/28/2023 | $227,584,365 |
Duration as of 2/28/2023 | 6.9 Years |
Fund Ticker | JPMB |
PORTFOLIO COMPOSITION BY COUNTRY AS OF February 28, 2023 | PERCENT OF TOTAL INVESTMENTS |
Turkey | 7.8 % |
Brazil | 6.9 |
Oman | 6.9 |
Dominican Republic | 6.2 |
Colombia | 5.8 |
South Africa | 5.7 |
Bahrain | 5.7 |
Mexico | 3.5 |
Indonesia | 3.3 |
Saudi Arabia | 3.1 |
Egypt | 3.1 |
United Arab Emirates | 2.8 |
Qatar | 2.7 |
Philippines | 2.4 |
China | 2.3 |
Peru | 2.2 |
Chile | 2.2 |
Panama | 2.0 |
Kenya | 1.9 |
Jamaica | 1.8 |
Azerbaijan | 1.5 |
Jordan | 1.4 |
Malaysia | 1.3 |
Costa Rica | 1.2 |
Uruguay | 1.2 |
Kazakhstan | 1.2 |
Romania | 1.1 |
Paraguay | 1.0 |
Hungary | 1.0 |
Others (each less than 1.0%) | 5.8 |
Short-Term Investments | 5.0 |
12 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 13 |
TWELVE MONTHS ENDED February 28, 2023 (Unaudited) (continued)
INCEPTION DATE | 1 YEAR | 5 YEAR | SINCE INCEPTION | |
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||||
Net Asset Value | January 29, 2018 | (6.58)% | (0.10)% | (0.51)% |
Market Price | (7.36) | (0.05) | (0.40) |
14 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 57.2% | ||
U.S. Treasury Bonds | ||
7.50%, 11/15/2024 | 199,000 | 207,318 |
7.63%, 2/15/2025 | 124,000 | 130,316 |
6.00%, 2/15/2026 | 300,000 | 312,000 |
6.50%, 11/15/2026 | 72,000 | 77,091 |
6.63%, 2/15/2027 | 212,000 | 229,275 |
6.38%, 8/15/2027 | 323,000 | 349,673 |
6.13%, 11/15/2027 | 320,000 | 345,425 |
U.S. Treasury Notes | ||
2.75%, 8/31/2023 | 48,000 | 47,453 |
0.25%, 11/15/2023 | 905,000 | 874,562 |
2.38%, 2/29/2024 | 1,825,000 | 1,775,882 |
2.00%, 4/30/2024 | 480,000 | 463,012 |
2.25%, 4/30/2024 | 10,000 | 9,675 |
2.00%, 5/31/2024 | 11,000 | 10,585 |
1.75%, 7/31/2024 | 342,000 | 326,410 |
0.38%, 9/15/2024 | 354,000 | 329,884 |
1.50%, 9/30/2024 | 1,083,000 | 1,025,846 |
1.50%, 10/31/2024 | 258,000 | 243,830 |
1.50%, 2/15/2025 | 100,000 | 93,824 |
0.50%, 3/31/2025 | 1,303,000 | 1,194,077 |
0.38%, 4/30/2025 | 46,000 | 41,903 |
0.25%, 5/31/2025 | 1,066,000 | 965,480 |
0.25%, 6/30/2025 | 340,000 | 307,328 |
0.25%, 7/31/2025 | 244,000 | 219,791 |
0.25%, 9/30/2025 | 93,000 | 83,366 |
0.25%, 10/31/2025 | 48,000 | 42,863 |
0.38%, 11/30/2025 | 2,440,000 | 2,179,607 |
0.38%, 12/31/2025 | 226,000 | 201,617 |
2.63%, 12/31/2025 | 5,000 | 4,754 |
0.38%, 1/31/2026 | 7,000 | 6,219 |
0.75%, 4/30/2026 | 1,865,000 | 1,662,618 |
0.75%, 5/31/2026 | 546,000 | 485,428 |
0.63%, 7/31/2026 | 823,000 | 725,012 |
0.75%, 8/31/2026 | 772,000 | 681,290 |
0.88%, 9/30/2026 | 540,000 | 477,689 |
1.63%, 9/30/2026 | 51,000 | 46,398 |
1.13%, 10/31/2026 | 259,000 | 230,712 |
1.63%, 10/31/2026 | 125,000 | 113,486 |
1.25%, 11/30/2026 | 339,000 | 302,769 |
1.25%, 12/31/2026 | 279,000 | 248,746 |
1.50%, 1/31/2027 | 488,000 | 438,552 |
1.13%, 2/28/2027 | 197,000 | 174,376 |
0.63%, 3/31/2027 | 312,000 | 269,612 |
2.50%, 3/31/2027 | 6,000 | 5,595 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
0.50%, 4/30/2027 | 138,000 | 118,324 |
0.50%, 5/31/2027 | 164,000 | 140,130 |
2.63%, 5/31/2027 | 100,000 | 93,578 |
0.50%, 6/30/2027 | 437,000 | 372,440 |
0.38%, 7/31/2027 | 444,000 | 375,353 |
2.75%, 7/31/2027 | 150,000 | 140,918 |
2.25%, 8/15/2027 | 100,000 | 91,914 |
0.50%, 8/31/2027 | 300,000 | 254,414 |
3.13%, 8/31/2027 | 100,000 | 95,430 |
4.13%, 9/30/2027 | 100,000 | 99,477 |
4.13%, 10/31/2027 | 100,000 | 99,492 |
3.88%, 11/30/2027 | 200,000 | 197,141 |
3.88%, 12/31/2027 | 105,000 | 103,466 |
Total U.S. Treasury Obligations (Cost $21,354,829) | 20,143,426 | |
Corporate Bonds — 25.9% | ||
Aerospace & Defense — 0.3% | ||
Boeing Co. (The) | ||
1.95%, 2/1/2024 | 4,000 | 3,863 |
4.88%, 5/1/2025 | 5,000 | 4,929 |
2.75%, 2/1/2026 | 15,000 | 13,906 |
2.70%, 2/1/2027 | 2,000 | 1,812 |
2.80%, 3/1/2027 | 20,000 | 18,175 |
General Dynamics Corp. | ||
2.38%, 11/15/2024 | 7,000 | 6,673 |
1.15%, 6/1/2026 | 10,000 | 8,852 |
Huntington Ingalls Industries, Inc. 3.84%, 5/1/2025 | 10,000 | 9,635 |
Leidos, Inc. 3.63%, 5/15/2025 | 4,000 | 3,842 |
Lockheed Martin Corp. 3.55%, 1/15/2026 | 2,000 | 1,933 |
Northrop Grumman Corp. 3.25%, 1/15/2028 | 11,000 | 10,161 |
Precision Castparts Corp. 3.25%, 6/15/2025 | 16,000 | 15,390 |
Raytheon Technologies Corp. | ||
3.20%, 3/15/2024 | 16,000 | 15,672 |
3.13%, 5/4/2027 | 6,000 | 5,561 |
120,404 | ||
Air Freight & Logistics — 0.0% ^ | ||
FedEx Corp. 3.25%, 4/1/2026 | 13,000 | 12,302 |
GXO Logistics, Inc. 1.65%, 7/15/2026 | 4,000 | 3,431 |
15,733 | ||
Airlines — 0.0% ^ | ||
Southwest Airlines Co. 5.25%, 5/4/2025 | 2,000 | 1,991 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 15 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Auto Components — 0.0% ^ | ||
BorgWarner, Inc. 2.65%, 7/1/2027 | 8,000 | 7,183 |
Lear Corp. 3.80%, 9/15/2027 | 5,000 | 4,670 |
11,853 | ||
Automobiles — 0.1% | ||
Harley-Davidson, Inc. 3.50%, 7/28/2025 | 8,000 | 7,691 |
Honda Motor Co. Ltd. (Japan) 2.53%, 3/10/2027 | 13,000 | 11,939 |
Toyota Motor Corp. (Japan) 1.34%, 3/25/2026 | 28,000 | 25,119 |
44,749 | ||
Banks — 7.6% | ||
Bangko Sentral ng Pilipinas International Bond (Philippines) 8.60%, 6/15/2027 | 13,000 | 14,795 |
Bank of America Corp. | ||
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (a) | 35,000 | 32,606 |
3.50%, 4/19/2026 | 39,000 | 37,251 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (a) | 154,000 | 139,672 |
(SOFR + 0.96%), 1.73%, 7/22/2027 (a) | 51,000 | 44,936 |
(SOFR + 1.58%), 4.38%, 4/27/2028 (a) | 6,000 | 5,735 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (a) | 7,000 | 6,389 |
Bank of Montreal (Canada) | ||
(SOFR + 0.60%), 0.95%, 1/22/2027 (a) | 9,000 | 7,925 |
2.65%, 3/8/2027 | 39,000 | 35,555 |
Bank of Nova Scotia (The) (Canada) 2.95%, 3/11/2027 | 15,000 | 13,772 |
Barclays plc (United Kingdom) 3.65%, 3/16/2025 | 40,000 | 38,404 |
Citigroup, Inc. | ||
3.70%, 1/12/2026 | 4,000 | 3,838 |
(SOFR + 0.77%), 1.12%, 1/28/2027 (a) | 63,000 | 55,907 |
(SOFR + 0.77%), 1.46%, 6/9/2027 (a) | 139,000 | 121,502 |
Fifth Third Bancorp | ||
4.30%, 1/16/2024 | 12,000 | 11,865 |
3.65%, 1/25/2024 | 12,000 | 11,822 |
(SOFR + 0.69%), 1.71%, 11/1/2027 (a) | 12,000 | 10,626 |
First Citizens BancShares, Inc. (3-MONTH CME TERM SOFR + 2.47%), 3.38%, 3/15/2030 (a) | 20,000 | 18,800 |
HSBC Holdings plc (United Kingdom) (SOFR + 1.40%), 2.63%, 11/7/2025 (a) | 30,000 | 28,414 |
Huntington Bancshares, Inc. 4.00%, 5/15/2025 | 8,000 | 7,772 |
KeyCorp 2.25%, 4/6/2027 | 1,000 | 890 |
Korea Development Bank (The) (South Korea) 0.40%, 6/19/2024 | 200,000 | 187,781 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Kreditanstalt fuer Wiederaufbau (Germany) | ||
2.63%, 2/28/2024 | 54,000 | 52,629 |
0.25%, 3/8/2024 | 22,000 | 20,907 |
1.38%, 8/5/2024 | 10,000 | 9,486 |
2.50%, 11/20/2024 | 100,000 | 95,854 |
0.38%, 7/18/2025 | 27,000 | 24,407 |
0.63%, 1/22/2026 | 25,000 | 22,350 |
1.00%, 10/1/2026 | 8,000 | 7,091 |
Landwirtschaftliche Rentenbank (Germany) | ||
Series 40, 0.50%, 5/27/2025 | 13,000 | 11,815 |
0.88%, 3/30/2026 | 86,000 | 76,900 |
1.75%, 7/27/2026 | 1,000 | 912 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.41%, 3/7/2024 | 8,000 | 7,832 |
3.78%, 3/2/2025 | 40,000 | 38,838 |
3.68%, 2/22/2027 | 45,000 | 42,919 |
3.29%, 7/25/2027 | 25,000 | 23,167 |
NatWest Group plc (United Kingdom) 5.13%, 5/28/2024 | 100,000 | 99,541 |
Oesterreichische Kontrollbank AG (Austria) | ||
0.38%, 9/17/2025 | 4,000 | 3,587 |
0.50%, 2/2/2026 | 38,000 | 33,707 |
3.63%, 9/9/2027 | 20,000 | 19,381 |
PNC Financial Services Group, Inc. (The) | ||
3.50%, 1/23/2024 | 10,000 | 9,845 |
1.15%, 8/13/2026 | 160,000 | 140,482 |
Royal Bank of Canada (Canada) 1.40%, 11/2/2026 | 207,000 | 180,606 |
Santander Holdings USA, Inc. (SOFR + 1.25%), 2.49%, 1/6/2028 (a) | 64,000 | 55,793 |
Santander UK plc (United Kingdom) 4.00%, 3/13/2024 | 32,000 | 31,569 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
3.01%, 10/19/2026 | 93,000 | 85,583 |
3.45%, 1/11/2027 | 16,000 | 14,916 |
3.54%, 1/17/2028 | 44,000 | 40,562 |
SVB Financial Group 1.80%, 10/28/2026 | 46,000 | 40,155 |
Toronto-Dominion Bank (The) (Canada) | ||
0.75%, 9/11/2025 | 5,000 | 4,465 |
1.25%, 9/10/2026 | 32,000 | 27,893 |
2.80%, 3/10/2027 | 16,000 | 14,622 |
(USD Swap Semi 5 Year + 2.21%), 3.62%, 9/15/2031 (a) (b) | 7,000 | 6,509 |
Truist Financial Corp. | ||
3.70%, 6/5/2025 | 6,000 | 5,804 |
16 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
1.13%, 8/3/2027 | 68,000 | 57,901 |
(SOFR + 1.37%), 4.12%, 6/6/2028 (a) | 22,000 | 21,042 |
US Bancorp | ||
Series V, 2.38%, 7/22/2026 | 55,000 | 50,468 |
(SOFR + 0.73%), 2.22%, 1/27/2028 (a) | 124,000 | 111,206 |
Valley National Bancorp (3-MONTH CME TERM SOFR + 2.36%), 3.00%, 6/15/2031 (a) | 57,000 | 50,410 |
Wells Fargo & Co. | ||
3.30%, 9/9/2024 | 16,000 | 15,539 |
(SOFR + 0.51%), 0.80%, 5/19/2025 (a) | 10,000 | 9,440 |
3.55%, 9/29/2025 | 13,000 | 12,450 |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (a) | 50,000 | 46,812 |
3.00%, 4/22/2026 | 8,000 | 7,468 |
(SOFR + 2.00%), 2.19%, 4/30/2026 (a) | 25,000 | 23,256 |
3.00%, 10/23/2026 | 2,000 | 1,848 |
(ICE LIBOR USD 3 Month + 1.17%), 3.20%, 6/17/2027 (a) | 5,000 | 4,640 |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (a) | 52,000 | 45,273 |
Westpac Banking Corp. (Australia) | ||
3.35%, 3/8/2027 | 2,000 | 1,881 |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (a) (b) | 127,000 | 119,700 |
2,665,718 | ||
Beverages — 0.3% | ||
Anheuser-Busch Cos. LLC (Belgium) 3.65%, 2/1/2026 | 16,000 | 15,334 |
Coca-Cola Co. (The) | ||
1.75%, 9/6/2024 | 50,000 | 48,028 |
1.45%, 6/1/2027 | 16,000 | 14,055 |
Constellation Brands, Inc. 4.35%, 5/9/2027 | 5,000 | 4,830 |
Keurig Dr Pepper, Inc. | ||
3.13%, 12/15/2023 | 14,000 | 13,777 |
3.40%, 11/15/2025 | 2,000 | 1,905 |
PepsiCo, Inc. | ||
2.85%, 2/24/2026 | 10,000 | 9,453 |
2.38%, 10/6/2026 | 2,000 | 1,845 |
109,227 | ||
Biotechnology — 0.3% | ||
AbbVie, Inc. | ||
2.60%, 11/21/2024 | 10,000 | 9,541 |
3.80%, 3/15/2025 | 42,000 | 40,743 |
3.60%, 5/14/2025 | 15,000 | 14,434 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Biotechnology — continued | ||
Amgen, Inc. 1.90%, 2/21/2025 | 8,000 | 7,481 |
Baxalta, Inc. 4.00%, 6/23/2025 | 4,000 | 3,878 |
Gilead Sciences, Inc. 3.65%, 3/1/2026 | 13,000 | 12,418 |
88,495 | ||
Building Products — 0.0% ^ | ||
Lennox International, Inc. 1.35%, 8/1/2025 | 2,000 | 1,815 |
Capital Markets — 2.9% | ||
Ameriprise Financial, Inc. | ||
3.70%, 10/15/2024 | 2,000 | 1,953 |
2.88%, 9/15/2026 | 2,000 | 1,852 |
Bain Capital Specialty Finance, Inc. 2.55%, 10/13/2026 | 24,000 | 20,644 |
Bank of New York Mellon Corp. (The) | ||
1.60%, 4/24/2025 | 10,000 | 9,269 |
1.05%, 10/15/2026 | 173,000 | 150,347 |
BlackRock, Inc. 3.50%, 3/18/2024 | 4,000 | 3,932 |
Blackstone Private Credit Fund 2.63%, 12/15/2026 | 16,000 | 13,589 |
Blackstone Secured Lending Fund 2.75%, 9/16/2026 | 2,000 | 1,742 |
Brookfield Finance, Inc. (Canada) 3.90%, 1/25/2028 | 6,000 | 5,588 |
Charles Schwab Corp. (The) | ||
0.90%, 3/11/2026 | 74,000 | 65,278 |
2.45%, 3/3/2027 | 30,000 | 27,222 |
CME Group, Inc. 3.00%, 3/15/2025 | 2,000 | 1,927 |
Deutsche Bank AG (Germany) 4.10%, 1/13/2026 | 139,000 | 133,103 |
Franklin Resources, Inc. 2.85%, 3/30/2025 | 2,000 | 1,899 |
FS KKR Capital Corp. 3.40%, 1/15/2026 | 6,000 | 5,435 |
Goldman Sachs Group, Inc. (The) | ||
3.63%, 2/20/2024 | 9,000 | 8,831 |
3.85%, 7/8/2024 | 15,000 | 14,683 |
3.50%, 4/1/2025 | 50,000 | 48,140 |
3.75%, 5/22/2025 | 15,000 | 14,499 |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (a) | 14,000 | 13,458 |
3.75%, 2/25/2026 | 5,000 | 4,778 |
(SOFR + 0.82%), 1.54%, 9/10/2027 (a) | 15,000 | 13,024 |
(SOFR + 0.91%), 1.95%, 10/21/2027 (a) | 62,000 | 54,272 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (a) | 14,000 | 12,515 |
Golub Capital BDC, Inc. 2.05%, 2/15/2027 | 27,000 | 22,600 |
Intercontinental Exchange, Inc. 3.75%, 12/1/2025 | 7,000 | 6,744 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 17 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | 5,000 | 4,928 |
Jefferies Financial Group, Inc. 4.85%, 1/15/2027 | 5,000 | 4,904 |
Moody's Corp. 4.88%, 2/15/2024 | 2,000 | 1,988 |
Morgan Stanley | ||
3.70%, 10/23/2024 | 29,000 | 28,251 |
Series I, (SOFR + 0.75%), 0.86%, 10/21/2025 (a) | 107,000 | 98,605 |
4.35%, 9/8/2026 | 4,000 | 3,847 |
(SOFR + 0.88%), 1.59%, 5/4/2027 (a) | 24,000 | 21,195 |
(SOFR + 0.86%), 1.51%, 7/20/2027 (a) | 15,000 | 13,093 |
Northern Trust Corp. (ICE LIBOR USD 3 Month + 1.13%), 3.38%, 5/8/2032 (a) | 38,000 | 34,482 |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | 10,000 | 8,495 |
S&P Global, Inc. 2.45%, 3/1/2027 (c) | 14,000 | 12,703 |
State Street Corp. | ||
3.70%, 11/20/2023 | 9,000 | 8,896 |
(ICE LIBOR USD 3 Month + 0.77%), 3.78%, 12/3/2024 (a) | 5,000 | 4,935 |
3.55%, 8/18/2025 | 24,000 | 23,148 |
(SOFR + 0.94%), 2.35%, 11/1/2025 (a) | 48,000 | 45,651 |
(SOFR + 0.56%), 1.68%, 11/18/2027 (a) | 25,000 | 22,083 |
(SOFR + 0.73%), 2.20%, 2/7/2028 (a) | 29,000 | 26,067 |
1,020,595 | ||
Chemicals — 0.3% | ||
Air Products and Chemicals, Inc. | ||
1.50%, 10/15/2025 | 21,000 | 19,161 |
1.85%, 5/15/2027 | 9,000 | 8,010 |
Celanese US Holdings LLC | ||
3.50%, 5/8/2024 | 19,000 | 18,485 |
1.40%, 8/5/2026 | 34,000 | 28,960 |
DuPont de Nemours, Inc. 4.49%, 11/15/2025 | 10,000 | 9,835 |
Ecolab, Inc. 1.65%, 2/1/2027 | 12,000 | 10,610 |
LYB International Finance II BV 3.50%, 3/2/2027 | 5,000 | 4,674 |
Nutrien Ltd. (Canada) 3.00%, 4/1/2025 | 6,000 | 5,704 |
105,439 | ||
Consumer Finance — 2.1% | ||
AerCap Ireland Capital DAC (Ireland) 3.15%, 2/15/2024 | 150,000 | 146,253 |
Ally Financial, Inc. 3.88%, 5/21/2024 | 87,000 | 85,209 |
American Express Co. 1.65%, 11/4/2026 | 25,000 | 22,104 |
American Honda Finance Corp. | ||
3.63%, 10/10/2023 | 6,000 | 5,939 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
1.20%, 7/8/2025 | 15,000 | 13,675 |
Capital One Financial Corp. | ||
3.30%, 10/30/2024 | 51,000 | 49,248 |
(SOFR + 1.29%), 2.64%, 3/3/2026 (a) | 3,000 | 2,821 |
(SOFR + 0.86%), 1.88%, 11/2/2027 (a) | 14,000 | 12,236 |
(SOFR + 2.06%), 4.93%, 5/10/2028 (a) | 11,000 | 10,641 |
Caterpillar Financial Services Corp. | ||
3.65%, 12/7/2023 | 6,000 | 5,921 |
3.30%, 6/9/2024 | 12,000 | 11,705 |
3.25%, 12/1/2024 | 6,000 | 5,823 |
0.80%, 11/13/2025 | 12,000 | 10,753 |
1.15%, 9/14/2026 | 1,000 | 879 |
1.10%, 9/14/2027 | 49,000 | 41,904 |
General Motors Financial Co., Inc. | ||
5.10%, 1/17/2024 | 42,000 | 41,807 |
5.25%, 3/1/2026 | 5,000 | 4,943 |
4.00%, 10/6/2026 | 63,000 | 59,740 |
John Deere Capital Corp. | ||
0.40%, 10/10/2023 | 2,000 | 1,940 |
2.65%, 6/24/2024 | 11,000 | 10,652 |
1.70%, 1/11/2027 | 44,000 | 39,226 |
PACCAR Financial Corp. | ||
1.10%, 5/11/2026 | 1,000 | 888 |
2.00%, 2/4/2027 | 2,000 | 1,801 |
Synchrony Financial | ||
3.70%, 8/4/2026 | 12,000 | 11,136 |
3.95%, 12/1/2027 | 89,000 | 81,130 |
Toyota Motor Credit Corp. | ||
2.25%, 10/18/2023 | 17,000 | 16,688 |
0.45%, 1/11/2024 | 20,000 | 19,195 |
0.80%, 10/16/2025 | 3,000 | 2,690 |
3.05%, 3/22/2027 | 17,000 | 15,823 |
1.15%, 8/13/2027 | 10,000 | 8,508 |
741,278 | ||
Containers & Packaging — 0.0% ^ | ||
Berry Global, Inc. 1.57%, 1/15/2026 | 2,000 | 1,784 |
WRKCo, Inc. 4.65%, 3/15/2026 | 3,000 | 2,939 |
4,723 | ||
Diversified Consumer Services — 0.0% ^ | ||
Leland Stanford Junior University (The) 1.29%, 6/1/2027 | 2,000 | 1,749 |
Yale University Series 2020, 0.87%, 4/15/2025 | 9,000 | 8,259 |
10,008 |
18 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Financial Services — 0.2% | ||
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | 6,000 | 5,731 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (c) | 5,000 | 4,926 |
National Rural Utilities Cooperative Finance Corp. | ||
1.00%, 6/15/2026 | 35,000 | 30,607 |
(ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (a) | 8,000 | 7,564 |
ORIX Corp. (Japan) 5.00%, 9/13/2027 | 6,000 | 5,947 |
54,775 | ||
Diversified Telecommunication Services — 0.3% | ||
AT&T, Inc. | ||
2.95%, 7/15/2026 | 40,000 | 37,385 |
1.65%, 2/1/2028 | 21,000 | 17,843 |
TELUS Corp. (Canada) 3.70%, 9/15/2027 | 11,000 | 10,376 |
Verizon Communications, Inc. | ||
0.85%, 11/20/2025 | 13,000 | 11,623 |
3.00%, 3/22/2027 | 13,000 | 11,990 |
89,217 | ||
Electric Utilities — 0.8% | ||
American Electric Power Co., Inc. Series N, 1.00%, 11/1/2025 | 2,000 | 1,784 |
Avangrid, Inc. 3.20%, 4/15/2025 | 5,000 | 4,747 |
Duke Energy Corp. | ||
0.90%, 9/15/2025 | 22,000 | 19,676 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (a) | 6,000 | 4,778 |
Eversource Energy | ||
Series Q, 0.80%, 8/15/2025 | 20,000 | 17,883 |
Series U, 1.40%, 8/15/2026 | 16,000 | 14,045 |
Florida Power & Light Co. 3.13%, 12/1/2025 | 7,000 | 6,673 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 5,000 | 4,643 |
ITC Holdings Corp. 3.25%, 6/30/2026 | 10,000 | 9,341 |
NextEra Energy Capital Holdings, Inc. (ICE LIBOR USD 3 Month + 2.41%), 4.80%, 12/1/2077 (a) | 7,000 | 6,216 |
Oncor Electric Delivery Co. LLC 0.55%, 10/1/2025 | 101,000 | 90,108 |
Pacific Gas and Electric Co. | ||
3.15%, 1/1/2026 | 4,000 | 3,713 |
2.95%, 3/1/2026 | 6,000 | 5,524 |
Public Service Electric and Gas Co. 0.95%, 3/15/2026 | 5,000 | 4,428 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Southern Co. (The) | ||
Series B, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.73%), 4.00%, 1/15/2051 (a) | 35,000 | 32,737 |
Series 21-A, (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.92%), 3.75%, 9/15/2051 (a) | 4,000 | 3,439 |
Union Electric Co. 2.95%, 6/15/2027 | 24,000 | 22,197 |
Xcel Energy, Inc. 1.75%, 3/15/2027 | 18,000 | 15,801 |
267,733 | ||
Electrical Equipment — 0.0% ^ | ||
Emerson Electric Co. 0.88%, 10/15/2026 | 11,000 | 9,504 |
Electronic Equipment, Instruments & Components — 0.7% | ||
CDW LLC 5.50%, 12/1/2024 | 14,000 | 13,887 |
Jabil, Inc. 3.95%, 1/12/2028 | 5,000 | 4,627 |
TD SYNNEX Corp. 1.25%, 8/9/2024 | 182,000 | 169,926 |
Vontier Corp. 1.80%, 4/1/2026 | 67,000 | 58,565 |
247,005 | ||
Energy Equipment & Services — 0.1% | ||
Schlumberger Investment SA 3.65%, 12/1/2023 | 35,000 | 34,540 |
Entertainment — 0.3% | ||
TWDC Enterprises 18 Corp. | ||
1.85%, 7/30/2026 | 55,000 | 49,510 |
2.95%, 6/15/2027 | 15,000 | 13,897 |
Walt Disney Co. (The) 3.70%, 3/23/2027 | 22,000 | 21,064 |
Warnermedia Holdings, Inc. 3.76%, 3/15/2027 (c) | 14,000 | 12,844 |
97,315 | ||
Equity Real Estate Investment Trusts (REITs) — 0.8% | ||
American Tower Corp. | ||
2.95%, 1/15/2025 | 2,000 | 1,905 |
1.45%, 9/15/2026 | 32,000 | 27,834 |
2.75%, 1/15/2027 | 5,000 | 4,512 |
1.50%, 1/31/2028 | 11,000 | 9,088 |
AvalonBay Communities, Inc. | ||
4.20%, 12/15/2023 | 3,000 | 2,969 |
3.50%, 11/15/2024 | 10,000 | 9,674 |
3.45%, 6/1/2025 | 2,000 | 1,921 |
3.50%, 11/15/2025 | 2,000 | 1,910 |
Brixmor Operating Partnership LP 3.65%, 6/15/2024 | 2,000 | 1,937 |
Corporate Office Properties LP 2.25%, 3/15/2026 | 25,000 | 22,342 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 19 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Crown Castle, Inc. | ||
1.05%, 7/15/2026 | 15,000 | 12,977 |
5.00%, 1/11/2028 | 5,000 | 4,927 |
EPR Properties 4.50%, 6/1/2027 | 5,000 | 4,451 |
Equinix, Inc. 1.80%, 7/15/2027 | 9,000 | 7,721 |
ERP Operating LP 2.85%, 11/1/2026 | 1,000 | 920 |
Essex Portfolio LP 3.50%, 4/1/2025 | 8,000 | 7,690 |
Healthpeak Properties Interim, Inc. 1.35%, 2/1/2027 | 10,000 | 8,709 |
Mid-America Apartments LP 1.10%, 9/15/2026 | 27,000 | 23,398 |
Office Properties Income Trust 4.50%, 2/1/2025 | 42,000 | 38,771 |
Prologis LP 2.13%, 4/15/2027 | 4,000 | 3,602 |
Realty Income Corp. 3.88%, 4/15/2025 | 20,000 | 19,386 |
Simon Property Group LP 3.50%, 9/1/2025 | 48,000 | 46,050 |
SITE Centers Corp. 4.70%, 6/1/2027 | 6,000 | 5,626 |
Ventas Realty LP 3.25%, 10/15/2026 | 9,000 | 8,296 |
Welltower OP LLC | ||
4.00%, 6/1/2025 | 12,000 | 11,600 |
2.70%, 2/15/2027 | 2,000 | 1,804 |
290,020 | ||
Food & Staples Retailing — 0.5% | ||
Costco Wholesale Corp. 1.38%, 6/20/2027 | 3,000 | 2,624 |
Kroger Co. (The) | ||
3.50%, 2/1/2026 | 2,000 | 1,902 |
2.65%, 10/15/2026 | 5,000 | 4,608 |
Sysco Corp. 3.25%, 7/15/2027 | 7,000 | 6,476 |
Walgreens Boots Alliance, Inc. 3.45%, 6/1/2026 | 15,000 | 14,053 |
Walmart, Inc. 1.05%, 9/17/2026 | 147,000 | 129,125 |
158,788 | ||
Food Products — 0.2% | ||
Bunge Ltd. Finance Corp. 1.63%, 8/17/2025 | 17,000 | 15,505 |
Conagra Brands, Inc. 1.38%, 11/1/2027 | 9,000 | 7,488 |
J M Smucker Co. (The) 3.38%, 12/15/2027 | 5,000 | 4,629 |
JBS USA LUX SA 2.50%, 1/15/2027 (c) | 36,000 | 31,340 |
Kellogg Co. 3.25%, 4/1/2026 | 8,000 | 7,549 |
McCormick & Co., Inc. 3.40%, 8/15/2027 | 10,000 | 9,282 |
Mead Johnson Nutrition Co. (United Kingdom) 4.13%, 11/15/2025 | 5,000 | 4,869 |
Tyson Foods, Inc. 3.55%, 6/2/2027 | 5,000 | 4,677 |
85,339 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 3.00%, 6/15/2027 | 10,000 | 9,295 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Gas Utilities — continued | ||
National Fuel Gas Co. 5.50%, 1/15/2026 | 17,000 | 16,933 |
Southern California Gas Co. Series TT, 2.60%, 6/15/2026 | 11,000 | 10,171 |
36,399 | ||
Health Care Equipment & Supplies — 0.1% | ||
Baxter International, Inc. 1.92%, 2/1/2027 | 2,000 | 1,742 |
Stryker Corp. 0.60%, 12/1/2023 | 4,000 | 3,861 |
Zimmer Biomet Holdings, Inc. 3.05%, 1/15/2026 | 11,000 | 10,346 |
15,949 | ||
Health Care Providers & Services — 1.0% | ||
Cigna Group (The) | ||
0.61%, 3/15/2024 | 97,000 | 92,366 |
1.25%, 3/15/2026 | 45,000 | 39,964 |
CommonSpirit Health 2.76%, 10/1/2024 | 5,000 | 4,798 |
CVS Health Corp. | ||
3.88%, 7/20/2025 | 25,000 | 24,224 |
1.30%, 8/21/2027 | 29,000 | 24,430 |
Elevance Health, Inc. | ||
3.50%, 8/15/2024 | 9,000 | 8,759 |
3.35%, 12/1/2024 | 11,000 | 10,639 |
1.50%, 3/15/2026 | 13,000 | 11,628 |
HCA, Inc. | ||
5.00%, 3/15/2024 | 50,000 | 49,675 |
5.25%, 4/15/2025 | 9,000 | 8,907 |
Humana, Inc. 1.35%, 2/3/2027 | 78,000 | 67,159 |
UnitedHealth Group, Inc. 1.15%, 5/15/2026 | 2,000 | 1,773 |
344,322 | ||
Hotels, Restaurants & Leisure — 0.1% | ||
Expedia Group, Inc. 5.00%, 2/15/2026 | 14,000 | 13,810 |
Hyatt Hotels Corp. 4.85%, 3/15/2026 | 10,000 | 9,833 |
Marriott International, Inc. 5.00%, 10/15/2027 | 11,000 | 10,874 |
Starbucks Corp. 2.00%, 3/12/2027 | 5,000 | 4,447 |
38,964 | ||
Household Durables — 0.1% | ||
DR Horton, Inc. | ||
2.50%, 10/15/2024 | 13,000 | 12,399 |
2.60%, 10/15/2025 | 7,000 | 6,496 |
1.40%, 10/15/2027 | 2,000 | 1,675 |
Lennar Corp. 5.00%, 6/15/2027 | 10,000 | 9,792 |
PulteGroup, Inc. 5.00%, 1/15/2027 | 8,000 | 7,873 |
38,235 |
20 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Household Products — 0.3% | ||
Kimberly-Clark Corp. 3.05%, 8/15/2025 | 16,000 | 15,278 |
Procter & Gamble Co. (The) | ||
1.90%, 2/1/2027 | 26,000 | 23,667 |
2.80%, 3/25/2027 | 53,000 | 49,405 |
88,350 | ||
Industrial Conglomerates — 0.2% | ||
Honeywell International, Inc. 1.10%, 3/1/2027 | 92,000 | 80,036 |
Insurance — 0.3% | ||
Aflac, Inc. 1.13%, 3/15/2026 | 17,000 | 15,133 |
Allied World Assurance Co. Holdings Ltd. 4.35%, 10/29/2025 | 9,000 | 8,633 |
Kemper Corp. 4.35%, 2/15/2025 | 6,000 | 5,852 |
Manulife Financial Corp. (Canada) 2.48%, 5/19/2027 | 18,000 | 16,321 |
Old Republic International Corp. 3.88%, 8/26/2026 | 39,000 | 37,109 |
Prudential Financial, Inc. | ||
1.50%, 3/10/2026 | 18,000 | 16,233 |
(ICE LIBOR USD 3 Month + 3.03%), 5.38%, 5/15/2045 (a) | 10,000 | 9,733 |
RenaissanceRe Finance, Inc. (Bermuda) 3.70%, 4/1/2025 | 5,000 | 4,826 |
113,840 | ||
Interactive Media & Services — 0.0% ^ | ||
Alphabet, Inc. 0.80%, 8/15/2027 | 15,000 | 12,800 |
Internet & Direct Marketing Retail — 0.1% | ||
Amazon.com, Inc. | ||
2.80%, 8/22/2024 | 7,000 | 6,777 |
0.80%, 6/3/2025 | 25,000 | 22,812 |
eBay, Inc. | ||
1.90%, 3/11/2025 | 2,000 | 1,870 |
1.40%, 5/10/2026 | 19,000 | 16,873 |
48,332 | ||
IT Services — 0.7% | ||
Fidelity National Information Services, Inc. 4.70%, 7/15/2027 | 7,000 | 6,812 |
Global Payments, Inc. 4.95%, 8/15/2027 | 10,000 | 9,679 |
Kyndryl Holdings, Inc. 2.05%, 10/15/2026 | 82,000 | 70,514 |
Mastercard, Inc. 3.38%, 4/1/2024 | 7,000 | 6,872 |
PayPal Holdings, Inc. 2.40%, 10/1/2024 | 8,000 | 7,662 |
Visa, Inc. | ||
1.90%, 4/15/2027 | 35,000 | 31,417 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
IT Services — continued | ||
0.75%, 8/15/2027 | 8,000 | 6,803 |
Western Union Co. (The) 1.35%, 3/15/2026 | 100,000 | 87,891 |
227,650 | ||
Leisure Products — 0.0% ^ | ||
Hasbro, Inc. | ||
3.00%, 11/19/2024 | 5,000 | 4,793 |
3.55%, 11/19/2026 | 3,000 | 2,788 |
7,581 | ||
Machinery — 0.1% | ||
CNH Industrial Capital LLC 1.45%, 7/15/2026 | 3,000 | 2,655 |
CNH Industrial NV (United Kingdom) 3.85%, 11/15/2027 | 6,000 | 5,685 |
Cummins, Inc. 0.75%, 9/1/2025 | 26,000 | 23,467 |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (a) | 8,000 | 6,892 |
38,699 | ||
Media — 0.4% | ||
Charter Communications Operating LLC 4.91%, 7/23/2025 | 10,000 | 9,782 |
Comcast Corp. | ||
3.38%, 8/15/2025 | 12,000 | 11,526 |
3.95%, 10/15/2025 | 61,000 | 59,292 |
2.35%, 1/15/2027 | 20,000 | 18,128 |
Paramount Global 4.00%, 1/15/2026 | 16,000 | 15,276 |
TCI Communications, Inc. 7.88%, 2/15/2026 | 1,000 | 1,077 |
WPP Finance 2010 (United Kingdom) 3.75%, 9/19/2024 | 33,000 | 31,982 |
147,063 | ||
Metals & Mining — 0.0% ^ | ||
ArcelorMittal SA (Luxembourg) 4.55%, 3/11/2026 | 14,000 | 13,629 |
BHP Billiton Finance USA Ltd. (Australia) 6.42%, 3/1/2026 | 1,000 | 1,036 |
14,665 | ||
Multiline Retail — 0.1% | ||
Dollar General Corp. 3.88%, 4/15/2027 | 12,000 | 11,415 |
Target Corp. 2.25%, 4/15/2025 | 15,000 | 14,173 |
25,588 | ||
Multi-Utilities — 0.3% | ||
Ameren Corp. 3.65%, 2/15/2026 | 52,000 | 49,459 |
Dominion Energy, Inc. | ||
3.07%, 8/15/2024 (d) | 22,000 | 21,210 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 21 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
(ICE LIBOR USD 3 Month + 3.06%), 5.75%, 10/1/2054 (a) | 7,000 | 6,752 |
DTE Energy Co. 2.85%, 10/1/2026 | 3,000 | 2,754 |
NiSource, Inc. 0.95%, 8/15/2025 | 10,000 | 9,017 |
Sempra Energy (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.87%), 4.12%, 4/1/2052 (a) | 21,000 | 17,792 |
106,984 | ||
Oil, Gas & Consumable Fuels — 1.4% | ||
BP Capital Markets America, Inc. 3.41%, 2/11/2026 | 11,000 | 10,505 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 14,000 | 13,049 |
Canadian Natural Resources Ltd. (Canada) | ||
3.90%, 2/1/2025 | 12,000 | 11,628 |
2.05%, 7/15/2025 | 5,000 | 4,621 |
Cheniere Corpus Christi Holdings LLC 5.88%, 3/31/2025 | 10,000 | 10,034 |
Chevron Corp. 2.00%, 5/11/2027 | 13,000 | 11,646 |
Chevron USA, Inc. | ||
0.69%, 8/12/2025 | 3,000 | 2,707 |
1.02%, 8/12/2027 | 38,000 | 32,462 |
Enbridge, Inc. (Canada) | ||
1.60%, 10/4/2026 | 9,000 | 7,907 |
3.70%, 7/15/2027 | 5,000 | 4,684 |
Energy Transfer LP | ||
4.25%, 4/1/2024 | 9,000 | 8,854 |
2.90%, 5/15/2025 | 13,000 | 12,269 |
4.75%, 1/15/2026 | 7,000 | 6,850 |
Enterprise Products Operating LLC 3.75%, 2/15/2025 | 45,000 | 43,697 |
Equinor ASA (Norway) | ||
3.70%, 3/1/2024 | 10,000 | �� 9,847 |
3.25%, 11/10/2024 | 37,000 | 35,927 |
1.75%, 1/22/2026 | 39,000 | 35,609 |
Exxon Mobil Corp. | ||
3.18%, 3/15/2024 | 55,000 | 53,857 |
3.04%, 3/1/2026 | 9,000 | 8,529 |
2.28%, 8/16/2026 | 21,000 | 19,269 |
Kinder Morgan Energy Partners LP 4.15%, 2/1/2024 | 18,000 | 17,760 |
Kinder Morgan, Inc. 1.75%, 11/15/2026 | 6,000 | 5,259 |
Marathon Petroleum Corp. 4.70%, 5/1/2025 | 6,000 | 5,916 |
MPLX LP 4.88%, 12/1/2024 | 23,000 | 22,697 |
ONEOK, Inc. 2.20%, 9/15/2025 | 8,000 | 7,335 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Ovintiv Exploration, Inc. 5.38%, 1/1/2026 | 5,000 | 4,956 |
Petroleos Mexicanos (Mexico) 6.84%, 1/23/2030 (e) | 1 | 1 |
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 15,000 | 13,355 |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 23,000 | 22,973 |
Spectra Energy Partners LP 4.75%, 3/15/2024 | 4,000 | 3,966 |
TransCanada PipeLines Ltd. (Canada) 3.75%, 10/16/2023 | 8,000 | 7,916 |
Williams Cos., Inc. (The) | ||
4.50%, 11/15/2023 | 25,000 | 24,840 |
3.90%, 1/15/2025 | 3,000 | 2,910 |
483,835 | ||
Paper & Forest Products — 0.1% | ||
Fibria Overseas Finance Ltd. (Brazil) | ||
4.00%, 1/14/2025 | 6,000 | 5,864 |
5.50%, 1/17/2027 | 6,000 | 5,989 |
Georgia-Pacific LLC 8.00%, 1/15/2024 | 16,000 | 16,342 |
28,195 | ||
Personal Products — 0.0% ^ | ||
Estee Lauder Cos., Inc. (The) 2.00%, 12/1/2024 | 7,000 | 6,642 |
Pharmaceuticals — 0.6% | ||
AstraZeneca plc (United Kingdom) 3.13%, 6/12/2027 | 14,000 | 13,106 |
Eli Lilly & Co. 2.75%, 6/1/2025 | 15,000 | 14,257 |
GlaxoSmithKline Capital, Inc. (United Kingdom) 3.63%, 5/15/2025 | 2,000 | 1,941 |
Johnson & Johnson | ||
0.55%, 9/1/2025 | 48,000 | 43,404 |
0.95%, 9/1/2027 | 102,000 | 87,362 |
Merck & Co., Inc. | ||
2.75%, 2/10/2025 | 17,000 | 16,307 |
1.70%, 6/10/2027 | 41,000 | 36,206 |
Novartis Capital Corp. (Switzerland) 1.75%, 2/14/2025 | 2,000 | 1,878 |
214,461 | ||
Professional Services — 0.0% ^ | ||
Equifax, Inc. 5.10%, 12/15/2027 | 5,000 | 4,951 |
Road & Rail — 0.3% | ||
BNSF Funding Trust I (ICE LIBOR USD 3 Month + 2.35%), 6.61%, 12/15/2055 (a) | 3,000 | 2,918 |
Burlington Northern Santa Fe LLC | ||
3.75%, 4/1/2024 | 14,000 | 13,782 |
22 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Road & Rail — continued | ||
3.00%, 4/1/2025 | 22,000 | 21,061 |
3.65%, 9/1/2025 | 8,000 | 7,712 |
3.25%, 6/15/2027 | 11,000 | 10,378 |
Canadian Pacific Railway Co. (Canada) 1.75%, 12/2/2026 | 7,000 | 6,197 |
JB Hunt Transport Services, Inc. 3.88%, 3/1/2026 | 5,000 | 4,806 |
Ryder System, Inc. | ||
4.63%, 6/1/2025 | 8,000 | 7,815 |
1.75%, 9/1/2026 | 5,000 | 4,417 |
Union Pacific Corp. | ||
3.25%, 1/15/2025 | 19,000 | 18,342 |
2.15%, 2/5/2027 | 1,000 | 905 |
98,333 | ||
Semiconductors & Semiconductor Equipment — 0.5% | ||
Broadcom Corp. 3.50%, 1/15/2028 | 13,000 | 11,873 |
Broadcom, Inc. 3.63%, 10/15/2024 | 10,000 | 9,701 |
Intel Corp. 3.40%, 3/25/2025 | 2,000 | 1,935 |
NXP BV (China) | ||
4.88%, 3/1/2024 | 54,000 | 53,540 |
2.70%, 5/1/2025 | 7,000 | 6,574 |
Texas Instruments, Inc. | ||
1.38%, 3/12/2025 | 3,000 | 2,793 |
1.13%, 9/15/2026 | 84,000 | 73,903 |
160,319 | ||
Software — 0.3% | ||
Adobe, Inc. 1.90%, 2/1/2025 | 7,000 | 6,610 |
Intuit, Inc. 1.35%, 7/15/2027 | 10,000 | 8,652 |
Microsoft Corp. | ||
2.70%, 2/12/2025 | 15,000 | 14,438 |
3.30%, 2/6/2027 | 28,000 | 26,746 |
Oracle Corp. | ||
1.65%, 3/25/2026 | 6,000 | 5,361 |
3.25%, 11/15/2027 | 28,000 | 25,618 |
VMware, Inc. 3.90%, 8/21/2027 | 13,000 | 12,149 |
99,574 | ||
Specialty Retail — 0.2% | ||
AutoNation, Inc. 4.50%, 10/1/2025 | 7,000 | 6,804 |
AutoZone, Inc. 3.13%, 4/21/2026 | 9,000 | 8,435 |
Home Depot, Inc. (The) | ||
3.35%, 9/15/2025 | 5,000 | 4,806 |
2.50%, 4/15/2027 | 8,000 | 7,312 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — continued | ||
Lowe's Cos., Inc. | ||
3.13%, 9/15/2024 | 30,000 | 29,001 |
3.38%, 9/15/2025 | 6,000 | 5,728 |
3.10%, 5/3/2027 | 8,000 | 7,431 |
O'Reilly Automotive, Inc. 3.60%, 9/1/2027 | 5,000 | 4,690 |
74,207 | ||
Technology Hardware, Storage & Peripherals — 0.4% | ||
Apple, Inc. | ||
3.00%, 2/9/2024 | 15,000 | 14,697 |
2.75%, 1/13/2025 | 10,000 | 9,614 |
2.50%, 2/9/2025 | 2,000 | 1,912 |
3.00%, 11/13/2027 | 13,000 | 12,107 |
Dell International LLC | ||
5.85%, 7/15/2025 | 14,000 | 14,096 |
6.10%, 7/15/2027 | 14,000 | 14,385 |
Hewlett Packard Enterprise Co. 1.45%, 4/1/2024 | 12,000 | 11,483 |
HP, Inc. | ||
2.20%, 6/17/2025 | 38,000 | 35,477 |
1.45%, 6/17/2026 | 2,000 | 1,755 |
Western Digital Corp. 4.75%, 2/15/2026 | 17,000 | 16,026 |
131,552 | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||
NIKE, Inc. 2.40%, 3/27/2025 | 20,000 | 19,084 |
PVH Corp. 4.63%, 7/10/2025 | 6,000 | 5,859 |
VF Corp. 2.80%, 4/23/2027 | 7,000 | 6,343 |
31,286 | ||
Thrifts & Mortgage Finance — 0.0% ^ | ||
Radian Group, Inc. 4.88%, 3/15/2027 | 5,000 | 4,679 |
Tobacco — 0.2% | ||
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 36,000 | 34,704 |
2.79%, 9/6/2024 | 15,000 | 14,372 |
4.70%, 4/2/2027 | 16,000 | 15,472 |
Philip Morris International, Inc. 1.50%, 5/1/2025 | 3,000 | 2,776 |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | 12,000 | 11,680 |
79,004 | ||
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 3.40%, 3/1/2025 | 1,000 | 963 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 23 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Wireless Telecommunication Services — 0.1% | ||
Rogers Communications, Inc. (Canada) | ||
2.95%, 3/15/2025 (c) | 24,000 | 22,768 |
3.63%, 12/15/2025 | 5,000 | 4,749 |
T-Mobile USA, Inc. 1.50%, 2/15/2026 | 2,000 | 1,790 |
Vodafone Group plc (United Kingdom) 4.13%, 5/30/2025 | 9,000 | 8,762 |
38,069 | ||
Total Corporate Bonds (Cost $9,607,542) | 9,117,791 | |
Mortgage-Backed Securities — 7.4% | ||
FHLMC Gold Pools, 15 Year | ||
Pool # J14776, 3.00%, 3/1/2026 | 4,934 | 4,793 |
Pool # G18452, 2.50%, 12/1/2027 | 15,890 | 15,087 |
Pool # G18511, 2.50%, 5/1/2029 | 1,554 | 1,455 |
Pool # G18549, 2.50%, 4/1/2030 | 15,548 | 14,478 |
Pool # G15520, 3.00%, 7/1/2030 | 7,424 | 7,006 |
Pool # G18568, 2.50%, 9/1/2030 | 7,444 | 6,931 |
Pool # J33012, 3.00%, 10/1/2030 | 18,959 | 17,925 |
Pool # G18600, 2.50%, 5/1/2031 | 5,574 | 5,176 |
Pool # G16028, 3.00%, 8/1/2031 | 4,451 | 4,208 |
Pool # J35495, 2.50%, 10/1/2031 | 11,302 | 10,478 |
Pool # G18626, 2.50%, 1/1/2032 | 25,546 | 23,720 |
Pool # G18632, 3.00%, 2/1/2032 | 5,850 | 5,522 |
Pool # J37147, 3.00%, 6/1/2032 | 7,210 | 6,806 |
Pool # G18715, 3.00%, 12/1/2033 | 3,976 | 3,734 |
FHLMC UMBS, 15 Year | ||
Pool # ZS8617, 2.50%, 8/1/2031 | 12,288 | 11,395 |
Pool # ZS7938, 2.50%, 1/1/2033 | 1,685 | 1,554 |
Pool # ZS7988, 3.50%, 2/1/2033 | 8,697 | 8,357 |
Pool # ZK9341, 3.00%, 3/1/2033 | 2,283 | 2,137 |
Pool # ZT0716, 3.00%, 10/1/2033 | 2,183 | 2,047 |
Pool # SB0194, 2.50%, 12/1/2033 | 4,664 | 4,302 |
Pool # SB0109, 2.50%, 11/1/2034 | 21,347 | 19,609 |
Pool # SB0264, 2.50%, 2/1/2035 | 10,781 | 9,862 |
Pool # QN2057, 3.00%, 5/1/2035 | 13,092 | 12,226 |
Pool # SB0345, 2.00%, 6/1/2035 | 66,812 | 59,459 |
Pool # SB0401, 2.00%, 7/1/2035 | 17,349 | 15,441 |
Pool # SB0394, 2.50%, 7/1/2035 | 9,582 | 8,765 |
Pool # SB8501, 2.00%, 8/1/2035 | 46,412 | 41,305 |
Pool # SB0406, 2.50%, 8/1/2035 | 17,974 | 16,444 |
Pool # SB8058, 2.50%, 8/1/2035 | 22,612 | 20,684 |
Pool # RC1591, 1.50%, 10/1/2035 | 56,062 | 48,467 |
Pool # QN4391, 1.50%, 11/1/2035 | 57,394 | 49,635 |
Pool # QN4278, 2.00%, 11/1/2035 | 6,667 | 5,927 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # QN4490, 1.50%, 12/1/2035 | 74,624 | 64,527 |
Pool # SB0450, 2.00%, 12/1/2035 | 40,431 | 36,081 |
Pool # QN4861, 1.50%, 1/1/2036 | 60,539 | 52,355 |
Pool # SB8088, 1.50%, 2/1/2036 | 14,560 | 12,591 |
Pool # SB8102, 1.50%, 5/1/2036 | 25,637 | 22,170 |
Pool # RC2089, 2.00%, 7/1/2036 | 68,812 | 61,234 |
Pool # SB8118, 1.50%, 9/1/2036 | 55,093 | 47,642 |
Pool # SB8127, 1.50%, 11/1/2036 | 70,122 | 60,638 |
FNMA UMBS, 15 Year | ||
Pool # AK3264, 3.00%, 2/1/2027 | 3,360 | 3,239 |
Pool # AV4793, 3.50%, 5/1/2029 | 7,341 | 7,021 |
Pool # AW3641, 3.00%, 6/1/2029 | 7,268 | 6,863 |
Pool # AS4489, 2.50%, 3/1/2030 | 1,721 | 1,601 |
Pool # AL6583, 3.00%, 3/1/2030 | 3,740 | 3,536 |
Pool # AS4860, 2.50%, 5/1/2030 | 12,912 | 12,009 |
Pool # AL9852, 3.00%, 9/1/2030 | 10,608 | 10,017 |
Pool # AS7467, 2.50%, 7/1/2031 | 6,070 | 5,630 |
Pool # AS7606, 2.50%, 7/1/2031 | 20,257 | 18,788 |
Pool # AS7620, 2.50%, 7/1/2031 | 30,648 | 28,422 |
Pool # AS7657, 2.50%, 8/1/2031 | 11,086 | 10,277 |
Pool # FM6169, 3.50%, 5/1/2032 | 47,815 | 45,970 |
Pool # 890822, 3.00%, 12/1/2032 | 34,714 | 32,729 |
Pool # BM3276, 3.50%, 12/1/2032 | 7,743 | 7,441 |
Pool # CA1089, 3.00%, 2/1/2033 | 6,560 | 6,185 |
Pool # FM3937, 3.00%, 4/1/2033 | 7,070 | 6,675 |
Pool # FM4036, 2.50%, 12/1/2033 | 8,070 | 7,484 |
Pool # BN3975, 3.00%, 1/1/2034 | 794 | 744 |
Pool # MA3631, 3.00%, 4/1/2034 | 6,962 | 6,508 |
Pool # MA3709, 2.50%, 6/1/2034 | 4,498 | 4,131 |
Pool # BJ5549, 3.00%, 8/1/2034 | 1,832 | 1,712 |
Pool # FM2403, 3.50%, 9/1/2034 | 7,488 | 7,195 |
Pool # FM5400, 2.50%, 10/1/2034 | 10,450 | 9,692 |
Pool # BO4944, 2.50%, 11/1/2034 | 26,424 | 24,258 |
Pool # MA3828, 3.00%, 11/1/2034 | 7,007 | 6,549 |
Pool # FM4671, 3.50%, 1/1/2035 | 2,230 | 2,143 |
Pool # BP5762, 2.50%, 6/1/2035 | 34,259 | 31,330 |
Pool # FM3654, 3.00%, 6/1/2035 | 21,617 | 20,205 |
Pool # FM3936, 2.50%, 8/1/2035 | 4,737 | 4,370 |
Pool # MA4154, 1.50%, 10/1/2035 | 37,015 | 32,000 |
Pool # CA7497, 2.50%, 10/1/2035 | 9,216 | 8,430 |
Pool # FM4850, 2.00%, 11/1/2035 | 31,216 | 27,781 |
Pool # FM5396, 2.00%, 12/1/2035 | 48,999 | 43,605 |
Pool # CA8788, 2.00%, 1/1/2036 | 64,517 | 57,414 |
Pool # FM6510, 2.00%, 3/1/2036 | 32,705 | 29,104 |
Pool # FM6512, 2.00%, 3/1/2036 | 35,104 | 31,239 |
24 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA4298, 2.50%, 3/1/2036 | 18,789 | 17,235 |
Pool # CB0302, 1.50%, 5/1/2036 | 51,284 | 44,352 |
Pool # FM7113, 2.00%, 5/1/2036 | 39,930 | 35,534 |
Pool # MA4329, 2.00%, 5/1/2036 | 62,168 | 55,323 |
Pool # BP3507, 2.00%, 6/1/2036 | 61,288 | 54,538 |
Pool # CB0747, 2.50%, 6/1/2036 | 9,979 | 9,133 |
Pool # MA4361, 2.50%, 6/1/2036 | 142 | 130 |
Pool # MA4383, 2.00%, 7/1/2036 | 180,826 | 160,912 |
Pool # MA4384, 2.50%, 7/1/2036 | 4,639 | 4,245 |
Pool # FM9020, 2.00%, 9/1/2036 | 24,425 | 21,734 |
Pool # FM9367, 1.50%, 11/1/2036 | 48,361 | 41,805 |
Pool # MA4470, 2.00%, 11/1/2036 | 34,486 | 30,688 |
Pool # MA4497, 2.00%, 12/1/2036 | 33,300 | 29,632 |
FNMA/FHLMC UMBS, Single Family, 15 Year | ||
TBA, 1.50%, 3/25/2038 (f) | 226,000 | 195,261 |
TBA, 2.00%, 3/25/2038 (f) | 205,000 | 181,833 |
TBA, 3.00%, 3/25/2038 (f) | 125,000 | 116,549 |
TBA, 3.50%, 3/25/2038 (f) | 50,000 | 47,656 |
TBA, 2.50%, 3/25/2053 (f) | 150,000 | 136,781 |
GNMA II, 15 Year | ||
Pool # MA4559, 3.00%, 7/20/2032 | 5,258 | 4,981 |
Pool # MA7107, 2.50%, 1/20/2036 | 19,310 | 17,548 |
Total Mortgage-Backed Securities (Cost $2,881,074) | 2,590,340 | |
Supranational — 2.5% | ||
African Development Bank (Supranational) | ||
0.88%, 3/23/2026 | 30,000 | 26,817 |
0.88%, 7/22/2026 | 3,000 | 2,652 |
Asian Development Bank (Supranational) | ||
0.38%, 6/11/2024 | 148,000 | 139,255 |
1.50%, 10/18/2024 | 12,000 | 11,339 |
2.00%, 1/22/2025 | 23,000 | 21,799 |
0.38%, 9/3/2025 | 120,000 | 107,914 |
1.00%, 4/14/2026 | 52,000 | 46,674 |
Asian Infrastructure Investment Bank (The) (Supranational) | ||
2.25%, 5/16/2024 | 84,000 | 81,006 |
0.50%, 5/28/2025 | 55,000 | 49,851 |
European Bank for Reconstruction & Development (Supranational) | ||
1.50%, 2/13/2025 | 5,000 | 4,688 |
0.50%, 11/25/2025 | 4,000 | 3,580 |
European Investment Bank (Supranational) | ||
1.63%, 3/14/2025 | 61,000 | 57,249 |
0.38%, 12/15/2025 | 11,000 | 9,804 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
0.38%, 3/26/2026 | 48,000 | 42,339 |
Inter-American Development Bank (Supranational) | ||
0.50%, 9/23/2024 | 44,000 | 40,992 |
0.63%, 7/15/2025 | 27,000 | 24,561 |
0.88%, 4/20/2026 | 73,000 | 65,211 |
International Bank for Reconstruction & Development (Supranational) | ||
2.50%, 11/25/2024 | 15,000 | 14,388 |
2.13%, 3/3/2025 | 5,000 | 4,744 |
0.63%, 4/22/2025 | 72,000 | 65,931 |
2.50%, 7/29/2025 | 34,000 | 32,332 |
International Finance Corp. (Supranational) | ||
0.38%, 7/16/2025 | 15,000 | 13,573 |
0.75%, 10/8/2026 | 14,000 | 12,270 |
Total Supranational (Cost $941,160) | 878,969 | |
Commercial Mortgage-Backed Securities — 2.2% | ||
Benchmark Mortgage Trust | ||
Series 2018-B3, Class A3, 3.75%, 4/10/2051 | 25,000 | 24,102 |
Series 2019-B12, Class A2, 3.00%, 8/15/2052 | 6,474 | 6,182 |
CGMS Commercial Mortgage Trust Series 2017-B1, Class AAB, 3.24%, 8/15/2050 | 14,656 | 13,934 |
Citigroup Commercial Mortgage Trust | ||
Series 2013-GC17, Class A4, 4.13%, 11/10/2046 | 20,000 | 19,769 |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | 7,465 | 7,179 |
Series 2020-GC46, Class A2, 2.71%, 2/15/2053 | 20,000 | 18,527 |
Commercial Mortgage Trust | ||
Series 2013-CR12, Class A4, 4.05%, 10/10/2046 | 75,000 | 74,102 |
Series 2014-CR16, Class A3, 3.78%, 4/10/2047 | 24,015 | 23,560 |
Series 2014-LC15, Class A4, 4.01%, 4/10/2047 | 20,000 | 19,662 |
CSAIL Commercial Mortgage Trust Series 2015-C3, Class A4, 3.72%, 8/15/2048 | 20,000 | 19,074 |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K046, Class A2, 3.21%, 3/25/2025 | 26,000 | 25,039 |
Series K047, Class A2, 3.33%, 5/25/2025 (g) | 70,000 | 67,487 |
Series K733, Class A2, 3.75%, 8/25/2025 | 30,000 | 29,134 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 25 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K063, Class A2, 3.43%, 1/25/2027 (g) | 100,000 | 95,471 |
FNMA ACES | ||
Series 2017-M10, Class AV2, 2.54%, 7/25/2024 (g) | 11,345 | 10,978 |
Series 2017-M1, Class A2, 2.41%, 10/25/2026 (g) | 38,284 | 35,442 |
Series 2015-M10, Class A2, 3.09%, 4/25/2027 (g) | 34,437 | 32,503 |
GS Mortgage Securities Trust | ||
Series 2014-GC18, Class A4, 4.07%, 1/10/2047 | 30,000 | 29,451 |
Series 2014-GC18, Class AS, 4.38%, 1/10/2047 | 17,000 | 16,530 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2013-C17, Class ASB, 3.71%, 1/15/2047 | 3,314 | 3,285 |
Series 2014-C19, Class C, 4.65%, 4/15/2047 (g) | 10,000 | 9,568 |
Series 2014-C23, Class C, 4.48%, 9/15/2047 (g) | 20,000 | 18,594 |
JPMorgan Chase Commercial Mortgage Securities Trust Series 2015-JP1, Class D, 4.23%, 1/15/2049 (g) | 10,000 | 8,448 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2014-C19, Class A3, 3.25%, 12/15/2047 | 5,552 | 5,373 |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | 17,761 | 17,217 |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 32,000 | 29,430 |
UBS Commercial Mortgage Trust Series 2018-C13, Class A2, 4.21%, 10/15/2051 | 5,365 | 5,308 |
UBS-Barclays Commercial Mortgage Trust Series 2013-C6, Class A4, 3.24%, 4/10/2046 | 5,411 | 5,384 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2013-LC12, Class A4, 4.22%, 7/15/2046 (g) | 12,000 | 11,939 |
Series 2014-LC18, Class A5, 3.41%, 12/15/2047 | 15,000 | 14,344 |
Series 2015-C31, Class A4, 3.70%, 11/15/2048 | 24,000 | 22,814 |
Series 2019-C54, Class A2, 3.01%, 12/15/2052 | 35,000 | 33,215 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
WFRBS Commercial Mortgage Trust | ||
Series 2012-C10, Class B, 3.74%, 12/15/2045 | 15,000 | 13,863 |
Series 2014-C20, Class A5, 4.00%, 5/15/2047 | 12,000 | 11,731 |
Total Commercial Mortgage-Backed Securities (Cost $828,521) | 778,639 | |
U.S. Government Agency Securities — 1.8% | ||
FFCB Funding Corp. | ||
4.50%, 11/18/2024 | 1,000 | 992 |
2.51%, 4/1/2025 | 4,000 | 3,808 |
3.32%, 2/25/2026 | 31,000 | 29,866 |
3.00%, 8/3/2026 | 7,000 | 6,657 |
1.00%, 10/7/2026 | 46,000 | 40,082 |
0.75%, 12/16/2026 | 18,000 | 15,496 |
FHLB | ||
0.66%, 10/28/2024 | 10,000 | 9,279 |
2.75%, 12/13/2024 | 25,000 | 23,999 |
0.50%, 4/14/2025 | 85,000 | 77,800 |
0.38%, 9/4/2025 | 10,000 | 9,013 |
0.75%, 2/24/2026 | 70,000 | 62,049 |
1.25%, 12/21/2026 | 140,000 | 124,186 |
0.90%, 2/26/2027 | 15,000 | 12,915 |
FHLMC | ||
5.20%, 1/10/2025 | 5,000 | 4,973 |
0.84%, 11/24/2027 | 92,000 | 77,585 |
FNMA | ||
0.50%, 11/7/2025 | 75,000 | 67,315 |
0.75%, 10/8/2027 | 64,000 | 54,812 |
Total U.S. Government Agency Securities (Cost $648,411) | 620,827 | |
Foreign Government Securities — 1.2% | ||
Canada Government Bond 0.75%, 5/19/2026 | 140,000 | 124,691 |
Export Development Canada | ||
2.63%, 2/21/2024 | 35,000 | 34,121 |
3.38%, 8/26/2025 | 5,000 | 4,849 |
3.00%, 5/25/2027 | 15,000 | 14,176 |
Hungary Government Bond 5.75%, 11/22/2023 | 1,000 | 1,001 |
Italian Republic Government Bond 6.88%, 9/27/2023 | 20,000 | 20,099 |
Province of Alberta 1.00%, 5/20/2025 | 13,000 | 11,949 |
Province of British Columbia | ||
2.25%, 6/2/2026 | 9,000 | 8,349 |
0.90%, 7/20/2026 | 38,000 | 33,633 |
26 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Province of Ontario | ||
0.63%, 1/21/2026 | 82,000 | 73,021 |
1.05%, 4/14/2026 | 8,000 | 7,158 |
Province of Quebec 1.50%, 2/11/2025 | 10,000 | 9,361 |
Republic of Panama 8.88%, 9/30/2027 | 8,000 | 9,211 |
Republic of Peru 2.39%, 1/23/2026 | 18,000 | 16,757 |
Republic of Philippines 10.63%, 3/16/2025 | 52,000 | 57,856 |
Republic of Poland | ||
4.00%, 1/22/2024 | 5,000 | 4,937 |
5.50%, 11/16/2027 | 5,000 | 5,115 |
Total Foreign Government Securities (Cost $462,363) | 436,284 | |
Asset-Backed Securities — 1.1% | ||
AmeriCredit Automobile Receivables Trust Series 2020-3, Class B, 0.76%, 12/18/2025 | 30,000 | 28,869 |
Capital One Multi-Asset Execution Trust Series 2022-A2, Class A, 3.49%, 5/15/2027 | 30,000 | 28,975 |
CarMax Auto Owner Trust Series 2021-1, Class A3, 0.34%, 12/15/2025 | 16,458 | 15,882 |
Citibank Credit Card Issuance Trust Series 2018-A3, Class A3, 3.29%, 5/23/2025 | 33,000 | 32,860 |
Discover Card Execution Note Trust Series 2022-A1, Class A1, 1.96%, 2/15/2027 | 100,000 | 93,683 |
Drive Auto Receivables Trust Series 2021-2, Class B, 0.58%, 12/15/2025 | 22,957 | 22,786 |
Exeter Automobile Receivables Trust Series 2021-3A, Class C, 0.96%, 10/15/2026 | 40,000 | 38,224 |
Ford Credit Floorplan Master Owner Trust A | ||
Series 2018-2, Class A, 3.17%, 3/15/2025 | 15,000 | 14,989 |
Series 2019-2, Class A, 3.06%, 4/15/2026 | 8,000 | 7,787 |
GM Financial Consumer Automobile Receivables Trust Series 2020-2, Class A4, 1.74%, 8/18/2025 | 22,000 | 21,364 |
United Airlines Pass-Through Trust Series 2014-1, Class A, 4.00%, 4/11/2026 | 40,028 | 37,405 |
Verizon Owner Trust Series 2020-A, Class A1A, 1.85%, 7/22/2024 | 1,308 | 1,304 |
World Omni Auto Receivables Trust Series 2021-C, Class A3, 0.44%, 8/17/2026 | 30,000 | 28,659 |
Total Asset-Backed Securities (Cost $379,353) | 372,787 | |
Municipal Bonds — 0.1% (h) | ||
California — 0.0% ^ | ||
University of California, Taxable Series 2020BG, Rev., 0.88%, 5/15/2025 | 5,000 | 4,573 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Florida — 0.1% | ||
State Board of Administration Finance Corp. Series 2020A, Rev., 1.71%, 7/1/2027 | 46,000 | 40,088 |
Total Municipal Bonds (Cost $47,775) | 44,661 | |
SHARES | ||
Short-Term Investments — 2.1% | ||
Investment Companies — 2.1% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (i) (j) (Cost $758,888) | 758,888 | 758,888 |
Total Investments — 101.5% (Cost $37,909,916) | 35,742,612 | |
Liabilities in Excess of Other Assets — (1.5)% | (523,821) | |
NET ASSETS — 100.0% | 35,218,791 |
Percentages indicated are based on net assets. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
CME | Chicago Mercantile Exchange |
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 |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
Rev. | Revenue |
SOFR | Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(b) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $126,209 or 0.36% of the Fund’s net assets as of February 28, 2023 . | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 27 |
AS OF February 28, 2023 (continued)
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(e) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(f) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(h) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(i) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(j) | The rate shown is the current yield as of February 28, 2023. |
28 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — 40.5% | ||
U.S. Treasury Bonds | ||
6.88%, 8/15/2025 | 638,000 | 669,651 |
6.13%, 11/15/2027 | 2,134,000 | 2,303,553 |
5.25%, 11/15/2028 | 2,000,000 | 2,109,062 |
6.13%, 8/15/2029 | 2,100,000 | 2,335,430 |
5.38%, 2/15/2031 | 3,169,000 | 3,460,152 |
4.50%, 2/15/2036 | 2,903,000 | 3,097,592 |
4.75%, 2/15/2037 | 206,000 | 225,152 |
5.00%, 5/15/2037 | 3,774,000 | 4,217,445 |
4.38%, 2/15/2038 | 410,000 | 429,347 |
3.50%, 2/15/2039 | 3,142,000 | 2,958,880 |
4.25%, 5/15/2039 | 2,259,000 | 2,326,770 |
4.50%, 8/15/2039 | 996,000 | 1,055,916 |
4.38%, 11/15/2039 | 356,000 | 372,020 |
4.63%, 2/15/2040 | 2,298,000 | 2,472,145 |
1.13%, 5/15/2040 | 13,700,000 | 8,671,672 |
4.38%, 5/15/2040 | 679,000 | 707,857 |
1.13%, 8/15/2040 | 4,164,000 | 2,622,019 |
3.88%, 8/15/2040 | 192,000 | 188,220 |
1.38%, 11/15/2040 | 10,468,400 | 6,878,066 |
1.88%, 2/15/2041 | 7,837,000 | 5,601,006 |
2.25%, 5/15/2041 | 3,425,000 | 2,602,465 |
1.75%, 8/15/2041 | 3,786,000 | 2,624,171 |
2.00%, 11/15/2041 | 3,519,000 | 2,541,928 |
2.38%, 2/15/2042 | 5,611,000 | 4,316,086 |
3.13%, 2/15/2042 | 1,236,000 | 1,074,934 |
2.75%, 8/15/2042 | 1,561,000 | 1,271,483 |
4.00%, 11/15/2042 | 510,000 | 502,988 |
2.50%, 2/15/2045 | 3,276,000 | 2,503,069 |
3.00%, 5/15/2045 | 38,000 | 31,730 |
2.50%, 5/15/2046 | 6,363,000 | 4,836,874 |
2.25%, 8/15/2046 | 1,759,000 | 1,269,778 |
3.00%, 2/15/2047 | 164,000 | 136,581 |
3.13%, 5/15/2048 | 2,991,000 | 2,555,436 |
2.25%, 8/15/2049 | 254,000 | 182,245 |
2.38%, 11/15/2049 | 3,148,000 | 2,323,126 |
2.00%, 2/15/2050 | 3,885,000 | 2,627,838 |
1.25%, 5/15/2050 | 19,756,400 | 10,964,802 |
1.38%, 8/15/2050 | 6,409,000 | 3,677,164 |
1.63%, 11/15/2050 | 13,750,000 | 8,432,617 |
1.88%, 2/15/2051 | 304,000 | 198,693 |
2.38%, 5/15/2051 | 19,000 | 13,959 |
2.00%, 8/15/2051 | 598,000 | 402,248 |
1.88%, 11/15/2051 | 5,300,000 | 3,449,969 |
2.25%, 2/15/2052 | 5,288,000 | 3,776,789 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
2.88%, 5/15/2052 | 198,000 | 162,360 |
3.00%, 8/15/2052 | 3,037,000 | 2,556,774 |
4.00%, 11/15/2052 | 282,000 | 287,199 |
U.S. Treasury Notes | ||
0.25%, 11/15/2023 | 13,437,000 | 12,985,076 |
2.88%, 11/30/2023 | 682,000 | 670,784 |
2.25%, 1/31/2024 | 10,000 | 9,743 |
2.50%, 1/31/2024 | 2,434,000 | 2,376,858 |
0.13%, 2/15/2024 | 8,202,000 | 7,817,211 |
1.50%, 2/29/2024 | 338,000 | 326,091 |
2.13%, 2/29/2024 | 10,000 | 9,706 |
2.38%, 2/29/2024 | 3,723,000 | 3,622,799 |
0.25%, 3/15/2024 | 9,829,000 | 9,345,229 |
2.13%, 3/31/2024 | 100,000 | 96,813 |
0.38%, 4/15/2024 | 100,000 | 94,844 |
2.00%, 4/30/2024 | 20,000 | 19,292 |
0.25%, 5/15/2024 | 2,374,000 | 2,239,257 |
2.50%, 5/15/2024 | 110,000 | 106,618 |
2.50%, 5/31/2024 | 96,000 | 92,951 |
1.75%, 6/30/2024 | 1,957,000 | 1,873,292 |
0.38%, 7/15/2024 | 2,101,000 | 1,970,344 |
1.75%, 7/31/2024 | 10,000 | 9,544 |
3.00%, 7/31/2024 | 859,000 | 834,639 |
0.38%, 8/15/2024 | 3,126,000 | 2,921,345 |
2.38%, 8/15/2024 | 2,800,000 | 2,694,016 |
1.25%, 8/31/2024 | 3,403,000 | 3,216,633 |
1.88%, 8/31/2024 | 259,000 | 247,102 |
0.38%, 9/15/2024 | 22,634,000 | 21,092,059 |
1.50%, 9/30/2024 | 100,000 | 94,723 |
0.63%, 10/15/2024 | 1,277,000 | 1,191,052 |
1.50%, 10/31/2024 | 993,000 | 938,463 |
0.75%, 11/15/2024 | 216,000 | 201,260 |
1.50%, 11/30/2024 | 8,182,000 | 7,716,329 |
4.50%, 11/30/2024 | 2,500,000 | 2,481,836 |
4.25%, 12/31/2024 | 17,000 | 16,809 |
1.38%, 1/31/2025 | 723,000 | 677,700 |
2.50%, 1/31/2025 | 450,000 | 430,963 |
1.50%, 2/15/2025 | 1,617,000 | 1,517,138 |
2.00%, 2/15/2025 | 2,745,000 | 2,601,745 |
1.13%, 2/28/2025 | 1,153,000 | 1,072,830 |
2.75%, 2/28/2025 | 2,698,000 | 2,593,347 |
1.75%, 3/15/2025 | 100,000 | 94,102 |
0.50%, 3/31/2025 | 4,602,000 | 4,217,302 |
0.38%, 4/30/2025 | 2,496,000 | 2,273,700 |
2.88%, 4/30/2025 | 2,706,000 | 2,602,200 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 29 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
2.13%, 5/15/2025 | 2,760,000 | 2,610,572 |
0.25%, 5/31/2025 | 1,968,300 | 1,782,695 |
2.88%, 5/31/2025 | 6,189,000 | 5,947,242 |
2.88%, 6/15/2025 | 100,000 | 96,102 |
0.25%, 6/30/2025 | 2,194,000 | 1,983,170 |
3.00%, 7/15/2025 | 849,000 | 817,361 |
0.25%, 7/31/2025 | 2,508,000 | 2,259,159 |
2.00%, 8/15/2025 | 1,245,000 | 1,169,619 |
0.25%, 8/31/2025 | 3,416,000 | 3,067,728 |
0.25%, 9/30/2025 | 17,277,000 | 15,487,211 |
0.25%, 10/31/2025 | 16,549,000 | 14,777,740 |
0.38%, 11/30/2025 | 4,047,000 | 3,615,109 |
0.38%, 12/31/2025 | 1,436,000 | 1,281,069 |
2.63%, 12/31/2025 | 1,319,000 | 1,254,080 |
0.38%, 1/31/2026 | 15,746,000 | 13,988,107 |
1.63%, 2/15/2026 | 516,000 | 475,284 |
0.50%, 2/28/2026 | 28,667,000 | 25,488,994 |
2.50%, 2/28/2026 | 136,000 | 128,531 |
0.75%, 3/31/2026 | 1,314,000 | 1,175,825 |
2.25%, 3/31/2026 | 547,000 | 512,684 |
0.75%, 4/30/2026 | 2,744,000 | 2,446,233 |
0.75%, 5/31/2026 | 2,742,000 | 2,437,809 |
2.13%, 5/31/2026 | 200,000 | 186,109 |
0.88%, 6/30/2026 | 2,736,000 | 2,438,460 |
0.63%, 7/31/2026 | 2,779,000 | 2,448,125 |
1.50%, 8/15/2026 | 507,000 | 460,103 |
0.75%, 8/31/2026 | 2,762,000 | 2,437,465 |
1.38%, 8/31/2026 | 13,000 | 11,737 |
0.88%, 9/30/2026 | 2,755,000 | 2,437,099 |
1.13%, 10/31/2026 | 14,309,000 | 12,746,189 |
1.63%, 10/31/2026 | 3,033,000 | 2,753,632 |
1.25%, 11/30/2026 | 2,729,000 | 2,437,338 |
1.63%, 11/30/2026 | 2,686,000 | 2,436,076 |
1.25%, 12/31/2026 | 2,736,000 | 2,439,315 |
1.75%, 12/31/2026 | 2,679,000 | 2,438,936 |
1.50%, 1/31/2027 | 2,716,000 | 2,440,793 |
2.25%, 2/15/2027 | 1,300,000 | 1,202,906 |
1.13%, 2/28/2027 | 3,235,000 | 2,863,480 |
0.63%, 3/31/2027 | 3,004,000 | 2,595,878 |
0.50%, 4/30/2027 | 1,771,800 | 1,519,180 |
2.75%, 4/30/2027 | 35,000 | 32,938 |
0.50%, 5/31/2027 | 5,170,000 | 4,417,523 |
0.50%, 6/30/2027 | 1,890,000 | 1,610,782 |
0.38%, 7/31/2027 | 6,133,000 | 5,184,781 |
2.75%, 7/31/2027 | 73,000 | 68,580 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
2.25%, 8/15/2027 | 2,000,000 | 1,838,281 |
0.50%, 8/31/2027 | 3,414,000 | 2,895,232 |
0.38%, 9/30/2027 | 1,924,000 | 1,617,964 |
0.50%, 10/31/2027 | 8,580,000 | 7,239,375 |
4.13%, 10/31/2027 | 17,000 | 16,914 |
2.25%, 11/15/2027 | 382,000 | 349,978 |
0.63%, 11/30/2027 | 12,953,000 | 10,973,620 |
3.88%, 11/30/2027 | 23,000 | 22,671 |
0.63%, 12/31/2027 | 974,000 | 823,334 |
3.88%, 12/31/2027 | 865,000 | 852,363 |
0.75%, 1/31/2028 | 9,268,000 | 7,865,491 |
3.50%, 1/31/2028 | 1,228,000 | 1,190,680 |
2.75%, 2/15/2028 | 498,000 | 465,825 |
1.13%, 2/29/2028 | 2,011,000 | 1,735,587 |
1.25%, 3/31/2028 | 2,988,000 | 2,590,456 |
1.25%, 4/30/2028 | 2,250,000 | 1,946,250 |
2.88%, 5/15/2028 | 2,752,000 | 2,583,655 |
1.25%, 5/31/2028 | 3,252,000 | 2,808,153 |
1.25%, 6/30/2028 | 2,279,000 | 1,963,857 |
1.00%, 7/31/2028 | 9,945,000 | 8,434,603 |
2.88%, 8/15/2028 | 800,000 | 749,625 |
1.13%, 8/31/2028 | 3,035,000 | 2,586,863 |
1.25%, 9/30/2028 | 3,021,000 | 2,587,439 |
1.38%, 10/31/2028 | 2,488,000 | 2,142,401 |
1.50%, 11/30/2028 | 1,755,000 | 1,519,857 |
1.38%, 12/31/2028 | 5,721,000 | 4,915,144 |
1.75%, 1/31/2029 | 2,139,000 | 1,873,129 |
2.63%, 2/15/2029 | 1,500,000 | 1,380,703 |
1.88%, 2/28/2029 | 500,000 | 441,016 |
2.38%, 3/31/2029 | 33,000 | 29,909 |
2.38%, 5/15/2029 | 2,852,000 | 2,580,614 |
2.75%, 5/31/2029 | 2,792,000 | 2,582,818 |
3.25%, 6/30/2029 | 2,718,000 | 2,586,772 |
2.63%, 7/31/2029 | 1,038,000 | 951,797 |
1.63%, 8/15/2029 | 5,982,000 | 5,170,224 |
3.13%, 8/31/2029 | 18,000 | 16,996 |
1.75%, 11/15/2029 | 2,706,000 | 2,354,220 |
3.88%, 11/30/2029 | 94,000 | 92,796 |
1.50%, 2/15/2030 | 7,456,000 | 6,330,610 |
0.63%, 5/15/2030 | 20,227,000 | 15,995,132 |
0.63%, 8/15/2030 | 8,524,000 | 6,703,327 |
0.88%, 11/15/2030 | 8,617,000 | 6,886,868 |
1.13%, 2/15/2031 | 3,221,000 | 2,621,089 |
1.63%, 5/15/2031 | 102,000 | 85,760 |
1.25%, 8/15/2031 | 2,501,000 | 2,027,764 |
30 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
U.S. Treasury Obligations — continued | ||
1.38%, 11/15/2031 | 7,804,000 | 6,352,944 |
1.88%, 2/15/2032 | 2,204,000 | 1,867,546 |
2.88%, 5/15/2032 | 3,000,000 | 2,760,000 |
2.75%, 8/15/2032 | 645,000 | 586,345 |
4.13%, 11/15/2032 | 2,190,000 | 2,225,587 |
Total U.S. Treasury Obligations (Cost $590,071,366) | 531,048,339 | |
Mortgage-Backed Securities — 27.6% | ||
FHLMC Gold Pools, 15 Year | ||
Pool # J10548, 4.00%, 8/1/2024 | 7,928 | 7,754 |
Pool # J15449, 4.00%, 5/1/2026 | 52,148 | 50,960 |
Pool # G14781, 3.50%, 3/1/2027 | 29,451 | 28,775 |
Pool # G15201, 4.00%, 5/1/2027 | 8,525 | 8,335 |
Pool # J20129, 2.50%, 8/1/2027 | 56,410 | 53,755 |
Pool # G15438, 4.00%, 9/1/2027 | 7,754 | 7,580 |
Pool # G15602, 2.50%, 11/1/2027 | 40,150 | 38,304 |
Pool # E09028, 2.00%, 3/1/2028 | 71,027 | 66,594 |
Pool # J23362, 2.00%, 4/1/2028 | 67,942 | 63,614 |
Pool # G18466, 2.00%, 5/1/2028 | 9,732 | 9,112 |
Pool # G18465, 2.50%, 5/1/2028 | 18,445 | 17,459 |
Pool # G15601, 2.50%, 1/1/2029 | 40,868 | 38,696 |
Pool # G14957, 3.50%, 1/1/2029 | 89,364 | 85,865 |
Pool # G16570, 4.00%, 7/1/2029 | 5,800 | 5,671 |
Pool # G18540, 2.50%, 2/1/2030 | 25,018 | 23,418 |
Pool # G18556, 2.50%, 6/1/2030 | 32,471 | 30,236 |
Pool # V60840, 3.00%, 6/1/2030 | 8,587 | 8,119 |
Pool # G16622, 3.00%, 11/1/2030 | 32,062 | 30,306 |
Pool # G16019, 3.50%, 12/1/2030 | 12,123 | 11,833 |
Pool # G16044, 2.50%, 1/1/2032 | 90,350 | 83,892 |
Pool # J36524, 3.00%, 3/1/2032 | 98,389 | 92,884 |
Pool # J36660, 3.00%, 3/1/2032 | 33,287 | 31,465 |
Pool # J38270, 2.50%, 1/1/2033 | 253,587 | 234,184 |
Pool # G16568, 2.50%, 4/1/2033 | 113,483 | 104,802 |
FHLMC Gold Pools, 30 Year | ||
Pool # V81680, 4.50%, 12/1/2034 | 72,586 | 71,766 |
Pool # A30892, 5.00%, 1/1/2035 | 54,792 | 54,728 |
Pool # A39210, 5.50%, 10/1/2035 | 21,744 | 22,208 |
Pool # V83754, 5.50%, 1/1/2036 | 34,159 | 35,038 |
Pool # A82255, 5.50%, 9/1/2036 | 106,888 | 106,929 |
Pool # G03381, 5.50%, 9/1/2037 | 19,917 | 20,245 |
Pool # A89760, 4.50%, 12/1/2039 | 19,601 | 19,482 |
Pool # A92197, 5.00%, 5/1/2040 | 56,114 | 56,474 |
Pool # G06856, 6.00%, 5/1/2040 | 3,827 | 3,968 |
Pool # A93359, 4.00%, 8/1/2040 | 860 | 838 |
Pool # G06222, 4.00%, 1/1/2041 | 193,287 | 186,058 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # G07794, 5.50%, 6/1/2041 | 9,689 | 9,964 |
Pool # Q03516, 4.50%, 9/1/2041 | 21,439 | 21,247 |
Pool # Q04088, 3.50%, 10/1/2041 | 20,237 | 19,007 |
Pool # Q04688, 4.00%, 11/1/2041 | 2,989 | 2,888 |
Pool # G08477, 3.50%, 2/1/2042 | 7,278 | 6,836 |
Pool # Q06771, 3.00%, 3/1/2042 | 35,779 | 32,419 |
Pool # C03858, 3.50%, 4/1/2042 | 97,060 | 91,162 |
Pool # Q08646, 3.50%, 6/1/2042 | 23,270 | 21,856 |
Pool # G60737, 4.50%, 8/1/2042 | 94,084 | 93,404 |
Pool # Q11220, 3.50%, 9/1/2042 | 81,753 | 76,785 |
Pool # Q13477, 3.00%, 12/1/2042 | 113,748 | 103,061 |
Pool # Q14321, 3.00%, 12/1/2042 | 27,777 | 25,167 |
Pool # C04420, 3.00%, 1/1/2043 | 167,575 | 151,834 |
Pool # Q14694, 3.00%, 1/1/2043 | 1,264,936 | 1,146,092 |
Pool # G61723, 3.50%, 1/1/2043 | 66,346 | 62,314 |
Pool # C09031, 2.50%, 2/1/2043 | 87,355 | 75,454 |
Pool # V80026, 3.00%, 4/1/2043 | 49,925 | 45,234 |
Pool # Q17374, 4.00%, 4/1/2043 | 90,613 | 89,049 |
Pool # G62033, 4.00%, 11/1/2043 | 123,576 | 120,294 |
Pool # Z40090, 4.50%, 9/1/2044 | 26,908 | 26,503 |
Pool # G61769, 4.50%, 12/1/2044 | 66,107 | 65,705 |
Pool # G61617, 4.50%, 1/1/2045 | 21,885 | 21,735 |
Pool # G08651, 4.00%, 6/1/2045 | 93,154 | 89,436 |
Pool # G08653, 3.00%, 7/1/2045 | 45,100 | 40,767 |
Pool # Q35223, 4.00%, 8/1/2045 | 10,553 | 10,060 |
Pool # G60238, 3.50%, 10/1/2045 | 655,612 | 612,360 |
Pool # G60506, 3.50%, 4/1/2046 | 36,919 | 34,407 |
Pool # G08710, 3.00%, 6/1/2046 | 30,942 | 27,905 |
Pool # Q41024, 3.00%, 6/1/2046 | 528,530 | 476,767 |
Pool # G08724, 2.50%, 9/1/2046 | 11,414 | 9,858 |
Pool # G61070, 3.00%, 9/1/2046 | 445,884 | 403,981 |
Pool # G61730, 3.00%, 9/1/2046 | 123,049 | 111,495 |
Pool # G61235, 4.50%, 9/1/2046 | 22,442 | 22,168 |
Pool # G08736, 2.50%, 12/1/2046 | 12,010 | 10,373 |
Pool # Q45872, 3.00%, 1/1/2047 | 318,325 | 286,004 |
Pool # G08747, 3.00%, 2/1/2047 | 157,824 | 141,800 |
Pool # G61623, 3.00%, 4/1/2047 | 23,187 | 20,943 |
Pool # G60985, 3.00%, 5/1/2047 | 87,514 | 78,787 |
Pool # G60996, 3.50%, 5/1/2047 | 7,203 | 6,693 |
Pool # Q47884, 4.00%, 5/1/2047 | 21,656 | 20,742 |
Pool # V83233, 4.00%, 6/1/2047 | 89,786 | 86,174 |
Pool # G08775, 4.00%, 8/1/2047 | 30,329 | 28,794 |
Pool # Q50152, 4.00%, 8/1/2047 | 71,648 | 68,022 |
Pool # Q51268, 3.50%, 10/1/2047 | 46,893 | 43,420 |
Pool # G08787, 3.00%, 11/1/2047 | 283,455 | 253,720 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 31 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # G61681, 3.00%, 12/1/2047 | 6,486 | 5,808 |
Pool # Q52866, 3.00%, 12/1/2047 | 23,451 | 21,158 |
Pool # G08793, 4.00%, 12/1/2047 | 28,074 | 26,832 |
Pool # Q53751, 3.50%, 1/1/2048 | 82,693 | 76,535 |
Pool # G08812, 3.00%, 4/1/2048 | 10,101 | 9,036 |
Pool # G61866, 4.00%, 6/1/2048 | 22,726 | 21,898 |
Pool # G61607, 4.50%, 9/1/2048 | 107,394 | 107,018 |
Pool # G08842, 4.00%, 10/1/2048 | 11,715 | 11,174 |
Pool # G61885, 4.50%, 11/1/2048 | 25,299 | 24,837 |
Pool # G08862, 4.00%, 2/1/2049 | 19,184 | 18,323 |
Pool # Q61487, 4.00%, 2/1/2049 | 34,881 | 33,322 |
Pool # G08876, 3.50%, 5/1/2049 | 36,917 | 34,032 |
FHLMC UMBS, 15 Year | ||
Pool # ZS5890, 4.00%, 7/1/2024 | 46,995 | 45,911 |
Pool # ZK2080, 4.00%, 1/1/2025 | 19,344 | 19,068 |
Pool # ZA2587, 4.00%, 9/1/2025 | 5,662 | 5,528 |
Pool # ZK2723, 3.50%, 11/1/2025 | 10,658 | 10,423 |
Pool # ZK3540, 3.00%, 9/1/2026 | 49,290 | 47,666 |
Pool # ZS8460, 3.00%, 4/1/2027 | 14,534 | 13,993 |
Pool # SB0031, 3.50%, 10/1/2027 | 21,042 | 20,565 |
Pool # ZS6674, 2.50%, 4/1/2028 | 313,864 | 297,351 |
Pool # ZS7140, 2.00%, 1/1/2029 | 176,086 | 164,224 |
Pool # ZS7751, 3.00%, 1/1/2029 | 93,632 | 89,592 |
Pool # SB0071, 2.50%, 5/1/2030 | 23,715 | 22,525 |
Pool # ZS7331, 3.00%, 12/1/2030 | 24,118 | 22,771 |
Pool # ZS7888, 2.50%, 10/1/2032 | 279,236 | 257,577 |
Pool # ZK9070, 3.00%, 11/1/2032 | 619,978 | 584,477 |
Pool # ZS7938, 2.50%, 1/1/2033 | 65,362 | 60,294 |
Pool # SB0256, 4.00%, 11/1/2033 | 46,391 | 45,303 |
Pool # SB0077, 3.50%, 10/1/2034 | 44,699 | 42,953 |
Pool # QN1148, 2.50%, 12/1/2034 | 68,320 | 62,708 |
Pool # SB8031, 2.50%, 2/1/2035 | 138,138 | 126,369 |
Pool # SB0302, 3.00%, 4/1/2035 | 492,083 | 459,965 |
Pool # QN2407, 2.00%, 6/1/2035 | 124,835 | 111,081 |
Pool # SB8500, 2.50%, 7/1/2035 | 363,158 | 332,307 |
Pool # SB0424, 2.00%, 10/1/2035 | 851,348 | 761,841 |
Pool # RC1712, 1.50%, 12/1/2035 | 1,124,831 | 972,764 |
Pool # SB8090, 2.50%, 2/1/2036 | 953,174 | 872,015 |
Pool # QN6095, 2.00%, 5/1/2036 | 148,729 | 132,351 |
Pool # QN6718, 2.00%, 6/1/2036 | 301,929 | 268,600 |
Pool # QN7057, 2.00%, 7/1/2036 | 172,384 | 153,355 |
Pool # SB8111, 2.00%, 7/1/2036 | 161,775 | 143,815 |
Pool # QN8347, 1.50%, 10/1/2036 | 360,637 | 311,861 |
Pool # SB8127, 1.50%, 11/1/2036 | 350,612 | 303,192 |
Pool # SB0570, 2.00%, 11/1/2036 | 338,720 | 301,406 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # SB8131, 1.50%, 12/1/2036 | 710,024 | 613,989 |
Pool # SB8136, 1.50%, 1/1/2037 | 448,119 | 387,367 |
Pool # SB8140, 1.50%, 2/1/2037 | 543,477 | 469,963 |
Pool # SB8147, 1.50%, 4/1/2037 | 926,950 | 801,265 |
FHLMC UMBS, 20 Year | ||
Pool # ZA2277, 3.00%, 9/1/2032 | 70,643 | 65,355 |
Pool # ZJ9491, 3.50%, 12/1/2032 | 16,908 | 16,159 |
Pool # ZS9164, 3.00%, 9/1/2033 | 432,918 | 400,503 |
Pool # SC0107, 3.50%, 11/1/2034 | 976,199 | 932,919 |
Pool # ZA2463, 3.50%, 6/1/2037 | 29,646 | 28,035 |
Pool # RB5026, 2.50%, 11/1/2039 | 36,681 | 32,283 |
Pool # QK0157, 2.50%, 1/1/2040 | 15,955 | 14,004 |
Pool # RB5032, 2.50%, 2/1/2040 | 29,853 | 26,275 |
Pool # RB5037, 2.50%, 3/1/2040 | 95,450 | 83,775 |
Pool # RB5043, 2.50%, 4/1/2040 | 40,601 | 35,651 |
Pool # RB5048, 2.50%, 5/1/2040 | 86,593 | 76,000 |
Pool # SC0131, 1.50%, 3/1/2041 | 208,938 | 171,489 |
Pool # SC0134, 1.50%, 3/1/2041 | 212,691 | 174,569 |
Pool # RB5142, 2.50%, 1/1/2042 | 451,944 | 393,822 |
Pool # RB5145, 2.00%, 2/1/2042 | 1,588,207 | 1,346,294 |
FHLMC UMBS, 30 year Pool # RA8112, 4.50%, 10/1/2052 | 1,971,534 | 1,902,988 |
FHLMC UMBS, 30 Year | ||
Pool # ZI3765, 5.50%, 11/1/2035 | 29,340 | 29,489 |
Pool # ZS2546, 5.00%, 2/1/2039 | 16,825 | 16,953 |
Pool # ZJ0449, 4.00%, 9/1/2040 | 20,196 | 19,418 |
Pool # ZL3548, 3.50%, 8/1/2042 | 69,197 | 64,918 |
Pool # ZA4209, 3.00%, 4/1/2043 | 766,096 | 693,310 |
Pool # ZS3712, 3.50%, 4/1/2043 | 157,505 | 147,760 |
Pool # ZS4077, 3.50%, 1/1/2044 | 21,150 | 19,832 |
Pool # ZS4592, 4.00%, 11/1/2044 | 138,252 | 132,580 |
Pool # ZS4609, 3.00%, 4/1/2045 | 37,352 | 33,747 |
Pool # ZS9618, 3.50%, 3/1/2046 | 453,206 | 422,537 |
Pool # SD0146, 3.00%, 11/1/2046 | 123,917 | 111,602 |
Pool # ZM2209, 3.50%, 12/1/2046 | 319,943 | 296,586 |
Pool # SD0388, 3.50%, 6/1/2047 | 456,398 | 426,306 |
Pool # ZS4729, 3.00%, 8/1/2047 | 295,972 | 266,117 |
Pool # ZM4635, 4.00%, 11/1/2047 | 416,179 | 398,813 |
Pool # SD0225, 3.00%, 12/1/2047 | 570,799 | 513,517 |
Pool # ZT0534, 3.50%, 12/1/2047 | 295,520 | 275,030 |
Pool # ZS4750, 3.00%, 1/1/2048 | 23,508 | 21,010 |
Pool # SD0343, 3.00%, 3/1/2048 | 783,460 | 707,724 |
Pool # SI2002, 4.00%, 3/1/2048 | 479,270 | 457,338 |
Pool # ZM6887, 3.00%, 5/1/2048 | 46,451 | 41,396 |
Pool # ZM7669, 3.50%, 8/1/2048 | 70,552 | 65,201 |
Pool # ZN4476, 3.50%, 12/1/2048 | 263,902 | 243,846 |
32 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # ZA6286, 4.00%, 2/1/2049 | 124,979 | 119,232 |
Pool # ZT1776, 3.50%, 3/1/2049 | 22,819 | 21,022 |
Pool # ZN5087, 4.00%, 4/1/2049 | 116,947 | 112,445 |
Pool # ZT1864, 4.00%, 4/1/2049 | 3,041 | 2,901 |
Pool # ZT1951, 3.50%, 5/1/2049 | 7,361 | 6,778 |
Pool # ZT1952, 4.00%, 5/1/2049 | 48,171 | 45,931 |
Pool # QA4907, 3.00%, 6/1/2049 | 120,425 | 108,119 |
Pool # ZT2086, 3.50%, 6/1/2049 | 41,350 | 38,064 |
Pool # SD7502, 3.50%, 7/1/2049 | 122,698 | 113,919 |
Pool # SD8001, 3.50%, 7/1/2049 | 14,504 | 13,348 |
Pool # SD7501, 4.00%, 7/1/2049 | 75,945 | 73,112 |
Pool # QA1997, 3.00%, 8/1/2049 | 18,042 | 16,035 |
Pool # RA1202, 3.50%, 8/1/2049 | 398,426 | 367,648 |
Pool # SD8005, 3.50%, 8/1/2049 | 50,870 | 46,817 |
Pool # SD8006, 4.00%, 8/1/2049 | 30,622 | 29,135 |
Pool # SD8023, 2.50%, 11/1/2049 | 8,316 | 7,090 |
Pool # QA4509, 3.00%, 11/1/2049 | 402,039 | 357,329 |
Pool # SD8025, 3.50%, 11/1/2049 | 151,550 | 139,644 |
Pool # SD8029, 2.50%, 12/1/2049 | 157,052 | 133,903 |
Pool # RA1878, 3.50%, 12/1/2049 | 112,380 | 103,332 |
Pool # SD8037, 2.50%, 1/1/2050 | 418,006 | 356,263 |
Pool # QA7416, 3.00%, 2/1/2050 | 372,372 | 330,965 |
Pool # QA7554, 3.00%, 2/1/2050 | 999,258 | 896,349 |
Pool # RA2116, 3.00%, 2/1/2050 | 566,022 | 504,464 |
Pool # SD0303, 2.50%, 4/1/2050 | 713,045 | 609,765 |
Pool # QA9653, 3.50%, 5/1/2050 | 35,639 | 32,833 |
Pool # SD8080, 2.00%, 6/1/2050 | 62,675 | 51,308 |
Pool # QB1691, 2.00%, 7/1/2050 | 852,520 | 697,805 |
Pool # SD8089, 2.50%, 7/1/2050 | 1,678,930 | 1,430,212 |
Pool # SD8083, 2.50%, 8/1/2050 | 1,240,168 | 1,055,294 |
Pool # RA3727, 2.00%, 10/1/2050 | 2,017,318 | 1,650,385 |
Pool # SD8104, 1.50%, 11/1/2050 | 1,248,764 | 968,189 |
Pool # RA4197, 2.50%, 12/1/2050 | 539,583 | 460,420 |
Pool # RA4349, 2.50%, 1/1/2051 | 349,798 | 299,927 |
Pool # QB8583, 1.50%, 2/1/2051 | 1,246,754 | 966,156 |
Pool # RA4530, 2.50%, 2/1/2051 | 535,082 | 454,910 |
Pool # SD8129, 2.50%, 2/1/2051 | 677,891 | 576,736 |
Pool # SD8140, 2.00%, 4/1/2051 | 406,141 | 331,890 |
Pool # SD8142, 3.00%, 4/1/2051 | 1,072,325 | 948,811 |
Pool # SD8145, 1.50%, 5/1/2051 | 1,064,013 | 824,043 |
Pool # QC2565, 2.00%, 6/1/2051 | 1,799,667 | 1,470,072 |
Pool # QC3259, 2.00%, 6/1/2051 | 1,630,293 | 1,339,815 |
Pool # SD8158, 3.50%, 6/1/2051 | 314,662 | 287,199 |
Pool # SD8155, 2.00%, 7/1/2051 | 1,335,023 | 1,090,387 |
Pool # SD8156, 2.50%, 7/1/2051 | 635,245 | 539,263 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # QC5125, 2.00%, 8/1/2051 | 272,142 | 222,245 |
Pool # QC6057, 2.50%, 8/1/2051 | 265,649 | 225,511 |
Pool # SD8163, 3.50%, 8/1/2051 | 125,418 | 114,569 |
Pool # RA5832, 2.50%, 9/1/2051 | 735,733 | 624,340 |
Pool # SD8168, 3.00%, 9/1/2051 | 244,183 | 215,271 |
Pool # SD8172, 2.00%, 10/1/2051 | 825,927 | 674,324 |
Pool # SD8173, 2.50%, 10/1/2051 | 445,190 | 377,717 |
Pool # RA6507, 2.00%, 12/1/2051 | 1,913,316 | 1,560,117 |
Pool # QD3500, 2.50%, 12/1/2051 | 1,926,281 | 1,640,586 |
Pool # RA6694, 2.00%, 1/1/2052 | 472,127 | 385,027 |
Pool # SD0963, 3.50%, 1/1/2052 | 1,080,767 | 986,506 |
Pool # SD0897, 2.00%, 2/1/2052 | 962,157 | 787,743 |
Pool # SD8199, 2.00%, 3/1/2052 | 981,828 | 800,660 |
Pool # SD8204, 2.00%, 4/1/2052 | 1,917,451 | 1,562,516 |
Pool # QD9578, 2.50%, 4/1/2052 | 1,531,572 | 1,298,692 |
Pool # QD9765, 2.50%, 4/1/2052 | 1,536,702 | 1,302,231 |
Pool # SD0945, 3.50%, 4/1/2052 | 1,095,367 | 998,175 |
Pool # SD8214, 3.50%, 5/1/2052 | 1,145,998 | 1,043,862 |
Pool # RA7502, 5.00%, 6/1/2052 | 1,056,700 | 1,040,977 |
FNMA UMBS, 15 Year | ||
Pool # AC8711, 4.00%, 12/1/2024 | 127,109 | 124,107 |
Pool # AC7007, 4.50%, 1/1/2025 | 9,531 | 9,452 |
Pool # AL9580, 4.00%, 3/1/2025 | 6,929 | 6,767 |
Pool # 932724, 4.00%, 4/1/2025 | 4,158 | 4,059 |
Pool # AE0971, 4.00%, 5/1/2025 | 12,863 | 12,564 |
Pool # AE0939, 3.50%, 2/1/2026 | 28,218 | 27,565 |
Pool # FM2968, 4.00%, 5/1/2026 | 7,683 | 7,500 |
Pool # AJ6632, 3.00%, 11/1/2026 | 35,911 | 34,641 |
Pool # AJ9357, 3.50%, 1/1/2027 | 74,432 | 72,365 |
Pool # AK4047, 3.00%, 2/1/2027 | 13,823 | 13,326 |
Pool # AL4586, 4.00%, 2/1/2027 | 27,904 | 27,235 |
Pool # AO0527, 3.00%, 5/1/2027 | 20,072 | 19,306 |
Pool # AO4400, 2.50%, 7/1/2027 | 43,667 | 41,577 |
Pool # AB5823, 3.50%, 8/1/2027 | 72,552 | 70,302 |
Pool # AL8138, 4.00%, 9/1/2027 | 16,050 | 15,664 |
Pool # AB6811, 2.50%, 10/1/2027 | 11,379 | 10,790 |
Pool # AQ9442, 2.00%, 12/1/2027 | 24,604 | 23,042 |
Pool # AB8447, 2.50%, 2/1/2028 | 20,861 | 19,752 |
Pool # AR4180, 2.50%, 2/1/2028 | 9,500 | 8,995 |
Pool # AL3802, 3.00%, 2/1/2028 | 58,976 | 56,669 |
Pool # AB8787, 2.00%, 3/1/2028 | 66,012 | 61,846 |
Pool # AP6059, 2.00%, 6/1/2028 | 8,315 | 7,750 |
Pool # BM5381, 3.00%, 6/1/2028 | 64,582 | 61,902 |
Pool # BM1892, 2.50%, 9/1/2028 | 19,698 | 18,686 |
Pool # AS0761, 3.00%, 10/1/2028 | 25,436 | 24,224 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 33 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # AU6961, 3.00%, 10/1/2028 | 48,928 | 46,658 |
Pool # AL6132, 4.50%, 3/1/2029 | 5,103 | 5,060 |
Pool # FM1105, 2.50%, 6/1/2029 | 41,548 | 39,361 |
Pool # AS3345, 2.00%, 7/1/2029 | 12,733 | 11,685 |
Pool # MA2061, 3.00%, 10/1/2029 | 63,784 | 60,302 |
Pool # FM1465, 3.00%, 5/1/2030 | 105,122 | 100,362 |
Pool # 890666, 2.00%, 6/1/2030 | 26,033 | 24,188 |
Pool # MA2684, 3.00%, 7/1/2031 | 111,420 | 105,193 |
Pool # AL9418, 3.50%, 8/1/2031 | 38,040 | 36,561 |
Pool # BD5647, 2.00%, 11/1/2031 | 16,752 | 15,203 |
Pool # 890776, 3.50%, 11/1/2031 | 24,940 | 23,973 |
Pool # BM5490, 3.50%, 11/1/2031 | 16,651 | 16,007 |
Pool # AS8708, 2.50%, 2/1/2032 | 370,045 | 343,156 |
Pool # BM4993, 3.50%, 3/1/2032 | 36,081 | 34,979 |
Pool # BM4741, 3.00%, 4/1/2032 | 10,528 | 10,029 |
Pool # FM1645, 3.00%, 4/1/2032 | 133,542 | 127,388 |
Pool # MA3124, 2.50%, 9/1/2032 | 35,966 | 33,174 |
Pool # FM3099, 3.50%, 9/1/2032 | 39,614 | 38,639 |
Pool # CA0775, 2.50%, 11/1/2032 | 25,831 | 23,796 |
Pool # MA3188, 3.00%, 11/1/2032 | 19,222 | 18,122 |
Pool # BH7081, 2.50%, 12/1/2032 | 39,325 | 36,237 |
Pool # BH8720, 3.50%, 12/1/2032 | 38,628 | 37,117 |
Pool # FM1161, 2.50%, 1/1/2033 | 38,593 | 35,794 |
Pool # FM1691, 2.50%, 1/1/2033 | 15,382 | 14,382 |
Pool # FM2549, 2.50%, 1/1/2033 | 84,673 | 78,741 |
Pool # CA9078, 3.00%, 9/1/2033 | 484,638 | 457,607 |
Pool # FM1123, 4.00%, 9/1/2033 | 109,475 | 107,851 |
Pool # FM2153, 4.00%, 11/1/2033 | 102,436 | 100,021 |
Pool # BD9105, 4.00%, 1/1/2034 | 30,652 | 30,246 |
Pool # BM5306, 4.00%, 1/1/2034 | 4,700 | 4,619 |
Pool # FM1733, 3.50%, 5/1/2034 | 639,539 | 614,536 |
Pool # FM1842, 3.50%, 6/1/2034 | 134,485 | 129,259 |
Pool # FM6946, 3.00%, 7/1/2034 | 393,840 | 371,848 |
Pool # BO1822, 3.50%, 7/1/2034 | 68,064 | 65,050 |
Pool # MA3764, 2.50%, 9/1/2034 | 8,519 | 7,825 |
Pool # MA3910, 2.00%, 1/1/2035 | 26,874 | 23,986 |
Pool # FM3569, 3.00%, 1/1/2035 | 122,198 | 115,379 |
Pool # FM7941, 2.50%, 2/1/2035 | 356,190 | 330,324 |
Pool # FM8550, 3.00%, 2/1/2035 | 260,918 | 246,019 |
Pool # FM2708, 3.00%, 3/1/2035 | 61,489 | 58,064 |
Pool # MA4075, 2.50%, 7/1/2035 | 399,098 | 365,075 |
Pool # FM4035, 2.50%, 8/1/2035 | 67,699 | 61,929 |
Pool # CA7497, 2.50%, 10/1/2035 | 1,250,758 | 1,144,105 |
Pool # FM5396, 2.00%, 12/1/2035 | 784,738 | 698,357 |
Pool # BR3349, 1.50%, 1/1/2036 | 1,355,668 | 1,172,688 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BR1309, 2.00%, 1/1/2036 | 524,651 | 466,896 |
Pool # FM5537, 2.00%, 1/1/2036 | 590,602 | 525,612 |
Pool # FM5797, 2.00%, 1/1/2036 | 584,412 | 520,084 |
Pool # FM5367, 1.50%, 2/1/2036 | 439,212 | 379,832 |
Pool # MA4261, 2.00%, 2/1/2036 | 643,160 | 572,349 |
Pool # CB0305, 1.50%, 5/1/2036 | 895,967 | 774,829 |
Pool # FM7843, 1.50%, 6/1/2036 | 82,100 | 70,998 |
Pool # BP3507, 2.00%, 6/1/2036 | 161,284 | 143,522 |
Pool # FM8292, 2.00%, 7/1/2036 | 271,303 | 241,424 |
Pool # MA4430, 1.00%, 8/1/2036 | 172,559 | 142,884 |
Pool # BT0273, 1.50%, 9/1/2036 | 441,107 | 381,435 |
Pool # MA4417, 1.50%, 9/1/2036 | 342,661 | 296,216 |
Pool # MA4418, 2.00%, 9/1/2036 | 166,237 | 147,928 |
Pool # MA4441, 1.50%, 10/1/2036 | 479,382 | 414,405 |
Pool # BT9452, 1.50%, 11/1/2036 | 175,760 | 151,935 |
Pool # FM9247, 2.00%, 11/1/2036 | 344,311 | 305,951 |
Pool # MA4497, 2.00%, 12/1/2036 | 2,464,217 | 2,192,789 |
Pool # MA4516, 2.00%, 1/1/2037 | 531,141 | 472,634 |
Pool # BV7189, 2.00%, 3/1/2037 | 896,818 | 798,001 |
Pool # MA4581, 1.50%, 4/1/2037 | 925,654 | 800,146 |
FNMA UMBS, 20 Year | ||
Pool # AE6799, 4.50%, 11/1/2030 | 2,283 | 2,247 |
Pool # MA0885, 3.50%, 10/1/2031 | 27,602 | 26,651 |
Pool # AB4853, 3.00%, 4/1/2032 | 26,713 | 24,715 |
Pool # MA1058, 3.00%, 5/1/2032 | 12,378 | 11,482 |
Pool # MA1165, 3.00%, 9/1/2032 | 68,579 | 63,447 |
Pool # MA2079, 4.00%, 11/1/2034 | 13,671 | 13,113 |
Pool # AL7654, 3.00%, 9/1/2035 | 59,808 | 55,088 |
Pool # MA2472, 3.00%, 12/1/2035 | 11,967 | 11,011 |
Pool # FM1133, 4.00%, 6/1/2036 | 29,086 | 27,897 |
Pool # MA3099, 4.00%, 8/1/2037 | 86,024 | 82,504 |
Pool # BM5330, 2.50%, 12/1/2037 | 38,279 | 34,379 |
Pool # FM3204, 4.00%, 10/1/2038 | 33,285 | 32,251 |
Pool # MA4072, 2.50%, 7/1/2040 | 144,827 | 127,112 |
Pool # MA4128, 2.00%, 9/1/2040 | 1,347,994 | 1,149,336 |
Pool # MA4204, 2.00%, 12/1/2040 | 839,987 | 716,190 |
Pool # CA9019, 2.00%, 2/1/2041 | 370,157 | 315,577 |
Pool # MA4310, 1.50%, 4/1/2041 | 764,621 | 627,569 |
Pool # MA4422, 2.00%, 9/1/2041 | 396,354 | 335,933 |
Pool # MA4446, 2.00%, 10/1/2041 | 397,010 | 336,488 |
Pool # FS0316, 1.50%, 11/1/2041 | 653,339 | 528,133 |
Pool # MA4521, 2.50%, 1/1/2042 | 545,167 | 475,058 |
Pool # BV7697, 2.50%, 4/1/2042 | 951,307 | 829,059 |
Pool # MA4587, 2.50%, 4/1/2042 | 944,535 | 823,166 |
34 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
FNMA UMBS, 30 Year | ||
Pool # 254447, 6.00%, 9/1/2032 | 21,224 | 21,898 |
Pool # 711215, 5.50%, 6/1/2033 | 17,172 | 17,195 |
Pool # AA1005, 5.00%, 12/1/2033 | 12,951 | 13,049 |
Pool # 725232, 5.00%, 3/1/2034 | 9,982 | 10,058 |
Pool # 725228, 6.00%, 3/1/2034 | 51,620 | 53,248 |
Pool # 790003, 6.00%, 8/1/2034 | 15,877 | 16,250 |
Pool # 735503, 6.00%, 4/1/2035 | 36,950 | 37,941 |
Pool # 190360, 5.00%, 8/1/2035 | 27,244 | 27,452 |
Pool # 904601, 6.00%, 11/1/2036 | 38,688 | 40,107 |
Pool # 888538, 5.50%, 1/1/2037 | 19,950 | 20,431 |
Pool # AB0284, 6.00%, 2/1/2037 | 36,818 | 38,049 |
Pool # AL2627, 5.00%, 7/1/2037 | 17,887 | 18,023 |
Pool # 956965, 6.50%, 12/1/2037 | 12,019 | 12,321 |
Pool # BH7907, 6.50%, 12/1/2037 | 18,388 | 19,735 |
Pool # 961793, 5.00%, 3/1/2038 | 73,083 | 73,730 |
Pool # 985661, 5.50%, 6/1/2038 | 13,111 | 13,312 |
Pool # AU7519, 3.50%, 9/1/2038 | 9,664 | 9,057 |
Pool # AA7402, 4.50%, 6/1/2039 | 104,967 | 104,100 |
Pool # AC2638, 5.00%, 10/1/2039 | 144,179 | 145,728 |
Pool # AL0100, 6.00%, 10/1/2039 | 51,847 | 53,754 |
Pool # AC4886, 5.00%, 11/1/2039 | 24,121 | 24,305 |
Pool # 190399, 5.50%, 11/1/2039 | 80,525 | 82,718 |
Pool # AB1143, 4.50%, 6/1/2040 | 84,680 | 84,068 |
Pool # AD6938, 4.50%, 6/1/2040 | 121,413 | 120,535 |
Pool # AD5479, 5.00%, 6/1/2040 | 23,623 | 23,803 |
Pool # AB1259, 5.00%, 7/1/2040 | 28,344 | 28,561 |
Pool # AB1292, 5.00%, 8/1/2040 | 13,942 | 13,998 |
Pool # AL5437, 5.00%, 8/1/2040 | 87,368 | 87,820 |
Pool # AB1421, 5.00%, 9/1/2040 | 42,298 | 42,752 |
Pool # AE4142, 5.00%, 9/1/2040 | 31,585 | 31,556 |
Pool # AE3857, 5.00%, 10/1/2040 | 617,349 | 622,074 |
Pool # AE8289, 4.00%, 12/1/2040 | 89,015 | 85,587 |
Pool # MA0622, 3.50%, 1/1/2041 | 30,476 | 28,592 |
Pool # AH2312, 5.00%, 1/1/2041 | 69,048 | 69,244 |
Pool # AE0828, 3.50%, 2/1/2041 | 17,316 | 16,243 |
Pool # AH3804, 4.00%, 2/1/2041 | 19,844 | 19,080 |
Pool # MA0639, 4.00%, 2/1/2041 | 30,650 | 29,470 |
Pool # AB2676, 3.50%, 4/1/2041 | 106,868 | 100,259 |
Pool # AL0241, 4.00%, 4/1/2041 | 64,511 | 62,026 |
Pool # AI1887, 4.50%, 5/1/2041 | 238,458 | 236,197 |
Pool # BM3118, 6.00%, 7/1/2041 | 79,122 | 81,970 |
Pool # AJ2293, 4.00%, 9/1/2041 | 19,669 | 19,060 |
Pool # AL0933, 5.00%, 10/1/2041 | 79,180 | 79,787 |
Pool # AW8154, 3.50%, 1/1/2042 | 20,443 | 19,179 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # AX5318, 4.50%, 1/1/2042 | 66,501 | 66,020 |
Pool # BD4480, 4.50%, 1/1/2042 | 354,273 | 351,713 |
Pool # AL1998, 4.00%, 3/1/2042 | 98,069 | 94,931 |
Pool # AO4134, 3.50%, 6/1/2042 | 12,681 | 11,897 |
Pool # AO8694, 4.50%, 7/1/2042 | 35,750 | 35,054 |
Pool # AP4258, 3.00%, 8/1/2042 | 83,378 | 75,464 |
Pool # AB6632, 3.50%, 10/1/2042 | 123,284 | 115,659 |
Pool # AB6633, 3.50%, 10/1/2042 | 22,579 | 21,183 |
Pool # AL3344, 4.50%, 10/1/2042 | 135,206 | 134,228 |
Pool # AB6828, 3.50%, 11/1/2042 | 114,095 | 107,039 |
Pool # AL3182, 3.50%, 12/1/2042 | 19,577 | 18,366 |
Pool # AQ9316, 2.50%, 1/1/2043 | 54,236 | 46,790 |
Pool # AB7580, 3.00%, 1/1/2043 | 120,265 | 109,028 |
Pool # AQ1104, 3.00%, 1/1/2043 | 28,585 | 25,869 |
Pool # AR0168, 3.00%, 2/1/2043 | 48,897 | 44,253 |
Pool # AB7964, 3.50%, 2/1/2043 | 68,094 | 63,881 |
Pool # AR2271, 3.50%, 2/1/2043 | 265,186 | 248,599 |
Pool # BM4751, 3.50%, 3/1/2043 | 32,027 | 30,145 |
Pool # AB8742, 4.00%, 3/1/2043 | 14,129 | 13,870 |
Pool # AR6770, 4.00%, 3/1/2043 | 16,700 | 16,166 |
Pool # AT2015, 3.00%, 4/1/2043 | 33,571 | 30,381 |
Pool # AT2016, 3.00%, 4/1/2043 | 506,751 | 458,601 |
Pool # AB9194, 3.50%, 5/1/2043 | 114,016 | 106,867 |
Pool # FM4462, 3.50%, 5/1/2043 | 780,260 | 732,007 |
Pool # AU1629, 3.00%, 7/1/2043 | 78,709 | 71,230 |
Pool # BM3785, 3.50%, 7/1/2043 | 124,571 | 116,827 |
Pool # AS0241, 4.00%, 8/1/2043 | 782,111 | 745,797 |
Pool # BM3704, 3.00%, 9/1/2043 | 34,378 | 31,114 |
Pool # AT2612, 3.50%, 9/1/2043 | 76,211 | 71,621 |
Pool # AU4256, 3.50%, 9/1/2043 | 21,272 | 19,876 |
Pool # AU4283, 3.50%, 9/1/2043 | 19,169 | 17,967 |
Pool # AL4062, 4.00%, 9/1/2043 | 28,859 | 28,067 |
Pool # BM4635, 2.50%, 10/1/2043 | 155,327 | 134,015 |
Pool # AS1121, 4.00%, 11/1/2043 | 30,445 | 29,198 |
Pool # AV0022, 4.00%, 11/1/2043 | 458,754 | 439,949 |
Pool # AL7696, 3.00%, 12/1/2043 | 55,785 | 50,489 |
Pool # AV6103, 4.00%, 1/1/2044 | 166,955 | 160,223 |
Pool # BC1737, 4.00%, 1/1/2044 | 68,821 | 66,407 |
Pool # BM5365, 4.00%, 3/1/2044 | 69,086 | 66,427 |
Pool # FM1744, 3.50%, 5/1/2044 | 31,449 | 29,504 |
Pool # AS2700, 4.00%, 6/1/2044 | 38,959 | 37,713 |
Pool # AW6233, 4.50%, 6/1/2044 | 1,656,807 | 1,624,601 |
Pool # AS2947, 4.00%, 7/1/2044 | 38,693 | 37,221 |
Pool # AL9072, 5.00%, 7/1/2044 | 69,628 | 70,719 |
Pool # AL9569, 5.00%, 8/1/2044 | 100,930 | 102,201 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 35 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # AX0152, 4.50%, 9/1/2044 | 25,093 | 24,999 |
Pool # BM4620, 3.00%, 10/1/2044 | 87,126 | 78,906 |
Pool # AS3867, 4.00%, 11/1/2044 | 10,556 | 10,154 |
Pool # FM1746, 3.50%, 1/1/2045 | 96,825 | 90,837 |
Pool # FM0015, 4.00%, 2/1/2045 | 99,244 | 96,520 |
Pool # MA2193, 4.50%, 2/1/2045 | 14,257 | 13,941 |
Pool # FM3414, 4.00%, 3/1/2045 | 624,351 | 597,625 |
Pool # BM3398, 3.50%, 4/1/2045 | 13,992 | 13,122 |
Pool # CA2709, 4.00%, 9/1/2045 | 1,213,910 | 1,166,416 |
Pool # AS5851, 4.50%, 9/1/2045 | 11,480 | 11,294 |
Pool # AS6184, 3.50%, 11/1/2045 | 132,533 | 123,759 |
Pool # BA0315, 3.50%, 11/1/2045 | 426,698 | 395,690 |
Pool # FM1869, 4.00%, 11/1/2045 | 63,912 | 61,291 |
Pool # BM4833, 3.00%, 12/1/2045 | 557,391 | 503,878 |
Pool # FM1708, 3.00%, 12/1/2045 | 39,693 | 35,925 |
Pool # BC0066, 3.50%, 12/1/2045 | 28,509 | 26,466 |
Pool # FM3413, 4.00%, 1/1/2046 | 78,993 | 76,466 |
Pool # FM2323, 4.00%, 2/1/2046 | 39,709 | 38,181 |
Pool # AL9128, 4.50%, 2/1/2046 | 19,456 | 19,249 |
Pool # AS6811, 3.00%, 3/1/2046 | 27,948 | 25,201 |
Pool # BM4834, 3.00%, 3/1/2046 | 28,947 | 26,199 |
Pool # FM1782, 4.00%, 3/1/2046 | 12,295 | 11,828 |
Pool # FM2195, 4.00%, 3/1/2046 | 29,658 | 28,517 |
Pool # AS7003, 3.00%, 4/1/2046 | 36,375 | 32,754 |
Pool # AS7198, 4.50%, 5/1/2046 | 105,382 | 103,676 |
Pool # BD0166, 2.50%, 6/1/2046 | 116,840 | 100,800 |
Pool # BM5168, 2.50%, 6/1/2046 | 25,093 | 21,650 |
Pool # BC6105, 3.50%, 6/1/2046 | 1,057,183 | 982,508 |
Pool # FM1780, 4.00%, 7/1/2046 | 681,302 | 653,077 |
Pool # AS7660, 2.50%, 8/1/2046 | 233,473 | 201,415 |
Pool # MA2730, 2.50%, 8/1/2046 | 32,477 | 27,897 |
Pool # FM3810, 3.00%, 10/1/2046 | 105,733 | 95,694 |
Pool # AL9385, 3.00%, 11/1/2046 | 50,572 | 45,444 |
Pool # MA2806, 3.00%, 11/1/2046 | 154,321 | 139,152 |
Pool # BM3288, 3.50%, 12/1/2046 | 21,751 | 20,220 |
Pool # BM4990, 2.50%, 1/1/2047 | 11,871 | 10,242 |
Pool # FM2807, 3.00%, 1/1/2047 | 81,382 | 73,552 |
Pool # 890856, 3.50%, 1/1/2047 | 127,060 | 118,282 |
Pool # FM3374, 3.50%, 1/1/2047 | 151,062 | 141,727 |
Pool # FM0041, 3.00%, 2/1/2047 | 598,287 | 537,625 |
Pool # BM5955, 4.00%, 2/1/2047 | 35,930 | 34,563 |
Pool # BM5270, 4.50%, 2/1/2047 | 16,343 | 16,225 |
Pool # BM4350, 3.00%, 3/1/2047 | 766,920 | 691,087 |
Pool # MA2920, 3.00%, 3/1/2047 | 7,708 | 6,918 |
Pool # FM3107, 3.50%, 3/1/2047 | 255,827 | 238,088 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # AS9313, 4.00%, 3/1/2047 | 16,288 | 15,615 |
Pool # FM4735, 3.00%, 4/1/2047 | 158,628 | 141,265 |
Pool # FM6073, 4.00%, 4/1/2047 | 1,179,291 | 1,134,473 |
Pool # AS9480, 4.50%, 4/1/2047 | 28,746 | 28,388 |
Pool # FM1772, 4.50%, 5/1/2047 | 15,396 | 15,285 |
Pool # BD0667, 4.50%, 6/1/2047 | 391,793 | 382,266 |
Pool # AS9937, 3.00%, 7/1/2047 | 576,408 | 517,338 |
Pool # AS9946, 3.50%, 7/1/2047 | 42,156 | 39,130 |
Pool # BM1568, 3.50%, 7/1/2047 | 67,781 | 63,588 |
Pool # BH7375, 3.50%, 8/1/2047 | 46,728 | 43,295 |
Pool # CA0148, 4.50%, 8/1/2047 | 11,538 | 11,286 |
Pool # CA0850, 3.00%, 9/1/2047 | 34,243 | 30,650 |
Pool # MA3147, 3.00%, 10/1/2047 | 39,563 | 35,400 |
Pool # BM2003, 4.00%, 10/1/2047 | 156,357 | 149,557 |
Pool # BH9392, 3.50%, 11/1/2047 | 13,044 | 12,036 |
Pool # CA0681, 3.50%, 11/1/2047 | 221,831 | 207,144 |
Pool # FM0028, 3.00%, 12/1/2047 | 47,032 | 42,566 |
Pool # MA3209, 3.00%, 12/1/2047 | 271,605 | 242,940 |
Pool # FM1420, 3.50%, 12/1/2047 | 211,884 | 197,641 |
Pool # CA4015, 3.00%, 1/1/2048 | 9,421 | 8,427 |
Pool # BJ6154, 3.50%, 1/1/2048 | 166,518 | 154,101 |
Pool # MA3238, 3.50%, 1/1/2048 | 48,404 | 44,790 |
Pool # BJ5910, 3.50%, 2/1/2048 | 196,801 | 184,616 |
Pool # MA3305, 3.50%, 3/1/2048 | 779,188 | 719,082 |
Pool # FM3494, 2.50%, 4/1/2048 | 11,184 | 9,648 |
Pool # CA2687, 3.00%, 5/1/2048 | 22,747 | 20,445 |
Pool # BM4054, 4.00%, 5/1/2048 | 95,174 | 91,425 |
Pool # MA3425, 3.00%, 6/1/2048 | 32,798 | 29,255 |
Pool # BM4757, 3.50%, 7/1/2048 | 38,488 | 35,872 |
Pool # FM3438, 3.00%, 8/1/2048 | 678,520 | 609,476 |
Pool # BM2007, 4.00%, 9/1/2048 | 4,292 | 4,095 |
Pool # CA2368, 4.00%, 9/1/2048 | 27,781 | 26,511 |
Pool # MA3472, 5.00%, 9/1/2048 | 9,300 | 9,324 |
Pool # CA4655, 3.50%, 10/1/2048 | 89,267 | 82,860 |
Pool # MA3495, 4.00%, 10/1/2048 | 28,237 | 26,939 |
Pool # CA2432, 4.50%, 10/1/2048 | 52,482 | 51,762 |
Pool # FM7895, 3.50%, 11/1/2048 | 270,329 | 251,536 |
Pool # FM1248, 4.50%, 11/1/2048 | 16,498 | 16,185 |
Pool # CA2797, 4.50%, 12/1/2048 | 626,773 | 623,883 |
Pool # FM0030, 3.00%, 2/1/2049 | 50,728 | 45,591 |
Pool # FM6237, 3.50%, 4/1/2049 | 549,393 | 510,348 |
Pool # MA3637, 3.50%, 4/1/2049 | 17,554 | 16,168 |
Pool # MA3638, 4.00%, 4/1/2049 | 16,404 | 15,650 |
Pool # BN5418, 4.50%, 4/1/2049 | 20,683 | 20,260 |
Pool # MA3664, 4.00%, 5/1/2049 | 8,268 | 7,869 |
36 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # FM4074, 4.50%, 5/1/2049 | 286,710 | 282,774 |
Pool # CA4358, 3.50%, 7/1/2049 | 16,557 | 15,237 |
Pool # FM1672, 4.50%, 7/1/2049 | 779,938 | 771,681 |
Pool # MA3745, 3.50%, 8/1/2049 | 81,147 | 75,075 |
Pool # MA3746, 4.00%, 8/1/2049 | 12,284 | 11,670 |
Pool # FM1385, 5.00%, 8/1/2049 | 366,253 | 369,973 |
Pool # BO4012, 3.00%, 9/1/2049 | 109,198 | 97,061 |
Pool # FM1449, 3.50%, 9/1/2049 | 140,799 | 129,556 |
Pool # FM4430, 3.50%, 9/1/2049 | 549,378 | 506,532 |
Pool # FM3572, 4.50%, 9/1/2049 | 77,714 | 76,647 |
Pool # MA3803, 3.50%, 10/1/2049 | 39,351 | 36,395 |
Pool # MA3833, 2.50%, 11/1/2049 | 623,996 | 533,246 |
Pool # BK0350, 3.00%, 11/1/2049 | 817,807 | 730,897 |
Pool # MA3870, 2.50%, 12/1/2049 | 196,394 | 166,859 |
Pool # FM2363, 3.00%, 1/1/2050 | 1,636,647 | 1,467,636 |
Pool # MA3905, 3.00%, 1/1/2050 | 864,224 | 766,832 |
Pool # CA5021, 3.50%, 1/1/2050 | 36,749 | 33,777 |
Pool # FM5922, 3.50%, 1/1/2050 | 363,079 | 335,185 |
Pool # MA3906, 3.50%, 1/1/2050 | 36,656 | 33,706 |
Pool # CA5135, 2.50%, 2/1/2050 | 142,016 | 122,402 |
Pool # MA3936, 2.50%, 2/1/2050 | 143,951 | 122,614 |
Pool # FM2733, 2.50%, 3/1/2050 | 103,464 | 88,129 |
Pool # FM4883, 2.50%, 3/1/2050 | 1,992,608 | 1,697,888 |
Pool # FM4372, 3.50%, 3/1/2050 | 523,974 | 485,213 |
Pool # BP2403, 3.50%, 4/1/2050 | 256,898 | 234,723 |
Pool # BP5001, 2.50%, 5/1/2050 | 576,837 | 490,914 |
Pool # FM3257, 3.00%, 5/1/2050 | 240,991 | 216,356 |
Pool # BK2753, 2.50%, 7/1/2050 | 920,535 | 783,423 |
Pool # MA4078, 2.50%, 7/1/2050 | 353,276 | 300,945 |
Pool # BP6626, 2.00%, 8/1/2050 | 2,356,772 | 1,928,590 |
Pool # MA4100, 2.00%, 8/1/2050 | 1,107,548 | 908,155 |
Pool # BP9500, 2.50%, 8/1/2050 | 91,050 | 77,479 |
Pool # BQ0723, 3.50%, 8/1/2050 | 1,286,984 | 1,180,562 |
Pool # FM5750, 4.00%, 8/1/2050 | 334,127 | 316,003 |
Pool # MA4119, 2.00%, 9/1/2050 | 149,492 | 122,379 |
Pool # BK3044, 2.50%, 9/1/2050 | 774,457 | 658,859 |
Pool # BP6702, 2.50%, 9/1/2050 | 598,107 | 511,266 |
Pool # FM8260, 4.00%, 9/1/2050 | 552,762 | 532,821 |
Pool # MA4158, 2.00%, 10/1/2050 | 1,744,697 | 1,431,286 |
Pool # MA4159, 2.50%, 10/1/2050 | 583,290 | 496,168 |
Pool # MA4182, 2.00%, 11/1/2050 | 1,826,997 | 1,494,895 |
Pool # CA7603, 2.50%, 11/1/2050 | 316,877 | 270,274 |
Pool # MA4183, 2.50%, 11/1/2050 | 2,613,082 | 2,224,252 |
Pool # CA8222, 1.50%, 12/1/2050 | 1,481,706 | 1,148,322 |
Pool # MA4209, 1.50%, 12/1/2050 | 1,292,761 | 1,002,299 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # BQ5160, 2.00%, 12/1/2050 | 2,670,591 | 2,183,442 |
Pool # FM5849, 2.00%, 12/1/2050 | 898,864 | 735,279 |
Pool # MA4208, 2.00%, 12/1/2050 | 470,317 | 384,771 |
Pool # BR2807, 2.50%, 12/1/2050 | 1,295,598 | 1,103,164 |
Pool # MA4210, 2.50%, 12/1/2050 | 1,459,857 | 1,244,970 |
Pool # FM5597, 2.00%, 1/1/2051 | 222,015 | 181,540 |
Pool # FM6241, 2.00%, 1/1/2051 | 3,804,809 | 3,110,351 |
Pool # FM5854, 2.50%, 1/1/2051 | 177,893 | 151,284 |
Pool # MA4254, 1.50%, 2/1/2051 | 345,667 | 267,871 |
Pool # CA9190, 2.00%, 2/1/2051 | 850,678 | 695,327 |
Pool # FM6037, 2.00%, 2/1/2051 | 1,785,955 | 1,467,104 |
Pool # FM6126, 2.00%, 2/1/2051 | 216,693 | 177,209 |
Pool # MA4255, 2.00%, 2/1/2051 | 4,729,215 | 3,863,281 |
Pool # BR3515, 2.50%, 2/1/2051 | 165,146 | 140,417 |
Pool # FM6244, 2.00%, 3/1/2051 | 855,115 | 700,601 |
Pool # MA4281, 2.00%, 3/1/2051 | 259,900 | 212,465 |
Pool # FM6523, 2.50%, 3/1/2051 | 303,511 | 258,929 |
Pool # FM6764, 2.50%, 3/1/2051 | 864,815 | 735,332 |
Pool # FM6537, 2.00%, 4/1/2051 | 2,935,874 | 2,433,122 |
Pool # MA4306, 2.50%, 4/1/2051 | 252,730 | 214,407 |
Pool # FM7099, 3.00%, 4/1/2051 | 801,212 | 717,894 |
Pool # MA4325, 2.00%, 5/1/2051 | 2,341,846 | 1,913,695 |
Pool # FM7066, 2.50%, 5/1/2051 | 828,711 | 721,997 |
Pool # MA4354, 1.50%, 6/1/2051 | 1,499,856 | 1,161,129 |
Pool # MA4355, 2.00%, 6/1/2051 | 439,969 | 359,843 |
Pool # CB0727, 2.50%, 6/1/2051 | 1,466,203 | 1,248,326 |
Pool # FM7418, 2.50%, 6/1/2051 | 903,527 | 767,775 |
Pool # MA4356, 2.50%, 6/1/2051 | 3,499,873 | 2,971,838 |
Pool # MA4377, 1.50%, 7/1/2051 | 1,499,809 | 1,161,087 |
Pool # FM8194, 2.00%, 7/1/2051 | 370,185 | 302,528 |
Pool # MA4378, 2.00%, 7/1/2051 | 2,136,049 | 1,744,839 |
Pool # CB1027, 2.50%, 7/1/2051 | 271,804 | 230,651 |
Pool # MA4379, 2.50%, 7/1/2051 | 4,135,299 | 3,510,744 |
Pool # MA4380, 3.00%, 7/1/2051 | 223,427 | 197,088 |
Pool # FM8278, 3.50%, 7/1/2051 | 412,466 | 376,897 |
Pool # BT9030, 2.00%, 8/1/2051 | 185,769 | 151,670 |
Pool # MA4398, 2.00%, 8/1/2051 | 2,151,051 | 1,756,014 |
Pool # BR2236, 2.50%, 8/1/2051 | 267,257 | 226,763 |
Pool # BR2237, 2.50%, 8/1/2051 | 526,579 | 446,966 |
Pool # BR2258, 2.50%, 8/1/2051 | 169,934 | 144,265 |
Pool # CB1276, 2.50%, 8/1/2051 | 759,887 | 644,836 |
Pool # MA4399, 2.50%, 8/1/2051 | 1,451,457 | 1,232,015 |
Pool # MA4401, 3.50%, 8/1/2051 | 134,884 | 123,123 |
Pool # BT0240, 2.00%, 9/1/2051 | 182,497 | 149,029 |
Pool # MA4413, 2.00%, 9/1/2051 | 775,173 | 633,041 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 37 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA4414, 2.50%, 9/1/2051 | 522,636 | 443,521 |
Pool # MA4437, 2.00%, 10/1/2051 | 779,368 | 635,137 |
Pool # MA4438, 2.50%, 10/1/2051 | 532,965 | 452,192 |
Pool # CB1917, 3.00%, 10/1/2051 | 1,957,403 | 1,728,298 |
Pool # MA4464, 1.50%, 11/1/2051 | 564,554 | 436,614 |
Pool # MA4465, 2.00%, 11/1/2051 | 1,296,814 | 1,058,673 |
Pool # MA4492, 2.00%, 12/1/2051 | 3,013,975 | 2,460,817 |
Pool # FM9868, 2.50%, 12/1/2051 | 554,202 | 472,414 |
Pool # FM9870, 2.50%, 12/1/2051 | 560,972 | 477,729 |
Pool # MA4493, 2.50%, 12/1/2051 | 916,557 | 777,404 |
Pool # MA4511, 2.00%, 1/1/2052 | 845,059 | 689,251 |
Pool # MA4512, 2.50%, 1/1/2052 | 464,453 | 393,913 |
Pool # MA4513, 3.00%, 1/1/2052 | 1,999,676 | 1,762,592 |
Pool # MA4547, 2.00%, 2/1/2052 | 2,380,339 | 1,942,552 |
Pool # MA4548, 2.50%, 2/1/2052 | 468,792 | 397,631 |
Pool # MA4562, 2.00%, 3/1/2052 | 3,499,907 | 2,852,720 |
Pool # MA4577, 2.00%, 4/1/2052 | 5,493,354 | 4,476,502 |
Pool # MA4578, 2.50%, 4/1/2052 | 3,622,499 | 3,071,657 |
Pool # MA4579, 3.00%, 4/1/2052 | 1,076,076 | 947,471 |
Pool # MA4598, 2.50%, 5/1/2052 | 1,639,644 | 1,389,558 |
Pool # MA4600, 3.50%, 5/1/2052 | 2,267,251 | 2,065,180 |
Pool # MA4743, 2.50%, 8/1/2052 | 1,754,013 | 1,486,669 |
Pool # MA4699, 3.50%, 8/1/2052 | 2,000,460 | 1,821,654 |
Pool # MA4700, 4.00%, 8/1/2052 | 1,972,693 | 1,853,127 |
Pool # MA4733, 4.50%, 9/1/2052 | 996,629 | 960,771 |
Pool # MA4784, 4.50%, 10/1/2052 | 996,367 | 960,493 |
Pool # MA4805, 4.50%, 11/1/2052 | 1,193,073 | 1,150,118 |
Pool # MA4868, 5.00%, 1/1/2053 | 796,210 | 783,111 |
Pool # MA4869, 5.50%, 1/1/2053 | 524,346 | 523,795 |
Pool # MA4933, 3.50%, 2/1/2053 | 1,310,739 | 1,193,528 |
Pool # MA4918, 5.00%, 2/1/2053 | 1,993,717 | 1,961,218 |
Pool # MA4919, 5.50%, 2/1/2053 | 2,515,387 | 2,512,724 |
Pool # MA4920, 6.00%, 2/1/2053 | 2,774,884 | 2,808,661 |
Pool # MA4962, 4.00%, 3/1/2053 | 2,000,000 | 1,878,362 |
Pool # MA4943, 6.50%, 3/1/2053 | 1,190,000 | 1,221,159 |
FNMA/FHLMC UMBS, Single Family, 15 Year | ||
TBA, 1.50%, 3/25/2038 (a) | 2,500,000 | 2,159,961 |
TBA, 3.00%, 3/25/2038 (a) | 500,000 | 466,194 |
TBA, 3.50%, 3/25/2038 (a) | 5,500,000 | 5,242,187 |
FNMA/FHLMC UMBS, Single Family, 30 Year | ||
TBA, 2.00%, 3/25/2053 (a) | 13,500,000 | 10,993,799 |
TBA, 2.50%, 3/25/2053 (a) | 12,100,000 | 10,248,605 |
TBA, 3.00%, 3/25/2053 (a) | 13,900,000 | 12,224,670 |
TBA, 3.50%, 3/25/2053 (a) | 5,400,000 | 4,915,266 |
TBA, 4.00%, 3/25/2053 (a) | 9,351,000 | 8,776,790 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
TBA, 4.50%, 3/25/2053 (a) | 4,866,000 | 4,688,087 |
TBA, 5.00%, 3/25/2053 (a) | 3,600,000 | 3,538,688 |
TBA, 5.50%, 3/25/2053 (a) | 1,500,000 | 1,497,422 |
GNMA I, 30 Year | ||
Pool # 704155, 5.50%, 1/15/2039 | 16,807 | 17,131 |
Pool # 726769, 5.00%, 9/15/2039 | 13,245 | 13,294 |
Pool # 721340, 5.00%, 12/15/2039 | 46,995 | 47,054 |
Pool # 754439, 3.50%, 12/15/2041 | 106,966 | 101,251 |
Pool # 711674, 3.00%, 9/15/2042 | 45,267 | 41,772 |
Pool # 783748, 3.50%, 4/15/2043 | 63,002 | 59,666 |
Pool # 784660, 4.00%, 4/15/2043 | 5,503 | 5,329 |
Pool # AC2224, 3.50%, 6/15/2043 | 42,095 | 39,844 |
Pool # 785088, 3.50%, 7/15/2043 | 55,018 | 52,448 |
Pool # AJ4151, 4.00%, 9/15/2044 | 201,744 | 195,110 |
Pool # AL9314, 3.00%, 3/15/2045 | 39,709 | 35,758 |
Pool # 784664, 4.00%, 4/15/2045 | 21,189 | 20,720 |
Pool # AO0544, 3.00%, 8/15/2045 | 21,958 | 19,773 |
Pool # 627030, 3.00%, 12/15/2045 | 21,977 | 19,790 |
Pool # 784429, 3.00%, 8/15/2046 | 78,526 | 72,122 |
Pool # 784652, 4.00%, 11/15/2047 | 442,937 | 434,601 |
Pool # 784766, 3.50%, 3/15/2048 | 487,358 | 460,733 |
GNMA II, 15 Year | ||
Pool # MA0513, 2.50%, 11/20/2027 | 52,920 | 50,228 |
Pool # MA4625, 3.50%, 8/20/2032 | 21,651 | 20,768 |
Pool # MA6906, 2.50%, 10/20/2035 | 372,791 | 338,729 |
GNMA II, 30 Year | ||
Pool # 711773, 3.50%, 6/20/2033 | 52,508 | 48,289 |
Pool # 3459, 5.50%, 10/20/2033 | 46,158 | 47,373 |
Pool # AQ5932, 3.50%, 1/20/2036 | 69,793 | 64,177 |
Pool # 4222, 6.00%, 8/20/2038 | 8,587 | 9,057 |
Pool # 709148, 4.50%, 2/20/2039 | 28,460 | 27,768 |
Pool # 4446, 4.50%, 5/20/2039 | 2,620 | 2,614 |
Pool # 4467, 4.00%, 6/20/2039 | 12,053 | 11,691 |
Pool # 4468, 4.50%, 6/20/2039 | 2,340 | 2,335 |
Pool # 4494, 4.00%, 7/20/2039 | 13,186 | 12,790 |
Pool # 4495, 4.50%, 7/20/2039 | 10,152 | 10,131 |
Pool # 4519, 4.50%, 8/20/2039 | 3,754 | 3,746 |
Pool # 4558, 4.50%, 10/20/2039 | 3,179 | 3,173 |
Pool # 4576, 4.00%, 11/20/2039 | 6,151 | 5,967 |
Pool # 4598, 4.50%, 12/20/2039 | 6,232 | 6,219 |
Pool # 4617, 4.50%, 1/20/2040 | 3,393 | 3,386 |
Pool # 4636, 4.50%, 2/20/2040 | 4,875 | 4,865 |
Pool # 4656, 4.00%, 3/20/2040 | 9,899 | 9,602 |
Pool # 4677, 4.00%, 4/20/2040 | 26,456 | 25,661 |
Pool # 4678, 4.50%, 4/20/2040 | 1,174 | 1,171 |
38 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # 4695, 4.00%, 5/20/2040 | 2,906 | 2,819 |
Pool # 4696, 4.50%, 5/20/2040 | 1,174 | 1,171 |
Pool # 4712, 4.00%, 6/20/2040 | 4,432 | 4,301 |
Pool # 4800, 4.00%, 9/20/2040 | 4,729 | 4,587 |
Pool # 737727, 4.00%, 12/20/2040 | 41,526 | 40,023 |
Pool # 4945, 4.00%, 2/20/2041 | 10,137 | 9,832 |
Pool # 759342, 4.50%, 2/20/2041 | 211,886 | 208,418 |
Pool # 4950, 5.50%, 2/20/2041 | 18,920 | 19,653 |
Pool # 4976, 3.50%, 3/20/2041 | 11,777 | 11,109 |
Pool # 4977, 4.00%, 3/20/2041 | 18,506 | 17,951 |
Pool # 5016, 4.00%, 4/20/2041 | 7,250 | 7,032 |
Pool # 5054, 4.00%, 5/20/2041 | 11,369 | 11,028 |
Pool # 5114, 4.00%, 7/20/2041 | 1,486 | 1,441 |
Pool # 779497, 3.50%, 10/20/2041 | 7,723 | 7,148 |
Pool # 5233, 4.00%, 11/20/2041 | 1,824 | 1,770 |
Pool # 5258, 3.50%, 12/20/2041 | 110,958 | 104,584 |
Pool # 5259, 4.00%, 12/20/2041 | 6,991 | 6,781 |
Pool # 5279, 3.50%, 1/20/2042 | 20,602 | 19,419 |
Pool # 5330, 3.00%, 3/20/2042 | 13,538 | 12,392 |
Pool # 754406, 3.50%, 5/20/2042 | 51,806 | 47,850 |
Pool # MA0220, 3.50%, 7/20/2042 | 8,672 | 8,174 |
Pool # MA0318, 3.50%, 8/20/2042 | 120,694 | 113,761 |
Pool # 796468, 4.00%, 9/20/2042 | 18,299 | 17,749 |
Pool # AA6040, 3.00%, 1/20/2043 | 91,078 | 81,567 |
Pool # AD1584, 3.00%, 1/20/2043 | 117,136 | 104,649 |
Pool # AD2125, 3.50%, 1/20/2043 | 82,428 | 77,712 |
Pool # AA6054, 3.00%, 2/20/2043 | 184,117 | 165,233 |
Pool # AD1744, 3.00%, 2/20/2043 | 15,468 | 14,192 |
Pool # 783755, 3.00%, 4/20/2043 | 121,587 | 111,297 |
Pool # 783976, 3.50%, 4/20/2043 | 20,107 | 18,729 |
Pool # MA1012, 3.50%, 5/20/2043 | 102,944 | 97,148 |
Pool # MA1157, 3.50%, 7/20/2043 | 20,392 | 19,220 |
Pool # MA1284, 3.00%, 9/20/2043 | 16,338 | 14,972 |
Pool # 785065, 3.50%, 10/20/2043 | 208,719 | 191,964 |
Pool # MA1376, 4.00%, 10/20/2043 | 96,060 | 93,175 |
Pool # AI7106, 4.00%, 6/20/2044 | 29,904 | 28,775 |
Pool # 784026, 3.50%, 12/20/2044 | 183,679 | 172,212 |
Pool # MA2678, 3.50%, 3/20/2045 | 126,770 | 118,363 |
Pool # MA2679, 4.00%, 3/20/2045 | 44,210 | 42,813 |
Pool # MA2753, 3.00%, 4/20/2045 | 65,200 | 59,680 |
Pool # 626942, 3.00%, 5/20/2045 | 147,132 | 129,626 |
Pool # MA2825, 3.00%, 5/20/2045 | 164,943 | 150,982 |
Pool # MA2829, 5.00%, 5/20/2045 | 24,598 | 24,956 |
Pool # 784800, 3.00%, 6/20/2045 | 32,514 | 29,102 |
Pool # AM9881, 3.00%, 6/20/2045 | 21,220 | 19,020 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA3247, 5.00%, 11/20/2045 | 21,295 | 21,604 |
Pool # AO9442, 3.50%, 12/20/2045 | 19,213 | 17,936 |
Pool # 784119, 3.00%, 2/20/2046 | 142,297 | 129,667 |
Pool # MA3458, 5.50%, 2/20/2046 | 30,022 | 31,185 |
Pool # MA3520, 3.00%, 3/20/2046 | 384,571 | 350,255 |
Pool # MA3735, 3.00%, 6/20/2046 | 263,138 | 239,075 |
Pool # AT7138, 3.50%, 6/20/2046 | 271,002 | 244,161 |
Pool # MA3935, 2.50%, 9/20/2046 | 69,992 | 61,593 |
Pool # 784768, 3.00%, 9/20/2046 | 75,673 | 68,679 |
Pool # AT8215, 3.00%, 9/20/2046 | 22,281 | 20,021 |
Pool # MA4002, 2.50%, 10/20/2046 | 380,818 | 335,169 |
Pool # AW0199, 3.00%, 10/20/2046 | 49,927 | 44,817 |
Pool # MA4068, 3.00%, 11/20/2046 | 11,136 | 10,111 |
Pool # MA4072, 5.00%, 11/20/2046 | 24,489 | 24,844 |
Pool # MA4125, 2.50%, 12/20/2046 | 349,206 | 307,325 |
Pool # MA4126, 3.00%, 12/20/2046 | 52,328 | 47,489 |
Pool # MA4260, 2.50%, 2/20/2047 | 61,594 | 54,200 |
Pool # AZ3119, 3.50%, 3/20/2047 | 30,219 | 27,780 |
Pool # AZ7084, 3.50%, 4/20/2047 | 92,136 | 85,311 |
Pool # MA4511, 4.00%, 6/20/2047 | 163,284 | 156,564 |
Pool # BA5041, 5.00%, 6/20/2047 | 95,958 | 96,213 |
Pool # MA4584, 2.50%, 7/20/2047 | 82,993 | 73,030 |
Pool # MA4718, 3.00%, 9/20/2047 | 7,184 | 6,497 |
Pool # MA4721, 4.50%, 9/20/2047 | 30,567 | 30,172 |
Pool # MA4836, 3.00%, 11/20/2047 | 347,711 | 315,721 |
Pool # BC2742, 3.50%, 11/20/2047 | 640,968 | 586,855 |
Pool # BD6940, 3.50%, 12/20/2047 | 153 | 138 |
Pool # MA4900, 3.50%, 12/20/2047 | 85,148 | 79,447 |
Pool # MA5019, 3.50%, 2/20/2048 | 221,662 | 206,827 |
Pool # MA5077, 3.50%, 3/20/2048 | 33,003 | 30,753 |
Pool # MA5138, 4.50%, 4/20/2048 | 12,966 | 12,758 |
Pool # 785033, 3.50%, 5/20/2048 | 208,664 | 199,056 |
Pool # MA5194, 5.00%, 5/20/2048 | 80,491 | 80,754 |
Pool # MA5329, 3.50%, 7/20/2048 | 7,947 | 7,405 |
Pool # MA5468, 5.00%, 9/20/2048 | 6,190 | 6,197 |
Pool # MA5527, 3.50%, 10/20/2048 | 29,129 | 27,155 |
Pool # MA5595, 4.00%, 11/20/2048 | 36,228 | 34,651 |
Pool # BJ6759, 4.50%, 11/20/2048 | 305,738 | 298,123 |
Pool # MA5650, 3.50%, 12/20/2048 | 11,958 | 11,143 |
Pool # MA5651, 4.00%, 12/20/2048 | 173,205 | 164,794 |
Pool # MA5709, 3.50%, 1/20/2049 | 82,741 | 77,174 |
Pool # BI6473, 4.00%, 1/20/2049 | 709,870 | 688,057 |
Pool # BJ9901, 3.00%, 2/20/2049 | 55,958 | 50,073 |
Pool # MA5930, 3.50%, 5/20/2049 | 10,767 | 9,997 |
Pool # MA5983, 2.50%, 6/20/2049 | 118,540 | 104,337 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 39 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mortgage-Backed Securities — continued | ||
Pool # MA5985, 3.50%, 6/20/2049 | 43,028 | 39,736 |
Pool # MA5987, 4.50%, 6/20/2049 | 37,730 | 36,863 |
Pool # MA5988, 5.00%, 6/20/2049 | 7,120 | 7,121 |
Pool # MA6039, 3.50%, 7/20/2049 | 72,183 | 67,013 |
Pool # BM5450, 4.50%, 7/20/2049 | 73,344 | 71,343 |
Pool # MA6220, 4.00%, 10/20/2049 | 187,294 | 177,558 |
Pool # BR4627, 3.00%, 11/20/2049 | 495,613 | 444,409 |
Pool # 785067, 3.50%, 12/20/2049 | 391,577 | 352,213 |
Pool # MA6478, 5.00%, 2/20/2050 | 24,663 | 24,765 |
Pool # MA6542, 3.50%, 3/20/2050 | 239,148 | 223,438 |
Pool # MA6545, 5.00%, 3/20/2050 | 28,137 | 28,259 |
Pool # BV1348, 2.50%, 6/20/2050 | 49,315 | 41,147 |
Pool # MA6709, 2.50%, 6/20/2050 | 708,033 | 617,406 |
Pool # MA6818, 2.00%, 8/20/2050 | 1,321,033 | 1,116,558 |
Pool # BY8818, 2.00%, 10/20/2050 | 553,827 | 461,571 |
Pool # 785401, 2.50%, 10/20/2050 | 748,326 | 628,451 |
Pool # MA6994, 2.00%, 11/20/2050 | 1,452,758 | 1,225,225 |
Pool # BY8832, 2.50%, 11/20/2050 | 466,786 | 393,436 |
Pool # MA7051, 2.00%, 12/20/2050 | 2,252,727 | 1,898,568 |
Pool # CA4485, 2.50%, 12/20/2050 | 545,291 | 455,677 |
Pool # MA7052, 2.50%, 12/20/2050 | 923,855 | 802,958 |
Pool # MA7055, 4.00%, 12/20/2050 | 241,204 | 228,911 |
Pool # MA7135, 2.00%, 1/20/2051 | 2,575,903 | 2,171,411 |
Pool # MA7254, 2.00%, 3/20/2051 | 1,115,749 | 940,959 |
Pool # MA7311, 2.00%, 4/20/2051 | 2,641,280 | 2,226,136 |
Pool # 785449, 3.00%, 4/20/2051 | 294,481 | 263,719 |
Pool # MA7367, 2.50%, 5/20/2051 | 1,517,642 | 1,317,064 |
Pool # MA7368, 3.00%, 5/20/2051 | 465,377 | 417,599 |
Pool # MA7417, 2.00%, 6/20/2051 | 3,061,041 | 2,578,328 |
Pool # MA7418, 2.50%, 6/20/2051 | 1,675,157 | 1,452,972 |
Pool # MA7420, 3.50%, 6/20/2051 | 422,678 | 391,441 |
Pool # MA7471, 2.00%, 7/20/2051 | 2,498,713 | 2,102,730 |
Pool # MA7472, 2.50%, 7/20/2051 | 807,290 | 699,839 |
Pool # MA7473, 3.00%, 7/20/2051 | 506,108 | 454,243 |
Pool # MA7533, 2.00%, 8/20/2051 | 1,041,184 | 874,195 |
Pool # MA7588, 2.00%, 9/20/2051 | 1,058,722 | 888,612 |
Pool # MA7589, 2.50%, 9/20/2051 | 438,135 | 379,614 |
Pool # MA7766, 2.00%, 12/20/2051 | 2,309,044 | 1,936,202 |
Pool # MA7826, 2.00%, 1/20/2052 | 466,300 | 390,931 |
Pool # 785881, 2.50%, 1/20/2052 | 2,057,442 | 1,718,612 |
Pool # 785945, 3.00%, 2/20/2052 | 944,532 | 845,776 |
Pool # 786017, 3.00%, 3/20/2052 | 961,849 | 861,860 |
Pool # MA7937, 3.00%, 3/20/2052 | 940,979 | 841,816 |
Pool # MA7986, 2.00%, 4/20/2052 | 1,143,136 | 958,403 |
Pool # MA7987, 2.50%, 4/20/2052 | 1,989,734 | 1,721,178 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pool # MA7988, 3.00%, 4/20/2052 | 955,359 | 854,564 |
Pool # MA8043, 3.00%, 5/20/2052 | 1,965,041 | 1,754,680 |
Pool # MA8267, 4.00%, 9/20/2052 | 1,186,300 | 1,121,245 |
Pool # MA8269, 5.00%, 9/20/2052 | 641,982 | 635,200 |
Pool # MA8270, 5.50%, 9/20/2052 | 990,635 | 995,211 |
GNMA II, Single Family, 30 Year | ||
TBA, 2.50%, 3/15/2052 (a) | 6,300,000 | 5,447,531 |
TBA, 4.00%, 3/15/2052 (a) | 1,600,000 | 1,511,563 |
TBA, 2.00%, 3/15/2053 (a) | 1,400,000 | 1,173,348 |
TBA, 3.00%, 3/15/2053 (a) | 3,700,000 | 3,302,611 |
TBA, 3.50%, 3/15/2053 (a) | 600,000 | 551,320 |
TBA, 4.50%, 3/15/2053 (a) | 2,200,000 | 2,133,055 |
TBA, 5.00%, 3/15/2053 (a) | 1,250,000 | 1,234,961 |
Total Mortgage-Backed Securities (Cost $406,461,648) | 362,631,667 | |
Corporate Bonds — 24.6% | ||
Aerospace & Defense — 0.5% | ||
Boeing Co. (The) | ||
3.25%, 3/1/2028 | 2,439,000 | 2,218,450 |
3.63%, 3/1/2048 | 803,000 | 548,979 |
Hexcel Corp. 4.95%, 8/15/2025 (b) | 167,000 | 162,696 |
Huntington Ingalls Industries, Inc. 2.04%, 8/16/2028 | 166,000 | 137,451 |
L3Harris Technologies, Inc. | ||
1.80%, 1/15/2031 | 100,000 | 77,985 |
4.85%, 4/27/2035 | 166,000 | 157,713 |
Lockheed Martin Corp. | ||
5.10%, 11/15/2027 | 728,000 | 737,674 |
1.85%, 6/15/2030 | 816,000 | 667,356 |
4.50%, 5/15/2036 | 357,000 | 340,460 |
Northrop Grumman Corp. 5.25%, 5/1/2050 | 272,000 | 268,294 |
Precision Castparts Corp. 4.38%, 6/15/2045 | 82,000 | 73,348 |
Raytheon Technologies Corp. 3.03%, 3/15/2052 | 961,000 | 663,846 |
6,054,252 | ||
Air Freight & Logistics — 0.1% | ||
CH Robinson Worldwide, Inc. 4.20%, 4/15/2028 | 144,000 | 137,099 |
FedEx Corp. 3.88%, 8/1/2042 | 992,000 | 767,824 |
GXO Logistics, Inc. 1.65%, 7/15/2026 | 164,000 | 140,660 |
United Parcel Service, Inc. | ||
5.20%, 4/1/2040 | 98,000 | 98,812 |
40 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Air Freight & Logistics — continued | ||
3.75%, 11/15/2047 | 300,000 | 246,093 |
3.40%, 9/1/2049 | 465,000 | 360,714 |
1,751,202 | ||
Auto Components — 0.0% ^ | ||
Aptiv plc 3.10%, 12/1/2051 | 213,000 | 128,263 |
BorgWarner, Inc. 4.38%, 3/15/2045 | 60,000 | 46,650 |
Lear Corp. 5.25%, 5/15/2049 | 85,000 | 71,783 |
Magna International, Inc. (Canada) 4.15%, 10/1/2025 | 300,000 | 290,599 |
537,295 | ||
Automobiles — 0.1% | ||
General Motors Co. 5.00%, 4/1/2035 | 1,006,000 | 893,185 |
Harley-Davidson, Inc. 4.63%, 7/28/2045 | 39,000 | 30,199 |
Mercedes-Benz Finance North America LLC (Germany) 8.50%, 1/18/2031 | �� 152,000 | 188,051 |
Toyota Motor Corp. (Japan) 0.68%, 3/25/2024 | 28,000 | 26,689 |
1,138,124 | ||
Banks — 4.6% | ||
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 1.60%), 3.22%, 11/22/2032 (c) | 200,000 | 154,384 |
Bank of America Corp. | ||
4.00%, 1/22/2025 | 141,000 | 137,389 |
(SOFR + 0.91%), 0.98%, 9/25/2025 (c) | 349,000 | 323,839 |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (c) | 622,000 | 590,203 |
(ICE LIBOR USD 3 Month + 0.64%), 2.01%, 2/13/2026 (c) | 67,000 | 62,417 |
3.50%, 4/19/2026 | 2,346,000 | 2,240,806 |
(SOFR + 1.15%), 1.32%, 6/19/2026 (c) | 50,000 | 45,348 |
(ICE LIBOR USD 3 Month + 1.21%), 3.97%, 2/7/2030 (c) | 250,000 | 228,806 |
(SOFR + 1.37%), 1.92%, 10/24/2031 (c) | 350,000 | 271,493 |
Series N, (SOFR + 1.22%), 2.65%, 3/11/2032 (c) | 2,699,000 | 2,196,232 |
5.00%, 1/21/2044 | 2,439,000 | 2,312,800 |
Bank of Montreal (Canada) | ||
5.20%, 12/12/2024 | 10,000 | 9,975 |
1.50%, 1/10/2025 | 2,447,000 | 2,280,112 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (c) (d) | 60,000 | 47,085 |
Barclays plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 3.00%), 5.75%, 8/9/2033 (c) | 1,004,000 | 969,171 |
Canadian Imperial Bank of Commerce (Canada) | ||
3.10%, 4/2/2024 | 100,000 | 97,532 |
1.00%, 10/18/2024 | 2,043,000 | 1,903,492 |
Capital One NA (SOFR + 0.91%), 2.28%, 1/28/2026 (c) | 300,000 | 281,197 |
Citigroup, Inc. | ||
4.40%, 6/10/2025 | 97,000 | 94,902 |
(SOFR + 2.84%), 3.11%, 4/8/2026 (c) | 350,000 | 332,319 |
(SOFR + 1.42%), 2.98%, 11/5/2030 (c) | 760,000 | 647,715 |
6.63%, 6/15/2032 | 77,000 | 81,281 |
(SOFR + 1.18%), 2.52%, 11/3/2032 (c) | 2,781,000 | 2,193,758 |
(SOFR + 2.09%), 4.91%, 5/24/2033 (c) | 500,000 | 474,808 |
(SOFR + 2.34%), 6.27%, 11/17/2033 (c) | 1,500,000 | 1,573,985 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (c) | 290,000 | 238,505 |
Citizens Financial Group, Inc. 3.25%, 4/30/2030 | 284,000 | 248,050 |
Comerica Bank 4.00%, 7/27/2025 | 463,000 | 445,622 |
Cooperatieve Rabobank UA (Netherlands) 3.75%, 7/21/2026 | 267,000 | 250,698 |
Discover Bank 4.25%, 3/13/2026 | 250,000 | 239,937 |
Fifth Third Bancorp | ||
2.38%, 1/28/2025 | 1,755,000 | 1,657,434 |
(SOFR + 1.66%), 4.34%, 4/25/2033 (c) | 270,000 | 248,755 |
First Horizon Corp. 4.00%, 5/26/2025 | 391,000 | 378,297 |
First-Citizens Bank & Trust Co. (3-MONTH CME TERM SOFR + 1.72%), 2.97%, 9/27/2025 (c) | 454,000 | 431,262 |
Goldman Sachs Capital I 6.35%, 2/15/2034 | 50,000 | 52,287 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.54%), 1.64%, 4/18/2026 (c) | 355,000 | 325,487 |
(SOFR + 2.39%), 2.85%, 6/4/2031 (c) | 2,720,000 | 2,236,239 |
6.10%, 1/14/2042 | 183,000 | 195,351 |
Huntington National Bank (The) (SOFRINDX + 1.65%), 4.55%, 5/17/2028 (c) | 469,000 | 453,628 |
ING Groep NV (Netherlands) 3.95%, 3/29/2027 | 700,000 | 663,178 |
Intesa Sanpaolo SpA (Italy) 5.25%, 1/12/2024 | 680,000 | 676,956 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 41 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
KeyCorp 2.25%, 4/6/2027 | 743,000 | 661,380 |
Korea Development Bank (The) (South Korea) | ||
1.38%, 4/25/2027 | 882,000 | 767,359 |
1.63%, 1/19/2031 | 200,000 | 158,992 |
Kreditanstalt fuer Wiederaufbau (Germany) | ||
0.50%, 9/20/2024 | 500,000 | 466,132 |
2.00%, 5/2/2025 | 75,000 | 70,690 |
1.00%, 10/1/2026 | 468,000 | 414,819 |
1.75%, 9/14/2029 | 1,000,000 | 863,963 |
Zero Coupon, 6/29/2037 | 1,193,000 | 655,820 |
Landwirtschaftliche Rentenbank (Germany) | ||
0.88%, 3/30/2026 | 170,000 | 152,012 |
0.88%, 9/3/2030 | 964,000 | 757,866 |
Lloyds Banking Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.50%), 3.37%, 12/14/2046 (c) | 432,000 | 293,042 |
Mizuho Financial Group, Inc. (Japan) (SOFR + 1.77%), 2.20%, 7/10/2031 (c) | 603,000 | 478,377 |
National Australia Bank Ltd. (Australia) 2.50%, 7/12/2026 | 315,000 | 289,151 |
National Bank of Canada (Canada) Series FXD, 0.75%, 8/6/2024 | 250,000 | 234,114 |
NatWest Group plc (United Kingdom) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.15%), 2.36%, 5/22/2024 (c) | 1,179,000 | 1,168,835 |
4.80%, 4/5/2026 | 300,000 | 292,203 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.55%), 3.07%, 5/22/2028 (c) | 716,000 | 645,405 |
Oesterreichische Kontrollbank AG (Austria) | ||
0.50%, 9/16/2024 | 16,000 | 14,911 |
1.50%, 2/12/2025 | 150,000 | 140,428 |
0.38%, 9/17/2025 | 19,000 | 17,039 |
0.50%, 2/2/2026 | 649,000 | 575,673 |
PNC Bank NA 3.10%, 10/25/2027 | 315,000 | 292,816 |
Regions Financial Corp. 2.25%, 5/18/2025 | 976,000 | 912,029 |
Royal Bank of Canada (Canada) | ||
2.55%, 7/16/2024 | 2,127,000 | 2,049,588 |
2.25%, 11/1/2024 | 1,154,000 | 1,098,345 |
Series FXD, 2.05%, 1/21/2027 (e) | 477,000 | 427,384 |
3.88%, 5/4/2032 | 178,000 | 160,880 |
Santander Holdings USA, Inc. 3.45%, 6/2/2025 | 730,000 | 694,756 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Santander UK Group Holdings plc (United Kingdom) (SOFR + 2.75%), 6.83%, 11/21/2026 (c) | 486,000 | 494,379 |
Santander UK plc (United Kingdom) 2.88%, 6/18/2024 | 1,476,000 | 1,424,625 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
0.95%, 1/12/2026 | 2,962,000 | 2,616,757 |
3.78%, 3/9/2026 | 182,000 | 173,857 |
3.01%, 10/19/2026 | 141,000 | 129,754 |
3.45%, 1/11/2027 | 779,000 | 726,238 |
2.14%, 9/23/2030 (d) | 90,000 | 70,564 |
SVB Financial Group | ||
1.80%, 10/28/2026 (e) | 374,000 | 326,475 |
2.10%, 5/15/2028 | 10,000 | 8,401 |
Synovus Financial Corp. 5.20%, 8/11/2025 | 202,000 | 198,729 |
Toronto-Dominion Bank (The) (Canada) | ||
2.65%, 6/12/2024 | 856,000 | 827,667 |
0.75%, 1/6/2026 | 2,744,000 | 2,421,676 |
Truist Bank 2.15%, 12/6/2024 | 400,000 | 379,422 |
Truist Financial Corp. | ||
(SOFR + 0.86%), 1.89%, 6/7/2029 (c) | 946,000 | 798,230 |
1.95%, 6/5/2030 (e) | 150,000 | �� 121,377 |
US Bancorp | ||
1.38%, 7/22/2030 | 356,000 | 276,006 |
(SOFR + 1.02%), 2.68%, 1/27/2033 (c) (e) | 581,000 | 479,467 |
Valley National Bancorp (3-MONTH CME TERM SOFR + 2.36%), 3.00%, 6/15/2031 (c) | 53,000 | 46,872 |
Webster Financial Corp. 4.10%, 3/25/2029 | 83,000 | 76,344 |
Wells Fargo & Co. | ||
(SOFR + 1.09%), 2.41%, 10/30/2025 (c) | 368,000 | 349,028 |
(ICE LIBOR USD 3 Month + 0.75%), 2.16%, 2/11/2026 (c) | 242,000 | 226,569 |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (c) (e) | 2,584,000 | 2,198,634 |
(SOFR + 2.53%), 3.07%, 4/30/2041 (c) | 175,000 | 127,284 |
3.90%, 5/1/2045 | 814,000 | 645,939 |
4.75%, 12/7/2046 | 1,056,000 | 904,861 |
Western Alliance Bancorp (3-MONTH CME TERM SOFR + 2.25%), 3.00%, 6/15/2031 (c) | 65,000 | 56,592 |
Westpac Banking Corp. (Australia) | ||
2.35%, 2/19/2025 | 101,000 | 95,601 |
42 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (c) (d) | 200,000 | 186,049 |
3.13%, 11/18/2041 | 578,000 | 396,361 |
Wintrust Financial Corp. 4.85%, 6/6/2029 | 59,000 | 53,785 |
59,884,287 | ||
Beverages — 0.4% | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.95%, 1/15/2042 | 146,000 | 136,321 |
4.50%, 6/1/2050 | 10,000 | 8,805 |
4.75%, 4/15/2058 | 1,421,000 | 1,268,901 |
Brown-Forman Corp. 3.50%, 4/15/2025 | 111,000 | 107,432 |
Coca-Cola Co. (The) | ||
1.75%, 9/6/2024 | 409,000 | 392,871 |
1.65%, 6/1/2030 | 13,000 | 10,534 |
2.50%, 6/1/2040 | 500,000 | 363,131 |
3.00%, 3/5/2051 | 571,000 | 416,069 |
Constellation Brands, Inc. 3.60%, 2/15/2028 | 934,000 | 865,228 |
Diageo Capital plc (United Kingdom) 1.38%, 9/29/2025 | 200,000 | 181,947 |
Fomento Economico Mexicano SAB de CV (Mexico) 3.50%, 1/16/2050 | 180,000 | 136,858 |
Keurig Dr. Pepper, Inc. 3.95%, 4/15/2029 | 901,000 | 833,266 |
Molson Coors Beverage Co. 5.00%, 5/1/2042 | 173,000 | 154,789 |
PepsiCo, Inc. | ||
2.75%, 4/30/2025 | 250,000 | 238,692 |
2.75%, 10/21/2051 | 10,000 | 6,939 |
5,121,783 | ||
Biotechnology — 0.4% | ||
AbbVie, Inc. | ||
4.50%, 5/14/2035 | 98,000 | 90,887 |
4.45%, 5/14/2046 | 21,000 | 17,978 |
4.25%, 11/21/2049 | 1,219,000 | 1,014,473 |
Amgen, Inc. | ||
3.20%, 11/2/2027 (e) | 2,148,000 | 1,985,581 |
2.30%, 2/25/2031 | 750,000 | 607,554 |
4.56%, 6/15/2048 | 200,000 | 171,872 |
3.38%, 2/21/2050 | 100,000 | 69,721 |
4.66%, 6/15/2051 | 171,000 | 147,650 |
Biogen, Inc. 2.25%, 5/1/2030 | 522,000 | 422,809 |
Gilead Sciences, Inc. | ||
4.00%, 9/1/2036 | 803,000 | 707,619 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Biotechnology — continued | ||
4.75%, 3/1/2046 | 15,000 | 13,570 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 200,000 | 155,696 |
5,405,410 | ||
Building Products — 0.1% | ||
Carrier Global Corp. 3.58%, 4/5/2050 | 351,000 | 253,033 |
Fortune Brands Innovations, Inc. | ||
3.25%, 9/15/2029 | 10,000 | 8,519 |
4.00%, 3/25/2032 | 128,000 | 110,957 |
Johnson Controls International plc 4.50%, 2/15/2047 | 162,000 | 137,812 |
Masco Corp. 2.00%, 2/15/2031 | 203,000 | 157,120 |
Owens Corning 4.30%, 7/15/2047 | 108,000 | 86,181 |
753,622 | ||
Capital Markets — 1.7% | ||
Ameriprise Financial, Inc. 3.00%, 4/2/2025 | 133,000 | 127,229 |
Ares Capital Corp. | ||
3.88%, 1/15/2026 | 27,000 | 25,056 |
2.15%, 7/15/2026 | 100,000 | 86,279 |
3.20%, 11/15/2031 (e) | 165,000 | 125,695 |
Bank of New York Mellon Corp. (The) | ||
3.40%, 5/15/2024 | 100,000 | 97,822 |
0.75%, 1/28/2026 | 2,551,000 | 2,262,173 |
Barings BDC, Inc. 3.30%, 11/23/2026 | 72,000 | 63,741 |
BGC Partners, Inc. 3.75%, 10/1/2024 | 175,000 | 167,216 |
BlackRock TCP Capital Corp. 2.85%, 2/9/2026 | 106,000 | 96,168 |
BlackRock, Inc. 2.40%, 4/30/2030 | 198,000 | 168,599 |
Blackstone Secured Lending Fund | ||
2.75%, 9/16/2026 | 203,000 | 176,785 |
2.13%, 2/15/2027 | 10,000 | 8,417 |
Cboe Global Markets, Inc. 1.63%, 12/15/2030 | 144,000 | 113,124 |
Charles Schwab Corp. (The) | ||
2.00%, 3/20/2028 (e) | 987,000 | 860,620 |
3.25%, 5/22/2029 | 60,000 | 54,410 |
CI Financial Corp. (Canada) 3.20%, 12/17/2030 | 146,000 | 110,496 |
CME Group, Inc. | ||
3.00%, 3/15/2025 | 363,000 | 349,812 |
4.15%, 6/15/2048 | 144,000 | 128,190 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 479,000 | 490,778 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 43 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
Deutsche Bank AG (Germany) | ||
(SOFR + 2.16%), 2.22%, 9/18/2024 (c) | 167,000 | 163,327 |
1.69%, 3/19/2026 | 554,000 | 497,191 |
(SOFR + 1.22%), 2.31%, 11/16/2027 (c) | 325,000 | 282,429 |
FactSet Research Systems, Inc. 2.90%, 3/1/2027 | 239,000 | 220,120 |
FS KKR Capital Corp. | ||
2.63%, 1/15/2027 (e) | 195,000 | 165,068 |
3.25%, 7/15/2027 | 10,000 | 8,561 |
Goldman Sachs BDC, Inc. 3.75%, 2/10/2025 (e) | 334,000 | 321,763 |
Goldman Sachs Group, Inc. (The) | ||
3.85%, 7/8/2024 | 50,000 | 48,944 |
3.50%, 1/23/2025 | 362,000 | 349,825 |
(ICE LIBOR USD 3 Month + 1.20%), 3.27%, 9/29/2025 (c) | 83,000 | 79,789 |
(SOFR + 1.11%), 2.64%, 2/24/2028 (c) | 2,482,000 | 2,218,701 |
(ICE LIBOR USD 3 Month + 1.16%), 3.81%, 4/23/2029 (c) | 134,000 | 122,869 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (c) | 2,548,000 | 2,002,305 |
(ICE LIBOR USD 3 Month + 1.43%), 4.41%, 4/23/2039 (c) | 155,000 | 134,341 |
(SOFR + 1.51%), 3.21%, 4/22/2042 (c) | 294,000 | 213,216 |
Intercontinental Exchange, Inc. | ||
1.85%, 9/15/2032 | 205,000 | 153,787 |
2.65%, 9/15/2040 | 642,000 | 451,363 |
Janus Henderson US Holdings, Inc. 4.88%, 8/1/2025 | 256,000 | 252,302 |
Lazard Group LLC 3.75%, 2/13/2025 | 537,000 | 518,216 |
Moody's Corp. 3.10%, 11/29/2061 | 174,000 | 108,230 |
Morgan Stanley | ||
(SOFR + 0.46%), 5.02%, 1/25/2024 (c) | 877,000 | 876,552 |
(SOFR + 1.99%), 2.19%, 4/28/2026 (c) | 577,000 | 537,369 |
(SOFR + 1.14%), 2.70%, 1/22/2031 (c) | 300,000 | 250,588 |
(SOFR + 3.12%), 3.62%, 4/1/2031 (c) | 2,479,000 | 2,193,794 |
(SOFR + 1.03%), 1.79%, 2/13/2032 (c) | 1,178,000 | 895,894 |
(SOFR + 1.02%), 1.93%, 4/28/2032 (c) | 350,000 | 267,727 |
(SOFR + 1.36%), 2.48%, 9/16/2036 (c) | 350,000 | 260,946 |
4.30%, 1/27/2045 | 330,000 | 283,790 |
(SOFR + 4.84%), 5.60%, 3/24/2051 (c) | 128,000 | 132,317 |
(SOFR + 1.43%), 2.80%, 1/25/2052 (c) | 54,000 | 34,775 |
Morgan Stanley Direct Lending Fund 4.50%, 2/11/2027 | 97,000 | 91,205 |
Nasdaq, Inc. | ||
3.85%, 6/30/2026 | 519,000 | 496,924 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Capital Markets — continued | ||
1.65%, 1/15/2031 | 236,000 | 180,520 |
Nomura Holdings, Inc. (Japan) 2.61%, 7/14/2031 | 294,000 | 230,766 |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | 210,000 | 178,401 |
Owl Rock Capital Corp. III 3.13%, 4/13/2027 | 62,000 | 52,140 |
OWL Rock Core Income Corp. 3.13%, 9/23/2026 | 147,000 | 127,319 |
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | 61,000 | 49,859 |
Prospect Capital Corp. 3.36%, 11/15/2026 | 100,000 | 86,429 |
Raymond James Financial, Inc. | ||
4.65%, 4/1/2030 | 189,000 | 181,519 |
4.95%, 7/15/2046 | 40,000 | 36,494 |
S&P Global, Inc. | ||
3.25%, 12/1/2049 | 308,000 | 225,801 |
2.30%, 8/15/2060 | 500,000 | 276,209 |
State Street Corp. | ||
(SOFR + 0.94%), 2.35%, 11/1/2025 (c) | 400,000 | 380,423 |
(SOFR + 1.57%), 4.82%, 1/26/2034 (c) | 309,000 | 298,216 |
(SOFR + 1.49%), 3.03%, 11/1/2034 (c) | 100,000 | 85,484 |
Stifel Financial Corp. | ||
4.25%, 7/18/2024 | 12,000 | 11,787 |
4.00%, 5/15/2030 | 65,000 | 57,445 |
22,605,650 | ||
Chemicals — 0.3% | ||
Albemarle Corp. | ||
5.05%, 6/1/2032 | 10,000 | 9,511 |
5.45%, 12/1/2044 | 83,000 | 76,644 |
Cabot Corp. 4.00%, 7/1/2029 | 104,000 | 93,685 |
CF Industries, Inc. 5.38%, 3/15/2044 | 113,000 | 99,729 |
Dow Chemical Co. (The) | ||
2.10%, 11/15/2030 (e) | 250,000 | 202,017 |
5.25%, 11/15/2041 | 480,000 | 451,362 |
Ecolab, Inc. 2.13%, 8/15/2050 | 282,000 | 160,876 |
EI du Pont de Nemours and Co. 1.70%, 7/15/2025 | 613,000 | 565,039 |
FMC Corp. 3.45%, 10/1/2029 | 174,000 | 153,784 |
Huntsman International LLC 4.50%, 5/1/2029 | 112,000 | 102,094 |
International Flavors & Fragrances, Inc. 4.38%, 6/1/2047 | 95,000 | 71,955 |
LYB International Finance III LLC | ||
4.20%, 10/15/2049 | 359,000 | 270,574 |
3.63%, 4/1/2051 | 299,000 | 204,931 |
44 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
NewMarket Corp. 2.70%, 3/18/2031 | 69,000 | 55,503 |
RPM International, Inc. | ||
4.55%, 3/1/2029 | 10,000 | 9,276 |
2.95%, 1/15/2032 | 119,000 | 93,959 |
Sherwin-Williams Co. (The) | ||
4.00%, 12/15/2042 | 252,000 | 200,271 |
4.50%, 6/1/2047 | 492,000 | 413,112 |
Westlake Corp. | ||
5.00%, 8/15/2046 | 140,000 | 118,023 |
4.38%, 11/15/2047 | 367,000 | 287,211 |
3,639,556 | ||
Commercial Services & Supplies — 0.1% | ||
California Endowment (The) Series 2021, 2.50%, 4/1/2051 | 67,000 | 43,417 |
Ford Foundation (The) Series 2020, 2.82%, 6/1/2070 | 70,000 | 42,640 |
Rockefeller Foundation (The) Series 2020, 2.49%, 10/1/2050 | 87,000 | 56,812 |
Waste Connections, Inc. 4.20%, 1/15/2033 (d) | 283,000 | 261,494 |
Waste Management, Inc. | ||
1.50%, 3/15/2031 | 499,000 | 384,384 |
2.95%, 6/1/2041 | 246,000 | 181,558 |
2.50%, 11/15/2050 | 233,000 | 145,606 |
1,115,911 | ||
Communications Equipment — 0.2% | ||
Cisco Systems, Inc. | ||
2.95%, 2/28/2026 | 2,355,000 | 2,230,753 |
2.50%, 9/20/2026 | 372,000 | 344,102 |
5.90%, 2/15/2039 | 12,000 | 13,139 |
2,587,994 | ||
Construction & Engineering — 0.0% ^ | ||
Quanta Services, Inc. 2.35%, 1/15/2032 | 149,000 | 113,806 |
Valmont Industries, Inc. 5.25%, 10/1/2054 | 48,000 | 41,899 |
155,705 | ||
Construction Materials — 0.0% ^ | ||
Eagle Materials, Inc. 2.50%, 7/1/2031 | 87,000 | 68,111 |
Vulcan Materials Co. 4.70%, 3/1/2048 | 96,000 | 84,358 |
152,469 | ||
Consumer Finance — 1.0% | ||
AerCap Ireland Capital DAC (Ireland) | ||
3.50%, 1/15/2025 | 250,000 | 238,170 |
4.45%, 10/1/2025 | 150,000 | 143,999 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
3.65%, 7/21/2027 | 150,000 | 135,784 |
3.88%, 1/23/2028 | 350,000 | 316,878 |
3.30%, 1/30/2032 | 455,000 | 364,183 |
Ally Financial, Inc. | ||
1.45%, 10/2/2023 | 712,600 | 693,510 |
2.20%, 11/2/2028 | 426,000 | 346,991 |
American Express Co. | ||
3.70%, 8/3/2023 | 976,000 | 969,281 |
4.20%, 11/6/2025 | 584,000 | 571,262 |
1.65%, 11/4/2026 | 1,096,000 | 969,045 |
American Honda Finance Corp. 1.80%, 1/13/2031 | 327,000 | 261,380 |
Capital One Financial Corp. 3.75%, 7/28/2026 | 1,493,000 | 1,403,146 |
Caterpillar Financial Services Corp. 0.80%, 11/13/2025 | 1,500,000 | 1,344,159 |
Discover Financial Services | ||
3.95%, 11/6/2024 | 1,326,000 | 1,290,987 |
3.75%, 3/4/2025 | 465,000 | 447,700 |
John Deere Capital Corp. 4.75%, 1/20/2028 | 1,000,000 | 995,150 |
PACCAR Financial Corp. 3.55%, 8/11/2025 | 881,000 | 852,171 |
Synchrony Financial 4.50%, 7/23/2025 | 689,000 | 663,541 |
Toyota Motor Credit Corp. | ||
3.05%, 1/11/2028 | 500,000 | 460,115 |
1.65%, 1/10/2031 | 696,000 | 552,976 |
13,020,428 | ||
Containers & Packaging — 0.1% | ||
AptarGroup, Inc. 3.60%, 3/15/2032 | 63,000 | 53,112 |
Avery Dennison Corp. 4.88%, 12/6/2028 | 201,000 | 197,398 |
International Paper Co. 5.15%, 5/15/2046 | 195,000 | 178,502 |
Packaging Corp. of America 3.00%, 12/15/2029 | 220,000 | 189,430 |
Sonoco Products Co. 3.13%, 5/1/2030 | 199,000 | 171,269 |
WestRock MWV LLC 7.95%, 2/15/2031 | 166,000 | 188,574 |
978,285 | ||
Diversified Consumer Services — 0.2% | ||
American University (The) Series 2019, 3.67%, 4/1/2049 | 63,000 | 50,192 |
Brown University Series A, 2.92%, 9/1/2050 | 82,000 | 60,006 |
California Institute of Technology 4.70%, 11/1/2111 | 58,000 | 51,045 |
Case Western Reserve University Series 22-C, 5.41%, 6/1/2122 | 29,000 | 28,011 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 45 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Consumer Services — continued | ||
Claremont Mckenna College 3.78%, 1/1/2122 | 33,000 | 22,432 |
Duke University Series 2020, 2.68%, 10/1/2044 | 142,000 | 105,476 |
Emory University Series 2020, 2.14%, 9/1/2030 | 161,000 | 134,112 |
George Washington University (The) Series 2018, 4.13%, 9/15/2048 | 104,000 | 89,635 |
Georgetown University (The) | ||
Series B, 4.32%, 4/1/2049 | 10,000 | 8,556 |
Series 20A, 2.94%, 4/1/2050 | 90,000 | 59,720 |
Howard University Series 22A, 5.21%, 10/1/2052 | 36,000 | 29,468 |
Johns Hopkins University Series 2013, 4.08%, 7/1/2053 | 76,000 | 65,996 |
Massachusetts Institute of Technology Series F, 2.99%, 7/1/2050 | 478,000 | 355,575 |
Northeastern University Series 2020, 2.89%, 10/1/2050 | 55,000 | 37,617 |
Northwestern University 4.64%, 12/1/2044 | 105,000 | 101,198 |
President and Fellows of Harvard College 3.15%, 7/15/2046 | 206,000 | 159,874 |
Thomas Jefferson University 3.85%, 11/1/2057 | 49,000 | 36,317 |
Trustees of Boston College 3.13%, 7/1/2052 | 53,000 | 37,857 |
Trustees of Boston University Series CC, 4.06%, 10/1/2048 | 54,000 | 47,582 |
Trustees of Princeton University (The) Series 2020, 2.52%, 7/1/2050 | 145,000 | 99,131 |
Trustees of the University of Pennsylvania (The) 3.61%, 2/15/2119 | 816,000 | 567,892 |
University of Chicago (The) | ||
Series 20B, 2.76%, 4/1/2045 | 10,000 | 7,698 |
Series C, 2.55%, 4/1/2050 | 121,000 | 84,330 |
University of Miami Series 2022, 4.06%, 4/1/2052 | 58,000 | 48,958 |
University of Notre Dame du Lac Series 2015, 3.44%, 2/15/2045 | 99,000 | 80,501 |
University of Southern California 5.25%, 10/1/2111 | 66,000 | 66,128 |
Washington University (The) Series 2022, 3.52%, 4/15/2054 | 128,000 | 102,343 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Consumer Services — continued | ||
William Marsh Rice University 3.77%, 5/15/2055 | 70,000 | 58,899 |
Yale University Series 2020, 2.40%, 4/15/2050 | 106,000 | 69,228 |
2,665,777 | ||
Diversified Financial Services — 0.2% | ||
Berkshire Hathaway, Inc. 4.50%, 2/11/2043 | 35,000 | 32,360 |
Block Financial LLC 3.88%, 8/15/2030 | 96,000 | 84,073 |
Corebridge Financial, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (c) (f) | 250,000 | 246,303 |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | 513,000 | 487,630 |
Jackson Financial, Inc. 4.00%, 11/23/2051 | 68,000 | 45,570 |
National Rural Utilities Cooperative Finance Corp. | ||
Series D, 1.00%, 10/18/2024 | 949,000 | 884,045 |
4.02%, 11/1/2032 | 13,000 | 11,860 |
Shell International Finance BV (Netherlands) 6.38%, 12/15/2038 | 782,000 | 867,183 |
Voya Financial, Inc. 5.70%, 7/15/2043 | 77,000 | 73,922 |
2,732,946 | ||
Diversified Telecommunication Services — 0.7% | ||
AT&T, Inc. | ||
4.50%, 5/15/2035 | 747,000 | 671,451 |
5.35%, 9/1/2040 | 720,000 | 685,433 |
4.65%, 6/1/2044 | 400,000 | 341,122 |
4.35%, 6/15/2045 | 400,000 | 325,335 |
5.15%, 11/15/2046 | 59,000 | 53,700 |
4.55%, 3/9/2049 | 400,000 | 331,190 |
3.65%, 6/1/2051 | 490,000 | 350,109 |
3.80%, 12/1/2057 | 10,000 | 7,020 |
3.85%, 6/1/2060 | 250,000 | 174,731 |
Bell Canada (The) (Canada) Series US-5, 2.15%, 2/15/2032 | 474,000 | 372,072 |
British Telecommunications plc (United Kingdom) 9.62%, 12/15/2030 (b) | 174,000 | 210,294 |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | 186,000 | 235,573 |
Koninklijke KPN NV (Netherlands) 8.38%, 10/1/2030 | 66,000 | 77,021 |
Orange SA (France) 5.38%, 1/13/2042 | 189,000 | 186,790 |
Telefonica Emisiones SA (Spain) | ||
4.10%, 3/8/2027 | 1,243,000 | 1,177,299 |
46 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
7.05%, 6/20/2036 | 11,000 | 11,591 |
TELUS Corp. (Canada) 3.40%, 5/13/2032 | 215,000 | 182,575 |
Verizon Communications, Inc. | ||
4.33%, 9/21/2028 | 231,000 | 221,163 |
1.50%, 9/18/2030 | 470,000 | 363,895 |
1.75%, 1/20/2031 | 3,324,000 | 2,564,253 |
4.86%, 8/21/2046 | 150,000 | 135,234 |
5.01%, 8/21/2054 | 953,000 | 877,583 |
9,555,434 | ||
Electric Utilities — 1.4% | ||
Alabama Power Co. 3.75%, 3/1/2045 | 505,000 | 390,232 |
Arizona Public Service Co. 3.50%, 12/1/2049 | 226,000 | 156,572 |
CenterPoint Energy Houston Electric LLC Series AG, 3.00%, 3/1/2032 | 10,000 | 8,600 |
Cleco Corporate Holdings LLC 3.74%, 5/1/2026 (b) | 249,000 | 233,242 |
Cleveland Electric Illuminating Co. (The) 5.95%, 12/15/2036 | 70,000 | 70,187 |
Connecticut Light and Power Co. (The) 5.25%, 1/15/2053 | 304,000 | 303,511 |
Dayton Power & Light Co. (The) 3.95%, 6/15/2049 | 96,000 | 75,473 |
Duke Energy Carolinas LLC 3.75%, 6/1/2045 | 269,000 | 209,910 |
Duke Energy Corp. 2.45%, 6/1/2030 | 350,000 | 287,482 |
Duke Energy Florida LLC 6.40%, 6/15/2038 | 1,885,000 | 2,083,987 |
Emera US Finance LP (Canada) 2.64%, 6/15/2031 | 201,000 | 158,293 |
Enel Americas SA (Chile) 4.00%, 10/25/2026 (e) | 199,000 | 192,992 |
Enel Chile SA (Chile) 4.88%, 6/12/2028 | 129,000 | 123,948 |
Entergy Mississippi LLC 3.50%, 6/1/2051 | 503,000 | 369,852 |
Evergy, Inc. 2.90%, 9/15/2029 | 187,000 | 160,151 |
Exelon Corp. | ||
3.40%, 4/15/2026 | 500,000 | 471,529 |
4.70%, 4/15/2050 | 846,000 | 734,841 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 19,000 | 17,644 |
Georgia Power Co. Series A, 2.20%, 9/15/2024 | 1,215,000 | 1,158,134 |
Hydro-Quebec (Canada) 8.50%, 12/1/2029 | 50,000 | 60,778 |
Iberdrola International BV (Spain) 5.81%, 3/15/2025 | 795,000 | 800,174 |
Idaho Power Co. Series K, 4.20%, 3/1/2048 | 52,000 | 43,377 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Interstate Power and Light Co. 3.50%, 9/30/2049 | 172,000 | 125,411 |
John Sevier Combined Cycle Generation LLC 4.63%, 1/15/2042 | 84,752 | 80,741 |
National Grid USA 5.80%, 4/1/2035 | 41,000 | 39,780 |
Nevada Power Co. Series EE, 3.13%, 8/1/2050 | 1,239,000 | 853,869 |
NextEra Energy Capital Holdings, Inc. | ||
2.75%, 11/1/2029 | 523,000 | 445,127 |
3.00%, 1/15/2052 | 835,000 | 546,159 |
Oklahoma Gas and Electric Co. | ||
3.30%, 3/15/2030 | 81,000 | 71,665 |
4.15%, 4/1/2047 | 52,000 | 41,589 |
Oncor Electric Delivery Co. LLC | ||
7.25%, 1/15/2033 | 493,000 | 574,029 |
2.70%, 11/15/2051 | 10,000 | 6,487 |
Pacific Gas and Electric Co. | ||
3.30%, 8/1/2040 | 612,000 | 414,368 |
3.75%, 8/15/2042 (b) | 26,000 | 17,993 |
4.95%, 7/1/2050 | 825,000 | 651,765 |
PacifiCorp 3.30%, 3/15/2051 | 250,000 | 178,328 |
PG&E Wildfire Recovery Funding LLC Series A-4, 4.45%, 12/1/2047 | 250,000 | 224,725 |
PPL Electric Utilities Corp. 4.15%, 10/1/2045 | 271,000 | 226,850 |
Public Service Co. of Colorado Series 36, 2.70%, 1/15/2051 | 849,000 | 552,323 |
Public Service Electric and Gas Co. | ||
1.90%, 8/15/2031 | 889,000 | 707,273 |
2.70%, 5/1/2050 | 26,000 | 17,115 |
Southern California Edison Co. Series B, 4.88%, 3/1/2049 | 660,000 | 587,867 |
Southern Co. (The) Series A, 3.70%, 4/30/2030 | 2,441,000 | 2,200,823 |
Southwestern Electric Power Co. Series J, 3.90%, 4/1/2045 | 878,000 | 672,892 |
Tampa Electric Co. 4.35%, 5/15/2044 | 157,000 | 131,650 |
Tucson Electric Power Co. | ||
1.50%, 8/1/2030 | 60,000 | 46,299 |
3.25%, 5/15/2032 | 148,000 | 126,586 |
Union Electric Co. 3.90%, 9/15/2042 | 428,000 | 349,664 |
Virginia Electric and Power Co. Series B, 3.80%, 9/15/2047 | 1,042,000 | 807,350 |
Wisconsin Electric Power Co. 4.30%, 10/15/2048 | 179,000 | 152,186 |
18,961,823 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 47 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electrical Equipment — 0.1% | ||
Acuity Brands Lighting, Inc. 2.15%, 12/15/2030 | 99,000 | 77,467 |
Eaton Corp. 4.15%, 3/15/2033 | 321,000 | 295,565 |
Hubbell, Inc. 3.15%, 8/15/2027 | 205,000 | 188,970 |
Regal Rexnord Corp. 6.40%, 4/15/2033 (f) | 156,000 | 152,848 |
Rockwell Automation, Inc. 4.20%, 3/1/2049 | 107,000 | 94,148 |
808,998 | ||
Electronic Equipment, Instruments & Components — 0.2% | ||
Allegion US Holding Co., Inc. 3.55%, 10/1/2027 | 213,000 | 195,579 |
Amphenol Corp. | ||
2.05%, 3/1/2025 | 280,000 | 263,153 |
2.80%, 2/15/2030 | 135,000 | 116,423 |
Arrow Electronics, Inc. 2.95%, 2/15/2032 | 86,000 | 69,110 |
Avnet, Inc. 4.63%, 4/15/2026 | 244,000 | 234,484 |
CDW LLC 3.57%, 12/1/2031 | 160,000 | 132,453 |
Corning, Inc. 4.38%, 11/15/2057 | 233,000 | 186,903 |
TD SYNNEX Corp. 2.38%, 8/9/2028 | 142,000 | 117,181 |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 149,000 | 121,907 |
Tyco Electronics Group SA | ||
3.45%, 8/1/2024 | 483,000 | 470,596 |
2.50%, 2/4/2032 | 75,000 | 62,114 |
Vontier Corp. 1.80%, 4/1/2026 | 186,000 | 162,584 |
2,132,487 | ||
Energy Equipment & Services — 0.1% | ||
Halliburton Co. 4.85%, 11/15/2035 | 438,000 | 408,320 |
Helmerich & Payne, Inc. 2.90%, 9/29/2031 | 79,000 | 64,687 |
NOV, Inc. 3.60%, 12/1/2029 | 220,000 | 194,306 |
667,313 | ||
Entertainment — 0.2% | ||
Activision Blizzard, Inc. | ||
3.40%, 6/15/2027 | 41,000 | 38,480 |
1.35%, 9/15/2030 | 357,000 | 278,519 |
Electronic Arts, Inc. | ||
4.80%, 3/1/2026 | 397,000 | 393,644 |
1.85%, 2/15/2031 | 105,000 | 82,179 |
Take-Two Interactive Software, Inc. 3.70%, 4/14/2027 | 242,000 | 228,339 |
TWDC Enterprises 18 Corp. 3.00%, 7/30/2046 | 996,000 | 699,673 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Entertainment — continued | ||
Walt Disney Co. (The) | ||
2.65%, 1/13/2031 | 200,000 | 170,352 |
3.60%, 1/13/2051 | 1,114,000 | 863,772 |
2,754,958 | ||
Equity Real Estate Investment Trusts (REITs) — 0.9% | ||
Agree LP 4.80%, 10/1/2032 | 92,000 | 86,049 |
Alexandria Real Estate Equities, Inc. 4.00%, 2/1/2050 | 269,000 | 208,236 |
American Assets Trust LP 3.38%, 2/1/2031 | 10,000 | 7,906 |
American Homes 4 Rent LP 4.90%, 2/15/2029 | 224,000 | 212,948 |
American Tower Corp. | ||
1.88%, 10/15/2030 | 790,000 | 608,901 |
3.10%, 6/15/2050 | 50,000 | 31,109 |
AvalonBay Communities, Inc. 2.30%, 3/1/2030 | 441,000 | 369,288 |
Brandywine Operating Partnership LP 7.55%, 3/15/2028 (e) | 90,000 | 88,366 |
Brixmor Operating Partnership LP 4.13%, 5/15/2029 | 207,000 | 186,499 |
Broadstone Net Lease LLC 2.60%, 9/15/2031 | 54,000 | 38,940 |
Camden Property Trust 4.10%, 10/15/2028 | 245,000 | 232,638 |
Crown Castle, Inc. 3.10%, 11/15/2029 | 920,000 | 798,025 |
CubeSmart LP 2.00%, 2/15/2031 | 149,000 | 114,261 |
EPR Properties 4.95%, 4/15/2028 | 147,000 | 130,544 |
Equinix, Inc. | ||
2.63%, 11/18/2024 | 100,000 | 95,204 |
1.00%, 9/15/2025 | 25,000 | 22,334 |
2.50%, 5/15/2031 | 466,000 | 372,819 |
3.00%, 7/15/2050 | 500,000 | 319,475 |
2.95%, 9/15/2051 | 204,000 | 127,088 |
ERP Operating LP 4.15%, 12/1/2028 | 427,000 | 402,446 |
Essex Portfolio LP 4.50%, 3/15/2048 | 109,000 | 90,328 |
Extra Space Storage LP 3.90%, 4/1/2029 | 149,000 | 135,469 |
Federal Realty Investment Trust 3.20%, 6/15/2029 | 188,000 | 162,405 |
GLP Capital LP 5.75%, 6/1/2028 | 340,000 | 332,914 |
Healthpeak Properties Interim, Inc. | ||
2.88%, 1/15/2031 | 514,000 | 433,116 |
6.75%, 2/1/2041 | 82,000 | 86,263 |
Highwoods Realty LP 4.13%, 3/15/2028 | 158,000 | 140,360 |
Host Hotels & Resorts LP Series J, 2.90%, 12/15/2031 | 123,000 | 94,838 |
48 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
Hudson Pacific Properties LP 3.25%, 1/15/2030 | 622,000 | 468,683 |
Invitation Homes Operating Partnership LP��2.00%, 8/15/2031 | 157,000 | 117,717 |
Kilroy Realty LP 2.65%, 11/15/2033 | 115,000 | 79,033 |
Kimco Realty OP LLC 4.60%, 2/1/2033 | 288,000 | 264,442 |
Kite Realty Group LP 4.00%, 10/1/2026 | 142,000 | 131,471 |
Life Storage LP 2.20%, 10/15/2030 | 139,000 | 110,896 |
National Health Investors, Inc. 3.00%, 2/1/2031 | 49,000 | 36,823 |
National Retail Properties, Inc. 3.50%, 4/15/2051 | 123,000 | 84,942 |
Omega Healthcare Investors, Inc. | ||
3.38%, 2/1/2031 | 160,000 | 126,420 |
3.25%, 4/15/2033 | 423,000 | 303,346 |
Phillips Edison Grocery Center Operating Partnership I LP 2.63%, 11/15/2031 | 53,000 | 39,816 |
Physicians Realty LP 4.30%, 3/15/2027 | 202,000 | 192,241 |
Prologis LP 3.05%, 3/1/2050 | 247,000 | 170,563 |
Rayonier LP 2.75%, 5/17/2031 | 71,000 | 56,999 |
Regency Centers LP 2.95%, 9/15/2029 | 207,000 | 174,285 |
Sabra Health Care LP 5.13%, 8/15/2026 | 208,000 | 196,611 |
Simon Property Group LP | ||
3.38%, 10/1/2024 | 500,000 | 484,689 |
2.20%, 2/1/2031 | 755,000 | 603,122 |
SITE Centers Corp. 4.25%, 2/1/2026 | 10,000 | 9,428 |
Spirit Realty LP 3.20%, 1/15/2027 | 276,000 | 248,569 |
STORE Capital Corp. 4.50%, 3/15/2028 | 135,000 | 120,009 |
Sun Communities Operating LP 4.20%, 4/15/2032 | 130,000 | 115,314 |
Tanger Properties LP 3.13%, 9/1/2026 | 181,000 | 164,162 |
UDR, Inc. 3.00%, 8/15/2031 | 222,000 | 186,908 |
Ventas Realty LP 5.70%, 9/30/2043 | 121,000 | 114,051 |
VICI Properties LP 5.13%, 5/15/2032 | 233,000 | 216,042 |
Vornado Realty LP 2.15%, 6/1/2026 | 138,000 | 118,857 |
Welltower OP LLC | ||
4.00%, 6/1/2025 | 250,000 | 241,655 |
4.95%, 9/1/2048 | 160,000 | 136,250 |
Weyerhaeuser Co. 3.38%, 3/9/2033 | 202,000 | 169,943 |
11,412,056 | ||
Food & Staples Retailing — 0.2% | ||
Costco Wholesale Corp. | ||
2.75%, 5/18/2024 | 1,111,000 | 1,078,728 |
3.00%, 5/18/2027 | 200,000 | 188,155 |
1.38%, 6/20/2027 | 132,000 | 115,435 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Food & Staples Retailing — continued | ||
1.75%, 4/20/2032 (e) | 176,000 | 138,875 |
Kroger Co. (The) 5.40%, 7/15/2040 | 294,000 | 280,250 |
Sysco Corp. 3.15%, 12/14/2051 | 351,000 | 230,125 |
Walgreens Boots Alliance, Inc. 3.20%, 4/15/2030 (e) | 386,000 | 326,752 |
Walmart, Inc. | ||
2.85%, 7/8/2024 | 252,000 | 244,642 |
3.70%, 6/26/2028 | 10,000 | 9,562 |
3.25%, 7/8/2029 | 10,000 | 9,238 |
2.95%, 9/24/2049 | 611,000 | 442,016 |
4.50%, 9/9/2052 | 122,000 | 115,025 |
3,178,803 | ||
Food Products — 0.3% | ||
Archer-Daniels-Midland Co. 4.54%, 3/26/2042 | 205,000 | 187,793 |
Bunge Ltd. Finance Corp. 3.75%, 9/25/2027 | 313,000 | 294,162 |
Campbell Soup Co. 4.80%, 3/15/2048 | 81,000 | 72,118 |
Conagra Brands, Inc. 5.30%, 11/1/2038 | 302,000 | 281,120 |
Flowers Foods, Inc. 2.40%, 3/15/2031 | 94,000 | 75,591 |
Hormel Foods Corp. 1.70%, 6/3/2028 | 534,000 | 456,887 |
Ingredion, Inc. 2.90%, 6/1/2030 | 155,000 | 132,027 |
J M Smucker Co. (The) 2.38%, 3/15/2030 | 345,000 | 288,628 |
JBS USA LUX SA 5.75%, 4/1/2033 (f) | 478,000 | 446,923 |
Kellogg Co. 4.30%, 5/15/2028 | 542,000 | 526,530 |
Kraft Heinz Foods Co. 6.50%, 2/9/2040 | 488,000 | 514,475 |
McCormick & Co., Inc. 2.50%, 4/15/2030 | 182,000 | 151,282 |
Mead Johnson Nutrition Co. (United Kingdom) 5.90%, 11/1/2039 | 67,000 | 70,117 |
Tyson Foods, Inc. 5.15%, 8/15/2044 | 211,000 | 191,921 |
Unilever Capital Corp. (United Kingdom) 2.90%, 5/5/2027 | 913,000 | 849,552 |
4,539,126 | ||
Gas Utilities — 0.1% | ||
Atmos Energy Corp. 1.50%, 1/15/2031 | 769,000 | 596,504 |
CenterPoint Energy Resources Corp. 5.85%, 1/15/2041 | 268,000 | 274,100 |
National Fuel Gas Co. 5.20%, 7/15/2025 | 488,000 | 481,445 |
Southern California Gas Co. Series VV, 4.30%, 1/15/2049 | 546,000 | 446,503 |
Southwest Gas Corp. 3.18%, 8/15/2051 | 103,000 | 65,935 |
Spire Missouri, Inc. 3.30%, 6/1/2051 | 48,000 | 33,716 |
1,898,203 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 49 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Equipment & Supplies — 0.2% | ||
Abbott Laboratories | ||
2.95%, 3/15/2025 | 490,000 | 470,646 |
1.40%, 6/30/2030 | 764,000 | 611,541 |
6.15%, 11/30/2037 | 375,000 | 418,164 |
Baxter International, Inc. | ||
1.73%, 4/1/2031 | 275,000 | 204,682 |
2.54%, 2/1/2032 | 326,000 | 252,485 |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | 91,000 | 77,643 |
Edwards Lifesciences Corp. 4.30%, 6/15/2028 | 146,000 | 140,010 |
Koninklijke Philips NV (Netherlands) 6.88%, 3/11/2038 | 79,000 | 87,107 |
Medtronic, Inc. 4.00%, 4/1/2043 (e) | 227,000 | 195,822 |
Smith & Nephew plc (United Kingdom) 2.03%, 10/14/2030 | 115,000 | 90,437 |
STERIS Irish FinCo. UnLtd. Co. 2.70%, 3/15/2031 | 159,000 | 130,755 |
Zimmer Biomet Holdings, Inc. 5.75%, 11/30/2039 | 82,000 | 80,874 |
2,760,166 | ||
Health Care Providers & Services — 1.3% | ||
AdventHealth Obligated Group Series E, 2.80%, 11/15/2051 | 58,000 | 38,669 |
Adventist Health System 2.95%, 3/1/2029 | 140,000 | 121,055 |
Advocate Health & Hospitals Corp. Series 2020, 2.21%, 6/15/2030 | 235,000 | 195,485 |
AmerisourceBergen Corp. | ||
3.25%, 3/1/2025 | 270,000 | 258,683 |
2.80%, 5/15/2030 | 10,000 | 8,525 |
2.70%, 3/15/2031 | 203,000 | 168,600 |
Banner Health | ||
2.34%, 1/1/2030 | 10,000 | 8,449 |
2.91%, 1/1/2042 | 120,000 | 88,661 |
Baptist Health South Florida Obligated Group Series 2021, 3.12%, 11/15/2071 | 39,000 | 23,857 |
Baptist Healthcare System Obligated Group Series 20B, 3.54%, 8/15/2050 | 54,000 | 39,427 |
BayCare Health System, Inc. Series 2020, 3.83%, 11/15/2050 | 58,000 | 47,360 |
Baylor Scott & White Holdings 3.97%, 11/15/2046 | 10,000 | 8,303 |
Beth Israel Lahey Health, Inc. Series L, 3.08%, 7/1/2051 | 49,000 | 32,065 |
BHSH System Obligated Group Series 19A, 3.49%, 7/15/2049 | 53,000 | 39,998 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
Bon Secours Mercy Health, Inc. Series 20-2, 3.21%, 6/1/2050 | 64,000 | 44,738 |
Cardinal Health, Inc. | ||
4.50%, 11/15/2044 | 119,000 | 98,710 |
4.37%, 6/15/2047 | 250,000 | 200,832 |
Catholic Health Services of Long Island Obligated Group Series 2020, 3.37%, 7/1/2050 | 49,000 | 34,697 |
Cedars-Sinai Health System Series 2021, 2.29%, 8/15/2031 | 93,000 | 75,860 |
Centene Corp. 3.38%, 2/15/2030 | 739,000 | 625,787 |
Children's Health System of Texas 2.51%, 8/15/2050 | 62,000 | 38,462 |
Children's Hospital Series 2020, 2.93%, 7/15/2050 | 47,000 | 30,754 |
Children's Hospital Corp. (The) Series 2020, 2.59%, 2/1/2050 | 74,000 | 47,285 |
Children's Hospital Medical Center 4.27%, 5/15/2044 | 58,000 | 51,943 |
Children's Hospital of Philadelphia (The) Series 2020, 2.70%, 7/1/2050 | 65,000 | 42,318 |
CHRISTUS Health Series C, 4.34%, 7/1/2028 | 124,000 | 118,247 |
Cigna Group (The) 3.40%, 3/15/2051 | 720,000 | 506,520 |
Cleveland Clinic Foundation (The) 4.86%, 1/1/2114 | 34,000 | 30,341 |
CommonSpirit Health 2.78%, 10/1/2030 | 548,000 | 458,869 |
Community Health Network, Inc. Series 20-A, 3.10%, 5/1/2050 | 51,000 | 33,500 |
Cottage Health Obligated Group Series 2020, 3.30%, 11/1/2049 | 61,000 | 44,288 |
CVS Health Corp. | ||
3.88%, 7/20/2025 | 1,500,000 | 1,453,438 |
4.30%, 3/25/2028 | 1,500,000 | 1,433,781 |
1.75%, 8/21/2030 | 499,000 | 389,377 |
2.70%, 8/21/2040 | 500,000 | 338,185 |
Dartmouth-Hitchcock Health Series B, 4.18%, 8/1/2048 | 43,000 | 35,513 |
Duke University Health System, Inc. Series 2017, 3.92%, 6/1/2047 | 68,000 | 57,476 |
Elevance Health, Inc. | ||
2.25%, 5/15/2030 | 200,000 | 164,732 |
4.63%, 5/15/2042 | 10,000 | 9,024 |
4.38%, 12/1/2047 | 100,000 | 84,487 |
3.70%, 9/15/2049 | 676,000 | 509,413 |
Franciscan Missionaries of Our Lady Health System, Inc. Series B, 3.91%, 7/1/2049 | 44,000 | 33,647 |
50 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
Fred Hutchinson Cancer Center Series 2022, 4.97%, 1/1/2052 | 42,000 | 40,375 |
Hackensack Meridian Health, Inc. Series 2020, 2.68%, 9/1/2041 | 147,000 | 104,179 |
Hartford HealthCare Corp. 3.45%, 7/1/2054 | 48,000 | 34,321 |
HCA, Inc. | ||
3.13%, 3/15/2027 (f) | 2,440,000 | 2,220,824 |
5.25%, 6/15/2049 | 170,000 | 146,774 |
Hoag Memorial Hospital Presbyterian 3.80%, 7/15/2052 | 59,000 | 47,557 |
Humana, Inc. 4.80%, 3/15/2047 | 190,000 | 167,660 |
IHC Health Services, Inc. 4.13%, 5/15/2048 | 53,000 | 44,850 |
Inova Health System Foundation 4.07%, 5/15/2052 | 53,000 | 44,654 |
Integris Baptist Medical Center, Inc. Series A, 3.88%, 8/15/2050 | 47,000 | 34,936 |
Iowa Health System Series 2020, 3.67%, 2/15/2050 | 44,000 | 33,026 |
Johns Hopkins Health System Corp. (The) 3.84%, 5/15/2046 | 73,000 | 60,640 |
Kaiser Foundation Hospitals 4.15%, 5/1/2047 | 286,000 | 251,050 |
Laboratory Corp. of America Holdings | ||
3.25%, 9/1/2024 | 10,000 | 9,682 |
4.70%, 2/1/2045 | 103,000 | 88,104 |
Mass General Brigham, Inc. Series 2020, 3.19%, 7/1/2049 | 132,000 | 94,003 |
McLaren Health Care Corp. Series A, 4.39%, 5/15/2048 | 51,000 | 44,486 |
MedStar Health, Inc. Series 20A, 3.63%, 8/15/2049 | 44,000 | 32,197 |
Memorial Health Services 3.45%, 11/1/2049 | 49,000 | 36,785 |
Memorial Sloan-Kettering Cancer Center 5.00%, 7/1/2042 | 147,000 | 146,000 |
Methodist Hospital (The) Series 20A, 2.71%, 12/1/2050 | 66,000 | 42,601 |
Montefiore Obligated Group Series 18-C, 5.25%, 11/1/2048 | 20,000 | 14,631 |
Mount Nittany Medical Center Obligated Group Series 2022, 3.80%, 11/15/2052 | 43,000 | 33,199 |
MultiCare Health System 2.80%, 8/15/2050 | 45,000 | 27,006 |
MyMichigan Health Series 2020, 3.41%, 6/1/2050 | 46,000 | 32,496 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
Nationwide Children's Hospital, Inc. 4.56%, 11/1/2052 | 44,000 | 40,892 |
New York and Presbyterian Hospital (The) | ||
4.02%, 8/1/2045 | 163,000 | 138,523 |
4.06%, 8/1/2056 | 10,000 | 8,381 |
Series 2019, 3.95%, 8/1/2119 | 940,000 | 675,719 |
Northwell Healthcare, Inc. 4.26%, 11/1/2047 | 111,000 | 91,347 |
Northwestern Memorial Healthcare Obligated Group Series 2021, 2.63%, 7/15/2051 (e) | 128,000 | 83,256 |
Novant Health, Inc. 2.64%, 11/1/2036 | 137,000 | 103,065 |
NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery Series 2020, 2.67%, 10/1/2050 | 56,000 | 35,622 |
Ochsner LSU Health System of North Louisiana Series 2021, 2.51%, 5/15/2031 | 10,000 | 7,203 |
OhioHealth Corp. 2.83%, 11/15/2041 | 96,000 | 70,093 |
Piedmont Healthcare, Inc. Series 2032, 2.04%, 1/1/2032 | 134,000 | 104,764 |
Presbyterian Healthcare Services 4.88%, 8/1/2052 | 42,000 | 40,170 |
Queen's Health Systems (The) 4.81%, 7/1/2052 | 43,000 | 40,519 |
Rady Children's Hospital-San Diego Series 21A, 3.15%, 8/15/2051 | 49,000 | 33,905 |
Rush Obligated Group Series 2020, 3.92%, 11/15/2029 | 99,000 | 90,784 |
Seattle Children's Hospital Series 2021, 2.72%, 10/1/2050 | 55,000 | 35,673 |
Sentara Healthcare Series 2021, 2.93%, 11/1/2051 | 52,000 | 35,229 |
Sharp HealthCare Series 20B, 2.68%, 8/1/2050 | 52,000 | 32,528 |
SSM Health Care Corp. Series A, 3.82%, 6/1/2027 | 186,000 | 175,579 |
Stanford Health Care 3.03%, 8/15/2051 | 82,000 | 57,437 |
Summa Health 3.51%, 11/15/2051 | 41,000 | 29,100 |
Sutter Health Series 20A, 2.29%, 8/15/2030 | 252,000 | 208,005 |
Toledo Hospital (The) 5.75%, 11/15/2038 | 81,000 | 78,049 |
Trinity Health Corp. Series 2021, 2.63%, 12/1/2040 | 107,000 | 75,873 |
UMass Memorial Health Care Obligated Group 5.36%, 7/1/2052 | 35,000 | 33,937 |
UnitedHealth Group, Inc. | ||
2.38%, 8/15/2024 | 600,000 | 576,285 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 51 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
2.00%, 5/15/2030 | 55,000 | 45,077 |
5.80%, 3/15/2036 | 147,000 | 153,979 |
3.25%, 5/15/2051 | 1,923,000 | 1,375,546 |
Universal Health Services, Inc. 2.65%, 10/15/2030 | 139,000 | 112,015 |
WakeMed Series A, 3.29%, 10/1/2052 | 44,000 | 30,591 |
West Virginia United Health System Obligated Group Series 2020, 3.13%, 6/1/2050 | 46,000 | 30,280 |
Yale-New Haven Health Services Corp. Series 2020, 2.50%, 7/1/2050 | 59,000 | 36,240 |
16,589,063 | ||
Hotels, Restaurants & Leisure — 0.2% | ||
Booking Holdings, Inc. 3.55%, 3/15/2028 | 307,000 | 287,315 |
Choice Hotels International, Inc. 3.70%, 1/15/2031 | 83,000 | 71,621 |
Expedia Group, Inc. 3.25%, 2/15/2030 | 449,000 | 378,763 |
Hyatt Hotels Corp. 6.00%, 4/23/2030 (b) | 100,000 | 100,436 |
McDonald's Corp. | ||
3.30%, 7/1/2025 | 208,000 | 200,049 |
4.60%, 5/26/2045 | 656,000 | 582,566 |
Starbucks Corp. 3.00%, 2/14/2032 | 763,000 | 648,883 |
2,269,633 | ||
Household Durables — 0.1% | ||
Leggett & Platt, Inc. 4.40%, 3/15/2029 | 179,000 | 167,933 |
MDC Holdings, Inc. 3.85%, 1/15/2030 | 151,000 | 125,952 |
Mohawk Industries, Inc. 3.63%, 5/15/2030 | 79,000 | 68,945 |
NVR, Inc. 3.00%, 5/15/2030 | 105,000 | 89,651 |
PulteGroup, Inc. 7.88%, 6/15/2032 | 85,000 | 94,897 |
Toll Brothers Finance Corp. | ||
4.88%, 3/15/2027 | 171,000 | 164,319 |
4.35%, 2/15/2028 | 25,000 | 23,133 |
734,830 | ||
Household Products — 0.1% | ||
Church & Dwight Co., Inc. 3.95%, 8/1/2047 | 104,000 | 83,646 |
Clorox Co. (The) 4.40%, 5/1/2029 | 219,000 | 209,953 |
Colgate-Palmolive Co. 3.25%, 8/15/2032 (e) | 229,000 | 206,869 |
Kimberly-Clark Corp. 5.30%, 3/1/2041 | 181,000 | 184,169 |
Procter & Gamble Co. (The) | ||
1.20%, 10/29/2030 | 195,000 | 153,637 |
4.05%, 1/26/2033 (e) | 533,000 | 515,574 |
1,353,848 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Independent Power and Renewable Electricity Producers — 0.0% ^ | ||
Constellation Energy Generation LLC | ||
3.25%, 6/1/2025 | 247,000 | 234,788 |
5.60%, 6/15/2042 | 106,000 | 101,812 |
Enel Generacion Chile SA (Chile) 4.25%, 4/15/2024 | 183,000 | 179,153 |
Oglethorpe Power Corp. 3.75%, 8/1/2050 | 163,000 | 119,452 |
635,205 | ||
Industrial Conglomerates — 0.1% | ||
3M Co. | ||
3.63%, 10/15/2047 | 306,000 | 230,265 |
3.25%, 8/26/2049 | 495,000 | 345,071 |
GE Capital Funding LLC 4.55%, 5/15/2032 | 278,000 | 264,607 |
Honeywell International, Inc. 5.00%, 2/15/2033 | 426,000 | 431,164 |
1,271,107 | ||
Insurance — 0.7% | ||
Alleghany Corp. 3.63%, 5/15/2030 | 294,000 | 272,270 |
Allstate Corp. (The) | ||
1.45%, 12/15/2030 | 100,000 | 76,628 |
4.50%, 6/15/2043 | 242,000 | 215,358 |
American Equity Investment Life Holding Co. 5.00%, 6/15/2027 | 116,000 | 113,899 |
American International Group, Inc. 3.88%, 1/15/2035 | 430,000 | 376,672 |
Aon Global Ltd. 4.75%, 5/15/2045 | 251,000 | 222,613 |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | 167,000 | 120,134 |
Arthur J Gallagher & Co. 2.40%, 11/9/2031 | 180,000 | 142,585 |
Assurant, Inc. 2.65%, 1/15/2032 | 71,000 | 53,632 |
Assured Guaranty US Holdings, Inc. 3.60%, 9/15/2051 | 56,000 | 38,810 |
Athene Holding Ltd. 3.50%, 1/15/2031 | 222,000 | 186,325 |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (c) (d) | 43,000 | 36,772 |
Berkshire Hathaway Finance Corp. 2.50%, 1/15/2051 | 778,000 | 486,771 |
Brighthouse Financial, Inc. 5.63%, 5/15/2030 | 219,000 | 215,246 |
Brown & Brown, Inc. 4.50%, 3/15/2029 | 253,000 | 235,533 |
Chubb INA Holdings, Inc. | ||
1.38%, 9/15/2030 | 22,000 | 17,068 |
3.05%, 12/15/2061 | 269,000 | 175,749 |
CNA Financial Corp. 3.45%, 8/15/2027 | 254,000 | 235,401 |
52 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
CNO Financial Group, Inc. 5.25%, 5/30/2029 | 81,000 | 76,798 |
F&G Annuities & Life, Inc. 7.40%, 1/13/2028 (f) | 65,000 | 65,026 |
Fidelity National Financial, Inc. 3.40%, 6/15/2030 | 164,000 | 141,140 |
First American Financial Corp. 4.00%, 5/15/2030 | 112,000 | 98,543 |
Globe Life, Inc. 2.15%, 8/15/2030 | 119,000 | 95,016 |
Hartford Financial Services Group, Inc. (The) 2.80%, 8/19/2029 | 485,000 | 417,668 |
Kemper Corp. 3.80%, 2/23/2032 | 18,000 | 15,222 |
Lincoln National Corp. | ||
7.00%, 6/15/2040 | 122,000 | 131,857 |
4.38%, 6/15/2050 | 80,000 | 61,270 |
Loews Corp. 3.75%, 4/1/2026 | 714,000 | 686,543 |
Manulife Financial Corp. (Canada) | ||
(USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (c) | 98,000 | 90,875 |
3.70%, 3/16/2032 | 233,000 | 209,099 |
Markel Corp. 4.30%, 11/1/2047 | 147,000 | 116,495 |
Marsh & McLennan Cos., Inc. 2.25%, 11/15/2030 | 1,703,000 | 1,381,101 |
Mercury General Corp. 4.40%, 3/15/2027 | 114,000 | 108,839 |
MetLife, Inc. | ||
4.13%, 8/13/2042 | 15,000 | 12,796 |
4.88%, 11/13/2043 | 586,000 | 546,702 |
Nationwide Financial Services, Inc. 6.75%, 5/15/2037 | 36,000 | 35,720 |
Primerica, Inc. 2.80%, 11/19/2031 | 85,000 | 70,238 |
Progressive Corp. (The) 3.20%, 3/26/2030 | 659,000 | 592,459 |
Prudential Financial, Inc. | ||
3.94%, 12/7/2049 | 661,000 | 523,579 |
3.70%, 3/13/2051 | 93,000 | 71,003 |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | 34,000 | 30,644 |
Stewart Information Services Corp. 3.60%, 11/15/2031 | 50,000 | 38,674 |
Travelers Cos., Inc. (The) 4.60%, 8/1/2043 | 327,000 | 298,881 |
W R Berkley Corp. 3.15%, 9/30/2061 | 94,000 | 58,568 |
Willis North America, Inc. 3.88%, 9/15/2049 | 105,000 | 76,620 |
9,272,842 | ||
Interactive Media & Services — 0.2% | ||
Alphabet, Inc. | ||
0.45%, 8/15/2025 | 3,021,000 | 2,733,103 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Interactive Media & Services — continued | ||
2.25%, 8/15/2060 | 112,000 | 64,920 |
Meta Platforms, Inc. 4.45%, 8/15/2052 | 307,000 | 254,322 |
3,052,345 | ||
Internet & Direct Marketing Retail — 0.3% | ||
Alibaba Group Holding Ltd. (China) | ||
2.80%, 6/6/2023 | 213,000 | 211,528 |
3.40%, 12/6/2027 | 437,000 | 401,354 |
2.70%, 2/9/2041 | 433,000 | 284,701 |
Amazon.com, Inc. | ||
3.15%, 8/22/2027 | 2,365,000 | 2,209,079 |
4.05%, 8/22/2047 | 1,351,000 | 1,165,597 |
eBay, Inc. 4.00%, 7/15/2042 | 192,000 | 152,163 |
4,424,422 | ||
IT Services — 0.2% | ||
Amdocs Ltd. 2.54%, 6/15/2030 | 93,000 | 76,641 |
Broadridge Financial Solutions, Inc. 2.60%, 5/1/2031 | 150,000 | 121,348 |
Fidelity National Information Services, Inc. 4.50%, 8/15/2046 | 165,000 | 130,680 |
Global Payments, Inc. | ||
2.90%, 5/15/2030 | 546,000 | 449,353 |
2.90%, 11/15/2031 | 12,000 | 9,532 |
International Business Machines Corp. | ||
5.88%, 11/29/2032 | 1,233,000 | 1,291,827 |
4.00%, 6/20/2042 | 77,000 | 62,880 |
Kyndryl Holdings, Inc. 2.70%, 10/15/2028 | 174,000 | 142,347 |
PayPal Holdings, Inc. | ||
2.40%, 10/1/2024 | 446,000 | 427,169 |
1.65%, 6/1/2025 | 52,000 | 48,174 |
2.30%, 6/1/2030 | 137,000 | 112,880 |
5.25%, 6/1/2062 | 108,000 | 98,822 |
VeriSign, Inc. 2.70%, 6/15/2031 | 104,000 | 83,841 |
3,055,494 | ||
Leisure Products — 0.0% ^ | ||
Brunswick Corp. 2.40%, 8/18/2031 | 123,000 | 90,453 |
Hasbro, Inc. 3.90%, 11/19/2029 | 227,000 | 200,141 |
290,594 | ||
Life Sciences Tools & Services — 0.0% ^ | ||
Agilent Technologies, Inc. 2.30%, 3/12/2031 | 155,000 | 126,080 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 53 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Life Sciences Tools & Services — continued | ||
PerkinElmer, Inc. 2.55%, 3/15/2031 | 188,000 | 150,942 |
Thermo Fisher Scientific, Inc. 4.10%, 8/15/2047 | 230,000 | 201,075 |
478,097 | ||
Machinery — 0.1% | ||
Crane Holdings Co. 4.20%, 3/15/2048 | 39,000 | 28,582 |
Deere & Co. 2.88%, 9/7/2049 | 421,000 | 304,822 |
Dover Corp. 3.15%, 11/15/2025 | 645,000 | 611,246 |
IDEX Corp. 3.00%, 5/1/2030 | 128,000 | 110,087 |
Illinois Tool Works, Inc. 4.88%, 9/15/2041 | 128,000 | 125,579 |
Kennametal, Inc. 2.80%, 3/1/2031 | 66,000 | 52,070 |
nVent Finance SARL (United Kingdom) 2.75%, 11/15/2031 | 77,000 | 60,860 |
Oshkosh Corp. 3.10%, 3/1/2030 | 86,000 | 74,148 |
Parker-Hannifin Corp. 6.25%, 5/15/2038 | 167,000 | 175,665 |
Snap-on, Inc. 3.10%, 5/1/2050 | 96,000 | 70,520 |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (c) | 98,000 | 84,423 |
Timken Co. (The) 4.50%, 12/15/2028 | 134,000 | 126,870 |
Xylem, Inc. 4.38%, 11/1/2046 | 66,000 | 54,853 |
1,879,725 | ||
Marine — 0.0% ^ | ||
Kirby Corp. 4.20%, 3/1/2028 | 104,000 | 97,587 |
Media — 0.7% | ||
Charter Communications Operating LLC | ||
6.48%, 10/23/2045 | 10,000 | 9,046 |
6.83%, 10/23/2055 | 1,058,000 | 986,356 |
3.85%, 4/1/2061 | 266,000 | 156,231 |
Comcast Corp. | ||
3.70%, 4/15/2024 | 10,000 | 9,823 |
3.38%, 8/15/2025 | 342,000 | 328,486 |
1.95%, 1/15/2031 | 24,000 | 19,231 |
4.40%, 8/15/2035 | 38,000 | 35,041 |
3.20%, 7/15/2036 | 945,000 | 760,629 |
3.25%, 11/1/2039 | 2,725,000 | 2,121,392 |
4.00%, 11/1/2049 | 491,000 | 395,811 |
2.80%, 1/15/2051 | 79,000 | 50,481 |
2.65%, 8/15/2062 | 11,000 | 6,309 |
Discovery Communications LLC | ||
5.20%, 9/20/2047 | 10,000 | 7,983 |
4.65%, 5/15/2050 | 1,274,000 | 930,857 |
Fox Corp. 4.71%, 1/25/2029 | 1,000,000 | 954,519 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
Interpublic Group of Cos., Inc. (The) | ||
4.75%, 3/30/2030 | 139,000 | 132,419 |
3.38%, 3/1/2041 | 48,000 | 34,905 |
Paramount Global 4.20%, 5/19/2032 (e) | 1,500,000 | 1,235,112 |
Time Warner Cable LLC 4.50%, 9/15/2042 | 479,000 | 356,885 |
WPP Finance 2010 (United Kingdom) 3.75%, 9/19/2024 | 95,000 | 92,071 |
8,623,587 | ||
Metals & Mining — 0.4% | ||
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | 163,000 | 171,394 |
Freeport-McMoRan, Inc. 4.38%, 8/1/2028 | 764,000 | 711,245 |
Newmont Corp. | ||
2.25%, 10/1/2030 | 61,000 | 49,162 |
5.45%, 6/9/2044 | 176,000 | 168,972 |
Nucor Corp. 2.70%, 6/1/2030 | 440,000 | 375,835 |
Rio Tinto Finance USA plc (Australia) 4.75%, 3/22/2042 | 274,000 | 258,050 |
Southern Copper Corp. (Mexico) 3.88%, 4/23/2025 | 2,292,000 | 2,218,012 |
Steel Dynamics, Inc. 3.45%, 4/15/2030 | 193,000 | 171,363 |
Teck Resources Ltd. (Canada) 5.40%, 2/1/2043 | 10,000 | 9,103 |
Vale Overseas Ltd. (Brazil) | ||
3.75%, 7/8/2030 | 483,000 | 420,032 |
6.88%, 11/21/2036 | 10,000 | 10,255 |
Yamana Gold, Inc. (Canada) 2.63%, 8/15/2031 | 24,000 | 18,382 |
4,581,805 | ||
Multiline Retail — 0.2% | ||
Dollar General Corp. | ||
4.15%, 11/1/2025 | 10,000 | 9,735 |
3.88%, 4/15/2027 | 52,000 | 49,467 |
4.13%, 5/1/2028 | 200,000 | 190,303 |
3.50%, 4/3/2030 | 106,000 | 94,798 |
4.13%, 4/3/2050 | 26,000 | 20,610 |
Dollar Tree, Inc. 2.65%, 12/1/2031 | 167,000 | 134,313 |
Target Corp. | ||
3.50%, 7/1/2024 | 1,426,000 | 1,394,063 |
2.95%, 1/15/2052 | 413,000 | 281,356 |
2,174,645 | ||
Multi-Utilities — 0.2% | ||
Avista Corp. 4.00%, 4/1/2052 | 64,000 | 51,357 |
54 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Multi-Utilities — continued | ||
Berkshire Hathaway Energy Co. 4.50%, 2/1/2045 | 100,000 | 86,927 |
Black Hills Corp. 2.50%, 6/15/2030 | 10,000 | 8,139 |
Consolidated Edison Co. of New York, Inc. | ||
2.40%, 6/15/2031 (e) | 65,000 | 53,237 |
3.70%, 11/15/2059 | 10,000 | 7,203 |
Series C, 3.00%, 12/1/2060 | 715,000 | 444,696 |
Consolidated Edison, Inc. Series A, 0.65%, 12/1/2023 | 74,000 | 71,477 |
Consumers Energy Co. | ||
3.95%, 5/15/2043 | 406,000 | 338,095 |
2.50%, 5/1/2060 | 10,000 | 5,612 |
Dominion Energy, Inc. Series C, 3.38%, 4/1/2030 | 500,000 | 438,200 |
DTE Energy Co. 2.95%, 3/1/2030 | 538,000 | 459,915 |
NiSource, Inc. | ||
3.60%, 5/1/2030 | 10,000 | 8,932 |
5.25%, 2/15/2043 | 283,000 | 270,529 |
NorthWestern Corp. 4.18%, 11/15/2044 | 54,000 | 44,777 |
Puget Sound Energy, Inc. 3.25%, 9/15/2049 | 242,000 | 171,233 |
2,460,329 | ||
Oil, Gas & Consumable Fuels — 1.6% | ||
Boardwalk Pipelines LP 4.80%, 5/3/2029 | 183,000 | 173,453 |
BP Capital Markets America, Inc. 3.00%, 2/24/2050 | 723,000 | 491,523 |
Canadian Natural Resources Ltd. (Canada) 2.05%, 7/15/2025 | 2,490,000 | 2,301,434 |
Cenovus Energy, Inc. (Canada) 5.40%, 6/15/2047 | 183,000 | 164,770 |
Cheniere Energy Partners LP 4.00%, 3/1/2031 | 232,000 | 200,390 |
CNOOC Finance 2014 ULC (China) 4.25%, 4/30/2024 | 250,000 | 246,666 |
CNOOC Finance 2015 USA LLC (China) 3.50%, 5/5/2025 | 401,000 | 385,309 |
CNOOC Petroleum North America ULC (China) 5.88%, 3/10/2035 | 575,000 | 588,679 |
Continental Resources, Inc. 4.38%, 1/15/2028 | 229,000 | 212,378 |
DCP Midstream Operating LP 5.60%, 4/1/2044 | 81,000 | 75,702 |
Devon Energy Corp. 4.50%, 1/15/2030 | 968,000 | 900,500 |
Diamondback Energy, Inc. 6.25%, 3/15/2053 | 10,000 | 9,853 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
Eastern Gas Transmission & Storage, Inc. 4.60%, 12/15/2044 | 10,000 | 8,351 |
Energy Transfer LP | ||
2.90%, 5/15/2025 | 171,000 | 161,388 |
5.25%, 4/15/2029 | 1,000,000 | 975,026 |
5.00%, 5/15/2044 (b) | 338,000 | 278,797 |
5.35%, 5/15/2045 | 851,000 | 725,980 |
6.25%, 4/15/2049 | 321,000 | 305,126 |
Eni USA, Inc. (Italy) 7.30%, 11/15/2027 | 93,000 | 100,536 |
Enterprise Products Operating LLC | ||
4.45%, 2/15/2043 | 1,238,000 | 1,057,430 |
Series E, (ICE LIBOR USD 3 Month + 3.03%), 5.25%, 8/16/2077 (c) | 38,000 | 33,988 |
EOG Resources, Inc. | ||
3.15%, 4/1/2025 | 1,125,000 | 1,078,144 |
3.90%, 4/1/2035 | 80,000 | 70,669 |
Equinor ASA (Norway) | ||
7.75%, 6/15/2023 | 288,000 | 290,228 |
3.70%, 3/1/2024 | 80,000 | 78,772 |
2.38%, 5/22/2030 | 265,000 | 225,736 |
Exxon Mobil Corp. | ||
3.48%, 3/19/2030 | 1,000,000 | 926,544 |
4.11%, 3/1/2046 | 483,000 | 413,322 |
Hess Corp. 7.30%, 8/15/2031 | 300,000 | 325,572 |
HF Sinclair Corp. 4.50%, 10/1/2030 | 64,000 | 56,942 |
Kinder Morgan Energy Partners LP | ||
6.95%, 1/15/2038 | 98,000 | 104,508 |
6.38%, 3/1/2041 | 250,000 | 249,373 |
Kinder Morgan, Inc. | ||
2.00%, 2/15/2031 | 325,000 | 252,194 |
5.20%, 3/1/2048 | 842,000 | 731,070 |
Magellan Midstream Partners LP | ||
4.20%, 10/3/2047 | 167,000 | 127,642 |
3.95%, 3/1/2050 | 250,000 | 183,805 |
Marathon Oil Corp. | ||
4.40%, 7/15/2027 | 195,000 | 185,746 |
6.80%, 3/15/2032 | 98,000 | 101,097 |
Marathon Petroleum Corp. 6.50%, 3/1/2041 | 170,000 | 175,706 |
MPLX LP 5.20%, 3/1/2047 | 490,000 | 424,289 |
ONEOK, Inc. 4.45%, 9/1/2049 | 382,000 | 287,102 |
Ovintiv, Inc. 6.50%, 8/15/2034 | 148,000 | 148,208 |
Phillips 66 2.15%, 12/15/2030 | 450,000 | 359,656 |
Phillips 66 Co. 3.75%, 3/1/2028 (f) | 1,141,000 | 1,053,662 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 55 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Pioneer Natural Resources Co. 1.13%, 1/15/2026 | 614,000 | 546,670 |
Plains All American Pipeline LP 6.65%, 1/15/2037 | 186,000 | 185,944 |
Targa Resources Corp. 4.95%, 4/15/2052 | 231,000 | 185,146 |
Tosco Corp. 8.13%, 2/15/2030 | 869,000 | 1,011,207 |
TotalEnergies Capital International SA (France) 3.39%, 6/29/2060 | 232,000 | 166,030 |
TransCanada PipeLines Ltd. (Canada) 4.75%, 5/15/2038 | 576,000 | 514,490 |
Valero Energy Corp. 3.40%, 9/15/2026 | 648,000 | 609,201 |
Williams Cos., Inc. (The) | ||
5.40%, 3/4/2044 | 10,000 | 9,220 |
3.50%, 10/15/2051 | 596,000 | 406,547 |
20,881,721 | ||
Paper & Forest Products — 0.0% ^ | ||
Suzano Austria GmbH (Brazil) 6.00%, 1/15/2029 | 364,000 | 358,377 |
Personal Products — 0.0% ^ | ||
Estee Lauder Cos., Inc. (The) 4.38%, 6/15/2045 | 64,000 | 57,437 |
Pharmaceuticals — 0.8% | ||
Bristol-Myers Squibb Co. | ||
4.63%, 5/15/2044 | 27,000 | 24,982 |
4.25%, 10/26/2049 | 820,000 | 707,963 |
Eli Lilly & Co. 2.50%, 9/15/2060 | 256,000 | 155,181 |
GlaxoSmithKline Capital, Inc. (United Kingdom) 4.20%, 3/18/2043 | 254,000 | 220,369 |
Johnson & Johnson | ||
2.05%, 3/1/2023 | 188,000 | 188,000 |
0.55%, 9/1/2025 | 2,599,000 | 2,350,132 |
2.95%, 3/3/2027 | 92,000 | 86,639 |
3.70%, 3/1/2046 | 669,000 | 562,733 |
Merck & Co., Inc. | ||
1.70%, 6/10/2027 | 750,000 | 662,297 |
3.40%, 3/7/2029 | 785,000 | 728,820 |
1.45%, 6/24/2030 | 1,171,000 | 936,815 |
Pfizer, Inc. | ||
3.60%, 9/15/2028 | 835,000 | 793,785 |
1.75%, 8/18/2031 | 275,000 | 218,377 |
Royalty Pharma plc 2.15%, 9/2/2031 | 385,000 | 293,034 |
Takeda Pharmaceutical Co. Ltd. (Japan) 2.05%, 3/31/2030 | 894,000 | 728,657 |
Utah Acquisition Sub, Inc. 5.25%, 6/15/2046 | 350,000 | 272,981 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Pharmaceuticals — continued | ||
Viatris, Inc. | ||
3.85%, 6/22/2040 | 715,000 | 487,959 |
4.00%, 6/22/2050 | 352,000 | 226,903 |
Wyeth LLC 5.95%, 4/1/2037 | 557,000 | 597,908 |
10,243,535 | ||
Professional Services — 0.1% | ||
Thomson Reuters Corp. (Canada) 3.35%, 5/15/2026 | 856,000 | 806,763 |
Real Estate Management & Development — 0.0% ^ | ||
CBRE Services, Inc. 2.50%, 4/1/2031 | 92,000 | 74,771 |
Road & Rail — 0.3% | ||
Burlington Northern Santa Fe LLC | ||
3.40%, 9/1/2024 | 250,000 | 243,608 |
3.55%, 2/15/2050 | 851,000 | 652,762 |
Canadian Pacific Railway Co. (Canada) 6.13%, 9/15/2115 | 123,000 | 125,448 |
CSX Corp. | ||
3.40%, 8/1/2024 | 210,000 | 204,398 |
4.75%, 5/30/2042 | 686,000 | 623,798 |
4.30%, 3/1/2048 | 24,000 | 20,422 |
Kansas City Southern 4.30%, 5/15/2043 | 170,000 | 141,411 |
Norfolk Southern Corp. | ||
4.45%, 6/15/2045 | 27,000 | 22,881 |
3.70%, 3/15/2053 | 514,000 | 381,967 |
Ryder System, Inc. 1.75%, 9/1/2026 | 220,000 | 194,360 |
Triton Container International Ltd. (Bermuda) 3.25%, 3/15/2032 | 63,000 | 48,703 |
Union Pacific Corp. 3.38%, 2/1/2035 | 1,683,000 | 1,419,568 |
4,079,326 | ||
Semiconductors & Semiconductor Equipment — 0.6% | ||
Analog Devices, Inc. 2.95%, 10/1/2051 | 189,000 | 129,652 |
Applied Materials, Inc. 2.75%, 6/1/2050 (e) | 243,000 | 165,216 |
Broadcom, Inc. | ||
4.11%, 9/15/2028 | 46,000 | 43,034 |
2.45%, 2/15/2031 (f) | 155,000 | 122,776 |
4.30%, 11/15/2032 | 47,000 | 41,672 |
4.93%, 5/15/2037 (f) | 1,104,000 | 959,920 |
3.50%, 2/15/2041 (f) | 350,000 | 250,591 |
Intel Corp. | ||
2.80%, 8/12/2041 | 1,595,000 | 1,085,702 |
3.73%, 12/8/2047 | 60,000 | 44,451 |
KLA Corp. 3.30%, 3/1/2050 | 289,000 | 209,484 |
56 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Semiconductors & Semiconductor Equipment — continued | ||
Micron Technology, Inc. | ||
4.98%, 2/6/2026 (e) | 507,000 | 500,057 |
2.70%, 4/15/2032 | 161,000 | 122,076 |
NVIDIA Corp. 0.31%, 6/15/2023 | 1,443,000 | 1,425,823 |
QUALCOMM, Inc. | ||
3.25%, 5/20/2050 | 100,000 | 73,665 |
4.50%, 5/20/2052 | 10,000 | 8,885 |
Skyworks Solutions, Inc. 1.80%, 6/1/2026 (e) | 225,000 | 198,073 |
Texas Instruments, Inc. 2.90%, 11/3/2027 | 1,758,000 | 1,627,075 |
TSMC Arizona Corp. (Taiwan) 1.75%, 10/25/2026 | 1,030,000 | 909,942 |
Xilinx, Inc. 2.38%, 6/1/2030 | 235,000 | 197,927 |
8,116,021 | ||
Software — 0.4% | ||
Fortinet, Inc. 2.20%, 3/15/2031 | 83,000 | 66,178 |
Microsoft Corp. | ||
2.53%, 6/1/2050 | 171,000 | 114,183 |
4.00%, 2/12/2055 | 1,111,000 | 987,275 |
Oracle Corp. | ||
2.50%, 4/1/2025 | 1,000,000 | 943,098 |
2.95%, 5/15/2025 | 1,000,000 | 948,385 |
3.60%, 4/1/2050 | 1,000,000 | 678,122 |
3.95%, 3/25/2051 | 2,119,000 | 1,520,552 |
Salesforce, Inc. 2.90%, 7/15/2051 | 298,000 | 200,399 |
ServiceNow, Inc. 1.40%, 9/1/2030 | 146,000 | 111,315 |
VMware, Inc. 1.80%, 8/15/2028 | 91,000 | 74,381 |
Workday, Inc. 3.70%, 4/1/2029 | 250,000 | 228,344 |
5,872,232 | ||
Specialty Retail — 0.3% | ||
Advance Auto Parts, Inc. 1.75%, 10/1/2027 | 210,000 | 177,963 |
AutoNation, Inc. 1.95%, 8/1/2028 | 244,000 | 198,663 |
AutoZone, Inc. 4.00%, 4/15/2030 | 275,000 | 252,687 |
Best Buy Co., Inc. | ||
4.45%, 10/1/2028 | 70,000 | 67,047 |
1.95%, 10/1/2030 | 74,000 | 58,168 |
Dick's Sporting Goods, Inc. 4.10%, 1/15/2052 | 72,000 | 47,666 |
Home Depot, Inc. (The) | ||
2.13%, 9/15/2026 | 500,000 | 455,142 |
2.70%, 4/15/2030 | 500,000 | 433,677 |
3.50%, 9/15/2056 | 1,023,000 | 767,104 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — continued | ||
Lowe's Cos., Inc. | ||
4.38%, 9/15/2045 | 707,000 | 577,944 |
4.05%, 5/3/2047 | 139,000 | 108,533 |
O'Reilly Automotive, Inc. 3.90%, 6/1/2029 | 281,000 | 260,243 |
TJX Cos., Inc. (The) 3.88%, 4/15/2030 | 238,000 | 223,794 |
Tractor Supply Co. 1.75%, 11/1/2030 | 98,000 | 75,457 |
3,704,088 | ||
Technology Hardware, Storage & Peripherals — 0.4% | ||
Apple, Inc. | ||
4.38%, 5/13/2045 | 2,104,000 | 1,934,205 |
2.65%, 5/11/2050 | 176,000 | 118,277 |
2.85%, 8/5/2061 | 10,000 | 6,504 |
Dell International LLC 3.38%, 12/15/2041 (f) | 472,000 | 312,842 |
HP, Inc. | ||
2.20%, 6/17/2025 | 417,000 | 389,309 |
1.45%, 6/17/2026 | 1,352,000 | 1,186,686 |
3.00%, 6/17/2027 | 13,000 | 11,822 |
Western Digital Corp. | ||
4.75%, 2/15/2026 | 365,000 | 344,078 |
2.85%, 2/1/2029 | 100,000 | 78,627 |
3.10%, 2/1/2032 | 1,294,000 | 931,822 |
5,314,172 | ||
Textiles, Apparel & Luxury Goods — 0.1% | ||
NIKE, Inc. | ||
2.38%, 11/1/2026 | 10,000 | 9,206 |
3.38%, 11/1/2046 | 10,000 | 7,701 |
PVH Corp. 4.63%, 7/10/2025 | 201,000 | 196,271 |
Ralph Lauren Corp. 3.75%, 9/15/2025 | 543,000 | 523,144 |
Tapestry, Inc. 4.13%, 7/15/2027 | 188,000 | 177,535 |
VF Corp. 2.80%, 4/23/2027 | 283,000 | 256,426 |
1,170,283 | ||
Thrifts & Mortgage Finance — 0.0% ^ | ||
Radian Group, Inc. 4.88%, 3/15/2027 | 102,000 | 95,459 |
Tobacco — 0.4% | ||
Altria Group, Inc. | ||
2.35%, 5/6/2025 | 63,000 | 59,071 |
3.40%, 5/6/2030 | 185,000 | 159,302 |
4.25%, 8/9/2042 | 37,000 | 27,681 |
5.38%, 1/31/2044 | 658,000 | 573,003 |
4.45%, 5/6/2050 | 11,000 | 7,799 |
BAT Capital Corp. (United Kingdom) | ||
4.39%, 8/15/2037 | 1,672,000 | 1,297,290 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 57 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Tobacco — continued | ||
3.73%, 9/25/2040 | 250,000 | 170,968 |
Philip Morris International, Inc. | ||
3.25%, 11/10/2024 | 1,887,000 | 1,828,433 |
4.88%, 11/15/2043 | 449,000 | 391,373 |
4.25%, 11/10/2044 | 250,000 | 199,227 |
4,714,147 | ||
Trading Companies & Distributors — 0.1% | ||
Air Lease Corp. | ||
4.63%, 10/1/2028 | 101,000 | 94,283 |
3.25%, 10/1/2029 | 466,000 | 397,133 |
GATX Corp. 3.50%, 6/1/2032 | 228,000 | 191,625 |
WW Grainger, Inc. | ||
1.85%, 2/15/2025 | 121,000 | 113,416 |
4.20%, 5/15/2047 | 105,000 | 90,274 |
886,731 | ||
Water Utilities — 0.0% ^ | ||
American Water Capital Corp. 6.59%, 10/15/2037 | 275,000 | 300,205 |
Essential Utilities, Inc. 4.28%, 5/1/2049 | 127,000 | 103,057 |
403,262 | ||
Wireless Telecommunication Services — 0.3% | ||
America Movil SAB de CV (Mexico) | ||
3.63%, 4/22/2029 | 934,000 | 849,692 |
6.38%, 3/1/2035 | 10,000 | 10,833 |
Rogers Communications, Inc. (Canada) | ||
2.90%, 11/15/2026 | 595,000 | 543,792 |
3.20%, 3/15/2027 (f) | 27,000 | 24,834 |
3.80%, 3/15/2032 (f) | 43,000 | 37,565 |
5.45%, 10/1/2043 | 10,000 | 9,159 |
5.00%, 3/15/2044 | 339,000 | 294,118 |
Telefonica Europe BV (Spain) 8.25%, 9/15/2030 | 358,000 | 405,890 |
T-Mobile USA, Inc. 4.38%, 4/15/2040 | 1,503,000 | 1,277,584 |
Vodafone Group plc (United Kingdom) | ||
4.13%, 5/30/2025 | 350,000 | 340,719 |
4.88%, 6/19/2049 | 521,000 | 451,225 |
4,245,411 | ||
Total Corporate Bonds (Cost $337,265,533) | 323,238,957 | |
Commercial Mortgage-Backed Securities — 1.6% | ||
BANK | ||
Series 2017-BNK4, Class ASB, 3.42%, 5/15/2050 | 24,066 | 23,093 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2019-BN16, Class A4, 4.01%, 2/15/2052 | 60,000 | 56,207 |
Series 2019-BN21, Class A5, 2.85%, 10/17/2052 | 60,000 | 52,059 |
Series 2019-BN23, Class A3, 2.92%, 12/15/2052 | 142,000 | 123,442 |
Series 2018-BN10, Class A5, 3.69%, 2/15/2061 | 20,000 | 18,611 |
Series 2018-BN10, Class AS, 3.90%, 2/15/2061 (g) | 180,000 | 166,517 |
Series 2019-BN19, Class A3, 3.18%, 8/15/2061 | 100,000 | 88,506 |
Series 2018-BN13, Class C, 4.58%, 8/15/2061 (g) | 500,000 | 414,662 |
Series 2019-BN22, Class A4, 2.98%, 11/15/2062 | 260,000 | 227,136 |
Bank of America Merrill Lynch Commercial Mortgage Trust Series 2017-BNK3, Class A4, 3.57%, 2/15/2050 | 20,000 | 18,704 |
BBCMS Mortgage Trust Series 2018-C2, Class A5, 4.31%, 12/15/2051 | 40,000 | 37,933 |
Benchmark Mortgage Trust | ||
Series 2018-B1, Class A5, 3.67%, 1/15/2051 (g) | 50,000 | 46,619 |
Series 2018-B2, Class B, 4.27%, 2/15/2051 (g) | 20,000 | 17,764 |
Series 2018-B5, Class A4, 4.21%, 7/15/2051 | 110,000 | 104,561 |
Series 2018-B6, Class A2, 4.20%, 10/10/2051 | 35,896 | 35,150 |
Series 2018-B8, Class A5, 4.23%, 1/15/2052 | 40,000 | 37,933 |
Series 2019-B11, Class A2, 3.41%, 5/15/2052 | 214,149 | 207,139 |
Series 2020-B16, Class AM, 2.94%, 2/15/2053 (g) | 180,000 | 151,452 |
Series 2021-B31, Class A5, 2.67%, 12/15/2054 | 600,000 | 495,548 |
Series 2019-B13, Class A3, 2.70%, 8/15/2057 | 450,000 | 386,511 |
Cantor Commercial Real Estate Lending Series 2019-CF2, Class AS, 3.12%, 11/15/2052 | 75,000 | 63,677 |
CD Mortgage Trust | ||
Series 2017-CD6, Class ASB, 3.33%, 11/13/2050 | 19,029 | 18,098 |
Series 2017-CD6, Class AM, 3.71%, 11/13/2050 (g) | 30,000 | 27,323 |
Series 2018-CD7, Class A3, 4.01%, 8/15/2051 | 400,000 | 374,973 |
58 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
CFCRE Commercial Mortgage Trust | ||
Series 2017-C8, Class A4, 3.57%, 6/15/2050 | 30,000 | 27,607 |
Series 2016-C7, Class ASB, 3.64%, 12/10/2054 | 14,613 | 14,081 |
Citigroup Commercial Mortgage Trust | ||
Series 2014-GC21, Class AAB, 3.48%, 5/10/2047 | 4,025 | 3,970 |
Series 2014-GC23, Class B, 4.17%, 7/10/2047 (g) | 30,000 | 27,977 |
Series 2015-GC29, Class C, 4.14%, 4/10/2048 (g) | 40,000 | 36,962 |
Series 2016-C1, Class AAB, 3.00%, 5/10/2049 | 62,205 | 59,826 |
Series 2019-GC43, Class A4, 3.04%, 11/10/2052 | 1,000,000 | 874,494 |
Commercial Mortgage Trust | ||
Series 2013-CR7, Class A4, 3.21%, 3/10/2046 | 899 | 894 |
Series 2013-CR13, Class B, 4.88%, 11/10/2046 (g) | 364,000 | 352,139 |
Series 2014-UBS5, Class AM, 4.19%, 9/10/2047 (g) | 40,000 | 38,323 |
Series 2014-CR20, Class A3, 3.33%, 11/10/2047 | 37,183 | 36,151 |
Series 2014-UBS6, Class A4, 3.38%, 12/10/2047 | 115,907 | 111,760 |
Series 2015-LC19, Class A4, 3.18%, 2/10/2048 | 250,000 | 238,550 |
Series 2015-LC21, Class AM, 4.04%, 7/10/2048 (g) | 30,000 | 28,306 |
Series 2015-CR25, Class A4, 3.76%, 8/10/2048 | 30,000 | 28,642 |
Series 2015-PC1, Class A5, 3.90%, 7/10/2050 | 300,000 | 288,394 |
CSAIL Commercial Mortgage Trust | ||
Series 2015-C3, Class A4, 3.72%, 8/15/2048 | 30,000 | 28,611 |
Series 2016-C5, Class A5, 3.76%, 11/15/2048 | 27,000 | 25,702 |
Series 2019-C15, Class A4, 4.05%, 3/15/2052 | 210,000 | 196,320 |
DBGS Mortgage Trust Series 2018-C1, Class A4, 4.47%, 10/15/2051 | 20,000 | 19,089 |
DBJPM Mortgage Trust Series 2017-C6, Class A5, 3.33%, 6/10/2050 | 20,000 | 18,401 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FHLMC, Multi-Family Structured Pass-Through Certificates | ||
Series K725, Class AM, 3.10%, 2/25/2024 (g) | 50,000 | 49,082 |
Series K728, Class A2, 3.06%, 8/25/2024 (g) | 48,595 | 47,520 |
Series K040, Class A2, 3.24%, 9/25/2024 | 70,000 | 67,989 |
Series K731, Class A2, 3.60%, 2/25/2025 (g) | 47,021 | 45,886 |
Series K733, Class A2, 3.75%, 8/25/2025 | 500,000 | 485,565 |
Series K051, Class A2, 3.31%, 9/25/2025 | 40,000 | 38,424 |
Series K734, Class A2, 3.21%, 2/25/2026 | 370,000 | 353,957 |
Series K735, Class A2, 2.86%, 5/25/2026 | 49,609 | 46,870 |
Series K057, Class A2, 2.57%, 7/25/2026 | 63,000 | 58,803 |
Series K063, Class A1, 3.05%, 8/25/2026 | 31,248 | 30,522 |
Series K072, Class A2, 3.44%, 12/25/2027 | 400,000 | 380,501 |
Series K084, Class A2, 3.78%, 10/25/2028 (g) | 500,000 | 479,404 |
Series K096, Class A2, 2.52%, 7/25/2029 | 295,000 | 262,205 |
Series K099, Class A2, 2.60%, 9/25/2029 | 400,000 | 355,995 |
Series K100, Class A2, 2.67%, 9/25/2029 | 400,000 | 357,442 |
Series K102, Class A2, 2.54%, 10/25/2029 | 400,000 | 354,318 |
Series K113, Class A2, 1.34%, 6/25/2030 | 700,000 | 563,277 |
Series K159, Class A2, 3.95%, 11/25/2030 (g) | 400,000 | 383,922 |
Series K123, Class A2, 1.62%, 12/25/2030 | 500,000 | 405,193 |
Series K125, Class A2, 1.85%, 1/25/2031 | 300,000 | 246,864 |
Series K127, Class A2, 2.11%, 1/25/2031 | 600,000 | 503,641 |
Series K-1512, Class A2, 2.99%, 5/25/2031 | 75,000 | 67,219 |
Series K156, Class A3, 3.70%, 6/25/2033 (g) | 91,000 | 85,163 |
Series K-1512, Class A3, 3.06%, 4/25/2034 | 150,000 | 129,915 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 59 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series K-1513, Class A3, 2.80%, 8/25/2034 | 325,000 | 273,872 |
Series K-1514, Class A2, 2.86%, 10/25/2034 | 400,000 | 336,241 |
Series K-1518, Class A2, 1.86%, 10/25/2035 | 1,100,000 | 813,835 |
FNMA ACES | ||
Series 2014-M2, Class A2, 3.51%, 12/25/2023 (g) | 14,265 | 14,168 |
Series 2014-M3, Class A2, 3.50%, 1/25/2024 (g) | 7,857 | 7,720 |
Series 2017-M10, Class AV2, 2.54%, 7/25/2024 (g) | 40,518 | 39,207 |
Series 2017-M1, Class A2, 2.41%, 10/25/2026 (g) | 153,136 | 141,770 |
Series 2017-M2, Class A2, 2.81%, 2/25/2027 (g) | 292,777 | 274,131 |
Series 2017-M7, Class A2, 2.96%, 2/25/2027 (g) | 284,595 | 267,187 |
Series 2017-M12, Class A2, 3.06%, 6/25/2027 (g) | 139,645 | 131,445 |
Series 2018-M10, Class A2, 3.36%, 7/25/2028 (g) | 40,000 | 37,886 |
Series 2018-M14, Class A2, 3.58%, 8/25/2028 (g) | 430,289 | 410,472 |
Series 2019-M1, Class A2, 3.55%, 9/25/2028 (g) | 76,330 | 72,760 |
Series 2019-M22, Class A2, 2.52%, 8/25/2029 | 582,486 | 517,667 |
Series 2021-M2S, Class A2, 1.81%, 10/25/2031 (g) | 700,000 | 567,878 |
GS Mortgage Securities Trust | ||
Series 2014-GC24, Class AAB, 3.65%, 9/10/2047 | 7,141 | 7,025 |
Series 2014-GC24, Class AS, 4.16%, 9/10/2047 (g) | 170,000 | 162,108 |
Series 2015-GC28, Class A4, 3.14%, 2/10/2048 | 36,839 | 35,572 |
Series 2015-GC30, Class A4, 3.38%, 5/10/2050 | 25,000 | 23,782 |
Series 2018-GS9, Class A4, 3.99%, 3/10/2051 (g) | 200,000 | 187,908 |
Series 2019-GSA1, Class A4, 3.05%, 11/10/2052 | 260,000 | 227,364 |
JPMBB Commercial Mortgage Securities Trust | ||
Series 2013-C12, Class C, 4.11%, 7/15/2045 (g) | 26,000 | 25,615 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Series 2015-C29, Class B, 4.12%, 5/15/2048 (g) | 40,000 | 36,257 |
Series 2015-C31, Class A3, 3.80%, 8/15/2048 | 555,603 | 531,908 |
JPMCC Commercial Mortgage Securities Trust Series 2017-JP5, Class A5, 3.72%, 3/15/2050 | 600,000 | 560,789 |
JPMDB Commercial Mortgage Securities Trust | ||
Series 2016-C2, Class B, 3.99%, 6/15/2049 (g) | 20,000 | 17,403 |
Series 2017-C5, Class B, 4.01%, 3/15/2050 (g) | 20,000 | 16,524 |
Morgan Stanley Bank of America Merrill Lynch Trust | ||
Series 2013-C9, Class A4, 3.10%, 5/15/2046 | 26,014 | 25,804 |
Series 2015-C22, Class AS, 3.56%, 4/15/2048 | 40,000 | 37,772 |
Series 2015-C25, Class ASB, 3.38%, 10/15/2048 | 22,202 | 21,521 |
Series 2015-C25, Class A5, 3.64%, 10/15/2048 | 40,000 | 37,976 |
Series 2016-C31, Class A5, 3.10%, 11/15/2049 | 450,000 | 413,860 |
Series 2016-C32, Class A4, 3.72%, 12/15/2049 | 295,000 | 276,399 |
Morgan Stanley Capital I Trust | ||
Series 2016-UB12, Class A3, 3.34%, 12/15/2049 | 540,925 | 503,845 |
Series 2017-H1, Class C, 4.28%, 6/15/2050 (g) | 25,000 | 21,632 |
Series 2019-L2, Class A4, 4.07%, 3/15/2052 | 50,000 | 46,727 |
Series 2019-L3, Class A4, 3.13%, 11/15/2052 | 100,000 | 87,661 |
UBS Commercial Mortgage Trust | ||
Series 2017-C2, Class A4, 3.49%, 8/15/2050 | 700,000 | 647,608 |
Series 2017-C4, Class ASB, 3.37%, 10/15/2050 | 36,624 | 34,934 |
Series 2017-C5, Class AS, 3.78%, 11/15/2050 (g) | 70,000 | 62,278 |
Series 2017-C7, Class AS, 4.06%, 12/15/2050 (g) | 50,000 | 45,994 |
Wells Fargo Commercial Mortgage Trust | ||
Series 2015-C27, Class A4, 3.19%, 2/15/2048 | 28,047 | 26,797 |
60 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Mortgage-Backed Securities — continued | ||
Series 2015-C28, Class A4, 3.54%, 5/15/2048 | 20,000 | 19,094 |
Series 2015-C29, Class A4, 3.64%, 6/15/2048 | 120,000 | 114,457 |
Series 2018-C45, Class A3, 3.92%, 6/15/2051 | 41,300 | 38,684 |
Series 2019-C51, Class A3, 3.06%, 6/15/2052 | 500,000 | 442,506 |
Series 2019-C53, Class A4, 3.04%, 10/15/2052 | 125,000 | 109,311 |
Series 2020-C55, Class A5, 2.73%, 2/15/2053 | 240,000 | 203,801 |
WFRBS Commercial Mortgage Trust | ||
Series 2014-C22, Class A4, 3.49%, 9/15/2057 | 33,979 | 32,874 |
Series 2014-C22, Class A5, 3.75%, 9/15/2057 | 25,000 | 24,176 |
Total Commercial Mortgage-Backed Securities (Cost $23,529,626) | 20,463,699 | |
Foreign Government Securities — 1.5% | ||
Export Development Canada 3.00%, 5/25/2027 (e) | 105,000 | 99,235 |
Export-Import Bank of Korea 0.75%, 9/21/2025 | 215,000 | 192,156 |
Hong Kong Government International Bond 1.75%, 11/24/2031 (h) | 200,000 | 163,816 |
Hungary Government Bond 7.63%, 3/29/2041 | 262,000 | 294,593 |
Italian Republic Government Bond | ||
2.38%, 10/17/2024 | 657,000 | 621,346 |
2.88%, 10/17/2029 | 452,000 | 381,791 |
5.38%, 6/15/2033 | 487,000 | 477,278 |
Japan Bank for International Cooperation | ||
3.38%, 10/31/2023 | 200,000 | 197,264 |
0.50%, 4/15/2024 | 200,000 | 189,252 |
3.00%, 5/29/2024 | 201,000 | 195,095 |
2.50%, 5/28/2025 | 220,000 | 207,845 |
2.88%, 6/1/2027 (e) | 202,000 | 186,925 |
2.88%, 7/21/2027 | 218,000 | 201,954 |
3.50%, 10/31/2028 | 450,000 | 422,192 |
Japan International Cooperation Agency 1.00%, 7/22/2030 | 210,000 | 162,338 |
Oriental Republic of Uruguay | ||
5.75%, 10/28/2034 | 76,000 | 81,746 |
4.13%, 11/20/2045 (e) | 805,000 | 725,306 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Province of Alberta | ||
3.35%, 11/1/2023 | 100,000 | 98,718 |
1.00%, 5/20/2025 (e) | 885,000 | 813,474 |
Province of British Columbia | ||
1.75%, 9/27/2024 | 412,000 | 391,046 |
2.25%, 6/2/2026 | 299,000 | 277,374 |
0.90%, 7/20/2026 (e) | 705,000 | 623,987 |
Province of Ontario | ||
3.40%, 10/17/2023 | 257,000 | 253,980 |
3.05%, 1/29/2024 | 155,000 | 151,777 |
2.50%, 4/27/2026 | 10,000 | 9,346 |
2.30%, 6/15/2026 | 490,000 | 454,354 |
2.13%, 1/21/2032 | 262,000 | 219,759 |
Province of Quebec | ||
1.50%, 2/11/2025 | 955,000 | 893,954 |
0.60%, 7/23/2025 | 30,000 | 27,186 |
2.50%, 4/20/2026 | 99,000 | 92,787 |
Republic of Chile | ||
2.45%, 1/31/2031 (e) | 1,543,000 | 1,287,390 |
4.34%, 3/7/2042 (e) | 370,000 | 316,708 |
Republic of Indonesia | ||
3.40%, 9/18/2029 | 200,000 | 183,402 |
3.85%, 10/15/2030 | 494,000 | 461,608 |
4.35%, 1/11/2048 | 500,000 | 439,401 |
3.35%, 3/12/2071 | 201,000 | 136,614 |
Republic of Panama | ||
8.88%, 9/30/2027 | 654,000 | 753,016 |
2.25%, 9/29/2032 | 1,500,000 | 1,116,949 |
6.70%, 1/26/2036 | 78,000 | 82,610 |
4.30%, 4/29/2053 | 200,000 | 145,118 |
4.50%, 4/1/2056 | 211,000 | 154,177 |
Republic of Peru | ||
2.39%, 1/23/2026 | 783,000 | 728,921 |
2.78%, 1/23/2031 | 120,000 | 99,060 |
1.86%, 12/1/2032 | 200,000 | 145,505 |
8.75%, 11/21/2033 | 10,000 | 12,390 |
3.30%, 3/11/2041 | 72,000 | 52,618 |
3.55%, 3/10/2051 | 58,000 | 41,411 |
3.60%, 1/15/2072 (e) | 99,000 | 64,366 |
3.23%, 7/28/2121 (e) | 1,420,000 | 829,501 |
Republic of Philippines | ||
9.50%, 2/2/2030 | 304,000 | 380,114 |
2.95%, 5/5/2045 | 1,282,000 | 912,306 |
2.65%, 12/10/2045 | 250,000 | 168,069 |
3.20%, 7/6/2046 | 200,000 | 144,059 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 61 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Republic of Poland 5.75%, 11/16/2032 | 18,000 | 18,872 |
State of Israel Government Bond 2.75%, 7/3/2030 | 225,000 | 199,119 |
Svensk Exportkredit AB 1.75%, 12/12/2023 (e) | 200,000 | 194,475 |
United Mexican States | ||
3.25%, 4/16/2030 (e) | 455,000 | 396,185 |
6.75%, 9/27/2034 | 265,000 | 283,213 |
4.75%, 3/8/2044 | 476,000 | 396,282 |
4.60%, 1/23/2046 | 200,000 | 160,824 |
4.60%, 2/10/2048 (e) | 200,000 | 160,103 |
5.00%, 4/27/2051 | 300,000 | 252,672 |
3.77%, 5/24/2061 | 499,000 | 329,982 |
5.75%, 10/12/2110 | 40,000 | 35,474 |
Total Foreign Government Securities (Cost $21,649,172) | 20,190,388 | |
U.S. Government Agency Securities — 1.3% | ||
FFCB Funding Corp. | ||
0.57%, 7/2/2024 | 45,000 | 42,213 |
0.69%, 7/22/2025 | 225,000 | 202,851 |
0.57%, 8/12/2025 | 150,000 | 134,524 |
0.75%, 12/16/2026 | 100,000 | 86,091 |
1.30%, 3/30/2027 | 820,000 | 716,231 |
0.84%, 2/2/2028 | 50,000 | 41,634 |
1.10%, 8/10/2029 | 39,000 | 31,185 |
1.23%, 9/10/2029 | 35,000 | 28,272 |
1.23%, 7/29/2030 | 252,000 | 197,441 |
1.24%, 9/3/2030 | 129,000 | 100,869 |
1.32%, 9/9/2030 | 360,000 | 283,137 |
1.24%, 12/23/2030 | 120,000 | 92,899 |
1.38%, 1/14/2031 | 135,000 | 105,537 |
1.30%, 2/3/2031 | 125,000 | 96,917 |
2.23%, 3/12/2035 | 12,000 | 9,119 |
1.69%, 8/20/2035 | 296,000 | 206,928 |
FHLB | ||
2.50%, 2/13/2024 | 565,000 | 550,397 |
1.50%, 8/15/2024 | 1,425,000 | 1,354,672 |
2.75%, 12/13/2024 | 400,000 | 383,988 |
0.50%, 4/14/2025 | 1,785,000 | 1,633,792 |
0.58%, 2/11/2026 | 65,000 | 57,284 |
3.25%, 11/16/2028 | 860,000 | 817,593 |
2.13%, 9/14/2029 | 125,000 | 109,214 |
1.50%, 3/14/2031 | 30,000 | 24,167 |
5.50%, 7/15/2036 | 35,000 | 39,068 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
FHLMC | ||
0.38%, 4/20/2023 | 428,000 | 425,428 |
2.75%, 6/19/2023 | 282,000 | 280,006 |
0.25%, 6/26/2023 | 14,000 | 13,793 |
0.25%, 8/24/2023 | 357,000 | 348,767 |
1.50%, 2/12/2025 | 104,000 | 97,522 |
0.38%, 7/21/2025 | 290,000 | 261,642 |
0.38%, 9/23/2025 | 892,000 | 801,971 |
0.63%, 10/27/2025 | 300,000 | 268,337 |
0.80%, 10/27/2026 | 103,000 | 89,537 |
0.80%, 10/28/2026 | 41,000 | 35,569 |
0.90%, 10/13/2027 | 65,000 | 55,159 |
2.73%, 12/14/2029 (i) | 80,000 | 59,313 |
6.25%, 7/15/2032 | 726,000 | 841,660 |
0.0%, 11/15/2038 (i) | 597,000 | 295,718 |
FNMA | ||
0.30%, 8/3/2023 | 1,022,000 | 1,000,692 |
2.88%, 9/12/2023 | 256,000 | 252,883 |
2.63%, 9/6/2024 | 245,000 | 236,476 |
0.38%, 8/25/2025 | 300,000 | 269,831 |
0.50%, 11/7/2025 | 155,000 | 139,118 |
2.13%, 4/24/2026 | 25,000 | 23,279 |
1.88%, 9/24/2026 | 541,000 | 495,906 |
0.88%, 12/18/2026 | 60,000 | 52,114 |
0.75%, 10/8/2027 | 113,000 | 96,778 |
6.25%, 5/15/2029 | 310,000 | 344,202 |
7.13%, 1/15/2030 | 31,000 | 36,428 |
0.88%, 8/5/2030 | 1,781,000 | 1,410,671 |
Israel Government AID Bond (Israel) 5.50%, 9/18/2023 | 473,000 | 473,337 |
Tennessee Valley Authority | ||
0.75%, 5/15/2025 | 59,000 | 53,882 |
7.13%, 5/1/2030 | 166,000 | 192,935 |
4.70%, 7/15/2033 | 408,000 | 411,991 |
6.15%, 1/15/2038 | 35,000 | 39,883 |
Total U.S. Government Agency Securities (Cost $17,688,359) | 16,750,851 | |
Supranational — 1.2% | ||
African Development Bank (Supranational) | ||
0.75%, 4/3/2023 | 540,000 | 538,005 |
3.00%, 9/20/2023 | 51,000 | 50,382 |
0.88%, 3/23/2026 | 166,000 | 148,385 |
0.88%, 7/22/2026 | 574,000 | 507,359 |
Asian Development Bank (Supranational) | ||
2.75%, 3/17/2023 | 64,000 | 63,943 |
62 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Supranational — continued | ||
1.50%, 10/18/2024 | 130,000 | 122,836 |
0.63%, 4/29/2025 | 79,000 | 72,272 |
0.38%, 9/3/2025 | 1,892,000 | 1,701,446 |
0.50%, 2/4/2026 | 835,000 | 742,295 |
1.88%, 1/24/2030 | 40,000 | 34,459 |
Asian Infrastructure Investment Bank (The) (Supranational) | ||
0.50%, 10/30/2024 | 120,000 | 111,197 |
0.50%, 1/27/2026 | 333,000 | 294,415 |
Corp. Andina de Fomento (Supranational) | ||
1.63%, 9/23/2025 (e) | 543,000 | 494,197 |
2.25%, 2/8/2027 (e) | 567,000 | 506,963 |
Council of Europe Development Bank (Supranational) 1.38%, 2/27/2025 (e) | 281,000 | 262,409 |
European Investment Bank (Supranational) | ||
0.25%, 9/15/2023 | 623,000 | 606,878 |
1.88%, 2/10/2025 | 479,000 | 452,646 |
0.38%, 12/15/2025 (e) | 2,280,000 | 2,032,088 |
0.38%, 3/26/2026 | 2,999,000 | 2,645,309 |
0.88%, 5/17/2030 | 337,000 | 269,808 |
Inter-American Development Bank (Supranational) | ||
0.88%, 4/3/2025 | 10,000 | 9,222 |
7.00%, 6/15/2025 | 91,000 | 94,940 |
2.00%, 6/2/2026 | 481,000 | 443,015 |
4.00%, 1/12/2028 | 350,000 | 345,617 |
1.13%, 7/20/2028 | 312,000 | 264,945 |
4.38%, 1/24/2044 | 191,000 | 189,417 |
International Bank for Reconstruction & Development (Supranational) | ||
2.50%, 3/19/2024 | 408,000 | 396,673 |
2.50%, 11/25/2024 | 470,000 | 450,811 |
0.75%, 3/11/2025 | 43,000 | 39,644 |
0.38%, 7/28/2025 | 1,259,000 | 1,137,108 |
2.50%, 7/29/2025 | 870,000 | 827,310 |
3.13%, 11/20/2025 | 70,000 | 67,306 |
1.75%, 10/23/2029 | 40,000 | 34,329 |
2.50%, 3/29/2032 | 30,000 | 26,489 |
4.75%, 2/15/2035 | 192,000 | 200,264 |
Total Supranational (Cost $17,282,021) | 16,184,382 | |
Municipal Bonds — 0.4% (j) | ||
Arizona — 0.1% | ||
City of Tucson, Taxable Series 2021A, COP, AGM, 2.86%, 7/1/2047 | 865,000 | 603,880 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
California — 0.2% | ||
Bay Area Toll Authority, Toll Bridge | ||
Series 2010S-1, Rev., 6.92%, 4/1/2040 | 40,000 | 47,445 |
Series 2009F-2, Rev., 6.26%, 4/1/2049 | 100,000 | 119,901 |
California State University, Systemwide Series 2021B, Rev., 2.72%, 11/1/2052 | 1,070,000 | 728,720 |
East Bay Municipal Utility District, Water System Series 2010B, Rev., 5.87%, 6/1/2040 | 155,000 | 169,698 |
Golden State Tobacco Securitization Corp., Enhanced Tobacco Settlement Series 2021B, Rev., 3.29%, 6/1/2042 | 455,000 | 347,077 |
Los Angeles Unified School District, Build America Bonds | ||
GO, 5.75%, 7/1/2034 | 20,000 | 21,086 |
Series 2010RY, GO, 6.76%, 7/1/2034 | 105,000 | 118,664 |
Regents of the University of California Medical Center Pooled | ||
Series H, Rev., 6.55%, 5/15/2048 | 40,000 | 46,605 |
Series 2020N, Rev., 3.71%, 5/15/2120 | 140,000 | 93,332 |
Santa Clara Valley Transportation Authority, Measure A Sales Tax Series 2010A, Rev., 5.88%, 4/1/2032 | 190,000 | 195,512 |
State of California, Various Purpose | ||
GO, 7.50%, 4/1/2034 | 235,000 | 284,975 |
GO, 7.55%, 4/1/2039 | 400,000 | 508,485 |
Total California | 2,681,500 | |
Connecticut — 0.0% ^ | ||
State of Connecticut Series A, GO, 5.85%, 3/15/2032 | 75,000 | 80,313 |
Illinois — 0.1% | ||
Chicago O'Hare International Airport, General Airport, Senior Lien Series 2018C, Rev., 4.47%, 1/1/2049 | 25,000 | 23,347 |
Metropolitan Water Reclamation District of Greater Chicago GO, 5.72%, 12/1/2038 | 55,000 | 58,960 |
Sales Tax Securitization Corp. Series 2019A, Rev., 4.64%, 1/1/2040 | 55,000 | 51,820 |
State of Illinois GO, 5.10%, 6/1/2033 | 410,000 | 403,092 |
Total Illinois | 537,219 | |
Missouri — 0.0% ^ | ||
Health and Educational Facilities Authority of the State of Missouri, The Washington University Series 2017A, Rev., 3.65%, 8/15/2057 | 45,000 | 35,750 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 63 |
(formerly known as JPMorgan U.S. Aggregate Bond ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Municipal Bonds — continued | ||
Nebraska — 0.0% ^ | ||
University of Nebraska Facilities Corp., Taxable Series 2019A, Rev., 3.04%, 10/1/2049 | 50,000 | 37,965 |
New Jersey — 0.0% ^ | ||
New Jersey Economic Development Authority, Pension Funding Series 1997A, Rev., NATL - RE, 7.43%, 2/15/2029 | 35,000 | 37,591 |
New Jersey Turnpike Authority Series F, Rev., 7.41%, 1/1/2040 | 250,000 | 313,943 |
Total New Jersey | 351,534 | |
New York — 0.0% ^ | ||
Port Authority of New York and New Jersey, Consolidated | ||
Series 174, Rev., 4.46%, 10/1/2062 | 100,000 | 91,306 |
Series 192, Rev., 4.81%, 10/15/2065 | 120,000 | 116,538 |
Total New York | 207,844 | |
Ohio — 0.0% ^ | ||
American Municipal Power, Inc., Combined Hydroelectric Projects Series 2010B, Rev., 7.83%, 2/15/2041 | 25,000 | 31,424 |
Texas — 0.0% ^ | ||
Dallas Area Rapid Transit, Sales Tax, Senior Lien Series 2021-A, Rev., 2.61%, 12/1/2048 | 100,000 | 68,654 |
Grand Parkway Transportation Corp., System Toll Series 2020B, Rev., 3.24%, 10/1/2052 | 100,000 | 75,149 |
Permanent University Fund - Texas A&M University System Series B, Rev., 3.66%, 7/1/2047 | 20,000 | 17,055 |
State of Texas, Transportation Commission Highway Improvement Series 2010A, GO, 4.68%, 4/1/2040 | 45,000 | 44,368 |
State of Texas, Transportation Commission Mobility Fund Series 2009A, GO, 5.52%, 4/1/2039 | 120,000 | 128,261 |
Texas Private Activity Bond Surface Transportation Corp., North Tarrant Express Managed Lanes Project, Mobility Partners LLC Series 2019B, Rev., 3.92%, 12/31/2049 | 100,000 | 78,851 |
Total Texas | 412,338 | |
Total Municipal Bonds (Cost $6,253,192) | 4,979,767 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 0.3% | ||
American Airlines Pass-Through Trust Series 2019-1, Class AA, 3.15%, 2/15/2032 | 175,830 | 152,473 |
American Express Credit Account Master Trust | ||
Series 2022-2, Class A, 3.39%, 5/15/2027 | 800,000 | 771,407 |
Series 2022-3, Class A, 3.75%, 8/15/2027 | 200,000 | 193,889 |
Capital One Multi-Asset Execution Trust Series 2019-A3, Class A3, 2.06%, 8/15/2028 | 400,000 | 363,522 |
CarMax Auto Owner Trust Series 2022-1, Class A4, 1.70%, 8/16/2027 | 365,000 | 335,401 |
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7, 3.96%, 10/13/2030 | 100,000 | 96,351 |
Evergy Metro, Inc., 4.20%, 3/15/2048 | 209,000 | 173,127 |
Ford Credit Floorplan Master Owner Trust | ||
Series 2020-2, Class A, 1.06%, 9/15/2027 | 600,000 | 540,650 |
Series 2018-4, Class A, 4.06%, 11/15/2030 | 600,000 | 567,844 |
Synchrony Credit Card Master Note Trust Series 2018-2, Class A, 3.47%, 5/15/2026 | 50,000 | 49,828 |
Toyota Auto Receivables Owner Trust Series 2022-B, Class A3, 2.93%, 9/15/2026 | 600,000 | 578,394 |
World Omni Select Auto Trust Series 2019-A, Class D, 2.59%, 12/15/2025 | 182,000 | 178,362 |
Total Asset-Backed Securities (Cost $4,134,969) | 4,001,248 | |
SHARES | ||
Short-Term Investments — 8.2% | ||
Investment Companies — 7.0% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (k) (l) (Cost $91,260,954) | 91,260,954 | 91,260,954 |
Investment of Cash Collateral from Securities Loaned — 1.2% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (k) (l) | 12,989,448 | 12,994,643 |
64 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — continued | ||
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (k) (l) | 2,787,225 | 2,787,225 |
Total Investment of Cash Collateral from Securities Loaned (Cost $15,781,868) | 15,781,868 | |
Total Short-Term Investments (Cost $107,042,822) | 107,042,822 | |
Total Investments — 107.2% (Cost $1,531,378,708) | 1,406,532,120 | |
Liabilities in Excess of Other Assets — (7.2)% | (94,431,143) | |
NET ASSETS — 100.0% | 1,312,100,977 |
Percentages indicated are based on net assets. |
Abbreviations | |
ACES | Alternative Credit Enhancement Securities |
AGM | Insured by Assured Guaranty Municipal Corp. |
CME | Chicago Mercantile Exchange |
COP | Certificate of Participation |
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 |
Rev. | Revenue |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
TBA | To Be Announced; Security is subject to delayed delivery. |
UMBS | Uniform Mortgage-Backed Securities |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. |
(a) | All or a portion of the security is a when-issued security, delayed delivery security, or forward commitment. | |
(b) | 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 28, 2023. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(d) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $601,964 or 0.05% of the Fund’s net assets as of February 28, 2023 . | |
(e) | The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $15,321,337. | |
(f) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown is the current rate as of February 28, 2023. | |
(h) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(i) | The rate shown is the effective yield as of February 28, 2023. | |
(j) | The date shown represents the earliest of the prerefunded date, next put date or final maturity date. | |
(k) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(l) | The rate shown is the current yield as of February 28, 2023. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 65 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 98.0% | ||
Aerospace & Defense — 3.3% | ||
Bombardier, Inc. (Canada) | ||
7.13%, 6/15/2026 (a) | 783,000 | 768,855 |
7.88%, 4/15/2027 (a) | 936,000 | 930,206 |
7.50%, 2/1/2029 (a) | 242,000 | 237,170 |
Howmet Aerospace, Inc. | ||
6.88%, 5/1/2025 | 344,000 | 350,020 |
5.90%, 2/1/2027 | 509,000 | 506,744 |
5.95%, 2/1/2037 | 335,000 | 328,273 |
Maxar Technologies, Inc. 7.75%, 6/15/2027 (a) | 261,000 | 272,920 |
Moog, Inc. 4.25%, 12/15/2027 (a) | 191,000 | 174,767 |
Rolls-Royce plc (United Kingdom) 5.75%, 10/15/2027 (a) | 600,000 | 579,192 |
Spirit AeroSystems, Inc. | ||
7.50%, 4/15/2025 (a) | 593,000 | 592,466 |
9.38%, 11/30/2029 (a) | 478,000 | 504,888 |
TransDigm, Inc. | ||
6.25%, 3/15/2026 (a) | 1,702,000 | 1,679,441 |
6.38%, 6/15/2026 | 112,000 | 108,621 |
5.50%, 11/15/2027 | 1,432,000 | 1,318,571 |
4.88%, 5/1/2029 | 136,000 | 116,630 |
Triumph Group, Inc. | ||
8.88%, 6/1/2024 (a) | 293,000 | 304,817 |
6.25%, 9/15/2024 (a) | 83,000 | 82,896 |
7.75%, 8/15/2025 | 497,000 | 475,878 |
Wesco Aircraft Holdings, Inc. | ||
8.50%, 11/15/2024 (a) | 1,563,000 | 703,350 |
9.00%, 11/15/2026 (a) | 1,764,000 | 1,189,324 |
11,225,029 | ||
Air Freight & Logistics — 0.0% ^ | ||
Rand Parent LLC 8.50%, 2/15/2030 (a) | 25,000 | 24,003 |
Airlines — 1.6% | ||
Air Canada (Canada) 3.88%, 8/15/2026 (a) | 456,000 | 410,779 |
Allegiant Travel Co. 7.25%, 8/15/2027 (a) | 536,000 | 526,620 |
American Airlines Group, Inc. 3.75%, 3/1/2025 (a) | 506,000 | 461,919 |
American Airlines, Inc. | ||
5.50%, 4/20/2026 (a) | 572,009 | 556,707 |
5.75%, 4/20/2029 (a) | 1,381,009 | 1,313,499 |
Delta Air Lines, Inc. | ||
7.38%, 1/15/2026 | 85,000 | 87,465 |
4.38%, 4/19/2028 | 200,000 | 182,520 |
3.75%, 10/28/2029 | 308,000 | 264,175 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Airlines — continued | ||
Hawaiian Brand Intellectual Property Ltd. 5.75%, 1/20/2026 (a) | 191,111 | 177,717 |
Spirit Loyalty Cayman Ltd. 8.00%, 9/20/2025 (a) | 267,000 | 268,001 |
United Airlines Holdings, Inc. 4.88%, 1/15/2025 | 200,000 | 194,340 |
United Airlines, Inc. | ||
4.38%, 4/15/2026 (a) | 110,000 | 103,530 |
4.63%, 4/15/2029 (a) | 1,113,000 | 986,714 |
5,533,986 | ||
Auto Components — 2.3% | ||
Adient Global Holdings Ltd. 4.88%, 8/15/2026 (a) | 350,000 | 323,911 |
Allison Transmission, Inc. 5.88%, 6/1/2029 (a) | 493,000 | 467,117 |
American Axle & Manufacturing, Inc. | ||
6.50%, 4/1/2027 | 664,000 | 613,748 |
5.00%, 10/1/2029 | 170,000 | 137,157 |
Clarios Global LP | ||
6.25%, 5/15/2026 (a) | 319,000 | 313,099 |
8.50%, 5/15/2027 (a) | 797,000 | 792,446 |
Cooper-Standard Automotive, Inc. | ||
4.50% (PIK), 3/31/2027 (a) (b) | 249,050 | 256,739 |
10.63% (PIK), 5/15/2027 (a) (b) | 189,000 | 113,438 |
Dana, Inc. | ||
5.38%, 11/15/2027 | 268,000 | 247,289 |
5.63%, 6/15/2028 | 70,000 | 63,350 |
Dealer Tire LLC 8.00%, 2/1/2028 (a) | 74,000 | 67,189 |
Dornoch Debt Merger Sub, Inc. 6.63%, 10/15/2029 (a) | 290,000 | 218,950 |
Goodyear Tire & Rubber Co. (The) | ||
5.00%, 5/31/2026 | 235,000 | 226,188 |
4.88%, 3/15/2027 | 825,000 | 765,352 |
5.25%, 4/30/2031 | 384,000 | 329,280 |
5.25%, 7/15/2031 | 38,000 | 32,348 |
5.63%, 4/30/2033 | 66,000 | 56,014 |
Icahn Enterprises LP | ||
6.25%, 5/15/2026 | 872,000 | 845,840 |
5.25%, 5/15/2027 | 827,000 | 765,014 |
4.38%, 2/1/2029 | 195,000 | 168,422 |
IHO Verwaltungs GmbH (Germany) 6.38% (Cash), 5/15/2029 (a) (b) | 393,000 | 357,139 |
ZF North America Capital, Inc. (Germany) 4.75%, 4/29/2025 (a) | 500,000 | 477,630 |
7,637,660 |
66 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Automobiles — 1.0% | ||
Ford Motor Co. | ||
6.63%, 10/1/2028 | 83,000 | 83,597 |
3.25%, 2/12/2032 | 1,296,000 | 982,507 |
6.10%, 8/19/2032 | 846,000 | 787,433 |
5.29%, 12/8/2046 | 1,060,000 | 829,450 |
Jaguar Land Rover Automotive plc (United Kingdom) 5.50%, 7/15/2029 (a) | 295,000 | 235,774 |
Mclaren Finance plc (United Kingdom) 7.50%, 8/1/2026 (a) | 248,000 | 192,236 |
PM General Purchaser LLC 9.50%, 10/1/2028 (a) | 289,000 | 263,955 |
Thor Industries, Inc. 4.00%, 10/15/2029 (a) | 36,000 | 29,004 |
3,403,956 | ||
Banks — 0.7% | ||
Intesa Sanpaolo SpA (Italy) | ||
5.02%, 6/26/2024 (a) | 200,000 | 193,184 |
5.71%, 1/15/2026 (a) | 715,000 | 684,374 |
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.60%), 4.20%, 6/1/2032 (a) (c) | 539,000 | 406,109 |
UniCredit SpA (Italy) | ||
(USD ICE Swap Rate 5 Year + 3.70%), 5.86%, 6/19/2032 (a) (c) | 946,000 | 858,550 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.75%), 5.46%, 6/30/2035 (a) (c) | 200,000 | 169,670 |
2,311,887 | ||
Beverages — 0.1% | ||
Primo Water Holdings, Inc. (Canada) 4.38%, 4/30/2029 (a) | 25,000 | 21,412 |
Triton Water Holdings, Inc. 6.25%, 4/1/2029 (a) | 301,000 | 239,912 |
261,324 | ||
Biotechnology — 0.1% | ||
Emergent BioSolutions, Inc. 3.88%, 8/15/2028 (a) | 86,000 | 52,030 |
Grifols Escrow Issuer SA (Spain) 4.75%, 10/15/2028 (a) | 340,000 | 290,700 |
342,730 | ||
Building Products — 1.3% | ||
Advanced Drainage Systems, Inc. 6.38%, 6/15/2030 (a) | 408,000 | 389,655 |
Builders FirstSource, Inc. 5.00%, 3/1/2030 (a) | 968,000 | 871,830 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Building Products — continued | ||
Camelot Return Merger Sub, Inc. 8.75%, 8/1/2028 (a) | 447,000 | 424,650 |
CP Atlas Buyer, Inc. 7.00%, 12/1/2028 (a) | 221,000 | 164,645 |
Griffon Corp. 5.75%, 3/1/2028 | 384,000 | 353,395 |
James Hardie International Finance DAC 5.00%, 1/15/2028 (a) | 300,000 | 281,814 |
JELD-WEN, Inc. 4.88%, 12/15/2027 (a) | 25,000 | 20,893 |
Masonite International Corp. 5.38%, 2/1/2028 (a) | 113,000 | 105,988 |
MIWD Holdco II LLC 5.50%, 2/1/2030 (a) | 230,000 | 186,734 |
New Enterprise Stone & Lime Co., Inc. 5.25%, 7/15/2028 (a) | 32,000 | 29,251 |
Oscar AcquisitionCo LLC 9.50%, 4/15/2030 (a) | 238,000 | 211,060 |
PGT Innovations, Inc. 4.38%, 10/1/2029 (a) | 300,000 | 251,861 |
Standard Industries, Inc. | ||
4.75%, 1/15/2028 (a) | 936,000 | 840,953 |
3.38%, 1/15/2031 (a) | 281,000 | 215,600 |
4,348,329 | ||
Capital Markets — 0.6% | ||
AG TTMT Escrow Issuer LLC 8.63%, 9/30/2027 (a) | 469,000 | 474,777 |
Aretec Escrow Issuer, Inc. 7.50%, 4/1/2029 (a) | 203,000 | 177,624 |
Coinbase Global, Inc. | ||
3.38%, 10/1/2028 (a) | 398,000 | 260,690 |
3.63%, 10/1/2031 (a) | 210,000 | 126,647 |
Compass Group Diversified Holdings LLC 5.25%, 4/15/2029 (a) | 112,000 | 97,623 |
Dresdner Funding Trust I 8.15%, 6/30/2031 (a) | 210,000 | 225,750 |
Hightower Holding LLC 6.75%, 4/15/2029 (a) | 165,000 | 139,581 |
Jane Street Group 4.50%, 11/15/2029 (a) | 136,000 | 119,366 |
LPL Holdings, Inc. | ||
4.63%, 11/15/2027 (a) | 476,000 | 442,686 |
4.00%, 3/15/2029 (a) | 71,000 | 62,466 |
2,127,210 | ||
Chemicals — 2.9% | ||
Ashland LLC 3.38%, 9/1/2031 (a) | 230,000 | 183,177 |
ASP Unifrax Holdings, Inc. 7.50%, 9/30/2029 (a) | 149,000 | 101,327 |
Avient Corp. | ||
5.75%, 5/15/2025 (a) | 212,000 | 207,789 |
7.13%, 8/1/2030 (a) | 446,000 | 447,115 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 67 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Chemicals — continued | ||
Axalta Coating Systems LLC 4.75%, 6/15/2027 (a) | 525,000 | 484,254 |
Cerdia Finanz GmbH (Germany) 10.50%, 2/15/2027 (a) | 248,000 | 220,389 |
Chemours Co. (The) 5.75%, 11/15/2028 (a) | 767,000 | 673,643 |
Element Solutions, Inc. 3.88%, 9/1/2028 (a) | 442,000 | 381,225 |
FXI Holdings, Inc. 12.25%, 11/15/2026 (a) | 301,000 | 263,572 |
GPD Cos., Inc. 10.13%, 4/1/2026 (a) | 355,000 | 318,726 |
INEOS Quattro Finance 2 plc (United Kingdom) 3.38%, 1/15/2026 (a) | 300,000 | 263,847 |
Iris Holding, Inc. 10.00%, 12/15/2028 (a) | 25,000 | 18,938 |
Koppers, Inc. 6.00%, 2/15/2025 (a) | 149,000 | 144,049 |
LSB Industries, Inc. 6.25%, 10/15/2028 (a) | 408,000 | 371,406 |
Mativ Holdings, Inc. 6.88%, 10/1/2026 (a) | 241,000 | 222,089 |
Methanex Corp. (Canada) 5.25%, 12/15/2029 | 268,000 | 245,555 |
NOVA Chemicals Corp. (Canada) | ||
4.88%, 6/1/2024 (a) | 428,000 | 419,465 |
4.25%, 5/15/2029 (a) | 486,000 | 402,384 |
Nufarm Australia Ltd. (Australia) 5.00%, 1/27/2030 (a) | 134,000 | 116,983 |
Olin Corp. | ||
5.13%, 9/15/2027 | 222,000 | 211,015 |
5.63%, 8/1/2029 | 130,000 | 123,850 |
Olympus Water US Holding Corp. 4.25%, 10/1/2028 (a) | 450,000 | 375,599 |
Rain CII Carbon LLC 7.25%, 4/1/2025 (a) | 348,000 | 331,252 |
Rayonier AM Products, Inc. 7.63%, 1/15/2026 (a) | 512,000 | 481,700 |
SCIH Salt Holdings, Inc. | ||
4.88%, 5/1/2028 (a) | 379,000 | 327,710 |
6.63%, 5/1/2029 (a) | 272,000 | 220,851 |
SCIL IV LLC 5.38%, 11/1/2026 (a) | 381,000 | 342,420 |
Scotts Miracle-Gro Co. (The) | ||
4.50%, 10/15/2029 | 85,000 | 73,653 |
4.38%, 2/1/2032 | 100,000 | 81,642 |
SK Invictus Intermediate II Sarl (Luxembourg) 5.00%, 10/30/2029 (a) | 244,000 | 194,117 |
SPCM SA (France) 3.13%, 3/15/2027 (a) | 330,000 | 284,495 |
Trinseo Materials Operating SCA | ||
5.38%, 9/1/2025 (a) | 131,000 | 114,523 |
5.13%, 4/1/2029 (a) | 59,000 | 39,290 |
Tronox, Inc. 4.63%, 3/15/2029 (a) | 483,000 | 393,645 |
Venator Finance SARL | ||
9.50%, 7/1/2025 (a) | 134,000 | 102,056 |
5.75%, 7/15/2025 (a) | 218,000 | 32,155 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Chemicals — continued | ||
Vibrantz Technologies, Inc. 9.00%, 2/15/2030 (a) | 286,000 | 221,564 |
WR Grace Holdings LLC 5.63%, 8/15/2029 (a) | 339,000 | 271,811 |
9,709,281 | ||
Commercial Services & Supplies — 3.1% | ||
ADT Security Corp. (The) | ||
4.13%, 8/1/2029 (a) | 200,000 | 172,096 |
4.88%, 7/15/2032 (a) | 254,000 | 217,832 |
Allied Universal Holdco LLC | ||
6.63%, 7/15/2026 (a) | 1,123,000 | 1,066,580 |
9.75%, 7/15/2027 (a) | 386,000 | 354,170 |
6.00%, 6/1/2029 (a) | 209,000 | 155,700 |
APi Group DE, Inc. 4.13%, 7/15/2029 (a) | 63,000 | 54,177 |
APX Group, Inc. 5.75%, 7/15/2029 (a) | 128,000 | 107,241 |
Aramark Services, Inc. | ||
6.38%, 5/1/2025 (a) | 407,000 | 404,350 |
5.00%, 2/1/2028 (a) | 285,000 | 262,400 |
Brink's Co. (The) 4.63%, 10/15/2027 (a) | 393,000 | 357,320 |
Clean Harbors, Inc. | ||
4.88%, 7/15/2027 (a) | 25,000 | 23,611 |
6.38%, 2/1/2031 (a) | 504,000 | 500,414 |
CoreCivic, Inc. 8.25%, 4/15/2026 | 568,000 | 575,026 |
Covanta Holding Corp. 4.88%, 12/1/2029 (a) | 254,000 | 214,543 |
Garda World Security Corp. (Canada) | ||
4.63%, 2/15/2027 (a) | 219,000 | 193,961 |
9.50%, 11/1/2027 (a) | 518,000 | 497,657 |
GEO Group, Inc. (The) 10.50%, 6/30/2028 | 290,000 | 295,075 |
GFL Environmental, Inc. (Canada) | ||
5.13%, 12/15/2026 (a) | 716,000 | 685,484 |
4.75%, 6/15/2029 (a) | 447,000 | 397,517 |
Interface, Inc. 5.50%, 12/1/2028 (a) | 142,000 | 116,440 |
KAR Auction Services, Inc. 5.13%, 6/1/2025 (a) | 86,000 | 83,825 |
Madison IAQ LLC | ||
4.13%, 6/30/2028 (a) | 168,000 | 143,321 |
5.88%, 6/30/2029 (a) | 148,000 | 117,827 |
Neptune Bidco US, Inc. 9.29%, 4/15/2029 (a) | 651,000 | 615,455 |
Pitney Bowes, Inc. | ||
6.88%, 3/15/2027 (a) | 196,000 | 163,660 |
7.25%, 3/15/2029 (a) | 121,000 | 94,078 |
Prime Security Services Borrower LLC | ||
5.75%, 4/15/2026 (a) | 925,000 | 893,781 |
6.25%, 1/15/2028 (a) | 525,000 | 486,990 |
Steelcase, Inc. 5.13%, 1/18/2029 | 25,000 | 21,105 |
68 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Commercial Services & Supplies — continued | ||
Stericycle, Inc. 3.88%, 1/15/2029 (a) | 523,000 | 448,345 |
Vericast Corp. 11.00%, 9/15/2026 (a) | 139,000 | 149,078 |
Waste Pro USA, Inc. 5.50%, 2/15/2026 (a) | 331,000 | 302,627 |
West Technology Group LLC 8.50%, 10/15/2025 (a) | 315,000 | 276,412 |
10,448,098 | ||
Communications Equipment — 0.6% | ||
CommScope, Inc. | ||
6.00%, 3/1/2026 (a) | 896,000 | 863,352 |
8.25%, 3/1/2027 (a) | 886,000 | 753,100 |
Viasat, Inc. | ||
5.63%, 4/15/2027 (a) | 66,000 | 60,219 |
6.50%, 7/15/2028 (a) | 76,000 | 56,195 |
Viavi Solutions, Inc. 3.75%, 10/1/2029 (a) | 136,000 | 113,519 |
1,846,385 | ||
Construction & Engineering — 0.9% | ||
AECOM 5.13%, 3/15/2027 | 521,000 | 498,246 |
Artera Services LLC 9.03%, 12/4/2025 (a) | 422,000 | 362,920 |
Brand Industrial Services, Inc. 8.50%, 7/15/2025 (a) | 134,000 | 112,122 |
Brundage-Bone Concrete Pumping Holdings, Inc. 6.00%, 2/1/2026 (a) | 640,000 | 594,980 |
Dycom Industries, Inc. 4.50%, 4/15/2029 (a) | 230,000 | 201,601 |
Global Infrastructure Solutions, Inc. 5.63%, 6/1/2029 (a) | 329,000 | 274,555 |
Pike Corp. 5.50%, 9/1/2028 (a) | 377,000 | 327,164 |
Promontoria Holding 264 BV (Netherlands) 7.88%, 3/1/2027 (a) | 236,000 | 226,864 |
Tutor Perini Corp. 6.88%, 5/1/2025 (a) | 281,000 | 234,869 |
Weekley Homes LLC 4.88%, 9/15/2028 (a) | 46,000 | 39,067 |
2,872,388 | ||
Consumer Finance — 4.3% | ||
Ally Financial, Inc. 5.75%, 11/20/2025 | 554,000 | 542,301 |
Cobra AcquisitionCo LLC 6.38%, 11/1/2029 (a) | 159,000 | 101,206 |
Credit Acceptance Corp. 6.63%, 3/15/2026 | 329,000 | 308,046 |
Curo Group Holdings Corp. 7.50%, 8/1/2028 (a) | 365,000 | 148,638 |
Enova International, Inc. | ||
8.50%, 9/1/2024 (a) | 41,000 | 40,507 |
8.50%, 9/15/2025 (a) | 133,000 | 127,652 |
FirstCash, Inc. 5.63%, 1/1/2030 (a) | 290,000 | 256,516 |
Ford Motor Credit Co. LLC | ||
5.58%, 3/18/2024 | 762,000 | 756,666 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Consumer Finance — continued | ||
3.66%, 9/8/2024 | 830,000 | 795,970 |
4.06%, 11/1/2024 | 1,062,000 | 1,021,060 |
2.30%, 2/10/2025 | 842,000 | 773,771 |
5.13%, 6/16/2025 | 1,135,000 | 1,095,706 |
4.13%, 8/17/2027 | 1,012,000 | 901,650 |
5.11%, 5/3/2029 | 400,000 | 365,640 |
7.35%, 3/6/2030 | 617,000 | 624,811 |
3.63%, 6/17/2031 | 1,018,000 | 806,489 |
Global Aircraft Leasing Co. Ltd. (Cayman Islands) 7.25% (PIK), 9/15/2024 (a) (b) | 846,557 | 736,825 |
goeasy Ltd. (Canada) 5.38%, 12/1/2024 (a) | 164,000 | 156,204 |
LFS Topco LLC 5.88%, 10/15/2026 (a) | 184,000 | 158,460 |
Navient Corp. | ||
5.88%, 10/25/2024 | 850,000 | 826,251 |
5.00%, 3/15/2027 | 488,000 | 433,832 |
5.63%, 8/1/2033 | 171,000 | 128,330 |
OneMain Finance Corp. | ||
6.13%, 3/15/2024 | 664,000 | 654,691 |
7.13%, 3/15/2026 | 1,193,000 | 1,159,727 |
3.88%, 9/15/2028 | 594,000 | 472,230 |
PROG Holdings, Inc. 6.00%, 11/15/2029 (a) | 238,000 | 202,222 |
Synchrony Financial 7.25%, 2/2/2033 | 312,000 | 300,336 |
VistaJet Malta Finance plc (Switzerland) | ||
7.88%, 5/1/2027 (a) | 602,000 | 574,139 |
6.38%, 2/1/2030 (a) | 25,000 | 21,882 |
World Acceptance Corp. 7.00%, 11/1/2026 (a) | 128,000 | 99,360 |
14,591,118 | ||
Containers & Packaging — 2.5% | ||
ARD Finance SA (Luxembourg) 6.50% (Cash), 6/30/2027 (a) (b) | 250,000 | 204,420 |
Ardagh Metal Packaging Finance USA LLC | ||
3.25%, 9/1/2028 (a) | 350,000 | 293,709 |
4.00%, 9/1/2029 (a) | 350,000 | 280,437 |
Ardagh Packaging Finance plc | ||
4.13%, 8/15/2026 (a) | 800,000 | 728,000 |
5.25%, 8/15/2027 (a) | 500,000 | 410,625 |
Ball Corp. | ||
4.88%, 3/15/2026 | 809,000 | 781,696 |
3.13%, 9/15/2031 | 757,000 | 606,236 |
Berry Global, Inc. 5.63%, 7/15/2027 (a) | 68,000 | 65,450 |
Clydesdale Acquisition Holdings, Inc. 8.75%, 4/15/2030 (a) | 192,000 | 173,449 |
Crown Americas LLC | ||
4.75%, 2/1/2026 | 390,000 | 372,450 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 69 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Containers & Packaging — continued | ||
5.25%, 4/1/2030 | 364,000 | 338,655 |
Graphic Packaging International LLC | ||
4.75%, 7/15/2027 (a) | 362,000 | 339,089 |
3.50%, 3/15/2028 (a) | 418,000 | 365,717 |
LABL, Inc. | ||
6.75%, 7/15/2026 (a) | 480,000 | 456,550 |
10.50%, 7/15/2027 (a) | 400,000 | 373,908 |
Mauser Packaging Solutions Holding Co. | ||
7.88%, 8/15/2026 (a) | 102,000 | 102,637 |
9.25%, 4/15/2027 (a) | 525,000 | 493,500 |
Owens-Brockway Glass Container, Inc. 6.63%, 5/13/2027 (a) | 619,000 | 601,977 |
Pactiv Evergreen Group Issuer, Inc. 4.00%, 10/15/2027 (a) | 53,000 | 46,235 |
Sealed Air Corp. | ||
5.50%, 9/15/2025 (a) | 196,000 | 192,852 |
6.88%, 7/15/2033 (a) | 401,000 | 408,138 |
Silgan Holdings, Inc. 4.13%, 2/1/2028 | 205,000 | 187,575 |
Trivium Packaging Finance BV (Netherlands) 5.50%, 8/15/2026 (a) (d) | 600,000 | 567,000 |
8,390,305 | ||
Distributors — 0.2% | ||
American Builders & Contractors Supply Co., Inc. 4.00%, 1/15/2028 (a) | 448,000 | 400,960 |
BCPE Empire Holdings, Inc. 7.63%, 5/1/2027 (a) | 223,000 | 204,115 |
Resideo Funding, Inc. 4.00%, 9/1/2029 (a) | 120,000 | 98,329 |
703,404 | ||
Diversified Consumer Services — 0.4% | ||
Carriage Services, Inc. 4.25%, 5/15/2029 (a) | 89,000 | 71,551 |
Metis Merger Sub LLC 6.50%, 5/15/2029 (a) | 304,000 | 246,240 |
Service Corp. International | ||
5.13%, 6/1/2029 | 551,000 | 515,874 |
3.38%, 8/15/2030 | 119,000 | 96,687 |
StoneMor, Inc. 8.50%, 5/15/2029 (a) | 199,000 | 143,875 |
WW International, Inc. 4.50%, 4/15/2029 (a) | 213,000 | 108,630 |
1,182,857 | ||
Diversified Financial Services — 0.6% | ||
CPI CG, Inc. 8.63%, 3/15/2026 (a) | 277,000 | 272,693 |
Midcap Financial Issuer Trust 5.63%, 1/15/2030 (a) | 436,000 | 342,604 |
MPH Acquisition Holdings LLC | ||
5.50%, 9/1/2028 (a) | 394,000 | 298,514 |
5.75%, 11/1/2028 (a) | 197,000 | 128,034 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Financial Services — continued | ||
Paysafe Finance plc 4.00%, 6/15/2029 (a) | 215,000 | 171,085 |
Sabre GLBL, Inc. | ||
9.25%, 4/15/2025 (a) | 418,000 | 411,455 |
7.38%, 9/1/2025 (a) | 30,000 | 28,081 |
11.25%, 12/15/2027 (a) | 212,000 | 211,866 |
Verscend Escrow Corp. 9.75%, 8/15/2026 (a) | 283,000 | 284,061 |
2,148,393 | ||
Diversified Telecommunication Services — 5.8% | ||
Altice France Holding SA (Luxembourg) 10.50%, 5/15/2027 (a) | 750,000 | 619,447 |
Altice France SA (France) | ||
5.50%, 1/15/2028 (a) | 241,000 | 198,504 |
5.50%, 10/15/2029 (a) | 1,341,000 | 1,048,989 |
CCO Holdings LLC | ||
5.50%, 5/1/2026 (a) | 603,000 | 581,895 |
5.13%, 5/1/2027 (a) | 846,000 | 782,778 |
5.38%, 6/1/2029 (a) | 953,000 | 850,028 |
4.75%, 3/1/2030 (a) | 1,635,000 | 1,374,985 |
4.25%, 2/1/2031 (a) | 30,000 | 24,081 |
4.75%, 2/1/2032 (a) | 1,047,000 | 848,070 |
4.50%, 6/1/2033 (a) | 1,367,000 | 1,063,529 |
4.25%, 1/15/2034 (a) | 419,000 | 313,644 |
Consolidated Communications, Inc. 6.50%, 10/1/2028 (a) | 300,000 | 219,000 |
Embarq Corp. 8.00%, 6/1/2036 | 387,000 | 166,567 |
Frontier Communications Holdings LLC | ||
5.88%, 10/15/2027 (a) | 724,000 | 672,668 |
5.00%, 5/1/2028 (a) | 377,000 | 330,817 |
6.75%, 5/1/2029 (a) | 774,000 | 650,311 |
8.75%, 5/15/2030 (a) | 250,000 | 252,813 |
Iliad Holding SASU (France) 6.50%, 10/15/2026 (a) | 750,000 | 701,010 |
Intelsat Jackson Holdings SA (Luxembourg) 6.50%, 3/15/2030 (a) | 1,018,000 | 885,653 |
Level 3 Financing, Inc. | ||
4.63%, 9/15/2027 (a) | 972,000 | 726,570 |
4.25%, 7/1/2028 (a) | 479,000 | 326,918 |
3.63%, 1/15/2029 (a) | 175,000 | 112,294 |
Lumen Technologies, Inc. | ||
4.00%, 2/15/2027 (a) | 1,111,000 | 853,137 |
4.50%, 1/15/2029 (a) | 25,000 | 13,213 |
5.38%, 6/15/2029 (a) | 350,000 | 189,875 |
Series P, 7.60%, 9/15/2039 | 231,000 | 114,504 |
Qwest Corp. 7.25%, 9/15/2025 | 132,000 | 130,251 |
70 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Diversified Telecommunication Services — continued | ||
Sprint Capital Corp. | ||
6.88%, 11/15/2028 | 1,418,000 | 1,486,773 |
8.75%, 3/15/2032 | 493,000 | 586,912 |
Telecom Italia Capital SA (Italy) | ||
6.38%, 11/15/2033 | 736,000 | 641,424 |
6.00%, 9/30/2034 | 384,000 | 320,832 |
7.72%, 6/4/2038 | 267,000 | 242,970 |
Telesat Canada (Canada) 5.63%, 12/6/2026 (a) | 450,000 | 235,125 |
Virgin Media Finance plc (United Kingdom) 5.00%, 7/15/2030 (a) | 748,000 | 609,620 |
Virgin Media Secured Finance plc (United Kingdom) 5.50%, 5/15/2029 (a) | 729,000 | 660,591 |
Windstream Escrow LLC 7.75%, 8/15/2028 (a) | 285,000 | 232,902 |
Zayo Group Holdings, Inc. | ||
4.00%, 3/1/2027 (a) | 283,000 | 217,096 |
6.13%, 3/1/2028 (a) | 391,000 | 246,307 |
19,532,103 | ||
Electric Utilities — 1.7% | ||
Drax Finco plc (United Kingdom) 6.63%, 11/1/2025 (a) | 201,000 | 197,483 |
Emera, Inc. (Canada) Series 16-A, (ICE LIBOR USD 3 Month + 5.44%), 6.75%, 6/15/2076 (c) | 256,000 | 245,624 |
FirstEnergy Corp. | ||
2.65%, 3/1/2030 | 771,000 | 639,359 |
Series C, 7.38%, 11/15/2031 | 208,000 | 233,272 |
Series C, 5.10%, 7/15/2047 (d) | 197,000 | 175,757 |
Series C, 3.40%, 3/1/2050 | 281,000 | 189,869 |
NextEra Energy Operating Partners LP | ||
4.25%, 7/15/2024 (a) | 126,000 | 121,748 |
3.88%, 10/15/2026 (a) | 30,000 | 27,150 |
4.50%, 9/15/2027 (a) | 699,000 | 641,333 |
NRG Energy, Inc. | ||
5.75%, 1/15/2028 | 262,000 | 246,961 |
5.25%, 6/15/2029 (a) | 468,000 | 416,520 |
3.63%, 2/15/2031 (a) | 262,000 | 203,149 |
3.88%, 2/15/2032 (a) | 122,000 | 94,616 |
PG&E Corp. 5.25%, 7/1/2030 | 759,000 | 677,407 |
Terraform Global Operating LP 6.13%, 3/1/2026 (a) | 168,000 | 161,283 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Electric Utilities — continued | ||
Vistra Operations Co. LLC | ||
5.63%, 2/15/2027 (a) | 991,000 | 939,092 |
4.38%, 5/1/2029 (a) | 412,000 | 355,924 |
5,566,547 | ||
Electrical Equipment — 0.0% ^ | ||
Sensata Technologies BV 5.00%, 10/1/2025 (a) | 25,000 | 24,321 |
Vertiv Group Corp. 4.13%, 11/15/2028 (a) | 25,000 | 21,720 |
46,041 | ||
Electronic Equipment, Instruments & Components — 0.3% | ||
Coherent Corp. 5.00%, 12/15/2029 (a) | 454,000 | 397,749 |
Sensata Technologies, Inc. 4.38%, 2/15/2030 (a) | 726,000 | 642,486 |
1,040,235 | ||
Energy Equipment & Services — 1.4% | ||
Archrock Partners LP | ||
6.88%, 4/1/2027 (a) | 472,000 | 457,901 |
6.25%, 4/1/2028 (a) | 196,000 | 186,059 |
Enerflex Ltd. (Canada) 9.00%, 10/15/2027 (a) | 54,000 | 53,295 |
Ensign Drilling, Inc. (Canada) 9.25%, 4/15/2024 (a) | 26,000 | 25,217 |
Global Marine, Inc. 7.00%, 6/1/2028 | 148,000 | 119,048 |
Nabors Industries Ltd. 7.25%, 1/15/2026 (a) | 256,000 | 243,681 |
Nabors Industries, Inc. 7.38%, 5/15/2027 (a) | 620,000 | 597,544 |
Oceaneering International, Inc. 6.00%, 2/1/2028 | 65,000 | 61,660 |
Patterson-UTI Energy, Inc. 3.95%, 2/1/2028 | 316,000 | 276,168 |
Petrofac Ltd. (United Kingdom) 9.75%, 11/15/2026 (a) | 239,000 | 154,788 |
Precision Drilling Corp. (Canada) | ||
7.13%, 1/15/2026 (a) | 221,000 | 217,431 |
6.88%, 1/15/2029 (a) | 148,000 | 133,437 |
Transocean, Inc. | ||
7.25%, 11/1/2025 (a) | 26,000 | 24,570 |
11.50%, 1/30/2027 (a) | 127,000 | 130,493 |
8.75%, 2/15/2030 (a) | 911,000 | 926,942 |
6.80%, 3/15/2038 | 417,000 | 286,646 |
USA Compression Partners LP 6.88%, 4/1/2026 | 269,000 | 257,807 |
Weatherford International Ltd. | ||
6.50%, 9/15/2028 (a) | 145,000 | 142,462 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 71 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Energy Equipment & Services — continued | ||
8.63%, 4/30/2030 (a) | 131,000 | 130,823 |
Welltec International ApS (Denmark) 8.25%, 10/15/2026 (a) | 329,000 | 330,648 |
4,756,620 | ||
Entertainment — 1.0% | ||
Allen Media LLC 10.50%, 2/15/2028 (a) | 245,000 | 105,350 |
AMC Entertainment Holdings, Inc. | ||
10.00% (Cash), 6/15/2026 (a) (b) | 318,000 | 163,872 |
7.50%, 2/15/2029 (a) | 427,000 | 255,888 |
Banijay Entertainment SASU (France) 5.38%, 3/1/2025 (a) | 250,000 | 243,223 |
Cinemark USA, Inc. | ||
8.75%, 5/1/2025 (a) | 219,000 | 223,424 |
5.25%, 7/15/2028 (a) | 395,000 | 331,899 |
Lions Gate Capital Holdings LLC 5.50%, 4/15/2029 (a) | 272,000 | 194,325 |
Live Nation Entertainment, Inc. | ||
4.88%, 11/1/2024 (a) | 340,000 | 329,800 |
6.50%, 5/15/2027 (a) | 676,000 | 664,677 |
3.75%, 1/15/2028 (a) | 48,000 | 41,736 |
ROBLOX Corp. 3.88%, 5/1/2030 (a) | 258,000 | 212,104 |
WMG Acquisition Corp. | ||
3.75%, 12/1/2029 (a) | 88,000 | 74,287 |
3.88%, 7/15/2030 (a) | 607,000 | 514,857 |
3.00%, 2/15/2031 (a) | 215,000 | 168,846 |
3,524,288 | ||
Equity Real Estate Investment Trusts (REITs) — 2.7% | ||
Brookfield Property REIT, Inc. 5.75%, 5/15/2026 (a) | 538,000 | 495,240 |
Diversified Healthcare Trust | ||
4.75%, 2/15/2028 | 26,000 | 16,914 |
4.38%, 3/1/2031 | 374,000 | 259,244 |
Global Net Lease, Inc. 3.75%, 12/15/2027 (a) | 134,000 | 110,421 |
HAT Holdings I LLC | ||
3.38%, 6/15/2026 (a) | 391,000 | 339,192 |
3.75%, 9/15/2030 (a) | 191,000 | 144,182 |
Iron Mountain Information Management Services, Inc. 5.00%, 7/15/2032 (a) | 125,000 | 103,092 |
Iron Mountain, Inc. | ||
4.88%, 9/15/2027 (a) | 913,000 | 840,364 |
5.00%, 7/15/2028 (a) | 201,000 | 182,190 |
4.88%, 9/15/2029 (a) | 915,000 | 796,494 |
iStar, Inc. 4.75%, 10/1/2024 | 493,000 | 492,078 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Equity Real Estate Investment Trusts (REITs) — continued | ||
MPT Operating Partnership LP | ||
5.00%, 10/15/2027 | 90,000 | 73,844 |
4.63%, 8/1/2029 | 980,000 | 732,550 |
Office Properties Income Trust | ||
4.50%, 2/1/2025 | 44,000 | 40,481 |
2.65%, 6/15/2026 | 287,000 | 227,227 |
Park Intermediate Holdings LLC 5.88%, 10/1/2028 (a) | 715,000 | 635,966 |
RHP Hotel Properties LP | ||
4.75%, 10/15/2027 | 672,000 | 617,837 |
4.50%, 2/15/2029 (a) | 28,000 | 24,373 |
RLJ Lodging Trust LP 4.00%, 9/15/2029 (a) | 204,000 | 168,134 |
SBA Communications Corp. | ||
3.88%, 2/15/2027 | 384,000 | 347,518 |
3.13%, 2/1/2029 | 111,000 | 91,653 |
Service Properties Trust | ||
4.50%, 3/15/2025 | 149,000 | 138,840 |
7.50%, 9/15/2025 | 320,000 | 317,178 |
4.38%, 2/15/2030 | 653,000 | 498,958 |
Uniti Group LP | ||
7.88%, 2/15/2025 (a) | 825,000 | 841,027 |
10.50%, 2/15/2028 (a) | 316,000 | 316,063 |
6.50%, 2/15/2029 (a) | 602,000 | 394,313 |
9,245,373 | ||
Food & Staples Retailing — 1.2% | ||
Albertsons Cos., Inc. | ||
4.63%, 1/15/2027 (a) | 578,000 | 543,320 |
5.88%, 2/15/2028 (a) | 639,000 | 618,494 |
3.50%, 3/15/2029 (a) | 28,000 | 23,698 |
4.88%, 2/15/2030 (a) | 491,000 | 440,588 |
Performance Food Group, Inc. | ||
5.50%, 10/15/2027 (a) | 915,000 | 867,685 |
4.25%, 8/1/2029 (a) | 89,000 | 77,709 |
Rite Aid Corp. 8.00%, 11/15/2026 (a) | 377,000 | 199,810 |
Safeway, Inc. 7.25%, 2/1/2031 | 302,000 | 299,583 |
US Foods, Inc. | ||
6.25%, 4/15/2025 (a) | 433,000 | 431,417 |
4.75%, 2/15/2029 (a) | 495,000 | 446,109 |
4.63%, 6/1/2030 (a) | 164,000 | 143,245 |
4,091,658 | ||
Food Products — 1.0% | ||
B&G Foods, Inc. | ||
5.25%, 4/1/2025 | 72,000 | 65,160 |
5.25%, 9/15/2027 | 88,000 | 70,903 |
72 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Food Products — continued | ||
Chobani LLC 7.50%, 4/15/2025 (a) | 482,000 | 469,598 |
Darling Ingredients, Inc. 5.25%, 4/15/2027 (a) | 172,000 | 165,490 |
FAGE International SA (Luxembourg) 5.63%, 8/15/2026 (a) | 304,000 | 286,170 |
H-Food Holdings LLC 8.50%, 6/1/2026 (a) | 167,000 | 103,540 |
Lamb Weston Holdings, Inc. | ||
4.88%, 5/15/2028 (a) | 275,000 | 259,179 |
4.13%, 1/31/2030 (a) | 91,000 | 79,861 |
Pilgrim's Pride Corp. 3.50%, 3/1/2032 | 748,000 | 578,020 |
Post Holdings, Inc. | ||
5.75%, 3/1/2027 (a) | 30,000 | 29,214 |
5.50%, 12/15/2029 (a) | 1,089,000 | 996,570 |
4.50%, 9/15/2031 (a) | 406,000 | 341,880 |
Simmons Foods, Inc. 4.63%, 3/1/2029 (a) | 48,000 | 39,120 |
3,484,705 | ||
Gas Utilities — 0.3% | ||
AmeriGas Partners LP 5.88%, 8/20/2026 | 741,000 | 698,322 |
Ferrellgas LP 5.88%, 4/1/2029 (a) | 101,000 | 82,441 |
Suburban Propane Partners LP 5.00%, 6/1/2031 (a) | 299,000 | 248,801 |
1,029,564 | ||
Health Care Equipment & Supplies — 1.0% | ||
Avantor Funding, Inc. 4.63%, 7/15/2028 (a) | 818,000 | 752,560 |
Hologic, Inc. 3.25%, 2/15/2029 (a) | 578,000 | 498,410 |
Medline Borrower LP | ||
3.88%, 4/1/2029 (a) | 1,476,000 | 1,230,209 |
5.25%, 10/1/2029 (a) | 755,000 | 619,617 |
Teleflex, Inc. 4.25%, 6/1/2028 (a) | 303,000 | 273,485 |
3,374,281 | ||
Health Care Providers & Services — 3.4% | ||
Acadia Healthcare Co., Inc. 5.50%, 7/1/2028 (a) | 304,000 | 284,903 |
AdaptHealth LLC 6.13%, 8/1/2028 (a) | 182,000 | 167,166 |
Akumin Escrow, Inc. 7.50%, 8/1/2028 (a) | 272,000 | 190,400 |
Akumin, Inc. 7.00%, 11/1/2025 (a) | 25,000 | 19,885 |
Community Health Systems, Inc. | ||
8.00%, 3/15/2026 (a) | 672,000 | 655,200 |
5.63%, 3/15/2027 (a) | 531,000 | 466,040 |
6.00%, 1/15/2029 (a) | 384,000 | 331,636 |
6.88%, 4/15/2029 (a) | 911,000 | 637,156 |
6.13%, 4/1/2030 (a) | 117,000 | 80,122 |
4.75%, 2/15/2031 (a) | 513,000 | 396,293 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Health Care Providers & Services — continued | ||
DaVita, Inc. | ||
4.63%, 6/1/2030 (a) | 1,067,000 | 879,389 |
3.75%, 2/15/2031 (a) | 384,000 | 289,959 |
Encompass Health Corp. | ||
4.50%, 2/1/2028 | 25,000 | 22,952 |
4.75%, 2/1/2030 | 384,000 | 339,905 |
Envision Healthcare Corp. 8.75%, 10/15/2026 (a) | 149,000 | 34,894 |
Global Medical Response, Inc. 6.50%, 10/1/2025 (a) | 254,000 | 190,500 |
HealthEquity, Inc. 4.50%, 10/1/2029 (a) | 153,000 | 133,720 |
Legacy LifePoint Health LLC 4.38%, 2/15/2027 (a) | 367,000 | 309,757 |
LifePoint Health, Inc. 5.38%, 1/15/2029 (a) | 269,000 | 176,553 |
Molina Healthcare, Inc. | ||
4.38%, 6/15/2028 (a) | 728,000 | 661,242 |
3.88%, 5/15/2032 (a) | 180,000 | 147,782 |
Owens & Minor, Inc. 6.63%, 4/1/2030 (a) | 423,000 | 347,918 |
Pediatrix Medical Group, Inc. 5.38%, 2/15/2030 (a) | 191,000 | 168,497 |
Prime Healthcare Services, Inc. 7.25%, 11/1/2025 (a) | 405,000 | 366,525 |
Radiology Partners, Inc. 9.25%, 2/1/2028 (a) | 127,000 | 75,955 |
RegionalCare Hospital Partners Holdings, Inc. 9.75%, 12/1/2026 (a) | 200,000 | 170,247 |
RP Escrow Issuer LLC 5.25%, 12/15/2025 (a) | 251,000 | 196,146 |
Select Medical Corp. 6.25%, 8/15/2026 (a) | 303,000 | 289,365 |
Tenet Healthcare Corp. | ||
4.88%, 1/1/2026 | 335,000 | 319,050 |
6.25%, 2/1/2027 | 751,000 | 731,374 |
5.13%, 11/1/2027 | 938,000 | 881,842 |
4.63%, 6/15/2028 | 741,000 | 670,434 |
6.13%, 10/1/2028 | 463,000 | 428,275 |
6.88%, 11/15/2031 | 224,000 | 206,640 |
US Acute Care Solutions LLC 6.38%, 3/1/2026 (a) | 115,000 | 101,971 |
US Renal Care, Inc. 10.63%, 7/15/2027 (a) | 213,000 | 67,739 |
11,437,432 | ||
Health Care Technology — 0.2% | ||
IQVIA, Inc. 5.00%, 10/15/2026 (a) | 800,000 | 764,000 |
Hotels, Restaurants & Leisure — 8.3% | ||
1011778 BC ULC (Canada) | ||
3.88%, 1/15/2028 (a) | 868,000 | 772,397 |
4.38%, 1/15/2028 (a) | 538,000 | 481,012 |
4.00%, 10/15/2030 (a) | 316,000 | 260,991 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 73 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
Affinity Interactive 6.88%, 12/15/2027 (a) | 268,000 | 239,043 |
Bloomin' Brands, Inc. 5.13%, 4/15/2029 (a) | 229,000 | 203,810 |
Boyd Gaming Corp. 4.75%, 12/1/2027 | 712,000 | 667,500 |
Boyne USA, Inc. 4.75%, 5/15/2029 (a) | 318,000 | 281,450 |
Caesars Entertainment, Inc. | ||
6.25%, 7/1/2025 (a) | 627,000 | 621,786 |
8.13%, 7/1/2027 (a) | 723,000 | 730,230 |
4.63%, 10/15/2029 (a) | 494,000 | 422,518 |
Caesars Resort Collection LLC 5.75%, 7/1/2025 (a) | 375,000 | 374,374 |
Carnival Corp. | ||
7.63%, 3/1/2026 (a) | 1,088,000 | 976,726 |
5.75%, 3/1/2027 (a) | 1,074,000 | 883,515 |
9.88%, 8/1/2027 (a) | 571,000 | 581,272 |
4.00%, 8/1/2028 (a) | 468,000 | 395,666 |
10.50%, 6/1/2030 (a) | 753,000 | 729,167 |
CCM Merger, Inc. 6.38%, 5/1/2026 (a) | 162,000 | 155,461 |
CDI Escrow Issuer, Inc. 5.75%, 4/1/2030 (a) | 431,000 | 400,291 |
Cedar Fair LP 5.50%, 5/1/2025 (a) | 262,000 | 258,801 |
Churchill Downs, Inc. 5.50%, 4/1/2027 (a) | 289,000 | 274,079 |
Everi Holdings, Inc. 5.00%, 7/15/2029 (a) | 207,000 | 182,059 |
Fertitta Entertainment LLC | ||
4.63%, 1/15/2029 (a) | 418,000 | 361,528 |
6.75%, 1/15/2030 (a) | 443,000 | 367,145 |
Hilton Domestic Operating Co., Inc. | ||
5.75%, 5/1/2028 (a) | 250,000 | 242,451 |
4.88%, 1/15/2030 | 996,000 | 913,830 |
4.00%, 5/1/2031 (a) | 40,000 | 34,037 |
3.63%, 2/15/2032 (a) | 25,000 | 20,525 |
Hilton Grand Vacations Borrower Escrow LLC | ||
5.00%, 6/1/2029 (a) | 462,000 | 405,471 |
4.88%, 7/1/2031 (a) | 244,000 | 205,131 |
Hilton Worldwide Finance LLC 4.88%, 4/1/2027 | 777,000 | 740,932 |
International Game Technology plc 6.50%, 2/15/2025 (a) | 431,000 | 432,077 |
IRB Holding Corp. 7.00%, 6/15/2025 (a) | 377,000 | 375,994 |
Jacobs Entertainment, Inc. 6.75%, 2/15/2029 (a) | 186,000 | 169,303 |
KFC Holding Co. 4.75%, 6/1/2027 (a) | 568,000 | 539,600 |
Las Vegas Sands Corp. | ||
3.20%, 8/8/2024 | 215,000 | 206,910 |
2.90%, 6/25/2025 | 46,000 | 42,636 |
3.50%, 8/18/2026 | 46,000 | 42,086 |
3.90%, 8/8/2029 | 648,000 | 565,007 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Hotels, Restaurants & Leisure — continued | ||
Life Time, Inc. | ||
5.75%, 1/15/2026 (a) | 283,000 | 271,128 |
8.00%, 4/15/2026 (a) | 174,000 | 167,661 |
MajorDrive Holdings IV LLC 6.38%, 6/1/2029 (a) | 233,000 | 180,080 |
Marriott Ownership Resorts, Inc. 4.75%, 1/15/2028 | 316,000 | 279,180 |
MGM Resorts International | ||
4.63%, 9/1/2026 | 748,000 | 696,809 |
4.75%, 10/15/2028 | 200,000 | 179,283 |
Mohegan Tribal Gaming Authority 8.00%, 2/1/2026 (a) | 495,000 | 463,701 |
NCL Corp. Ltd. | ||
3.63%, 12/15/2024 (a) | 182,000 | 170,916 |
5.88%, 3/15/2026 (a) | 762,000 | 659,130 |
5.88%, 2/15/2027 (a) | 364,000 | 337,610 |
Penn Entertainment, Inc. 4.13%, 7/1/2029 (a) | 25,000 | 20,289 |
Premier Entertainment Sub LLC | ||
5.63%, 9/1/2029 (a) | 391,000 | 287,385 |
5.88%, 9/1/2031 (a) | 133,000 | 95,836 |
Resorts World Las Vegas LLC 4.63%, 4/16/2029 (a) | 300,000 | 234,600 |
Royal Caribbean Cruises Ltd. | ||
11.50%, 6/1/2025 (a) | 1,015,000 | 1,081,097 |
5.50%, 8/31/2026 (a) | 682,000 | 626,635 |
11.63%, 8/15/2027 (a) | 327,000 | 348,268 |
7.50%, 10/15/2027 | 583,000 | 547,787 |
3.70%, 3/15/2028 | 110,000 | 87,832 |
Scientific Games Holdings LP 6.63%, 3/1/2030 (a) | 276,000 | 242,723 |
Scientific Games International, Inc. | ||
8.63%, 7/1/2025 (a) | 292,000 | 298,507 |
7.25%, 11/15/2029 (a) | 258,000 | 253,485 |
Six Flags Entertainment Corp. 5.50%, 4/15/2027 (a) | 125,000 | 118,045 |
Six Flags Theme Parks, Inc. 7.00%, 7/1/2025 (a) | 256,000 | 258,714 |
Station Casinos LLC | ||
4.50%, 2/15/2028 (a) | 454,000 | 400,973 |
4.63%, 12/1/2031 (a) | 127,000 | 103,471 |
Sugarhouse HSP Gaming Prop Mezz LP 5.88%, 5/15/2025 (a) | 73,000 | 68,830 |
TKC Holdings, Inc. 10.50%, 5/15/2029 (a) | 168,000 | 102,900 |
Travel + Leisure Co. | ||
6.63%, 7/31/2026 (a) | 64,000 | 62,736 |
74 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Hotels, Restaurants & Leisure — continued | ||
6.00%, 4/1/2027 (d) | 471,000 | 452,897 |
Vail Resorts, Inc. 6.25%, 5/15/2025 (a) | 219,000 | 218,411 |
Viking Cruises Ltd. 5.88%, 9/15/2027 (a) | 385,000 | 330,153 |
VOC Escrow Ltd. 5.00%, 2/15/2028 (a) | 461,000 | 406,118 |
Wynn Las Vegas LLC | ||
5.50%, 3/1/2025 (a) | 778,000 | 754,901 |
5.25%, 5/15/2027 (a) | 40,000 | 37,252 |
Wynn Resorts Finance LLC 5.13%, 10/1/2029 (a) | 550,000 | 492,030 |
Yum! Brands, Inc. | ||
4.75%, 1/15/2030 (a) | 727,000 | 662,479 |
6.88%, 11/15/2037 | 425,000 | 441,837 |
27,998,500 | ||
Household Durables — 1.6% | ||
American Greetings Corp. 8.75%, 4/15/2025 (a) | 306,000 | 305,618 |
Beazer Homes USA, Inc. | ||
5.88%, 10/15/2027 | 258,000 | 229,130 |
7.25%, 10/15/2029 | 95,000 | 85,263 |
Brookfield Residential Properties, Inc. (Canada) | ||
6.25%, 9/15/2027 (a) | 384,000 | 334,757 |
4.88%, 2/15/2030 (a) | 120,000 | 90,259 |
CD&R Smokey Buyer, Inc. 6.75%, 7/15/2025 (a) | 348,000 | 303,630 |
Empire Communities Corp. (Canada) 7.00%, 12/15/2025 (a) | 223,000 | 199,028 |
KB Home 4.80%, 11/15/2029 | 437,000 | 381,282 |
LGI Homes, Inc. 4.00%, 7/15/2029 (a) | 192,000 | 150,351 |
M/I Homes, Inc. 4.95%, 2/1/2028 | 92,000 | 82,683 |
Mattamy Group Corp. (Canada) 5.25%, 12/15/2027 (a) | 289,000 | 258,143 |
Meritage Homes Corp. 5.13%, 6/6/2027 | 61,000 | 58,213 |
Newell Brands, Inc. | ||
4.45%, 4/1/2026 (d) | 923,000 | 872,512 |
6.38%, 9/15/2027 | 276,000 | 274,490 |
5.75%, 4/1/2046 (d) | 341,000 | 273,888 |
SWF Escrow Issuer Corp. 6.50%, 10/1/2029 (a) | 249,000 | 161,341 |
Taylor Morrison Communities, Inc. 5.88%, 6/15/2027 (a) | 506,000 | 484,687 |
Tempur Sealy International, Inc. 4.00%, 4/15/2029 (a) | 552,000 | 471,910 |
Tri Pointe Homes, Inc. 5.70%, 6/15/2028 | 340,000 | 316,055 |
5,333,240 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Household Products — 0.4% | ||
Central Garden & Pet Co. | ||
5.13%, 2/1/2028 | 216,000 | 201,150 |
4.13%, 10/15/2030 | 35,000 | 29,160 |
Energizer Holdings, Inc. | ||
4.75%, 6/15/2028 (a) | 518,000 | 452,059 |
4.38%, 3/31/2029 (a) | 128,000 | 108,514 |
Kronos Acquisition Holdings, Inc. (Canada) 7.00%, 12/31/2027 (a) | 297,000 | 254,677 |
Spectrum Brands, Inc. 5.50%, 7/15/2030 (a) | 498,000 | 440,381 |
1,485,941 | ||
Independent Power and Renewable Electricity Producers — 0.7% | ||
Calpine Corp. | ||
5.25%, 6/1/2026 (a) | 38,000 | 36,421 |
4.50%, 2/15/2028 (a) | 957,000 | 861,609 |
5.13%, 3/15/2028 (a) | 436,000 | 386,797 |
5.00%, 2/1/2031 (a) | 360,000 | 296,220 |
3.75%, 3/1/2031 (a) | 28,000 | 22,731 |
Clearway Energy Operating LLC | ||
4.75%, 3/15/2028 (a) | 107,000 | 98,194 |
3.75%, 2/15/2031 (a) | 391,000 | 318,176 |
TransAlta Corp. (Canada) 6.50%, 3/15/2040 | 286,000 | 260,260 |
2,280,408 | ||
Insurance — 1.2% | ||
Acrisure LLC 6.00%, 8/1/2029 (a) | 448,000 | 364,628 |
Alliant Holdings Intermediate LLC | ||
4.25%, 10/15/2027 (a) | 269,000 | 237,456 |
6.75%, 10/15/2027 (a) | 555,000 | 504,373 |
AmWINS Group, Inc. 4.88%, 6/30/2029 (a) | 290,000 | 246,298 |
AssuredPartners, Inc. | ||
7.00%, 8/15/2025 (a) | 25,000 | 24,486 |
5.63%, 1/15/2029 (a) | 67,000 | 56,769 |
BroadStreet Partners, Inc. 5.88%, 4/15/2029 (a) | 327,000 | 281,519 |
Enstar Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.47%), 5.75%, 9/1/2040 (c) | 136,000 | 121,217 |
Genworth Holdings, Inc. 6.50%, 6/15/2034 | 266,000 | 240,543 |
HUB International Ltd. | ||
7.00%, 5/1/2026 (a) | 555,000 | 545,587 |
5.63%, 12/1/2029 (a) | 145,000 | 124,440 |
Liberty Mutual Group, Inc. 4.30%, 2/1/2061 (a) | 290,000 | 176,150 |
NFP Corp. | ||
4.88%, 8/15/2028 (a) | 328,000 | 287,796 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 75 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
6.88%, 8/15/2028 (a) | 435,000 | 370,446 |
Ryan Specialty Group LLC 4.38%, 2/1/2030 (a) | 300,000 | 256,488 |
USI, Inc. 6.88%, 5/1/2025 (a) | 185,000 | 181,762 |
4,019,958 | ||
Interactive Media & Services — 0.3% | ||
Cars.com, Inc. 6.38%, 11/1/2028 (a) | 115,000 | 105,513 |
Rackspace Technology Global, Inc. 3.50%, 2/15/2028 (a) | 246,000 | 149,752 |
TripAdvisor, Inc. 7.00%, 7/15/2025 (a) | 483,000 | 483,648 |
Ziff Davis, Inc. 4.63%, 10/15/2030 (a) | 276,000 | 232,806 |
971,719 | ||
Internet & Direct Marketing Retail — 0.7% | ||
ANGI Group LLC 3.88%, 8/15/2028 (a) | 389,000 | 299,479 |
Go Daddy Operating Co. LLC | ||
5.25%, 12/1/2027 (a) | 217,000 | 205,360 |
3.50%, 3/1/2029 (a) | 160,000 | 134,045 |
Match Group Holdings II LLC | ||
4.63%, 6/1/2028 (a) | 303,000 | 269,142 |
3.63%, 10/1/2031 (a) | 433,000 | 338,823 |
Millennium Escrow Corp. 6.63%, 8/1/2026 (a) | 290,000 | 193,740 |
Photo Holdings Merger Sub, Inc. 8.50%, 10/1/2026 (a) | 285,000 | 145,350 |
QVC, Inc. | ||
4.75%, 2/15/2027 | 808,000 | 517,120 |
5.45%, 8/15/2034 | 46,000 | 22,919 |
Rakuten Group, Inc. (Japan) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.96%), 6.25%, 4/22/2031 (a) (c) (e) (f) | 230,000 | 143,819 |
2,269,797 | ||
IT Services — 0.9% | ||
Ahead DB Holdings LLC 6.63%, 5/1/2028 (a) | 48,000 | 40,543 |
Arches Buyer, Inc. 6.13%, 12/1/2028 (a) | 163,000 | 134,175 |
Block, Inc. | ||
2.75%, 6/1/2026 | 215,000 | 191,842 |
3.50%, 6/1/2031 | 628,000 | 507,361 |
Cablevision Lightpath LLC 3.88%, 9/15/2027 (a) | 250,000 | 203,790 |
Conduent Business Services LLC 6.00%, 11/1/2029 (a) | 257,000 | 209,512 |
Endurance International Group Holdings, Inc. 6.00%, 2/15/2029 (a) | 89,000 | 64,927 |
Exela Intermediate LLC 11.50%, 7/15/2026 (a) | 60,000 | 8,400 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
IT Services — continued | ||
Gartner, Inc. | ||
4.50%, 7/1/2028 (a) | 641,000 | 588,455 |
3.75%, 10/1/2030 (a) | 92,000 | 77,892 |
ION Trading Technologies Sarl (Luxembourg) 5.75%, 5/15/2028 (a) | 236,000 | 191,455 |
Northwest Fiber LLC | ||
4.75%, 4/30/2027 (a) | 64,000 | 56,205 |
10.75%, 6/1/2028 (a) | 25,000 | 23,229 |
Presidio Holdings, Inc. | ||
4.88%, 2/1/2027 (a) | 157,000 | 143,023 |
8.25%, 2/1/2028 (a) | 214,000 | 203,395 |
Unisys Corp. 6.88%, 11/1/2027 (a) | 301,000 | 227,015 |
Virtusa Corp. 7.13%, 12/15/2028 (a) | 177,000 | 146,996 |
3,018,215 | ||
Leisure Products — 0.3% | ||
Mattel, Inc. | ||
5.88%, 12/15/2027 (a) | 300,000 | 292,965 |
3.75%, 4/1/2029 (a) | 185,000 | 160,025 |
6.20%, 10/1/2040 | 25,000 | 22,131 |
5.45%, 11/1/2041 | 203,000 | 170,520 |
Universal Entertainment Corp. (Japan) 8.50%, 12/11/2024 (a) | 392,000 | 368,178 |
1,013,819 | ||
Life Sciences Tools & Services — 0.2% | ||
Charles River Laboratories International, Inc. 3.75%, 3/15/2029 (a) | 476,000 | 413,263 |
PRA Health Sciences, Inc. 2.88%, 7/15/2026 (a) | 375,000 | 333,205 |
746,468 | ||
Machinery — 0.8% | ||
Chart Industries, Inc. 7.50%, 1/1/2030 (a) | 241,000 | 244,615 |
EnPro Industries, Inc. 5.75%, 10/15/2026 | 174,000 | 165,735 |
Hillenbrand, Inc. 3.75%, 3/1/2031 | �� 319,000 | 260,967 |
Husky III Holding Ltd. (Canada) 13.00% (Cash), 2/15/2025 (a) (b) | 442,000 | 406,640 |
Park-Ohio Industries, Inc. 6.63%, 4/15/2027 | 225,000 | 170,980 |
Roller Bearing Co. of America, Inc. 4.38%, 10/15/2029 (a) | 174,000 | 150,397 |
SPX FLOW, Inc. 8.75%, 4/1/2030 (a) | 241,000 | 203,117 |
Stevens Holding Co., Inc. 6.13%, 10/1/2026 (a) | 174,000 | 176,509 |
Terex Corp. 5.00%, 5/15/2029 (a) | 309,000 | 283,690 |
76 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Machinery — continued | ||
Titan International, Inc. 7.00%, 4/30/2028 | 134,000 | 126,965 |
TK Elevator US Newco, Inc. (Germany) 5.25%, 7/15/2027 (a) | 498,000 | 451,154 |
2,640,769 | ||
Media — 6.9% | ||
Advantage Sales & Marketing, Inc. 6.50%, 11/15/2028 (a) | 90,000 | 68,770 |
Altice Financing SA (Luxembourg) | ||
5.00%, 1/15/2028 (a) | 529,000 | 439,007 |
5.75%, 8/15/2029 (a) | 250,000 | 204,453 |
AMC Networks, Inc. | ||
5.00%, 4/1/2024 | 42,000 | 41,948 |
4.75%, 8/1/2025 | 333,000 | 314,916 |
4.25%, 2/15/2029 | 94,000 | 69,025 |
Audacy Capital Corp. | ||
6.50%, 5/1/2027 (a) | 217,000 | 31,465 |
6.75%, 3/31/2029 (a) | 36,000 | 5,149 |
Cable One, Inc. 4.00%, 11/15/2030 (a) | 42,000 | 32,747 |
Cengage Learning, Inc. 9.50%, 6/15/2024 (a) | 374,000 | 364,650 |
Clear Channel Outdoor Holdings, Inc. | ||
5.13%, 8/15/2027 (a) | 48,000 | 42,840 |
7.50%, 6/1/2029 (a) | 650,000 | 526,500 |
CMG Media Corp. 8.88%, 12/15/2027 (a) | 139,000 | 93,544 |
CSC Holdings LLC | ||
5.25%, 6/1/2024 | 100,000 | 96,886 |
7.50%, 4/1/2028 (a) | 611,000 | 409,193 |
6.50%, 2/1/2029 (a) | 1,226,000 | 1,039,158 |
5.75%, 1/15/2030 (a) | 1,150,000 | 658,639 |
4.50%, 11/15/2031 (a) | 530,000 | 376,289 |
Diamond Sports Group LLC 5.38%, 8/15/2026 (a) (g) | 580,000 | 65,076 |
Directv Financing LLC 5.88%, 8/15/2027 (a) | 1,314,000 | 1,174,741 |
DISH DBS Corp. | ||
5.88%, 11/15/2024 | 1,192,000 | 1,116,821 |
5.25%, 12/1/2026 (a) | 699,000 | 585,412 |
5.75%, 12/1/2028 (a) | 1,311,000 | 1,047,227 |
5.13%, 6/1/2029 | 628,000 | 371,076 |
DISH Network Corp. 11.75%, 11/15/2027 (a) | 572,000 | 579,565 |
Gannett Holdings LLC 6.00%, 11/1/2026 (a) | 174,000 | 146,170 |
GCI LLC 4.75%, 10/15/2028 (a) | 170,000 | 145,775 |
Gray Television, Inc. | ||
7.00%, 5/15/2027 (a) | 469,000 | 424,738 |
4.75%, 10/15/2030 (a) | 710,000 | 520,558 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Media — continued | ||
iHeartCommunications, Inc. | ||
6.38%, 5/1/2026 | 438,417 | 413,199 |
8.38%, 5/1/2027 | 409,864 | 360,680 |
Lamar Media Corp. | ||
3.75%, 2/15/2028 | 283,000 | 250,515 |
4.00%, 2/15/2030 | 273,000 | 234,780 |
3.63%, 1/15/2031 | 78,000 | 64,243 |
LCPR Senior Secured Financing DAC 6.75%, 10/15/2027 (a) | 638,000 | 590,231 |
Liberty Interactive LLC 8.25%, 2/1/2030 | 202,000 | 82,505 |
McGraw-Hill Education, Inc. | ||
5.75%, 8/1/2028 (a) | 297,000 | 260,115 |
8.00%, 8/1/2029 (a) | 216,000 | 184,615 |
National CineMedia LLC 5.88%, 4/15/2028 (a) | 148,000 | 46,620 |
News Corp. 3.88%, 5/15/2029 (a) | 743,000 | 636,714 |
Nexstar Media, Inc. | ||
5.63%, 7/15/2027 (a) | 798,000 | 741,129 |
4.75%, 11/1/2028 (a) | 278,000 | 243,047 |
Outfront Media Capital LLC | ||
5.00%, 8/15/2027 (a) | 447,000 | 403,418 |
4.25%, 1/15/2029 (a) | 136,000 | 111,860 |
Paramount Global (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 4.00%), 6.37%, 3/30/2062 (c) | 463,000 | 398,921 |
Radiate Holdco LLC | ||
4.50%, 9/15/2026 (a) | 290,000 | 216,398 |
6.50%, 9/15/2028 (a) | 348,000 | 163,674 |
Scripps Escrow II, Inc. 3.88%, 1/15/2029 (a) | 127,000 | 101,216 |
Scripps Escrow, Inc. 5.88%, 7/15/2027 (a) | 311,000 | 249,024 |
Sinclair Television Group, Inc. | ||
5.50%, 3/1/2030 (a) | 156,000 | 115,044 |
4.13%, 12/1/2030 (a) | 216,000 | 168,091 |
Sirius XM Radio, Inc. | ||
5.00%, 8/1/2027 (a) | 773,000 | 709,227 |
5.50%, 7/1/2029 (a) | 1,006,000 | 907,915 |
4.13%, 7/1/2030 (a) | 439,000 | 356,788 |
3.88%, 9/1/2031 (a) | 321,000 | 249,603 |
Stagwell Global LLC 5.63%, 8/15/2029 (a) | 389,000 | 334,544 |
TEGNA, Inc. 5.00%, 9/15/2029 | 892,000 | 791,382 |
Townsquare Media, Inc. 6.88%, 2/1/2026 (a) | 239,000 | 218,989 |
Univision Communications, Inc. | ||
5.13%, 2/15/2025 (a) | 662,000 | 644,523 |
4.50%, 5/1/2029 (a) | 198,000 | 167,001 |
7.38%, 6/30/2030 (a) | 388,000 | 367,980 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 77 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — continued | ||
UPC Broadband Finco BV (Netherlands) 4.88%, 7/15/2031 (a) | 204,000 | 170,850 |
UPC Holding BV (Netherlands) 5.50%, 1/15/2028 (a) | 363,000 | 321,255 |
Urban One, Inc. 7.38%, 2/1/2028 (a) | 25,000 | 22,310 |
Videotron Ltd. (Canada) 5.38%, 6/15/2024 (a) | 308,000 | 304,664 |
Ziggo Bond Co. BV (Netherlands) 5.13%, 2/28/2030 (a) | 816,000 | 659,434 |
23,254,842 | ||
Metals & Mining — 1.9% | ||
Arconic Corp. | ||
6.00%, 5/15/2025 (a) | 81,000 | 81,000 |
6.13%, 2/15/2028 (a) | 322,000 | 316,365 |
Baffinland Iron Mines Corp. (Canada) 8.75%, 7/15/2026 (a) | 293,000 | 281,677 |
Big River Steel LLC 6.63%, 1/31/2029 (a) | 505,000 | 491,117 |
Carpenter Technology Corp. 6.38%, 7/15/2028 | 454,000 | 434,972 |
Cleveland-Cliffs, Inc. | ||
5.88%, 6/1/2027 | 388,000 | 376,542 |
4.88%, 3/1/2031 (a) | 299,000 | 272,177 |
Commercial Metals Co. 4.13%, 1/15/2030 | 71,000 | 61,907 |
Constellium SE 5.63%, 6/15/2028 (a) | 350,000 | 325,046 |
FMG Resources August 2006 Pty. Ltd. (Australia) | ||
5.13%, 5/15/2024 (a) | 78,000 | 77,025 |
4.50%, 9/15/2027 (a) | 839,000 | 771,880 |
5.88%, 4/15/2030 (a) | 77,000 | 72,501 |
6.13%, 4/15/2032 (a) | 447,000 | 422,415 |
Hudbay Minerals, Inc. (Canada) 4.50%, 4/1/2026 (a) | 32,000 | 28,731 |
IAMGOLD Corp. (Burkina Faso) 5.75%, 10/15/2028 (a) | 137,000 | 102,408 |
Kaiser Aluminum Corp. | ||
4.63%, 3/1/2028 (a) | 288,000 | 248,035 |
4.50%, 6/1/2031 (a) | 58,000 | 45,915 |
Mineral Resources Ltd. (Australia) 8.50%, 5/1/2030 (a) | 235,000 | 235,284 |
New Gold, Inc. (Canada) 7.50%, 7/15/2027 (a) | 241,000 | 207,653 |
Novelis Corp. | ||
4.75%, 1/30/2030 (a) | 1,073,000 | 942,641 |
3.88%, 8/15/2031 (a) | 100,000 | 81,015 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
Taseko Mines Ltd. (Canada) 7.00%, 2/15/2026 (a) | 287,000 | 259,345 |
United States Steel Corp. 6.65%, 6/1/2037 | 274,000 | 256,247 |
6,391,898 | ||
Mortgage Real Estate Investment Trusts (REITs) — 0.2% | ||
Apollo Commercial Real Estate Finance, Inc. 4.63%, 6/15/2029 (a) | 361,000 | 278,445 |
Blackstone Mortgage Trust, Inc. 3.75%, 1/15/2027 (a) | 298,000 | 253,321 |
Starwood Property Trust, Inc. 3.63%, 7/15/2026 (a) | 245,000 | 214,391 |
746,157 | ||
Multiline Retail — 0.6% | ||
Kohl's Corp. 3.62%, 5/1/2031 (d) | 517,000 | 363,503 |
Macy's Retail Holdings LLC | ||
5.88%, 4/1/2029 (a) | 617,000 | 560,458 |
4.50%, 12/15/2034 | 30,000 | 21,792 |
5.13%, 1/15/2042 | 62,000 | 42,368 |
NMG Holding Co., Inc. 7.13%, 4/1/2026 (a) | 513,000 | 495,045 |
Nordstrom, Inc. | ||
4.38%, 4/1/2030 | 500,000 | 394,375 |
5.00%, 1/15/2044 | 274,000 | 177,963 |
2,055,504 | ||
Multi-Utilities — 0.1% | ||
Algonquin Power & Utilities Corp. (Canada) (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.25%), 4.75%, 1/18/2082 (c) | 314,000 | 259,835 |
Oil, Gas & Consumable Fuels — 10.5% | ||
Aethon United BR LP 8.25%, 2/15/2026 (a) | 222,000 | 213,527 |
Alliance Resource Operating Partners LP 7.50%, 5/1/2025 (a) | 303,000 | 301,685 |
Antero Midstream Partners LP | ||
5.75%, 3/1/2027 (a) | 681,000 | 642,871 |
5.75%, 1/15/2028 (a) | 327,000 | 306,971 |
Apache Corp. | ||
4.25%, 1/15/2030 | 738,000 | 652,276 |
6.00%, 1/15/2037 | 130,000 | 119,925 |
5.10%, 9/1/2040 | 577,000 | 474,767 |
Ascent Resources Utica Holdings LLC | ||
7.00%, 11/1/2026 (a) | 460,000 | 446,453 |
5.88%, 6/30/2029 (a) | 127,000 | 110,490 |
Baytex Energy Corp. (Canada) 8.75%, 4/1/2027 (a) | 246,000 | 250,305 |
78 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Berry Petroleum Co. LLC 7.00%, 2/15/2026 (a) | 293,000 | 276,153 |
Blue Racer Midstream LLC 7.63%, 12/15/2025 (a) | 424,000 | 426,120 |
Buckeye Partners LP | ||
3.95%, 12/1/2026 | 214,000 | 189,222 |
4.50%, 3/1/2028 (a) | 893,000 | 784,152 |
California Resources Corp. 7.13%, 2/1/2026 (a) | 269,000 | 271,031 |
Callon Petroleum Co. | ||
6.38%, 7/1/2026 | 244,000 | 231,039 |
8.00%, 8/1/2028 (a) | 272,000 | 266,737 |
Calumet Specialty Products Partners LP 8.13%, 1/15/2027 (a) | 216,000 | 211,257 |
Chesapeake Energy Corp. 5.50%, 2/1/2026 (a) | 283,000 | 277,340 |
Chord Energy Corp. 6.38%, 6/1/2026 (a) | 138,000 | 133,079 |
CNX Midstream Partners LP 4.75%, 4/15/2030 (a) | 28,000 | 22,955 |
CNX Resources Corp. | ||
7.25%, 3/14/2027 (a) | 36,000 | 35,704 |
7.38%, 1/15/2031 (a) | 79,000 | 75,263 |
Comstock Resources, Inc. | ||
6.75%, 3/1/2029 (a) | 916,000 | 842,720 |
5.88%, 1/15/2030 (a) | 71,000 | 61,060 |
CQP Holdco LP 5.50%, 6/15/2031 (a) | 500,000 | 438,750 |
Crestwood Midstream Partners LP | ||
5.63%, 5/1/2027 (a) | 753,000 | 696,525 |
8.00%, 4/1/2029 (a) | 300,000 | 298,500 |
CrownRock LP | ||
5.63%, 10/15/2025 (a) | 377,000 | 363,805 |
5.00%, 5/1/2029 (a) | 299,000 | 270,755 |
Delek Logistics Partners LP 7.13%, 6/1/2028 (a) | 138,000 | 121,440 |
DT Midstream, Inc. | ||
4.13%, 6/15/2029 (a) | 970,000 | 831,775 |
4.38%, 6/15/2031 (a) | 26,000 | 21,775 |
Earthstone Energy Holdings LLC 8.00%, 4/15/2027 (a) | 319,000 | 305,541 |
Encino Acquisition Partners Holdings LLC 8.50%, 5/1/2028 (a) | 43,000 | 37,560 |
Endeavor Energy Resources LP 5.75%, 1/30/2028 (a) | 342,000 | 330,030 |
Energy Ventures Gom LLC 11.75%, 4/15/2026 (a) | 322,000 | 332,553 |
EnLink Midstream LLC 5.38%, 6/1/2029 | 677,000 | 628,638 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
EnLink Midstream Partners LP | ||
4.85%, 7/15/2026 | 384,000 | 363,974 |
5.45%, 6/1/2047 | 375,000 | 295,619 |
EQM Midstream Partners LP | ||
4.00%, 8/1/2024 | 421,000 | 402,164 |
6.00%, 7/1/2025 (a) | 25,000 | 24,125 |
5.50%, 7/15/2028 | 892,000 | 796,110 |
4.50%, 1/15/2029 (a) | 168,000 | 140,151 |
4.75%, 1/15/2031 (a) | 187,000 | 151,938 |
6.50%, 7/15/2048 | 317,000 | 236,127 |
Genesis Energy LP | ||
6.50%, 10/1/2025 | 83,000 | 80,068 |
8.00%, 1/15/2027 | 651,000 | 636,685 |
Gran Tierra Energy International Holdings Ltd. (Colombia) 6.25%, 2/15/2025 (a) | 219,000 | 188,997 |
Gulfport Energy Corp. 8.00%, 5/17/2026 | 271,999 | 264,350 |
Hess Infrastructure Partners LP 5.63%, 2/15/2026 (a) | 25,000 | 24,329 |
Hess Midstream Operations LP | ||
5.63%, 2/15/2026 (a) | 97,000 | 94,397 |
5.13%, 6/15/2028 (a) | 888,000 | 814,752 |
5.50%, 10/15/2030 (a) | 26,000 | 23,400 |
Hilcorp Energy I LP 6.25%, 4/15/2032 (a) | 643,000 | 583,066 |
Holly Energy Partners LP | ||
6.38%, 4/15/2027 (a) | 174,000 | 168,731 |
5.00%, 2/1/2028 (a) | 75,000 | 68,062 |
Ithaca Energy North Sea plc (United Kingdom) 9.00%, 7/15/2026 (a) | 342,000 | 336,446 |
ITT Holdings LLC 6.50%, 8/1/2029 (a) | 208,000 | 170,949 |
Kinetik Holdings LP 5.88%, 6/15/2030 (a) | 438,000 | 404,804 |
MEG Energy Corp. (Canada) | ||
7.13%, 2/1/2027 (a) | 429,000 | 435,435 |
5.88%, 2/1/2029 (a) | 253,000 | 235,966 |
Moss Creek Resources Holdings, Inc. 7.50%, 1/15/2026 (a) | 107,000 | 96,177 |
Murphy Oil Corp. | ||
7.05%, 5/1/2029 | 145,000 | 144,067 |
6.13%, 12/1/2042 (d) | 220,000 | 174,012 |
Neptune Energy Bondco plc (United Kingdom) 6.63%, 5/15/2025 (a) | 438,000 | 425,817 |
New Fortress Energy, Inc. 6.75%, 9/15/2025 (a) | 503,000 | 471,643 |
NGL Energy Operating LLC 7.50%, 2/1/2026 (a) | 290,000 | 276,926 |
NGL Energy Partners LP 7.50%, 4/15/2026 | 347,000 | 314,035 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 79 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
NuStar Logistics LP | ||
6.00%, 6/1/2026 | 289,000 | 274,576 |
5.63%, 4/28/2027 | 632,000 | 588,315 |
Occidental Petroleum Corp. | ||
5.88%, 9/1/2025 | 589,000 | 589,000 |
8.88%, 7/15/2030 | 511,000 | 580,419 |
6.13%, 1/1/2031 | 270,000 | 271,920 |
6.45%, 9/15/2036 | 1,078,000 | 1,083,390 |
7.95%, 6/15/2039 | 611,000 | 673,658 |
4.40%, 4/15/2046 | 483,000 | 370,570 |
Parkland Corp. (Canada) | ||
4.50%, 10/1/2029 (a) | 200,000 | 168,000 |
4.63%, 5/1/2030 (a) | 267,000 | 222,278 |
PBF Holding Co. LLC 6.00%, 2/15/2028 | 72,000 | 67,164 |
PDC Energy, Inc. 5.75%, 5/15/2026 | 174,000 | 166,168 |
Permian Resources Operating LLC | ||
7.75%, 2/15/2026 (a) | 252,000 | 248,220 |
6.88%, 4/1/2027 (a) | 199,000 | 191,661 |
5.88%, 7/1/2029 (a) | 155,000 | 138,971 |
Range Resources Corp. 8.25%, 1/15/2029 | 563,000 | 577,779 |
ROCC Holdings LLC 9.25%, 8/15/2026 (a) | 305,000 | 321,775 |
Rockcliff Energy II LLC 5.50%, 10/15/2029 (a) | 176,000 | 161,462 |
Rockies Express Pipeline LLC | ||
4.95%, 7/15/2029 (a) | 347,000 | 301,855 |
4.80%, 5/15/2030 (a) | 202,000 | 174,657 |
6.88%, 4/15/2040 (a) | 44,000 | 36,030 |
SM Energy Co. | ||
5.63%, 6/1/2025 | 384,000 | 369,291 |
6.75%, 9/15/2026 | 446,000 | 430,297 |
Southwestern Energy Co. | ||
8.38%, 9/15/2028 | 306,000 | 320,153 |
5.38%, 3/15/2030 | 589,000 | 538,040 |
4.75%, 2/1/2032 | 200,000 | 171,866 |
Summit Midstream Holdings LLC | ||
5.75%, 4/15/2025 | 196,000 | 169,050 |
8.50%, 10/15/2026 (a) | 231,000 | 219,334 |
Sunnova Energy Corp. 5.88%, 9/1/2026 (a) | 125,000 | 108,925 |
Sunoco LP | ||
6.00%, 4/15/2027 | 343,000 | 336,997 |
4.50%, 4/30/2030 | 699,000 | 605,683 |
Tallgrass Energy Partners LP | ||
5.50%, 1/15/2028 (a) | 865,000 | 776,875 |
6.00%, 9/1/2031 (a) | 148,000 | 126,471 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
TerraForm Power Operating LLC 5.00%, 1/31/2028 (a) | 60,000 | 55,200 |
Venture Global Calcasieu Pass LLC | ||
3.88%, 8/15/2029 (a) | 1,159,000 | 999,637 |
3.88%, 11/1/2033 (a) | 190,000 | 154,926 |
Viper Energy Partners LP 5.38%, 11/1/2027 (a) | 26,000 | 24,721 |
Vital Energy, Inc. 10.13%, 1/15/2028 | 359,000 | 352,804 |
Western Midstream Operating LP | ||
4.75%, 8/15/2028 | 492,000 | 456,330 |
4.30%, 2/1/2030 (d) | 150,000 | 132,891 |
5.45%, 4/1/2044 | 517,000 | 435,572 |
5.50%, 2/1/2050 (d) | 280,000 | 228,590 |
35,365,592 | ||
Paper & Forest Products — 0.4% | ||
Domtar Corp. 6.75%, 10/1/2028 (a) | 315,000 | 283,500 |
Glatfelter Corp. 4.75%, 11/15/2029 (a) | 254,000 | 166,542 |
Louisiana-Pacific Corp. 3.63%, 3/15/2029 (a) | 174,000 | 145,382 |
Mercer International, Inc. (Germany) 5.13%, 2/1/2029 | 53,000 | 43,458 |
Resolute Forest Products, Inc. 4.88%, 3/1/2026 (a) | 235,000 | 240,729 |
Sylvamo Corp. 7.00%, 9/1/2029 (a) | 296,000 | 293,035 |
1,172,646 | ||
Personal Products — 0.4% | ||
BellRing Brands, Inc. 7.00%, 3/15/2030 (a) | 338,000 | 334,247 |
Coty, Inc. | ||
5.00%, 4/15/2026 (a) | 391,000 | 371,939 |
6.50%, 4/15/2026 (a) | 92,000 | 90,224 |
Herbalife Nutrition Ltd. 7.88%, 9/1/2025 (a) | 604,000 | 581,350 |
Prestige Brands, Inc. | ||
5.13%, 1/15/2028 (a) | 26,000 | 24,420 |
3.75%, 4/1/2031 (a) | 92,000 | 74,750 |
1,476,930 | ||
Pharmaceuticals — 1.8% | ||
Bausch Health Cos., Inc. | ||
5.50%, 11/1/2025 (a) | 1,037,000 | 901,879 |
5.75%, 8/15/2027 (a) | 1,137,000 | 754,215 |
5.00%, 1/30/2028 (a) | 1,159,000 | 499,727 |
5.25%, 1/30/2030 (a) | 218,000 | 94,033 |
14.00%, 10/15/2030 (a) | 39,000 | 24,697 |
5.25%, 2/15/2031 (a) | 279,000 | 124,576 |
Catalent Pharma Solutions, Inc. | ||
5.00%, 7/15/2027 (a) | 508,000 | 489,646 |
80 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
3.13%, 2/15/2029 (a) | 497,000 | 428,991 |
Elanco Animal Health, Inc. 6.65%, 8/28/2028 (d) | 258,000 | 246,356 |
Jazz Securities DAC 4.38%, 1/15/2029 (a) | 450,000 | 398,543 |
Mallinckrodt International Finance SA | ||
10.00%, 4/15/2025 (a) | 54,000 | 36,047 |
11.50%, 12/15/2028 (a) | 549,000 | 492,384 |
Organon & Co. 5.13%, 4/30/2031 (a) | 825,000 | 700,219 |
P&L Development LLC 7.75%, 11/15/2025 (a) | 229,000 | 183,237 |
Perrigo Finance Unlimited Co. | ||
4.38%, 3/15/2026 | 325,000 | 305,188 |
4.40%, 6/15/2030 (d) | 550,000 | 472,158 |
6,151,896 | ||
Professional Services — 0.2% | ||
AMN Healthcare, Inc. 4.63%, 10/1/2027 (a) | 255,000 | 233,447 |
CoreLogic, Inc. 4.50%, 5/1/2028 (a) | 328,000 | 252,560 |
Dun & Bradstreet Corp. (The) 5.00%, 12/15/2029 (a) | 27,000 | 22,337 |
Science Applications International Corp. 4.88%, 4/1/2028 (a) | 46,000 | 41,922 |
550,266 | ||
Real Estate Management & Development — 0.7% | ||
Cushman & Wakefield US Borrower LLC 6.75%, 5/15/2028 (a) | 390,000 | 367,633 |
Five Point Operating Co. LP 7.88%, 11/15/2025 (a) | 119,000 | 107,424 |
Forestar Group, Inc. 5.00%, 3/1/2028 (a) | 186,000 | 160,386 |
Howard Hughes Corp. (The) | ||
4.13%, 2/1/2029 (a) | 146,000 | 122,275 |
4.38%, 2/1/2031 (a) | 338,000 | 275,402 |
Hunt Cos., Inc. 5.25%, 4/15/2029 (a) | 303,000 | 242,205 |
Kennedy-Wilson, Inc. | ||
4.75%, 3/1/2029 | 525,000 | 426,733 |
4.75%, 2/1/2030 | 143,000 | 109,900 |
Realogy Group LLC | ||
5.75%, 1/15/2029 (a) | 538,000 | 386,279 |
5.25%, 4/15/2030 (a) | 101,000 | 69,185 |
2,267,422 | ||
Road & Rail — 1.1% | ||
AerCap Global Aviation Trust (Ireland) (ICE LIBOR USD 3 Month + 4.30%), 6.50%, 6/15/2045 (a) (c) | 300,000 | 289,509 |
Albion Financing 1 SARL (Luxembourg) 6.13%, 10/15/2026 (a) | 520,000 | 464,994 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Road & Rail — continued | ||
Avis Budget Car Rental LLC 5.38%, 3/1/2029 (a) | 357,000 | 321,355 |
First Student Bidco, Inc. 4.00%, 7/31/2029 (a) | 509,000 | 435,195 |
Hertz Corp. (The) | ||
4.63%, 12/1/2026 (a) | 159,000 | 141,595 |
5.00%, 12/1/2029 (a) | 309,000 | 256,541 |
NESCO Holdings II, Inc. 5.50%, 4/15/2029 (a) | 413,000 | 368,086 |
PECF USS Intermediate Holding III Corp. 8.00%, 11/15/2029 (a) | 223,000 | 156,755 |
Uber Technologies, Inc. | ||
7.50%, 5/15/2025 (a) | 117,000 | 118,186 |
7.50%, 9/15/2027 (a) | 26,000 | 26,362 |
6.25%, 1/15/2028 (a) | 26,000 | 25,590 |
4.50%, 8/15/2029 (a) | 694,000 | 613,552 |
Williams Scotsman International, Inc. 4.63%, 8/15/2028 (a) | 269,000 | 243,267 |
XPO Escrow Sub LLC 7.50%, 11/15/2027 (a) | 390,000 | 395,678 |
3,856,665 | ||
Semiconductors & Semiconductor Equipment — 0.4% | ||
Amkor Technology, Inc. 6.63%, 9/15/2027 (a) | 489,000 | 483,430 |
ams-OSRAM AG (Austria) 7.00%, 7/31/2025 (a) | 442,000 | 419,900 |
Entegris Escrow Corp. 5.95%, 6/15/2030 (a) | 341,000 | 317,162 |
ON Semiconductor Corp. 3.88%, 9/1/2028 (a) | 113,000 | 99,309 |
1,319,801 | ||
Software — 2.3% | ||
ACI Worldwide, Inc. 5.75%, 8/15/2026 (a) | 198,000 | 191,769 |
AthenaHealth Group, Inc. 6.50%, 2/15/2030 (a) | 732,000 | 578,971 |
Boxer Parent Co., Inc. 9.13%, 3/1/2026 (a) | 308,000 | 299,227 |
Clarivate Science Holdings Corp. 3.88%, 7/1/2028 (a) | 564,000 | 486,697 |
Cloud Software Group Holdings, Inc. 6.50%, 3/31/2029 (a) | 1,247,000 | 1,080,226 |
CWT Travel Group, Inc. 8.50%, 11/19/2026 (a) | 268,000 | 229,140 |
Fair Isaac Corp. | ||
5.25%, 5/15/2026 (a) | 385,000 | 374,863 |
4.00%, 6/15/2028 (a) | 189,000 | 171,642 |
Gen Digital, Inc. | ||
6.75%, 9/30/2027 (a) | 102,000 | 100,261 |
7.13%, 9/30/2030 (a) | 386,000 | 376,350 |
GoTo Group, Inc. 5.50%, 9/1/2027 (a) | 407,000 | 194,910 |
McAfee Corp. 7.38%, 2/15/2030 (a) | 481,000 | 381,205 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 81 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
NCR Corp. | ||
5.75%, 9/1/2027 (a) | 245,000 | 237,463 |
5.00%, 10/1/2028 (a) | 30,000 | 25,832 |
5.13%, 4/15/2029 (a) | 108,000 | 92,234 |
6.13%, 9/1/2029 (a) | 734,000 | 713,815 |
5.25%, 10/1/2030 (a) | 148,000 | 122,361 |
Open Text Holdings, Inc. (Canada) 4.13%, 2/15/2030 (a) | 607,000 | 499,500 |
PTC, Inc. 4.00%, 2/15/2028 (a) | 299,000 | 271,612 |
Rocket Software, Inc. 6.50%, 2/15/2029 (a) | 252,000 | 206,196 |
SS&C Technologies, Inc. 5.50%, 9/30/2027 (a) | 816,000 | 767,863 |
Veritas US, Inc. 7.50%, 9/1/2025 (a) | 349,000 | 268,701 |
7,670,838 | ||
Specialty Retail — 2.8% | ||
99 Escrow Issuer, Inc. 7.50%, 1/15/2026 (a) | 163,000 | 78,030 |
Abercrombie & Fitch Management Co. 8.75%, 7/15/2025 (a) | 133,000 | 133,953 |
Arko Corp. 5.13%, 11/15/2029 (a) | 221,000 | 175,052 |
Asbury Automotive Group, Inc. | ||
4.50%, 3/1/2028 | 353,000 | 315,891 |
4.63%, 11/15/2029 (a) | 480,000 | 417,394 |
5.00%, 2/15/2032 (a) | 77,000 | 65,620 |
At Home Group, Inc. 7.13%, 7/15/2029 (a) | 74,000 | 45,880 |
Bath & Body Works, Inc. | ||
7.50%, 6/15/2029 | 176,000 | 176,644 |
6.88%, 11/1/2035 | 901,000 | 795,214 |
Carvana Co. | ||
5.88%, 10/1/2028 (a) | 26,000 | 12,500 |
10.25%, 5/1/2030 (a) | 1,283,000 | 801,554 |
eG Global Finance plc (United Kingdom) 8.50%, 10/30/2025 (a) | 357,000 | 321,427 |
Gap, Inc. (The) 3.63%, 10/1/2029 (a) | 241,000 | 176,734 |
Group 1 Automotive, Inc. 4.00%, 8/15/2028 (a) | 216,000 | 185,486 |
LBM Acquisition LLC 6.25%, 1/15/2029 (a) | 420,000 | 299,233 |
LCM Investments Holdings II LLC 4.88%, 5/1/2029 (a) | 165,000 | 134,111 |
Lithia Motors, Inc. 3.88%, 6/1/2029 (a) | 334,000 | 279,070 |
LSF9 Atlantis Holdings LLC 7.75%, 2/15/2026 (a) | 361,000 | 317,430 |
Michaels Cos., Inc. (The) | ||
5.25%, 5/1/2028 (a) | 374,000 | 311,254 |
7.88%, 5/1/2029 (a) | 423,000 | 318,307 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Specialty Retail — continued | ||
Murphy Oil USA, Inc. | ||
5.63%, 5/1/2027 | 384,000 | 365,791 |
4.75%, 9/15/2029 | 50,000 | 44,625 |
Park River Holdings, Inc. | ||
5.63%, 2/1/2029 (a) | 54,000 | 37,633 |
6.75%, 8/1/2029 (a) | 25,000 | 17,488 |
Penske Automotive Group, Inc. 3.75%, 6/15/2029 | 492,000 | 413,457 |
PetSmart, Inc. | ||
4.75%, 2/15/2028 (a) | 450,000 | 409,593 |
7.75%, 2/15/2029 (a) | 400,000 | 390,200 |
Sonic Automotive, Inc. 4.63%, 11/15/2029 (a) | 161,000 | 132,825 |
Specialty Building Products Holdings LLC 6.38%, 9/30/2026 (a) | 341,000 | 312,977 |
SRS Distribution, Inc. | ||
4.63%, 7/1/2028 (a) | 275,000 | 240,619 |
6.13%, 7/1/2029 (a) | 435,000 | 363,785 |
Staples, Inc. | ||
7.50%, 4/15/2026 (a) | 943,000 | 839,270 |
10.75%, 4/15/2027 (a) | 169,000 | 129,420 |
Victoria's Secret & Co. 4.63%, 7/15/2029 (a) | 147,000 | 119,883 |
White Cap Buyer LLC 6.88%, 10/15/2028 (a) | 271,000 | 246,122 |
White Cap Parent LLC 8.25% (Cash), 3/15/2026 (a) (b) | 132,000 | 124,437 |
9,548,909 | ||
Technology Hardware, Storage & Peripherals — 0.7% | ||
Diebold Nixdorf, Inc. 9.38%, 7/15/2025 (a) | 151,000 | 105,700 |
Seagate HDD Cayman | ||
4.88%, 3/1/2024 | 291,000 | 286,271 |
4.88%, 6/1/2027 | 1,019,000 | 959,436 |
4.13%, 1/15/2031 | 136,000 | 112,838 |
5.75%, 12/1/2034 | 30,000 | 26,749 |
Western Digital Corp. | ||
4.75%, 2/15/2026 | 160,000 | 151,063 |
3.10%, 2/1/2032 | 536,000 | 386,098 |
Xerox Corp. 6.75%, 12/15/2039 | 288,000 | 217,237 |
Xerox Holdings Corp. | ||
5.00%, 8/15/2025 (a) | 225,000 | 209,422 |
5.50%, 8/15/2028 (a) | 46,000 | 38,640 |
2,493,454 | ||
Textiles, Apparel & Luxury Goods — 0.6% | ||
Crocs, Inc. | ||
4.25%, 3/15/2029 (a) | 80,000 | 68,600 |
82 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Textiles, Apparel & Luxury Goods — continued | ||
4.13%, 8/15/2031 (a) | 313,000 | 256,660 |
G-III Apparel Group Ltd. 7.88%, 8/15/2025 (a) | 282,000 | 265,785 |
Hanesbrands, Inc. | ||
4.63%, 5/15/2024 (a) | 262,000 | 261,817 |
4.88%, 5/15/2026 (a) | 321,000 | 296,439 |
Levi Strauss & Co. 3.50%, 3/1/2031 (a) | 303,000 | 247,702 |
Under Armour, Inc. 3.25%, 6/15/2026 | 239,000 | 212,829 |
William Carter Co. (The) 5.63%, 3/15/2027 (a) | 204,000 | 196,076 |
Wolverine World Wide, Inc. 4.00%, 8/15/2029 (a) | 414,000 | 333,452 |
2,139,360 | ||
Thrifts & Mortgage Finance — 1.4% | ||
Enact Holdings, Inc. 6.50%, 8/15/2025 (a) | 514,000 | 505,134 |
Freedom Mortgage Corp. | ||
7.63%, 5/1/2026 (a) | 346,000 | 295,361 |
6.63%, 1/15/2027 (a) | 209,000 | 170,243 |
Home Point Capital, Inc. 5.00%, 2/1/2026 (a) | 25,000 | 17,433 |
Ladder Capital Finance Holdings LLLP | ||
4.25%, 2/1/2027 (a) | 233,000 | 198,065 |
4.75%, 6/15/2029 (a) | 145,000 | 117,910 |
LD Holdings Group LLC 6.50%, 11/1/2025 (a) | 243,000 | 179,823 |
MGIC Investment Corp. 5.25%, 8/15/2028 | 348,000 | 325,380 |
Nationstar Mortgage Holdings, Inc. | ||
5.50%, 8/15/2028 (a) | 976,000 | 828,995 |
5.75%, 11/15/2031 (a) | 25,000 | 19,611 |
NMI Holdings, Inc. 7.38%, 6/1/2025 (a) | 605,000 | 601,975 |
PennyMac Financial Services, Inc. 5.75%, 9/15/2031 (a) | 439,000 | 349,770 |
Rocket Mortgage LLC | ||
2.88%, 10/15/2026 (a) | 28,000 | 24,161 |
3.88%, 3/1/2031 (a) | 532,000 | 414,609 |
4.00%, 10/15/2033 (a) | 552,000 | 408,092 |
United Wholesale Mortgage LLC 5.50%, 4/15/2029 (a) | 207,000 | 171,334 |
4,627,896 | ||
Tobacco — 0.1% | ||
Vector Group Ltd. 5.75%, 2/1/2029 (a) | 434,000 | 373,538 |
Trading Companies & Distributors — 1.6% | ||
Beacon Roofing Supply, Inc. 4.50%, 11/15/2026 (a) | 268,000 | 251,590 |
Boise Cascade Co. 4.88%, 7/1/2030 (a) | 25,000 | 21,887 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Trading Companies & Distributors — continued | ||
Fortress Transportation and Infrastructure Investors LLC | ||
6.50%, 10/1/2025 (a) | 231,000 | 225,311 |
5.50%, 5/1/2028 (a) | 425,000 | 379,551 |
H&E Equipment Services, Inc. 3.88%, 12/15/2028 (a) | 774,000 | 665,625 |
Herc Holdings, Inc. 5.50%, 7/15/2027 (a) | 545,000 | 513,390 |
Imola Merger Corp. 4.75%, 5/15/2029 (a) | 774,000 | 658,302 |
United Rentals North America, Inc. | ||
5.50%, 5/15/2027 | 693,000 | 679,209 |
3.88%, 11/15/2027 | 42,000 | 38,745 |
4.88%, 1/15/2028 | 248,000 | 236,394 |
5.25%, 1/15/2030 | 736,000 | 693,680 |
3.75%, 1/15/2032 | 51,000 | 42,804 |
WESCO Distribution, Inc. | ||
7.13%, 6/15/2025 (a) | 135,000 | 136,224 |
7.25%, 6/15/2028 (a) | 913,000 | 925,193 |
5,467,905 | ||
Wireless Telecommunication Services — 1.4% | ||
C&W Senior Financing DAC (Panama) 6.88%, 9/15/2027 (a) | 665,000 | 599,165 |
Connect Finco SARL (United Kingdom) 6.75%, 10/1/2026 (a) | 700,000 | 647,528 |
Hughes Satellite Systems Corp. 6.63%, 8/1/2026 | 535,000 | 503,569 |
Liberty Costa Rica Senior Secured Finance (Costa Rica) 10.88%, 1/15/2031 (a) | 211,000 | 198,076 |
Millicom International Cellular SA (Guatemala) 4.50%, 4/27/2031 (a) | 559,000 | 451,393 |
Sprint LLC | ||
7.13%, 6/15/2024 | 581,000 | 588,321 |
7.63%, 3/1/2026 | 192,000 | 199,392 |
United States Cellular Corp. 6.70%, 12/15/2033 | 191,000 | 173,828 |
Vodafone Group plc (United Kingdom) | ||
(USD Swap Semi 5 Year + 4.87%), 7.00%, 4/4/2079 (c) | 804,000 | 788,158 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.77%), 4.12%, 6/4/2081 (c) | 649,000 | 515,098 |
4,664,528 | ||
Total Corporate Bonds (Cost $362,014,120) | 330,635,906 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 83 |
(formerly known as JPMorgan High Yield Research Enhanced ETF)
AS OF February 28, 2023 (continued)
INVESTMENTS | SHARES | VALUE($) |
Short-Term Investments — 0.9% | ||
Investment Companies — 0.9% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (h) (i) (Cost $3,094,499) | 3,094,499 | 3,094,499 |
Total Investments — 98.9% (Cost $365,108,619) | 333,730,405 | |
Other Assets Less Liabilities — 1.1% | 3,748,901 | |
NET ASSETS — 100.0% | 337,479,306 |
Percentages indicated are based on net assets. |
Abbreviations | |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
SCA | Limited partnership with share capital |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. |
(b) | Security has the ability to pay in kind (“PIK”) or pay income in cash. When applicable, separate rates of such payments are disclosed. | |
(c) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(e) | Security is an interest bearing note with preferred security characteristics. | |
(f) | Security is perpetual and thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of February 28, 2023. | |
(g) | Defaulted security. | |
(h) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(i) | The rate shown is the current yield as of February 28, 2023. |
84 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — 98.1% | ||
Aerospace & Defense — 2.0% | ||
Boeing Co. (The) | ||
4.88%, 5/1/2025 | 108,000 | 106,473 |
3.60%, 5/1/2034 | 159,000 | 128,795 |
5.71%, 5/1/2040 | 75,000 | 71,824 |
3.75%, 2/1/2050 | 10,000 | 7,083 |
3.83%, 3/1/2059 | 20,000 | 13,477 |
General Dynamics Corp. 4.25%, 4/1/2050 | 12,000 | 10,699 |
L3Harris Technologies, Inc. 4.40%, 6/15/2028 | 164,000 | 158,220 |
Lockheed Martin Corp. | ||
2.80%, 6/15/2050 | 10,000 | 6,896 |
5.90%, 11/15/2063 | 32,000 | 35,418 |
Northrop Grumman Corp. | ||
3.25%, 1/15/2028 | 90,000 | 83,134 |
4.03%, 10/15/2047 | 41,000 | 33,888 |
Precision Castparts Corp. 3.25%, 6/15/2025 | 24,000 | 23,086 |
Raytheon Technologies Corp. | ||
3.13%, 5/4/2027 | 121,000 | 112,148 |
4.45%, 11/16/2038 | 107,000 | 96,672 |
3.75%, 11/1/2046 | 23,000 | 18,099 |
905,912 | ||
Air Freight & Logistics — 0.3% | ||
FedEx Corp. | ||
2.40%, 5/15/2031 | 60,000 | 48,735 |
3.25%, 5/15/2041 | 95,000 | 68,372 |
4.05%, 2/15/2048 | 10,000 | 7,664 |
United Parcel Service, Inc. 5.30%, 4/1/2050 | 18,000 | 18,525 |
143,296 | ||
Airlines — 0.1% | ||
American Airlines Pass-Through Trust Series 2021-1, Class A Shares, 2.88%, 7/11/2034 | 54,499 | 44,790 |
Auto Components — 0.4% | ||
Aptiv plc 3.10%, 12/1/2051 | 49,000 | 29,506 |
Lear Corp. 3.80%, 9/15/2027 | 140,000 | 130,775 |
160,281 | ||
Automobiles — 0.8% | ||
General Motors Co. | ||
6.13%, 10/1/2025 | 258,000 | 260,827 |
5.40%, 4/1/2048 | 10,000 | 8,328 |
5.95%, 4/1/2049 | 64,000 | 57,598 |
Honda Motor Co. Ltd. (Japan) 2.97%, 3/10/2032 | 10,000 | 8,677 |
Toyota Motor Corp. (Japan) 2.36%, 3/25/2031 | 40,000 | 33,786 |
369,216 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — 16.0% | ||
Banco Santander SA (Spain) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 2.00%), 4.17%, 3/24/2028 (a) | 200,000 | 186,783 |
Bank of America Corp. | ||
(ICE LIBOR USD 3 Month + 0.97%), 3.46%, 3/15/2025 (a) | 235,000 | 229,695 |
(SOFR + 1.11%), 3.84%, 4/25/2025 (a) | 11,000 | 10,772 |
(ICE LIBOR USD 3 Month + 0.87%), 2.46%, 10/22/2025 (a) | 30,000 | 28,466 |
(ICE LIBOR USD 3 Month + 1.06%), 3.56%, 4/23/2027 (a) | 154,000 | 144,764 |
(ICE LIBOR USD 3 Month + 1.58%), 3.82%, 1/20/2028 (a) | 146,000 | 137,234 |
(ICE LIBOR USD 3 Month + 1.04%), 3.42%, 12/20/2028 (a) | 62,000 | 56,588 |
(ICE LIBOR USD 3 Month + 1.21%), 3.97%, 2/7/2030 (a) | 26,000 | 23,796 |
(ICE LIBOR USD 3 Month + 0.99%), 2.50%, 2/13/2031 (a) | 237,000 | 195,060 |
(SOFR + 1.32%), 2.69%, 4/22/2032 (a) | 237,000 | 192,221 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.20%), 2.48%, 9/21/2036 (a) | 53,000 | 39,694 |
(ICE LIBOR USD 3 Month + 1.81%), 4.24%, 4/24/2038 (a) | 59,000 | 51,047 |
(SOFR + 1.93%), 2.68%, 6/19/2041 (a) | 23,000 | 15,791 |
(ICE LIBOR USD 3 Month + 1.19%), 3.95%, 1/23/2049 (a) | 50,000 | 39,760 |
(ICE LIBOR USD 3 Month + 3.15%), 4.08%, 3/20/2051 (a) | 78,000 | 62,715 |
Bank of Montreal (Canada) | ||
0.63%, 7/9/2024 | 196,000 | 183,898 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.40%), 3.09%, 1/10/2037 (a) (b) | 10,000 | 7,848 |
Bank of Nova Scotia (The) (Canada) | ||
3.45%, 4/11/2025 | 180,000 | 173,067 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.05%), 4.59%, 5/4/2037 (a) (b) | 26,000 | 22,769 |
Barclays plc (United Kingdom) (ICE LIBOR USD 3 Month + 1.90%), 4.97%, 5/16/2029 (a) | 288,000 | 273,956 |
Canadian Imperial Bank of Commerce (Canada) 3.60%, 4/7/2032 | 66,000 | 58,237 |
Citigroup, Inc. | ||
(ICE LIBOR USD 3 Month + 0.90%), 3.35%, 4/24/2025 (a) | 109,000 | 106,070 |
(SOFR + 1.53%), 3.29%, 3/17/2026 (a) | 10,000 | 9,538 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 85 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Banks — continued | ||
(SOFR + 2.84%), 3.11%, 4/8/2026 (a) | 78,000 | 74,060 |
3.20%, 10/21/2026 | 188,000 | 174,917 |
(SOFR + 1.15%), 2.67%, 1/29/2031 (a) | 107,000 | 89,126 |
(SOFR + 3.91%), 4.41%, 3/31/2031 (a) | 156,000 | 145,303 |
6.63%, 6/15/2032 | 17,000 | 17,945 |
(ICE LIBOR USD 3 Month + 1.17%), 3.88%, 1/24/2039 (a) | 87,000 | 71,551 |
(SOFR + 1.38%), 2.90%, 11/3/2042 (a) | 17,000 | 11,839 |
4.65%, 7/23/2048 | 68,000 | 60,859 |
Citizens Financial Group, Inc. | ||
3.25%, 4/30/2030 | 67,000 | 58,519 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.75%), 5.64%, 5/21/2037 (a) | 10,000 | 9,393 |
Comerica, Inc. 4.00%, 2/1/2029 | 87,000 | 81,093 |
Cooperatieve Rabobank UA (Netherlands) 5.25%, 5/24/2041 | 100,000 | 104,192 |
Fifth Third Bancorp 8.25%, 3/1/2038 | 40,000 | 49,846 |
FNB Corp. 5.15%, 8/25/2025 | 152,000 | 150,311 |
HSBC Holdings plc (United Kingdom) | ||
(SOFR + 1.51%), 4.18%, 12/9/2025 (a) | 253,000 | 246,281 |
(SOFR + 2.87%), 5.40%, 8/11/2033 (a) | 271,000 | 259,488 |
6.10%, 1/14/2042 | 42,000 | 44,835 |
Huntington Bancshares, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.17%), 2.49%, 8/15/2036 (a) | 39,000 | 28,879 |
KeyCorp (SOFRINDX + 2.06%), 4.79%, 6/1/2033 (a) | 69,000 | 64,723 |
Lloyds Banking Group plc (United Kingdom) 4.55%, 8/16/2028 | 200,000 | 189,375 |
M&T Bank Corp. (SOFR + 1.85%), 5.05%, 1/27/2034 (a) | 48,000 | 45,820 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | ||
3.96%, 3/2/2028 | 50,000 | 47,118 |
3.74%, 3/7/2029 | 289,000 | 264,650 |
Mizuho Financial Group, Inc. (Japan) 4.02%, 3/5/2028 | 200,000 | 188,376 |
NatWest Group plc (United Kingdom) (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year + 0.90%), 1.64%, 6/14/2027 (a) | 228,000 | 200,259 |
PNC Financial Services Group, Inc. (The) | ||
2.60%, 7/23/2026 | 152,000 | 140,429 |
(SOFRINDX + 1.85%), 4.63%, 6/6/2033 (a) | 24,000 | 22,307 |
Regions Financial Corp. 7.38%, 12/10/2037 | 25,000 | 28,658 |
Royal Bank of Canada (Canada) 2.30%, 11/3/2031 | 129,000 | 103,519 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Banks — continued | ||
Santander Holdings USA, Inc. | ||
3.24%, 10/5/2026 | 10,000 | 9,215 |
4.40%, 7/13/2027 | 113,000 | 107,311 |
Sumitomo Mitsui Financial Group, Inc. (Japan) | ||
2.70%, 7/16/2024 | 200,000 | 192,518 |
2.93%, 9/17/2041 | 114,000 | 79,157 |
SVB Financial Group 1.80%, 10/28/2026 | 136,000 | 118,718 |
Toronto-Dominion Bank (The) (Canada) | ||
2.35%, 3/8/2024 | 96,000 | 93,140 |
1.20%, 6/3/2026 | 12,000 | 10,523 |
2.45%, 1/12/2032 | 107,000 | 86,706 |
Truist Financial Corp. | ||
3.70%, 6/5/2025 | 10,000 | 9,673 |
1.13%, 8/3/2027 | 90,000 | 76,634 |
3.88%, 3/19/2029 | 107,000 | 99,356 |
US Bancorp | ||
(SOFR + 2.11%), 4.97%, 7/22/2033 (a) | 92,000 | 87,727 |
(SOFR + 1.60%), 4.84%, 2/1/2034 (a) | 21,000 | 20,098 |
Wells Fargo & Co. | ||
(ICE LIBOR USD 3 Month + 1.31%), 3.58%, 5/22/2028 (a) | 330,000 | 305,399 |
(3-MONTH CME TERM SOFR + 1.43%), 2.88%, 10/30/2030 (a) | 323,000 | 274,829 |
(SOFR + 2.53%), 3.07%, 4/30/2041 (a) | 28,000 | 20,365 |
5.38%, 11/2/2043 | 55,000 | 52,034 |
4.75%, 12/7/2046 | 55,000 | 47,128 |
Westpac Banking Corp. (Australia) | ||
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 1.35%), 2.89%, 2/4/2030 (a) (b) | 50,000 | 46,512 |
(USD ICE Swap Rate 5 Year + 2.24%), 4.32%, 11/23/2031 (a) (b) | 160,000 | 150,803 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.00%), 4.11%, 7/24/2034 (a) (b) | 27,000 | 23,844 |
2.96%, 11/16/2040 | 10,000 | 6,789 |
7,141,919 | ||
Beverages — 2.3% | ||
Anheuser-Busch Cos. LLC (Belgium) | ||
3.65%, 2/1/2026 | 101,000 | 96,798 |
4.70%, 2/1/2036 | 54,000 | 50,667 |
4.90%, 2/1/2046 | 149,000 | 136,787 |
Anheuser-Busch InBev Finance, Inc. (Belgium) 4.00%, 1/17/2043 | 21,000 | 17,359 |
86 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Beverages — continued | ||
Anheuser-Busch InBev Worldwide, Inc. (Belgium) | ||
4.90%, 1/23/2031 | 10,000 | 10,002 |
4.60%, 4/15/2048 | 19,000 | 16,752 |
5.80%, 1/23/2059 | 55,000 | 56,744 |
Coca-Cola Co. (The) | ||
1.75%, 9/6/2024 | 159,000 | 152,730 |
2.88%, 5/5/2041 | 78,000 | 59,440 |
2.60%, 6/1/2050 | 55,000 | 36,808 |
2.75%, 6/1/2060 | 16,000 | 10,530 |
Constellation Brands, Inc. 3.15%, 8/1/2029 | 66,000 | 57,910 |
Keurig Dr Pepper, Inc. 3.80%, 5/1/2050 | 20,000 | 14,978 |
Molson Coors Beverage Co. 4.20%, 7/15/2046 | 46,000 | 35,898 |
PepsiCo, Inc. | ||
3.60%, 3/1/2024 | 141,000 | 139,189 |
2.75%, 3/19/2030 | 30,000 | 26,448 |
3.50%, 3/19/2040 | 66,000 | 54,613 |
2.75%, 10/21/2051 | 77,000 | 53,428 |
1,027,081 | ||
Biotechnology — 2.2% | ||
AbbVie, Inc. | ||
3.60%, 5/14/2025 | 47,000 | 45,226 |
2.95%, 11/21/2026 | 141,000 | 130,093 |
4.05%, 11/21/2039 | 147,000 | 124,275 |
4.70%, 5/14/2045 | 68,000 | 60,244 |
Amgen, Inc. | ||
3.63%, 5/22/2024 | 20,000 | 19,556 |
2.20%, 2/21/2027 | 68,000 | 60,947 |
2.45%, 2/21/2030 | 63,000 | 52,894 |
2.30%, 2/25/2031 | 20,000 | 16,202 |
5.25%, 3/2/2033 | 98,000 | 97,273 |
3.15%, 2/21/2040 | 29,000 | 21,316 |
2.80%, 8/15/2041 | 84,000 | 57,771 |
5.60%, 3/2/2043 | 10,000 | 9,879 |
4.40%, 5/1/2045 | 20,000 | 16,727 |
3.38%, 2/21/2050 | 20,000 | 13,944 |
4.40%, 2/22/2062 | 74,000 | 59,397 |
Biogen, Inc. 3.15%, 5/1/2050 | 48,000 | 31,801 |
Gilead Sciences, Inc. | ||
3.70%, 4/1/2024 | 79,000 | 77,606 |
4.15%, 3/1/2047 | 64,000 | 53,564 |
Regeneron Pharmaceuticals, Inc. 1.75%, 9/15/2030 | 60,000 | 46,709 |
995,424 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Building Products — 0.1% | ||
Carlisle Cos., Inc. 2.75%, 3/1/2030 | 10,000 | 8,346 |
Carrier Global Corp. 3.58%, 4/5/2050 | 20,000 | 14,418 |
22,764 | ||
Capital Markets — 7.0% | ||
Bank of New York Mellon Corp. (The) | ||
1.60%, 4/24/2025 | 241,000 | 223,380 |
3.30%, 8/23/2029 | 81,000 | 72,357 |
(SOFR + 1.51%), 4.71%, 2/1/2034 (a) | 16,000 | 15,371 |
BlackRock, Inc. 1.90%, 1/28/2031 | 113,000 | 91,226 |
Brookfield Finance, Inc. (Canada) 4.35%, 4/15/2030 | 22,000 | 20,268 |
Charles Schwab Corp. (The) 1.95%, 12/1/2031 | 60,000 | 47,021 |
CME Group, Inc. | ||
3.00%, 3/15/2025 | 109,000 | 105,040 |
4.15%, 6/15/2048 | 55,000 | 48,961 |
Credit Suisse USA, Inc. (Switzerland) 7.13%, 7/15/2032 | 94,000 | 96,311 |
Deutsche Bank AG (Germany) (SOFR + 1.32%), 2.55%, 1/7/2028 (a) | 150,000 | 130,537 |
Franklin Resources, Inc. 1.60%, 10/30/2030 | 74,000 | 57,304 |
FS KKR Capital Corp. 3.25%, 7/15/2027 | 60,000 | 51,363 |
Goldman Sachs Group, Inc. (The) | ||
3.50%, 4/1/2025 | 76,000 | 73,173 |
(SOFR + 1.51%), 4.39%, 6/15/2027 (a) | 16,000 | 15,440 |
(ICE LIBOR USD 3 Month + 1.30%), 4.22%, 5/1/2029 (a) | 362,000 | 339,060 |
3.80%, 3/15/2030 | 193,000 | 175,152 |
(SOFR + 1.25%), 2.38%, 7/21/2032 (a) | 42,000 | 33,005 |
6.13%, 2/15/2033 | 19,000 | 20,065 |
(ICE LIBOR USD 3 Month + 1.37%), 4.02%, 10/31/2038 (a) | 111,000 | 92,040 |
Hercules Capital, Inc. 3.38%, 1/20/2027 | 47,000 | 41,509 |
Intercontinental Exchange, Inc. 5.20%, 6/15/2062 | 63,000 | 61,990 |
Morgan Stanley | ||
(SOFR + 1.99%), 2.19%, 4/28/2026 (a) | 129,000 | 120,140 |
3.63%, 1/20/2027 | 178,000 | 168,358 |
(ICE LIBOR USD 3 Month + 1.14%), 3.77%, 1/24/2029 (a) | 254,000 | 234,775 |
(SOFR + 3.12%), 3.62%, 4/1/2031 (a) | 190,000 | 168,141 |
7.25%, 4/1/2032 | 17,000 | 19,254 |
(SOFR + 1.36%), 2.48%, 9/16/2036 (a) | 23,000 | 17,148 |
(ICE LIBOR USD 3 Month + 1.46%), 3.97%, 7/22/2038 (a) | 96,000 | 81,043 |
4.30%, 1/27/2045 | 29,000 | 24,939 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 87 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Capital Markets — continued | ||
(SOFR + 1.43%), 2.80%, 1/25/2052 (a) | 19,000 | 12,236 |
Nasdaq, Inc. | ||
1.65%, 1/15/2031 | 10,000 | 7,649 |
2.50%, 12/21/2040 | 10,000 | 6,495 |
Nomura Holdings, Inc. (Japan) 2.33%, 1/22/2027 | 200,000 | 176,999 |
Northern Trust Corp. 6.13%, 11/2/2032 | 57,000 | 60,110 |
Owl Rock Capital Corp. 2.63%, 1/15/2027 | 46,000 | 39,078 |
Owl Rock Technology Finance Corp. 2.50%, 1/15/2027 | 39,000 | 31,877 |
Prospect Capital Corp. 3.44%, 10/15/2028 | 30,000 | 24,015 |
Raymond James Financial, Inc. 4.65%, 4/1/2030 | 10,000 | 9,604 |
S&P Global, Inc. 3.70%, 3/1/2052 (c) | 66,000 | 52,211 |
State Street Corp. | ||
2.20%, 3/3/2031 | 24,000 | 19,297 |
(SOFR + 1.49%), 3.03%, 11/1/2034 (a) | 62,000 | 53,000 |
3,136,942 | ||
Chemicals — 1.7% | ||
Albemarle Corp. | ||
4.65%, 6/1/2027 | 100,000 | 97,548 |
5.05%, 6/1/2032 | 19,000 | 18,072 |
Celanese US Holdings LLC | ||
6.05%, 3/15/2025 | 136,000 | 135,499 |
6.33%, 7/15/2029 | 33,000 | 32,491 |
Dow Chemical Co. (The) 6.90%, 5/15/2053 | 27,000 | 30,164 |
DuPont de Nemours, Inc. 5.42%, 11/15/2048 | 49,000 | 46,992 |
Ecolab, Inc. 2.13%, 8/15/2050 | 14,000 | 7,987 |
International Flavors & Fragrances, Inc. 4.45%, 9/26/2028 | 90,000 | 83,846 |
LYB International Finance III LLC 3.38%, 10/1/2040 | 97,000 | 69,605 |
Nutrien Ltd. (Canada) 5.88%, 12/1/2036 | 51,000 | 51,271 |
Sherwin-Williams Co. (The) | ||
3.45%, 6/1/2027 | 76,000 | 71,250 |
2.95%, 8/15/2029 | 124,000 | 107,484 |
752,209 | ||
Commercial Services & Supplies — 0.5% | ||
Cintas Corp. No. 2 4.00%, 5/1/2032 | 64,000 | 59,348 |
Nature Conservancy (The) Series A, 3.96%, 3/1/2052 | 28,000 | 22,629 |
RELX Capital, Inc. (United Kingdom) 4.00%, 3/18/2029 | 90,000 | 83,310 |
Republic Services, Inc. 3.05%, 3/1/2050 | 14,000 | 9,792 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Commercial Services & Supplies — continued | ||
Waste Connections, Inc. 2.95%, 1/15/2052 | 45,000 | 29,567 |
Waste Management, Inc. 2.50%, 11/15/2050 | 35,000 | 21,872 |
226,518 | ||
Communications Equipment — 0.2% | ||
Cisco Systems, Inc. 5.90%, 2/15/2039 | 63,000 | 68,979 |
Nokia OYJ (Finland) 6.63%, 5/15/2039 | 15,000 | 14,634 |
83,613 | ||
Construction & Engineering — 0.1% | ||
Quanta Services, Inc. | ||
2.90%, 10/1/2030 | 50,000 | 41,402 |
2.35%, 1/15/2032 | 12,000 | 9,165 |
50,567 | ||
Construction Materials — 0.1% | ||
Eagle Materials, Inc. 2.50%, 7/1/2031 | 40,000 | 31,316 |
Martin Marietta Materials, Inc. 3.20%, 7/15/2051 | 36,000 | 24,365 |
55,681 | ||
Consumer Finance — 4.1% | ||
AerCap Ireland Capital DAC (Ireland) | ||
6.50%, 7/15/2025 | 150,000 | 150,549 |
1.75%, 1/30/2026 | 150,000 | 132,567 |
Ally Financial, Inc. | ||
3.88%, 5/21/2024 | 236,000 | 231,142 |
8.00%, 11/1/2031 | 33,000 | 35,762 |
American Express Co. (SOFR + 2.26%), 4.99%, 5/26/2033 (a) | 77,000 | 73,717 |
Capital One Financial Corp. | ||
3.30%, 10/30/2024 | 282,000 | 272,311 |
3.75%, 7/28/2026 | 13,000 | 12,218 |
(SOFR + 1.34%), 2.36%, 7/29/2032 (a) | 22,000 | 16,134 |
Discover Financial Services 3.75%, 3/4/2025 | 275,000 | 264,769 |
John Deere Capital Corp. 1.30%, 10/13/2026 | 249,000 | 218,873 |
Synchrony Financial | ||
4.50%, 7/23/2025 | 196,000 | 188,758 |
5.15%, 3/19/2029 | 14,000 | 13,154 |
Toyota Motor Credit Corp. | ||
3.65%, 8/18/2025 | 214,000 | 206,656 |
2.40%, 1/13/2032 | 11,000 | 9,104 |
1,825,714 | ||
Containers & Packaging — 0.1% | ||
International Paper Co. 7.30%, 11/15/2039 | 10,000 | 11,130 |
88 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Containers & Packaging — continued | ||
Sonoco Products Co. 5.75%, 11/1/2040 | 29,000 | 29,026 |
WRKCo, Inc. 4.90%, 3/15/2029 | 10,000 | 9,591 |
49,747 | ||
Diversified Consumer Services — 0.0% ^ | ||
Northwestern University Series 2020, 2.64%, 12/1/2050 | 23,000 | 15,895 |
Diversified Financial Services — 1.3% | ||
Berkshire Hathaway, Inc. 3.13%, 3/15/2026 | 155,000 | 148,061 |
Corebridge Financial, Inc. | ||
4.40%, 4/5/2052 (c) | 38,000 | 30,175 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.85%), 6.87%, 12/15/2052 (a) (c) | 15,000 | 14,778 |
Equitable Holdings, Inc. 4.35%, 4/20/2028 | 70,000 | 66,538 |
National Rural Utilities Cooperative Finance Corp. | ||
1.35%, 3/15/2031 | 65,000 | 48,482 |
2.75%, 4/15/2032 | 25,000 | 20,642 |
4.02%, 11/1/2032 | 10,000 | 9,123 |
(ICE LIBOR USD 3 Month + 3.63%), 5.25%, 4/20/2046 (a) | 21,000 | 19,855 |
ORIX Corp. (Japan) 4.00%, 4/13/2032 | 52,000 | 47,219 |
Shell International Finance BV (Netherlands) | ||
2.00%, 11/7/2024 | 48,000 | 45,653 |
3.25%, 5/11/2025 | 10,000 | 9,629 |
4.38%, 5/11/2045 | 60,000 | 53,060 |
4.00%, 5/10/2046 | 29,000 | 24,055 |
3.75%, 9/12/2046 | 61,000 | 48,521 |
585,791 | ||
Diversified Telecommunication Services — 2.8% | ||
AT&T, Inc. | ||
3.80%, 2/15/2027 | 244,000 | 231,715 |
1.65%, 2/1/2028 | 11,000 | 9,346 |
6.38%, 3/1/2041 | 12,000 | 12,569 |
3.50%, 9/15/2053 | 196,000 | 134,560 |
3.55%, 9/15/2055 | 193,000 | 130,859 |
3.65%, 9/15/2059 | 30,000 | 20,312 |
Bell Canada (The) (Canada) | ||
Series US-5, 2.15%, 2/15/2032 | 57,000 | 44,743 |
3.65%, 8/15/2052 | 11,000 | 8,081 |
Deutsche Telekom International Finance BV (Germany) 9.25%, 6/1/2032 | 10,000 | 12,665 |
Orange SA (France) 5.38%, 1/13/2042 | 18,000 | 17,789 |
Telefonica Emisiones SA (Spain) 7.05%, 6/20/2036 | 84,000 | 88,511 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Diversified Telecommunication Services — continued | ||
TELUS Corp. (Canada) 2.80%, 2/16/2027 | 10,000 | 9,181 |
Verizon Communications, Inc. | ||
3.38%, 2/15/2025 | 153,000 | 147,777 |
4.02%, 12/3/2029 | 10,000 | 9,235 |
3.40%, 3/22/2041 | 493,000 | 371,804 |
3.85%, 11/1/2042 | 10,000 | 7,954 |
1,257,101 | ||
Electric Utilities — 5.3% | ||
AEP Transmission Co. LLC Series M, 3.65%, 4/1/2050 | 128,000 | 98,595 |
Alabama Power Co. | ||
3.94%, 9/1/2032 | 38,000 | 34,566 |
4.30%, 1/2/2046 | 10,000 | 8,366 |
Series A, 4.30%, 7/15/2048 | 83,000 | 69,588 |
American Electric Power Co., Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.68%), 3.88%, 2/15/2062 (a) | 10,000 | 8,373 |
Arizona Public Service Co. 4.25%, 3/1/2049 | 20,000 | 15,719 |
Baltimore Gas and Electric Co. | ||
3.20%, 9/15/2049 | 57,000 | 40,488 |
2.90%, 6/15/2050 | 76,000 | 50,721 |
Commonwealth Edison Co. 3.00%, 3/1/2050 | 76,000 | 52,005 |
Connecticut Light and Power Co. (The) Series A, 4.15%, 6/1/2045 | 91,000 | 76,521 |
Dominion Energy South Carolina, Inc. Series A, 2.30%, 12/1/2031 | 43,000 | 34,644 |
DTE Electric Co. 2.95%, 3/1/2050 | 84,000 | 57,342 |
Duke Energy Corp. | ||
3.75%, 4/15/2024 | 41,000 | 40,237 |
2.65%, 9/1/2026 | 118,000 | 107,800 |
3.75%, 9/1/2046 | 106,000 | 77,938 |
(US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.32%), 3.25%, 1/15/2082 (a) | 10,000 | 7,963 |
Duke Energy Indiana LLC | ||
Series YYY, 3.25%, 10/1/2049 | 20,000 | 14,096 |
2.75%, 4/1/2050 | 20,000 | 12,540 |
Duke Energy Ohio, Inc. 4.30%, 2/1/2049 | 18,000 | 14,678 |
Duke Energy Progress LLC 3.25%, 8/15/2025 | 33,000 | 31,556 |
Emera US Finance LP (Canada) 4.75%, 6/15/2046 | 10,000 | 7,845 |
Entergy Louisiana LLC 4.00%, 3/15/2033 | 113,000 | 101,788 |
Evergy, Inc. | ||
2.45%, 9/15/2024 | 127,000 | 120,979 |
2.90%, 9/15/2029 | 102,000 | 87,355 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 89 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Electric Utilities — continued | ||
Exelon Corp. 3.95%, 6/15/2025 | 10,000 | 9,678 |
Florida Power & Light Co. | ||
2.85%, 4/1/2025 | 90,000 | 86,034 |
3.80%, 12/15/2042 | 46,000 | 37,884 |
3.95%, 3/1/2048 | 40,000 | 32,742 |
3.15%, 10/1/2049 | 88,000 | 62,376 |
Fortis, Inc. (Canada) 3.06%, 10/4/2026 | 148,000 | 137,436 |
Gulf Power Co. Series A, 3.30%, 5/30/2027 | 15,000 | 14,025 |
MidAmerican Energy Co. 4.25%, 5/1/2046 | 126,000 | 106,296 |
Northern States Power Co. 3.60%, 5/15/2046 | 148,000 | 113,795 |
Oncor Electric Delivery Co. LLC 4.10%, 11/15/2048 | 26,000 | 22,050 |
Pacific Gas and Electric Co. | ||
2.50%, 2/1/2031 | 10,000 | 7,788 |
3.25%, 6/1/2031 | 127,000 | 103,632 |
4.50%, 7/1/2040 | 47,000 | 36,801 |
3.30%, 8/1/2040 | 54,000 | 36,562 |
PECO Energy Co. | ||
3.15%, 10/15/2025 | 20,000 | 19,058 |
3.00%, 9/15/2049 | 11,000 | 7,547 |
3.05%, 3/15/2051 | 10,000 | 6,855 |
PPL Electric Utilities Corp. 3.00%, 10/1/2049 | 82,000 | 56,991 |
Public Service Electric and Gas Co. 2.05%, 8/1/2050 | 29,000 | 16,399 |
Southern California Edison Co. | ||
2.25%, 6/1/2030 | 10,000 | 8,227 |
Series 13-A, 3.90%, 3/15/2043 | 6,000 | 4,698 |
Series C, 3.60%, 2/1/2045 | 32,000 | 23,201 |
4.00%, 4/1/2047 | 98,000 | 76,720 |
Virginia Electric and Power Co. | ||
Series A, 3.15%, 1/15/2026 | 17,000 | 16,095 |
Series A, 3.50%, 3/15/2027 | 43,000 | 40,459 |
4.60%, 12/1/2048 | 112,000 | 97,070 |
2,352,122 | ||
Electrical Equipment — 0.1% | ||
Hubbell, Inc. 2.30%, 3/15/2031 | 50,000 | 40,463 |
Rockwell Automation, Inc. 2.80%, 8/15/2061 | 35,000 | 21,609 |
62,072 | ||
Electronic Equipment, Instruments & Components — 0.4% | ||
Amphenol Corp. 2.20%, 9/15/2031 | 71,000 | 56,489 |
Corning, Inc. 4.75%, 3/15/2042 | 76,000 | 69,437 |
Teledyne Technologies, Inc. 2.75%, 4/1/2031 | 61,000 | 49,908 |
175,834 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Energy Equipment & Services — 0.2% | ||
Baker Hughes Holdings LLC 4.08%, 12/15/2047 | 10,000 | 7,895 |
Halliburton Co. | ||
4.85%, 11/15/2035 | 10,000 | 9,322 |
4.50%, 11/15/2041 | 46,000 | 38,527 |
NOV, Inc. 3.95%, 12/1/2042 | 29,000 | 21,021 |
76,765 | ||
Entertainment — 0.9% | ||
Electronic Arts, Inc. 1.85%, 2/15/2031 | 73,000 | 57,134 |
Take-Two Interactive Software, Inc. 3.30%, 3/28/2024 | 50,000 | 48,855 |
Walt Disney Co. (The) | ||
2.65%, 1/13/2031 | 175,000 | 149,058 |
3.50%, 5/13/2040 | 141,000 | 114,138 |
Warnermedia Holdings, Inc. 5.39%, 3/15/2062 (c) | 39,000 | 30,334 |
399,519 | ||
Equity Real Estate Investment Trusts (REITs) — 2.7% | ||
Alexandria Real Estate Equities, Inc. | ||
2.75%, 12/15/2029 | 102,000 | 86,228 |
2.00%, 5/18/2032 | 58,000 | 44,296 |
American Assets Trust LP 3.38%, 2/1/2031 | 31,000 | 24,508 |
American Homes 4 Rent LP 3.38%, 7/15/2051 | 32,000 | 20,805 |
American Tower Corp. 3.38%, 10/15/2026 | 159,000 | 147,767 |
Boston Properties LP | ||
4.50%, 12/1/2028 | 39,000 | 36,229 |
3.25%, 1/30/2031 | 58,000 | 48,388 |
Brandywine Operating Partnership LP 7.55%, 3/15/2028 | 10,000 | 9,818 |
Brixmor Operating Partnership LP 4.05%, 7/1/2030 | 60,000 | 53,110 |
Broadstone Net Lease LLC 2.60%, 9/15/2031 | 21,000 | 15,143 |
Camden Property Trust 2.80%, 5/15/2030 | 84,000 | 72,118 |
Crown Castle, Inc. 5.20%, 2/15/2049 | 32,000 | 29,226 |
EPR Properties 4.50%, 6/1/2027 | 16,000 | 14,243 |
Equinix, Inc. 3.20%, 11/18/2029 | 130,000 | 113,351 |
Essex Portfolio LP 2.65%, 9/1/2050 | 23,000 | 13,407 |
Federal Realty Investment Trust 3.25%, 7/15/2027 | 10,000 | 9,170 |
Healthpeak Properties Interim, Inc. 2.88%, 1/15/2031 | 82,000 | 69,096 |
Host Hotels & Resorts LP Series J, 2.90%, 12/15/2031 | 44,000 | 33,926 |
Kimco Realty OP LLC 2.25%, 12/1/2031 | 10,000 | 7,762 |
90 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Equity Real Estate Investment Trusts (REITs) — continued | ||
National Retail Properties, Inc. 3.10%, 4/15/2050 | 39,000 | 24,891 |
Piedmont Operating Partnership LP 2.75%, 4/1/2032 | 11,000 | 7,770 |
Realty Income Corp. 4.65%, 3/15/2047 | 10,000 | 9,093 |
Regency Centers LP 3.70%, 6/15/2030 | 10,000 | 8,831 |
Safehold Operating Partnership LP 2.85%, 1/15/2032 | 35,000 | 26,911 |
Simon Property Group LP 2.45%, 9/13/2029 | 78,000 | 65,421 |
Spirit Realty LP 3.20%, 2/15/2031 | 42,000 | 34,268 |
STORE Capital Corp. | ||
4.50%, 3/15/2028 | 39,000 | 34,669 |
2.75%, 11/18/2030 | 10,000 | 7,553 |
UDR, Inc. 3.00%, 8/15/2031 | 20,000 | 16,839 |
Ventas Realty LP 2.50%, 9/1/2031 | 59,000 | 46,581 |
VICI Properties LP | ||
4.38%, 5/15/2025 | 11,000 | 10,599 |
5.63%, 5/15/2052 | 23,000 | 20,455 |
Welltower OP LLC 4.95%, 9/1/2048 | 26,000 | 22,141 |
Weyerhaeuser Co. 4.00%, 3/9/2052 | 36,000 | 28,115 |
1,212,728 | ||
Food & Staples Retailing — 1.1% | ||
Costco Wholesale Corp. 1.38%, 6/20/2027 | 140,000 | 122,431 |
Kroger Co. (The) 5.40%, 1/15/2049 | 44,000 | 41,835 |
Sysco Corp. | ||
3.30%, 7/15/2026 | 40,000 | 37,581 |
6.60%, 4/1/2050 | 38,000 | 41,695 |
Walgreens Boots Alliance, Inc. 4.10%, 4/15/2050 | 36,000 | 26,078 |
Walmart, Inc. | ||
1.80%, 9/22/2031 | 216,000 | 174,262 |
4.05%, 6/29/2048 | 47,000 | 41,403 |
485,285 | ||
Food Products — 1.1% | ||
Bunge Ltd. Finance Corp. 2.75%, 5/14/2031 | 60,000 | 49,344 |
Conagra Brands, Inc. 5.40%, 11/1/2048 | 28,000 | 25,512 |
J M Smucker Co. (The) 3.55%, 3/15/2050 | 39,000 | 28,078 |
JBS USA LUX SA 4.38%, 2/2/2052 (c) | 64,000 | 45,773 |
Kraft Heinz Foods Co. | ||
3.00%, 6/1/2026 | 291,000 | 270,830 |
5.50%, 6/1/2050 | 55,000 | 52,596 |
Pilgrim's Pride Corp. 4.25%, 4/15/2031 | 39,000 | 32,566 |
Tyson Foods, Inc. 5.10%, 9/28/2048 | 10,000 | 9,024 |
513,723 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Gas Utilities — 0.3% | ||
Atmos Energy Corp. 5.75%, 10/15/2052 | 10,000 | 10,482 |
National Fuel Gas Co. 2.95%, 3/1/2031 | 40,000 | 31,741 |
Piedmont Natural Gas Co., Inc. 5.05%, 5/15/2052 | 61,000 | 55,667 |
Southwest Gas Corp. 3.18%, 8/15/2051 | 33,000 | 21,125 |
119,015 | ||
Health Care Equipment & Supplies — 1.2% | ||
Abbott Laboratories | ||
4.75%, 4/15/2043 | 11,000 | 10,618 |
4.90%, 11/30/2046 | 80,000 | 78,684 |
Baxter International, Inc. | ||
1.73%, 4/1/2031 | 16,000 | 11,909 |
3.13%, 12/1/2051 | 40,000 | 24,253 |
Becton Dickinson and Co. 4.69%, 12/15/2044 | 61,000 | 54,096 |
Boston Scientific Corp. 4.70%, 3/1/2049 | 33,000 | 29,889 |
DENTSPLY SIRONA, Inc. 3.25%, 6/1/2030 | 37,000 | 31,569 |
DH Europe Finance II Sarl | ||
2.60%, 11/15/2029 | 132,000 | 113,915 |
3.40%, 11/15/2049 | 10,000 | 7,552 |
Medtronic, Inc. | ||
4.38%, 3/15/2035 | 58,000 | 54,925 |
4.63%, 3/15/2045 | 10,000 | 9,332 |
Stryker Corp. 2.90%, 6/15/2050 | 61,000 | 41,111 |
Zimmer Biomet Holdings, Inc. 2.60%, 11/24/2031 | 69,000 | 55,907 |
523,760 | ||
Health Care Providers & Services — 4.0% | ||
Aetna, Inc. 3.88%, 8/15/2047 | 46,000 | 34,578 |
Ascension Health 3.95%, 11/15/2046 | 53,000 | 44,817 |
Cardinal Health, Inc. 4.37%, 6/15/2047 | 35,000 | 28,116 |
Centene Corp. | ||
3.38%, 2/15/2030 | 17,000 | 14,396 |
2.63%, 8/1/2031 | 43,000 | 33,617 |
Cigna Group (The) | ||
4.80%, 8/15/2038 | 76,000 | 69,850 |
3.40%, 3/15/2051 | 60,000 | 42,210 |
CommonSpirit Health 6.07%, 11/1/2027 | 223,000 | 227,950 |
CVS Health Corp. | ||
2.63%, 8/15/2024 | 147,000 | 141,606 |
2.13%, 9/15/2031 | 48,000 | 37,610 |
6.13%, 9/15/2039 | 11,000 | 11,194 |
2.70%, 8/21/2040 | 112,000 | 75,753 |
5.05%, 3/25/2048 | 104,000 | 93,230 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 91 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Health Care Providers & Services — continued | ||
Elevance Health, Inc. | ||
4.55%, 5/15/2052 | 62,000 | 53,833 |
6.10%, 10/15/2052 | 10,000 | 10,714 |
HCA, Inc. | ||
5.00%, 3/15/2024 | 144,000 | 143,063 |
4.13%, 6/15/2029 | 11,000 | 10,014 |
3.50%, 7/15/2051 | 97,000 | 63,265 |
4.63%, 3/15/2052 (c) | 15,000 | 11,799 |
Humana, Inc. | ||
4.50%, 4/1/2025 | 151,000 | 148,407 |
4.80%, 3/15/2047 | 31,000 | 27,355 |
Laboratory Corp. of America Holdings 4.70%, 2/1/2045 | 26,000 | 22,240 |
Novant Health, Inc. 3.32%, 11/1/2061 | 10,000 | 6,906 |
Quest Diagnostics, Inc. 2.80%, 6/30/2031 | 75,000 | 62,939 |
UnitedHealth Group, Inc. | ||
3.75%, 7/15/2025 | 98,000 | 95,113 |
3.50%, 8/15/2039 | 146,000 | 119,515 |
2.75%, 5/15/2040 | 95,000 | 69,049 |
4.63%, 11/15/2041 | 65,000 | 60,143 |
3.25%, 5/15/2051 | 60,000 | 42,919 |
1,802,201 | ||
Hotels, Restaurants & Leisure — 0.6% | ||
Expedia Group, Inc. 3.25%, 2/15/2030 | 60,000 | 50,614 |
Marriott International, Inc. Series II, 2.75%, 10/15/2033 | 44,000 | 34,166 |
McDonald's Corp. | ||
2.13%, 3/1/2030 | 71,000 | 58,824 |
4.60%, 9/9/2032 | 18,000 | 17,354 |
5.15%, 9/9/2052 | 35,000 | 33,550 |
Starbucks Corp. | ||
4.50%, 11/15/2048 | 60,000 | 51,669 |
3.50%, 11/15/2050 | 10,000 | 7,274 |
253,451 | ||
Household Durables — 0.2% | ||
Leggett & Platt, Inc. 3.50%, 11/15/2051 | 22,000 | 15,571 |
Lennar Corp. 4.75%, 11/29/2027 | 75,000 | 71,898 |
MDC Holdings, Inc. 3.97%, 8/6/2061 | 10,000 | 5,720 |
93,189 | ||
Household Products — 0.3% | ||
Colgate-Palmolive Co. 4.00%, 8/15/2045 | 75,000 | 68,597 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Household Products — continued | ||
Kimberly-Clark Corp. 2.88%, 2/7/2050 | 13,000 | 9,147 |
Procter & Gamble Co. (The) 3.50%, 10/25/2047 | 88,000 | 72,561 |
150,305 | ||
Industrial Conglomerates — 0.3% | ||
3M Co. 5.70%, 3/15/2037 | 66,000 | 66,994 |
GE Capital Funding LLC 4.55%, 5/15/2032 | 50,000 | 47,591 |
Honeywell International, Inc. 2.80%, 6/1/2050 | 40,000 | 28,833 |
143,418 | ||
Insurance — 2.7% | ||
ACE Capital Trust II 9.70%, 4/1/2030 | 10,000 | 12,267 |
Aflac, Inc. 3.60%, 4/1/2030 | 100,000 | 92,041 |
Alleghany Corp. 3.25%, 8/15/2051 | 11,000 | 7,870 |
Allstate Corp. (The) (ICE LIBOR USD 3 Month + 2.12%), 6.50%, 5/15/2057 (a) | 10,000 | 9,701 |
American Equity Investment Life Holding Co. 5.00%, 6/15/2027 | 15,000 | 14,728 |
American International Group, Inc. | ||
2.50%, 6/30/2025 | 40,000 | 37,653 |
3.90%, 4/1/2026 | 14,000 | 13,432 |
Series A-9, (ICE LIBOR USD 3 Month + 2.87%), 5.75%, 4/1/2048 (a) | 20,000 | 19,310 |
Aon Corp. 6.25%, 9/30/2040 | 10,000 | 10,350 |
Arch Capital Group Ltd. 3.64%, 6/30/2050 | 39,000 | 28,055 |
Assurant, Inc. 2.65%, 1/15/2032 | 10,000 | 7,554 |
AXIS Specialty Finance LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.19%), 4.90%, 1/15/2040 (a) (b) | 16,000 | 13,683 |
Berkshire Hathaway Finance Corp. | ||
4.20%, 8/15/2048 | 85,000 | 75,074 |
4.25%, 1/15/2049 | 10,000 | 8,897 |
2.85%, 10/15/2050 | 20,000 | 13,497 |
Chubb INA Holdings, Inc. 6.70%, 5/15/2036 | 11,000 | 12,217 |
Cincinnati Financial Corp. 6.13%, 11/1/2034 | 30,000 | 31,490 |
Enstar Group Ltd. 4.95%, 6/1/2029 | 38,000 | 34,836 |
F&G Annuities & Life, Inc. 7.40%, 1/13/2028 (c) | 33,000 | 33,013 |
Fidelity National Financial, Inc. 3.20%, 9/17/2051 | 29,000 | 17,501 |
Lincoln National Corp. 3.35%, 3/9/2025 | 50,000 | 47,880 |
Loews Corp. 6.00%, 2/1/2035 | 36,000 | 37,908 |
Manulife Financial Corp. (Canada) (USD ICE Swap Rate 5 Year + 1.65%), 4.06%, 2/24/2032 (a) | 50,000 | 46,365 |
92 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Insurance — continued | ||
Marsh & McLennan Cos., Inc. | ||
3.88%, 3/15/2024 | 119,000 | 117,080 |
6.25%, 11/1/2052 | 10,000 | 11,096 |
MetLife, Inc. | ||
10.75%, 8/1/2039 | 11,000 | 14,825 |
5.25%, 1/15/2054 | 26,000 | 25,448 |
PartnerRe Finance B LLC (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 3.82%), 4.50%, 10/1/2050 (a) | 34,000 | 30,527 |
Primerica, Inc. 2.80%, 11/19/2031 | 49,000 | 40,490 |
Principal Financial Group, Inc. 4.63%, 9/15/2042 | 34,000 | 28,840 |
Progressive Corp. (The) 4.13%, 4/15/2047 | 56,000 | 47,771 |
Prudential Financial, Inc. | ||
(ICE LIBOR USD 3 Month + 3.04%), 5.20%, 3/15/2044 (a) | 72,000 | 70,738 |
(ICE LIBOR USD 3 Month + 2.67%), 5.70%, 9/15/2048 (a) | 81,000 | 77,039 |
Prudential plc (Hong Kong) 3.63%, 3/24/2032 | 10,000 | 8,922 |
Selective Insurance Group, Inc. 5.38%, 3/1/2049 | 18,000 | 16,223 |
Transatlantic Holdings, Inc. 8.00%, 11/30/2039 | 22,000 | 27,677 |
Travelers Cos., Inc. (The) 4.10%, 3/4/2049 | 15,000 | 12,658 |
Willis North America, Inc. 3.88%, 9/15/2049 | 33,000 | 24,081 |
XLIT Ltd. (Bermuda) 5.50%, 3/31/2045 | 26,000 | 25,428 |
1,204,165 | ||
Interactive Media & Services — 0.2% | ||
Alphabet, Inc. 2.25%, 8/15/2060 | 77,000 | 44,633 |
Meta Platforms, Inc. | ||
3.50%, 8/15/2027 | 21,000 | 19,744 |
4.65%, 8/15/2062 | 50,000 | 41,582 |
105,959 | ||
Internet & Direct Marketing Retail — 1.0% | ||
Amazon.com, Inc. | ||
2.80%, 8/22/2024 | 10,000 | 9,681 |
1.00%, 5/12/2026 | 214,000 | 189,389 |
3.88%, 8/22/2037 | 249,000 | 219,965 |
2.88%, 5/12/2041 | 12,000 | 8,935 |
4.10%, 4/13/2062 | 23,000 | 19,027 |
eBay, Inc. 3.65%, 5/10/2051 | 10,000 | 7,172 |
454,169 | ||
IT Services — 1.6% | ||
Automatic Data Processing, Inc. 1.25%, 9/1/2030 | 19,000 | 14,934 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
IT Services — continued | ||
Fidelity National Information Services, Inc. 5.10%, 7/15/2032 | 10,000 | 9,563 |
Fiserv, Inc. 4.40%, 7/1/2049 | 10,000 | 8,060 |
Global Payments, Inc. | ||
2.65%, 2/15/2025 | 274,000 | 258,559 |
3.20%, 8/15/2029 | 37,000 | 31,464 |
International Business Machines Corp. | ||
4.00%, 7/27/2025 | 155,000 | 150,956 |
5.88%, 11/29/2032 | 22,000 | 23,050 |
7.13%, 12/1/2096 | 37,000 | 46,938 |
Kyndryl Holdings, Inc. 4.10%, 10/15/2041 | 25,000 | 16,769 |
Mastercard, Inc. 3.85%, 3/26/2050 | 75,000 | 62,919 |
PayPal Holdings, Inc. 5.25%, 6/1/2062 | 10,000 | 9,150 |
VeriSign, Inc. 2.70%, 6/15/2031 | 46,000 | 37,083 |
Visa, Inc. 2.00%, 8/15/2050 | 80,000 | 47,170 |
Western Union Co. (The) 2.75%, 3/15/2031 | 10,000 | 7,772 |
724,387 | ||
Leisure Products — 0.1% | ||
Hasbro, Inc. 3.90%, 11/19/2029 | 64,000 | 56,427 |
Life Sciences Tools & Services — 0.6% | ||
Agilent Technologies, Inc. 2.30%, 3/12/2031 | 70,000 | 56,939 |
Illumina, Inc. 5.75%, 12/13/2027 | 84,000 | 84,403 |
PerkinElmer, Inc. 3.63%, 3/15/2051 | 31,000 | 21,542 |
Thermo Fisher Scientific, Inc. | ||
1.22%, 10/18/2024 | 59,000 | 55,299 |
2.80%, 10/15/2041 | 78,000 | 56,317 |
274,500 | ||
Machinery — 1.3% | ||
Caterpillar, Inc. 6.05%, 8/15/2036 | 18,000 | 19,654 |
CNH Industrial Capital LLC 1.45%, 7/15/2026 | 187,000 | 165,480 |
Deere & Co. 2.88%, 9/7/2049 | 11,000 | 7,964 |
Illinois Tool Works, Inc. 2.65%, 11/15/2026 | 261,000 | 241,818 |
Otis Worldwide Corp. | ||
2.06%, 4/5/2025 | 50,000 | 46,666 |
2.57%, 2/15/2030 | 40,000 | 33,710 |
3.36%, 2/15/2050 | 23,000 | 16,314 |
Parker-Hannifin Corp. 4.10%, 3/1/2047 | 10,000 | 8,305 |
Snap-on, Inc. 4.10%, 3/1/2048 | 40,000 | 34,462 |
Stanley Black & Decker, Inc. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 2.66%), 4.00%, 3/15/2060 (a) | 20,000 | 17,229 |
591,602 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 93 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Media — 2.8% | ||
Charter Communications Operating LLC | ||
4.91%, 7/23/2025 | 98,000 | 95,867 |
2.80%, 4/1/2031 | 23,000 | 17,960 |
3.50%, 3/1/2042 | 17,000 | 10,972 |
5.38%, 5/1/2047 | 30,000 | 23,804 |
4.80%, 3/1/2050 | 108,000 | 78,658 |
3.95%, 6/30/2062 | 10,000 | 5,957 |
5.50%, 4/1/2063 | 50,000 | 38,706 |
Comcast Corp. | ||
3.70%, 4/15/2024 | 141,000 | 138,497 |
3.38%, 8/15/2025 | 11,000 | 10,565 |
3.95%, 10/15/2025 | 11,000 | 10,692 |
3.90%, 3/1/2038 | 204,000 | 174,994 |
4.00%, 11/1/2049 | 233,000 | 187,829 |
Discovery Communications LLC | ||
3.95%, 3/20/2028 | 186,000 | 169,903 |
3.63%, 5/15/2030 | 12,000 | 10,263 |
4.65%, 5/15/2050 | 80,000 | 58,453 |
4.00%, 9/15/2055 | 21,000 | 13,528 |
Fox Corp. 5.58%, 1/25/2049 | 10,000 | 9,110 |
Interpublic Group of Cos., Inc. (The) 3.38%, 3/1/2041 | 33,000 | 23,997 |
Omnicom Group, Inc. 2.60%, 8/1/2031 | 27,000 | 22,165 |
Paramount Global | ||
4.95%, 1/15/2031 | 30,000 | 26,842 |
5.90%, 10/15/2040 | 56,000 | 49,485 |
Time Warner Cable LLC 6.55%, 5/1/2037 | 72,000 | 68,572 |
1,246,819 | ||
Metals & Mining — 0.8% | ||
ArcelorMittal SA (Luxembourg) 6.75%, 3/1/2041 (d) | 31,000 | 30,650 |
Barrick Gold Corp. (Canada) 6.45%, 10/15/2035 | 45,000 | 47,317 |
Freeport-McMoRan, Inc. 4.25%, 3/1/2030 | 10,000 | 9,055 |
Kinross Gold Corp. (Canada) 4.50%, 7/15/2027 | 85,000 | 81,033 |
Newmont Corp. 2.25%, 10/1/2030 | 20,000 | 16,119 |
Nucor Corp. 4.30%, 5/23/2027 | 10,000 | 9,697 |
Reliance Steel & Aluminum Co. 2.15%, 8/15/2030 | 14,000 | 11,270 |
Rio Tinto Finance USA Ltd. (Australia) 2.75%, 11/2/2051 | 47,000 | 31,031 |
Southern Copper Corp. (Mexico) 5.88%, 4/23/2045 | 53,000 | 53,566 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Metals & Mining — continued | ||
Teck Resources Ltd. (Canada) 3.90%, 7/15/2030 | 23,000 | 20,598 |
Vale Overseas Ltd. (Brazil) 6.88%, 11/10/2039 | 42,000 | 42,954 |
353,290 | ||
Multiline Retail — 0.8% | ||
Dollar General Corp. 5.50%, 11/1/2052 | 30,000 | 29,296 |
Dollar Tree, Inc. 3.38%, 12/1/2051 | 32,000 | 21,361 |
Target Corp. 3.38%, 4/15/2029 | 333,000 | 307,203 |
357,860 | ||
Multi-Utilities — 2.3% | ||
Ameren Corp. | ||
2.50%, 9/15/2024 | 141,000 | 134,461 |
3.50%, 1/15/2031 | 134,000 | 117,722 |
Berkshire Hathaway Energy Co. | ||
3.50%, 2/1/2025 | 50,000 | 48,402 |
4.45%, 1/15/2049 | 31,000 | 26,714 |
2.85%, 5/15/2051 | 50,000 | 32,504 |
CenterPoint Energy, Inc. 2.65%, 6/1/2031 | 143,000 | 117,440 |
Consolidated Edison Co. of New York, Inc. | ||
Series 20B, 3.95%, 4/1/2050 | 76,000 | 60,285 |
3.60%, 6/15/2061 | 50,000 | 35,968 |
Consumers Energy Co. 3.95%, 7/15/2047 | 85,000 | 69,370 |
Dominion Energy, Inc. 3.90%, 10/1/2025 | 17,000 | 16,438 |
NiSource, Inc. | ||
3.49%, 5/15/2027 | 22,000 | 20,562 |
3.60%, 5/1/2030 | 11,000 | 9,826 |
1.70%, 2/15/2031 | 15,000 | 11,433 |
5.00%, 6/15/2052 | 13,000 | 11,877 |
San Diego Gas & Electric Co. | ||
Series VVV, 1.70%, 10/1/2030 | 188,000 | 148,008 |
2.95%, 8/15/2051 | 57,000 | 37,801 |
Southern Co. Gas Capital Corp. Series 20-A, 1.75%, 1/15/2031 | 142,000 | 109,453 |
1,008,264 | ||
Oil, Gas & Consumable Fuels — 6.4% | ||
Boardwalk Pipelines LP 3.60%, 9/1/2032 | 45,000 | 37,800 |
BP Capital Markets America, Inc. | ||
3.80%, 9/21/2025 | 72,000 | 70,371 |
4.23%, 11/6/2028 | 144,000 | 138,901 |
3.00%, 2/24/2050 | 89,000 | 60,506 |
3.38%, 2/8/2061 | 11,000 | 7,598 |
BP Capital Markets plc (United Kingdom) 3.28%, 9/19/2027 | 13,000 | 12,117 |
94 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Oil, Gas & Consumable Fuels — continued | ||
Canadian Natural Resources Ltd. (Canada) 4.95%, 6/1/2047 | 30,000 | 26,111 |
Cenovus Energy, Inc. (Canada) 3.75%, 2/15/2052 | 21,000 | 14,869 |
Cheniere Energy Partners LP 4.00%, 3/1/2031 | 60,000 | 51,825 |
Chevron Corp. 2.95%, 5/16/2026 | 88,000 | 82,858 |
Columbia Pipeline Group, Inc. 4.50%, 6/1/2025 | 192,000 | 187,907 |
ConocoPhillips 5.90%, 10/15/2032 | 50,000 | 53,531 |
ConocoPhillips Co. 4.03%, 3/15/2062 | 10,000 | 7,924 |
DCP Midstream Operating LP 5.60%, 4/1/2044 | 28,000 | 26,169 |
Devon Energy Corp. 5.00%, 6/15/2045 | 10,000 | 8,485 |
Diamondback Energy, Inc. 3.50%, 12/1/2029 | 70,000 | 61,855 |
Enbridge Energy Partners LP Series B, 7.50%, 4/15/2038 | 23,000 | 25,763 |
Energy Transfer LP | ||
4.95%, 5/15/2028 | 80,000 | 77,088 |
4.95%, 6/15/2028 | 32,000 | 30,925 |
3.75%, 5/15/2030 | 12,000 | 10,650 |
5.40%, 10/1/2047 | 96,000 | 82,591 |
5.00%, 5/15/2050 | 17,000 | 13,959 |
Enterprise Products Operating LLC | ||
3.70%, 2/15/2026 | 10,000 | 9,604 |
3.95%, 2/15/2027 | 23,000 | 21,966 |
2.80%, 1/31/2030 | 80,000 | 68,601 |
4.85%, 8/15/2042 | 126,000 | 112,979 |
EQT Corp. 7.00%, 2/1/2030 (d) | 48,000 | 49,521 |
Exxon Mobil Corp. | ||
2.99%, 3/19/2025 | 105,000 | 100,824 |
3.00%, 8/16/2039 | 126,000 | 96,784 |
3.45%, 4/15/2051 | 17,000 | 12,963 |
Hess Corp. | ||
7.88%, 10/1/2029 | 10,000 | 11,001 |
5.80%, 4/1/2047 | 10,000 | 9,492 |
Kinder Morgan, Inc. | ||
4.30%, 6/1/2025 | 110,000 | 107,450 |
4.80%, 2/1/2033 | 203,000 | 188,266 |
Magellan Midstream Partners LP 4.20%, 10/3/2047 | 43,000 | 32,866 |
Marathon Oil Corp. | ||
4.40%, 7/15/2027 | 90,000 | 85,729 |
6.60%, 10/1/2037 | 12,000 | 11,954 |
Marathon Petroleum Corp. | ||
4.75%, 9/15/2044 | 17,000 | 14,188 |
5.00%, 9/15/2054 | 22,000 | 18,549 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Oil, Gas & Consumable Fuels — continued | ||
MPLX LP | ||
4.95%, 3/14/2052 | 84,000 | 69,879 |
4.90%, 4/15/2058 | 10,000 | 8,007 |
ONEOK, Inc. 5.20%, 7/15/2048 | 70,000 | 59,475 |
Ovintiv, Inc. 6.50%, 2/1/2038 | 33,000 | 32,445 |
Phillips 66 4.88%, 11/15/2044 | 30,000 | 27,342 |
Pioneer Natural Resources Co. 1.90%, 8/15/2030 | 66,000 | 51,542 |
Plains All American Pipeline LP 6.65%, 1/15/2037 | 10,000 | 9,997 |
Sabine Pass Liquefaction LLC 5.63%, 3/1/2025 | 140,000 | 139,835 |
Suncor Energy, Inc. (Canada) 3.75%, 3/4/2051 | 19,000 | 13,963 |
Targa Resources Corp. 6.50%, 2/15/2053 | 15,000 | ��14,760 |
Targa Resources Partners LP | ||
5.50%, 3/1/2030 | 13,000 | 12,324 |
4.88%, 2/1/2031 | 25,000 | 22,744 |
TotalEnergies Capital International SA (France) 2.83%, 1/10/2030 | 218,000 | 192,444 |
TransCanada PipeLines Ltd. (Canada) | ||
6.10%, 6/1/2040 | 48,000 | 48,578 |
4.88%, 5/15/2048 | 10,000 | 8,775 |
Transcontinental Gas Pipe Line Co. LLC 4.60%, 3/15/2048 | 48,000 | 41,062 |
Valero Energy Corp. 3.65%, 12/1/2051 | 40,000 | 28,423 |
Williams Cos., Inc. (The) 5.40%, 3/4/2044 | 17,000 | 15,673 |
2,839,808 | ||
Paper & Forest Products — 0.1% | ||
Suzano Austria GmbH (Brazil) 3.75%, 1/15/2031 | 67,000 | 56,724 |
Personal Products — 0.4% | ||
Estee Lauder Cos., Inc. (The) | ||
3.15%, 3/15/2027 | 173,000 | 163,102 |
6.00%, 5/15/2037 | 32,000 | 34,530 |
197,632 | ||
Pharmaceuticals — 2.8% | ||
Astrazeneca Finance LLC (United Kingdom) 0.70%, 5/28/2024 | 153,000 | 144,789 |
AstraZeneca plc (United Kingdom) | ||
3.38%, 11/16/2025 | 19,000 | 18,245 |
4.38%, 11/16/2045 | 68,000 | 61,644 |
3.00%, 5/28/2051 | 26,000 | 18,650 |
Bristol-Myers Squibb Co. | ||
2.90%, 7/26/2024 | 65,000 | 63,007 |
3.40%, 7/26/2029 | 22,000 | 20,161 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 95 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Pharmaceuticals — continued | ||
4.13%, 6/15/2039 | 70,000 | 62,523 |
4.35%, 11/15/2047 | 32,000 | 28,173 |
2.55%, 11/13/2050 | 70,000 | 44,268 |
Eli Lilly & Co. | ||
2.25%, 5/15/2050 | 10,000 | 6,286 |
4.15%, 3/15/2059 | 33,000 | 28,777 |
Johnson & Johnson | ||
5.95%, 8/15/2037 | 99,000 | 109,896 |
4.50%, 9/1/2040 | 10,000 | 9,611 |
Merck & Co., Inc. 2.90%, 12/10/2061 | 53,000 | 33,991 |
Mylan, Inc. 5.20%, 4/15/2048 | 32,000 | 24,413 |
Pfizer, Inc. 3.40%, 5/15/2024 | 10,000 | 9,795 |
Royalty Pharma plc 3.30%, 9/2/2040 | 53,000 | 36,973 |
Shire Acquisitions Investments Ireland DAC 3.20%, 9/23/2026 | 318,000 | 295,984 |
Viatris, Inc. 2.70%, 6/22/2030 | 35,000 | 27,743 |
Wyeth LLC 6.50%, 2/1/2034 | 158,000 | 176,209 |
Zoetis, Inc. 2.00%, 5/15/2030 | 10,000 | 8,192 |
1,229,330 | ||
Professional Services — 0.1% | ||
Thomson Reuters Corp. (Canada) 5.65%, 11/23/2043 | 26,000 | 24,350 |
Verisk Analytics, Inc. 3.63%, 5/15/2050 | 10,000 | 6,945 |
31,295 | ||
Road & Rail — 2.0% | ||
Burlington Northern Santa Fe LLC 4.45%, 1/15/2053 | 78,000 | 69,413 |
Canadian National Railway Co. (Canada) 4.40%, 8/5/2052 | 10,000 | 8,904 |
Canadian Pacific Railway Co. (Canada) | ||
1.75%, 12/2/2026 | 248,000 | 219,546 |
2.45%, 12/2/2031 | 82,000 | 68,248 |
CSX Corp. | ||
2.60%, 11/1/2026 | 80,000 | 73,327 |
4.65%, 3/1/2068 | 44,000 | 37,345 |
Kansas City Southern 4.30%, 5/15/2043 | 30,000 | 24,955 |
Norfolk Southern Corp. | ||
4.15%, 2/28/2048 | 96,000 | 78,144 |
3.16%, 5/15/2055 | 15,000 | 9,861 |
Ryder System, Inc. 2.85%, 3/1/2027 | 35,000 | 31,777 |
Triton Container International Ltd. (Bermuda) 3.25%, 3/15/2032 | 17,000 | 13,142 |
Union Pacific Corp. | ||
3.25%, 1/15/2025 | 102,000 | 98,468 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Road & Rail — continued | ||
2.89%, 4/6/2036 | 55,000 | 43,200 |
4.05%, 11/15/2045 | 134,000 | 111,417 |
3.25%, 2/5/2050 | 34,000 | 24,570 |
912,317 | ||
Semiconductors & Semiconductor Equipment — 3.2% | ||
Analog Devices, Inc. 3.50%, 12/5/2026 | 108,000 | 102,468 |
Broadcom Corp. 3.13%, 1/15/2025 | 72,000 | 68,926 |
Broadcom, Inc. | ||
4.93%, 5/15/2037 (c) | 110,000 | 95,644 |
3.50%, 2/15/2041 (c) | 81,000 | 57,994 |
Intel Corp. | ||
3.40%, 3/25/2025 | 98,000 | 94,807 |
3.90%, 3/25/2030 | 10,000 | 9,226 |
4.15%, 8/5/2032 | 11,000 | 10,117 |
5.63%, 2/10/2043 | 10,000 | 9,762 |
4.90%, 7/29/2045 | 54,000 | 50,016 |
3.25%, 11/15/2049 | 124,000 | 82,948 |
3.20%, 8/12/2061 | 53,000 | 32,915 |
KLA Corp. 4.10%, 3/15/2029 | 240,000 | 228,806 |
Marvell Technology, Inc. 2.95%, 4/15/2031 | 41,000 | 32,954 |
Micron Technology, Inc. 3.48%, 11/1/2051 | 10,000 | 6,232 |
NVIDIA Corp. | ||
2.00%, 6/15/2031 | 123,000 | 99,373 |
3.50%, 4/1/2050 | 15,000 | 11,626 |
NXP BV (China) | ||
4.30%, 6/18/2029 | 40,000 | 36,931 |
3.25%, 5/11/2041 | 42,000 | 29,134 |
QUALCOMM, Inc. | ||
3.25%, 5/20/2027 | 184,000 | 172,969 |
1.30%, 5/20/2028 | 169,000 | 142,246 |
3.25%, 5/20/2050 | 10,000 | 7,367 |
Texas Instruments, Inc. | ||
2.70%, 9/15/2051 | 12,000 | 8,328 |
4.10%, 8/16/2052 | 55,000 | 49,216 |
1,440,005 | ||
Software — 2.1% | ||
Microsoft Corp. | ||
4.10%, 2/6/2037 | 288,000 | 270,075 |
3.95%, 8/8/2056 | 12,000 | 10,342 |
Oracle Corp. | ||
3.40%, 7/8/2024 | 203,000 | 197,510 |
2.95%, 11/15/2024 | 19,000 | 18,224 |
2.50%, 4/1/2025 | 50,000 | 47,155 |
96 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Software — continued | ||
6.50%, 4/15/2038 | 15,000 | 15,626 |
3.60%, 4/1/2050 | 206,000 | 139,693 |
3.95%, 3/25/2051 | 73,000 | 52,383 |
3.85%, 4/1/2060 | 10,000 | 6,647 |
4.10%, 3/25/2061 | 69,000 | 48,038 |
Roper Technologies, Inc. 1.75%, 2/15/2031 | 79,000 | 60,877 |
Salesforce, Inc. 3.05%, 7/15/2061 | 10,000 | 6,412 |
VMware, Inc. 2.20%, 8/15/2031 | 62,000 | 47,021 |
920,003 | ||
Specialty Retail — 1.2% | ||
AutoZone, Inc. 1.65%, 1/15/2031 | 87,000 | 67,039 |
Home Depot, Inc. (The) | ||
2.70%, 4/15/2030 | 186,000 | 161,328 |
3.30%, 4/15/2040 | 56,000 | 44,621 |
4.20%, 4/1/2043 | 30,000 | 26,255 |
3.13%, 12/15/2049 | 53,000 | 37,469 |
Lowe's Cos., Inc. | ||
3.13%, 9/15/2024 | 10,000 | 9,667 |
3.10%, 5/3/2027 | 40,000 | 37,154 |
2.80%, 9/15/2041 | 122,000 | 82,587 |
3.70%, 4/15/2046 | 32,000 | 23,650 |
4.05%, 5/3/2047 | 40,000 | 31,232 |
521,002 | ||
Technology Hardware, Storage & Peripherals — 1.8% | ||
Apple, Inc. | ||
1.80%, 9/11/2024 | 137,000 | 130,530 |
2.75%, 1/13/2025 | 50,000 | 48,069 |
0.70%, 2/8/2026 | 79,000 | 70,102 |
2.90%, 9/12/2027 | 27,000 | 25,102 |
3.85%, 5/4/2043 | 20,000 | 17,187 |
3.45%, 2/9/2045 | 45,000 | 36,318 |
4.65%, 2/23/2046 | 153,000 | 145,694 |
2.65%, 5/11/2050 | 83,000 | 55,778 |
2.65%, 2/8/2051 | 52,000 | 34,659 |
Dell International LLC | ||
6.02%, 6/15/2026 | 152,000 | 153,751 |
5.30%, 10/1/2029 | 40,000 | 38,645 |
3.45%, 12/15/2051 (c) | 10,000 | 6,107 |
HP, Inc. 6.00%, 9/15/2041 | 13,000 | 12,700 |
Western Digital Corp. | ||
4.75%, 2/15/2026 | 22,000 | 20,739 |
2.85%, 2/1/2029 | 12,000 | 9,435 |
804,816 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Tobacco — 1.1% | ||
Altria Group, Inc. | ||
4.25%, 8/9/2042 | 27,000 | 20,199 |
4.50%, 5/2/2043 | 10,000 | 7,592 |
4.00%, 2/4/2061 | 65,000 | 42,917 |
BAT Capital Corp. (United Kingdom) | ||
3.22%, 8/15/2024 | 45,000 | 43,380 |
4.39%, 8/15/2037 | 131,000 | 101,642 |
5.65%, 3/16/2052 | 10,000 | 8,402 |
Philip Morris International, Inc. | ||
3.25%, 11/10/2024 | 105,000 | 101,741 |
4.38%, 11/15/2041 | 91,000 | 75,342 |
Reynolds American, Inc. (United Kingdom) 4.45%, 6/12/2025 | 76,000 | 73,972 |
475,187 | ||
Trading Companies & Distributors — 0.2% | ||
Air Lease Corp. 3.13%, 12/1/2030 | 11,000 | 9,022 |
GATX Corp. | ||
3.50%, 6/1/2032 | 38,000 | 31,938 |
3.10%, 6/1/2051 | 11,000 | 6,945 |
WW Grainger, Inc. 3.75%, 5/15/2046 | 45,000 | 35,834 |
83,739 | ||
Water Utilities — 0.2% | ||
American Water Capital Corp. | ||
3.75%, 9/1/2047 | 50,000 | 38,986 |
3.45%, 5/1/2050 | 27,000 | 19,870 |
Essential Utilities, Inc. 5.30%, 5/1/2052 | 31,000 | 29,268 |
88,124 | ||
Wireless Telecommunication Services — 1.5% | ||
America Movil SAB de CV (Mexico) 3.63%, 4/22/2029 | 200,000 | 181,947 |
Rogers Communications, Inc. (Canada) 3.70%, 11/15/2049 | 77,000 | 54,317 |
T-Mobile USA, Inc. | ||
3.50%, 4/15/2025 | 44,000 | 42,146 |
3.75%, 4/15/2027 | 31,000 | 29,149 |
3.88%, 4/15/2030 | 218,000 | 197,729 |
4.50%, 4/15/2050 | 100,000 | 83,059 |
3.60%, 11/15/2060 | 18,000 | 12,002 |
Vodafone Group plc (United Kingdom) 5.13%, 6/19/2059 | 71,000 | 62,505 |
662,854 | ||
Total Corporate Bonds (Cost $48,211,926) | 43,854,126 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 97 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Asset-Backed Securities — 0.1% | ||
JetBlue Pass-Through Trust Series 2019-1, Class AA, 2.75%, 5/15/2032 | 19,049 | 16,056 |
United Airlines Pass-Through Trust Series 2020-1, Class B, 4.88%, 1/15/2026 | 20,258 | 19,572 |
Total Asset-Backed Securities (Cost $35,612) | 35,628 | |
SHARES | ||
Short-Term Investments — 0.6% | ||
Investment Companies — 0.6% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (e) (f) (Cost $265,119) | 265,119 | 265,119 |
Total Investments — 98.8% (Cost $48,512,657) | 44,154,873 | |
Other Assets Less Liabilities — 1.2% | 547,883 | |
NET ASSETS — 100.0% | 44,702,756 |
Percentages indicated are based on net assets. |
Abbreviations | |
CME | Chicago Mercantile Exchange |
ICE | Intercontinental Exchange |
LIBOR | London Interbank Offered Rate |
OYJ | Public Limited Company |
SOFR | Secured Overnight Financing Rate |
SOFRINDX | Compounding index of the Secured Overnight Financing Rate |
USD | United States Dollar |
^ | Amount rounds to less than 0.1% of net assets. | |
(a) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. | |
(b) | Contingent Capital security (“CoCo”). CoCos are hybrid debt securities that may be convertible into equity or may be written down if a pre-specified trigger event occurs. The total value of aggregate CoCo holdings at February 28, 2023 is $265,459 or 0.59% of the Fund’s net assets as of February 28, 2023 . | |
(c) | Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended. | |
(d) | Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of February 28, 2023. | |
(e) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(f) | The rate shown is the current yield as of February 28, 2023. |
98 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
AS OF February 28, 2023
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — 87.3% | ||
Azerbaijan — 0.5% | ||
Republic of Azerbaijan | ||
3.50%, 9/1/2032 (a) | 1,224,000 | 1,029,537 |
3.50%, 9/1/2032 (b) | 1,000 | 841 |
1,030,378 | ||
Bahrain — 5.6% | ||
CBB International Sukuk Co. 5 SPC 5.62%, 2/12/2024 | 1,589,000 | 1,581,849 |
CBB International Sukuk Co. 7 SPC 6.88%, 10/5/2025 (a) | 200,000 | 206,250 |
CBB International Sukuk Programme Co. SPC | ||
4.50%, 3/30/2027 (b) (c) | 389,000 | 378,983 |
3.95%, 9/16/2027 | 1,258,000 | 1,201,390 |
CBB International Sukuk Programme Co. WLL 3.88%, 5/18/2029 (a) | 242,000 | 215,985 |
Kingdom of Bahrain | ||
6.13%, 8/1/2023 (a) | 250,000 | 249,344 |
7.00%, 1/26/2026 (a) | 969,000 | 994,315 |
7.00%, 1/26/2026 (b) | 121,000 | 124,161 |
7.00%, 10/12/2028 (a) | 400,000 | 409,000 |
7.00%, 10/12/2028 (b) | 402,000 | 411,045 |
6.75%, 9/20/2029 (a) | 1,439,000 | 1,433,604 |
6.75%, 9/20/2029 | 365,000 | 363,631 |
5.63%, 9/30/2031 (a) | 558,000 | 515,453 |
5.45%, 9/16/2032 (a) | 737,000 | 663,300 |
5.25%, 1/25/2033 (a) | 1,713,000 | 1,492,451 |
5.25%, 1/25/2033 | 229,000 | 199,516 |
5.63%, 5/18/2034 (a) | 2,131,000 | 1,856,634 |
5.63%, 5/18/2034 | 531,000 | 462,634 |
12,759,545 | ||
Bolivia, Plurinational State of — 0.3% | ||
Plurinational State of Bolivia | ||
4.50%, 3/20/2028 (a) | 200,000 | 141,000 |
4.50%, 3/20/2028 | 661,000 | 466,005 |
607,005 | ||
Brazil — 7.1% | ||
Federative Republic of Brazil | ||
8.88%, 4/15/2024 | 346,000 | 356,986 |
4.25%, 1/7/2025 | 1,517,000 | 1,485,048 |
2.88%, 6/6/2025 | 1,342,000 | 1,258,796 |
6.00%, 4/7/2026 | 2,716,000 | 2,777,619 |
4.63%, 1/13/2028 | 1,088,000 | 1,034,824 |
4.50%, 5/30/2029 | 519,000 | 476,929 |
3.88%, 6/12/2030 | 1,995,000 | 1,716,697 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Brazil—continued | ||
3.75%, 9/12/2031 (c) | 1,294,000 | 1,087,607 |
8.25%, 1/20/2034 | 380,000 | 428,640 |
7.13%, 1/20/2037 | 395,000 | 417,046 |
5.63%, 1/7/2041 | 140,000 | 120,164 |
5.00%, 1/27/2045 | 992,000 | 760,616 |
5.63%, 2/21/2047 | 342,000 | 278,687 |
4.75%, 1/14/2050 | 5,561,000 | 3,987,585 |
16,187,244 | ||
Chile — 1.5% | ||
Republic of Chile | ||
2.75%, 1/31/2027 | 201,000 | 183,953 |
2.45%, 1/31/2031 (c) | 393,000 | 326,878 |
2.55%, 7/27/2033 | 1,670,000 | 1,309,175 |
3.10%, 5/7/2041 | 1,658,000 | 1,203,397 |
3.86%, 6/21/2047 | 200,000 | 157,100 |
3.50%, 4/15/2053 | 272,000 | 193,426 |
3.25%, 9/21/2071 | 200,000 | 122,600 |
3,496,529 | ||
China — 0.9% | ||
People's Republic of China | ||
1.95%, 12/3/2024 (a) | 200,000 | 190,214 |
1.25%, 10/26/2026 (a) | 208,000 | 184,887 |
1.25%, 10/26/2026 | 819,000 | 727,993 |
2.63%, 11/2/2027 (a) | 735,000 | 683,263 |
3.50%, 10/19/2028 (a) | 281,000 | 269,374 |
2,055,731 | ||
Colombia — 5.9% | ||
Republic of Colombia | ||
4.00%, 2/26/2024 | 358,000 | 351,131 |
8.13%, 5/21/2024 | 338,000 | 346,091 |
4.50%, 1/28/2026 | 200,000 | 188,100 |
4.50%, 3/15/2029 | 1,547,000 | 1,325,876 |
3.00%, 1/30/2030 (c) | 2,231,000 | 1,674,365 |
3.00%, 1/30/2030 | 222,000 | 166,611 |
3.13%, 4/15/2031 | 470,000 | 340,104 |
3.25%, 4/22/2032 | 1,852,000 | 1,309,364 |
7.38%, 9/18/2037 | 2,216,000 | 2,050,908 |
6.13%, 1/18/2041 | 1,889,000 | 1,474,364 |
4.13%, 2/22/2042 | 1,898,000 | 1,157,780 |
5.63%, 2/26/2044 | 876,000 | 627,654 |
5.00%, 6/15/2045 | 637,000 | 418,151 |
5.20%, 5/15/2049 | 2,637,000 | 1,743,387 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 99 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Colombia—continued | ||
4.13%, 5/15/2051 (c) | 238,000 | 138,456 |
3.88%, 2/15/2061 | 252,000 | 136,442 |
13,448,784 | ||
Costa Rica — 1.2% | ||
Republic of Costa Rica | ||
6.13%, 2/19/2031 (a) | 416,000 | 402,298 |
6.13%, 2/19/2031 | 750,000 | 725,297 |
7.00%, 4/4/2044 | 441,000 | 420,962 |
7.00%, 4/4/2044 (a) | 256,000 | 244,368 |
7.16%, 3/12/2045 | 1,041,000 | 1,007,037 |
2,799,962 | ||
Cote D'Ivoire — 0.4% | ||
Republic of Cote d'Ivoire | ||
6.13%, 6/15/2033 (a) | 833,000 | 716,380 |
6.13%, 6/15/2033 (b) | 210,000 | 180,600 |
896,980 | ||
Dominican Republic — 6.4% | ||
Dominican Republic Government Bond | ||
5.50%, 1/27/2025 (a) | 1,870,000 | 1,835,288 |
6.88%, 1/29/2026 (a) | 1,246,000 | 1,257,525 |
5.95%, 1/25/2027 (a) | 381,000 | 372,737 |
5.95%, 1/25/2027 (b) | 198,000 | 193,706 |
6.00%, 7/19/2028 (a) | 49,000 | 47,141 |
6.00%, 7/19/2028 (b) | 208,000 | 200,109 |
6.00%, 7/19/2028 | 443,000 | 426,194 |
4.50%, 1/30/2030 (a) | 3,553,000 | 3,044,033 |
4.88%, 9/23/2032 (a) | 1,100,000 | 919,050 |
5.30%, 1/21/2041 (a) | 150,000 | 116,981 |
7.45%, 4/30/2044 (a) | 386,000 | 369,547 |
7.45%, 4/30/2044 (b) | 302,000 | 289,127 |
6.85%, 1/27/2045 (a) | 956,000 | 849,526 |
6.85%, 1/27/2045 (b) (c) | 357,000 | 317,239 |
6.40%, 6/5/2049 (b) (c) | 305,000 | 252,921 |
6.40%, 6/5/2049 (a) | 1,333,000 | 1,105,390 |
6.40%, 6/5/2049 | 202,000 | 167,509 |
5.88%, 1/30/2060 (a) | 3,788,000 | 2,827,505 |
14,591,528 | ||
Egypt — 3.1% | ||
Arab Republic of Egypt | ||
5.75%, 5/29/2024 (a) | 1,141,000 | 1,078,245 |
5.88%, 6/11/2025 (a) | 224,000 | 197,680 |
7.50%, 1/31/2027 (a) | 227,000 | 194,085 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Egypt—continued | ||
5.80%, 9/30/2027 (a) | 282,000 | 219,960 |
6.59%, 2/21/2028 (a) | 445,000 | 345,988 |
7.60%, 3/1/2029 (a) | 910,000 | 709,800 |
5.88%, 2/16/2031 (a) | 1,282,000 | 852,370 |
7.63%, 5/29/2032 (a) | 3,408,000 | 2,406,474 |
7.90%, 2/21/2048 (a) | 941,000 | 564,600 |
8.70%, 3/1/2049 (a) | 582,000 | 371,752 |
7.50%, 2/16/2061 (a) | 360,000 | 211,500 |
7,152,454 | ||
Gabon — 0.3% | ||
Gabonese Republic 6.63%, 2/6/2031 (a) | 876,000 | 709,177 |
Guatemala — 0.5% | ||
Republic of Guatemala | ||
6.13%, 6/1/2050 (a) | 400,000 | 378,825 |
6.13%, 6/1/2050 | 767,000 | 726,397 |
1,105,222 | ||
Hungary — 1.0% | ||
Hungary Government Bond | ||
5.38%, 3/25/2024 | 110,000 | 109,608 |
5.25%, 6/16/2029 (a) | 201,000 | 195,724 |
2.13%, 9/22/2031 (a) | 943,000 | 719,037 |
7.63%, 3/29/2041 | 260,000 | 291,200 |
3.13%, 9/21/2051 | 1,566,000 | 951,345 |
2,266,914 | ||
India — 0.4% | ||
Export-Import Bank of India 3.25%, 1/15/2030 (a) | 974,000 | 841,170 |
Indonesia — 2.8% | ||
Perusahaan Penerbit SBSN Indonesia III | ||
2.80%, 6/23/2030 (a) | 718,000 | 627,038 |
2.55%, 6/9/2031 (a) | 400,000 | 337,044 |
Republic of Indonesia | ||
3.85%, 7/18/2027 (a) | 600,000 | 572,316 |
3.50%, 1/11/2028 | 1,968,000 | 1,847,829 |
4.10%, 4/24/2028 | 200,000 | 192,662 |
8.50%, 10/12/2035 (a) | 769,000 | 975,092 |
6.63%, 2/17/2037 (a) | 374,000 | 418,921 |
6.63%, 2/17/2037 (b) | 145,000 | 162,416 |
7.75%, 1/17/2038 | 100,000 | 122,269 |
4.20%, 10/15/2050 | 555,000 | 464,180 |
3.05%, 3/12/2051 | 854,000 | 612,839 |
6,332,606 |
100 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Iraq — 0.6% | ||
Republic of Iraq 5.80%, 1/15/2028 (a) | 1,492,500 | 1,367,783 |
Jamaica — 1.9% | ||
Jamaica Government Bond | ||
6.75%, 4/28/2028 | 294,000 | 305,999 |
6.75%, 4/28/2028 (c) | 1,339,000 | 1,393,648 |
8.00%, 3/15/2039 (c) | 204,000 | 244,290 |
7.88%, 7/28/2045 | 2,028,000 | 2,362,366 |
4,306,303 | ||
Jordan — 1.4% | ||
Hashemite Kingdom of Jordan | ||
6.13%, 1/29/2026 (b) | 346,000 | 340,010 |
5.75%, 1/31/2027 (a) | 952,000 | 922,428 |
5.85%, 7/7/2030 (a) | 1,680,000 | 1,516,200 |
7.38%, 10/10/2047 (a) | 553,000 | 483,633 |
3,262,271 | ||
Kazakhstan — 1.2% | ||
Republic of Kazakhstan | ||
3.88%, 10/14/2024 (b) | 350,000 | 350,503 |
3.88%, 10/14/2024 (a) | 205,000 | 205,295 |
5.13%, 7/21/2025 (a) | 1,036,000 | 1,067,598 |
4.88%, 10/14/2044 (a) | 497,000 | 447,238 |
6.50%, 7/21/2045 (a) | 591,000 | 624,354 |
2,694,988 | ||
Kenya — 2.0% | ||
Republic of Kenya | ||
6.88%, 6/24/2024 (a) | 1,929,000 | 1,793,970 |
6.88%, 6/24/2024 | 385,000 | 358,050 |
7.25%, 2/28/2028 (b) | 355,000 | 306,631 |
7.25%, 2/28/2028 (a) | 700,000 | 604,625 |
8.00%, 5/22/2032 (a) | 200,000 | 170,750 |
8.25%, 2/28/2048 (a) | 1,389,000 | 1,059,112 |
8.25%, 2/28/2048 | 343,000 | 261,538 |
4,554,676 | ||
Kuwait — 0.5% | ||
State of Kuwait | ||
3.50%, 3/20/2027 (a) | 1,016,000 | 977,456 |
3.50%, 3/20/2027 (b) (c) | 200,000 | 192,412 |
1,169,868 | ||
Mexico — 1.9% | ||
United Mexican States | ||
4.13%, 1/21/2026 | 261,000 | 254,345 |
4.15%, 3/28/2027 | 202,000 | 195,233 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Mexico—continued | ||
3.75%, 1/11/2028 | 473,000 | 441,782 |
4.50%, 4/22/2029 | 200,000 | 189,800 |
2.66%, 5/24/2031 | 235,000 | 189,645 |
6.05%, 1/11/2040 | 86,000 | 85,559 |
4.75%, 3/8/2044 | 140,000 | 116,095 |
4.60%, 1/23/2046 | 2,126,000 | 1,704,521 |
4.40%, 2/12/2052 (c) | 1,378,000 | 1,047,969 |
5.75%, 10/12/2110 | 122,000 | 107,802 |
4,332,751 | ||
Morocco — 0.5% | ||
Kingdom of Morocco | ||
3.00%, 12/15/2032 (a) | 754,000 | 571,155 |
4.00%, 12/15/2050 (a) | 624,000 | 399,360 |
4.00%, 12/15/2050 | 354,000 | 226,560 |
1,197,075 | ||
Oman — 7.1% | ||
Oman Sovereign Sukuk SAOC | ||
4.40%, 6/1/2024 (a) | 346,000 | 340,378 |
5.93%, 10/31/2025 (a) | 733,000 | 745,827 |
5.93%, 10/31/2025 | 237,000 | 241,148 |
4.88%, 6/15/2030 (a) | 1,475,000 | 1,461,448 |
Sultanate of Oman Government Bond | ||
4.88%, 2/1/2025 (a) | 402,000 | 395,292 |
4.75%, 6/15/2026 (a) | 500,000 | 484,156 |
4.75%, 6/15/2026 | 384,000 | 371,832 |
5.38%, 3/8/2027 (a) | 1,605,000 | 1,570,693 |
6.75%, 10/28/2027 (a) | 2,337,000 | 2,427,559 |
6.75%, 10/28/2027 | 532,000 | 552,615 |
5.63%, 1/17/2028 (a) | 1,657,000 | 1,621,582 |
6.00%, 8/1/2029 (a) | 612,000 | 610,776 |
6.00%, 8/1/2029 (b) | 221,000 | 220,558 |
6.25%, 1/25/2031 (a) | 421,000 | 424,368 |
7.38%, 10/28/2032 (a) | 950,000 | 1,035,381 |
6.50%, 3/8/2047 (a) | 1,913,000 | 1,783,872 |
6.50%, 3/8/2047 | 442,000 | 412,165 |
6.50%, 3/8/2047 (b) | 229,000 | 213,543 |
6.75%, 1/17/2048 (a) | 1,063,000 | 1,019,151 |
7.00%, 1/25/2051 (a) | 200,000 | 197,250 |
16,129,594 | ||
Panama — 1.8% | ||
Republic of Panama | ||
3.88%, 3/17/2028 | 207,000 | 193,519 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 101 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Panama—continued | ||
3.16%, 1/23/2030 | 1,218,000 | 1,043,903 |
2.25%, 9/29/2032 | 1,461,000 | 1,084,610 |
6.70%, 1/26/2036 | 205,000 | 216,313 |
4.50%, 4/16/2050 | 200,000 | 149,663 |
4.30%, 4/29/2053 | 514,000 | 370,176 |
3.87%, 7/23/2060 | 580,000 | 369,315 |
4.50%, 1/19/2063 | 943,000 | 672,064 |
4,099,563 | ||
Paraguay — 1.1% | ||
Republic of Paraguay | ||
4.95%, 4/28/2031 (a) | 932,000 | 874,798 |
6.10%, 8/11/2044 (a) | 262,000 | 246,739 |
6.10%, 8/11/2044 | 478,000 | 450,156 |
5.40%, 3/30/2050 (a) | 400,000 | 334,700 |
5.40%, 3/30/2050 | 593,000 | 496,193 |
2,402,586 | ||
Peru — 2.0% | ||
Republic of Peru | ||
7.35%, 7/21/2025 | 321,000 | 337,612 |
4.13%, 8/25/2027 | 543,000 | 524,606 |
2.78%, 1/23/2031 | 380,000 | 312,859 |
1.86%, 12/1/2032 | 785,000 | 568,781 |
8.75%, 11/21/2033 | 1,166,000 | 1,441,686 |
3.00%, 1/15/2034 (c) | 417,000 | 327,684 |
6.55%, 3/14/2037 | 54,000 | 57,419 |
3.30%, 3/11/2041 | 370,000 | 269,129 |
5.63%, 11/18/2050 | 66,000 | 64,527 |
3.23%, 7/28/2121 (c) | 1,168,000 | 676,564 |
4,580,867 | ||
Philippines — 2.5% | ||
Republic of Philippines | ||
10.63%, 3/16/2025 | 1,233,000 | 1,370,307 |
5.50%, 3/30/2026 | 514,000 | 521,767 |
9.50%, 2/2/2030 | 160,000 | 198,818 |
2.46%, 5/5/2030 | 308,000 | 259,138 |
7.75%, 1/14/2031 | 150,000 | 174,016 |
6.38%, 1/15/2032 (c) | 159,000 | 171,141 |
6.38%, 10/23/2034 | 196,000 | 212,682 |
5.00%, 1/13/2037 | 200,000 | 195,522 |
3.95%, 1/20/2040 | 200,000 | 167,022 |
3.70%, 3/1/2041 | 2,434,000 | 1,953,553 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Philippines—continued | ||
3.70%, 2/2/2042 | 424,000 | 338,187 |
3.20%, 7/6/2046 | 200,000 | 143,022 |
5,705,175 | ||
Poland — 0.6% | ||
Republic of Poland 3.25%, 4/6/2026 | 1,425,000 | 1,350,009 |
Qatar — 2.2% | ||
State of Qatar | ||
3.38%, 3/14/2024 (a) | 341,000 | 333,481 |
3.25%, 6/2/2026 (a) | 220,000 | 209,660 |
4.50%, 4/23/2028 (a) | 528,000 | 522,984 |
4.00%, 3/14/2029 (a) | 573,000 | 553,948 |
9.75%, 6/15/2030 (a) | 311,000 | 406,594 |
6.40%, 1/20/2040 (a) | 1,093,000 | 1,257,496 |
4.63%, 6/2/2046 (b) | 276,000 | 256,559 |
5.10%, 4/23/2048 (a) | 613,000 | 603,805 |
4.82%, 3/14/2049 (a) | 686,000 | 651,124 |
4.40%, 4/16/2050 (a) | 202,000 | 181,295 |
4,976,946 | ||
Romania — 1.2% | ||
Romania Government Bond | ||
3.00%, 2/27/2027 (a) | 1,162,000 | 1,037,085 |
5.25%, 11/25/2027 (a) | 74,000 | 71,503 |
3.00%, 2/14/2031 (a) | 286,000 | 230,945 |
3.63%, 3/27/2032 (a) | 56,000 | 46,060 |
3.63%, 3/27/2032 | 520,000 | 427,700 |
5.13%, 6/15/2048 (b) | 90,000 | 74,812 |
4.00%, 2/14/2051 (a) | 1,110,000 | 771,450 |
2,659,555 | ||
Saudi Arabia — 3.2% | ||
Kingdom of Saudi Arabia | ||
2.88%, 3/4/2023 (a) | 28,000 | 27,983 |
4.00%, 4/17/2025 (a) | 1,601,000 | 1,568,280 |
4.00%, 4/17/2025 | 212,000 | 207,667 |
3.63%, 3/4/2028 (a) | 1,699,000 | 1,603,431 |
3.63%, 3/4/2028 | 238,000 | 224,613 |
4.50%, 4/17/2030 (b) | 282,000 | 274,915 |
2.25%, 2/2/2033 (a) | 200,000 | 158,475 |
4.50%, 10/26/2046 (a) | 581,000 | 499,224 |
4.63%, 10/4/2047 (a) | 2,157,000 | 1,882,387 |
4.63%, 10/4/2047 (b) | 247,000 | 215,554 |
102 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Saudi Arabia—continued | ||
4.50%, 4/22/2060 (a) | 270,000 | 229,888 |
KSA Sukuk Ltd. 2.25%, 5/17/2031 (a) | 432,000 | 362,340 |
7,254,757 | ||
Senegal — 0.6% | ||
Republic of Senegal | ||
6.25%, 5/23/2033 (a) | 808,000 | 665,590 |
6.75%, 3/13/2048 (a) | 634,000 | 444,592 |
6.75%, 3/13/2048 | 219,000 | 153,574 |
1,263,756 | ||
Serbia — 0.3% | ||
Republic of Serbia 2.13%, 12/1/2030 (a) | 1,075,000 | 790,663 |
South Africa — 4.9% | ||
Republic of South Africa | ||
4.67%, 1/17/2024 | 215,000 | 211,748 |
5.88%, 9/16/2025 | 910,000 | 903,914 |
4.88%, 4/14/2026 | 938,000 | 896,963 |
4.85%, 9/27/2027 (c) | 842,000 | 792,533 |
4.30%, 10/12/2028 | 595,000 | 526,575 |
4.85%, 9/30/2029 | 1,160,000 | 1,019,350 |
5.88%, 6/22/2030 (c) | 1,365,000 | 1,255,800 |
5.88%, 4/20/2032 | 275,000 | 244,406 |
5.38%, 7/24/2044 | 1,419,000 | 1,046,513 |
5.00%, 10/12/2046 (c) | 2,010,000 | 1,376,850 |
5.65%, 9/27/2047 | 3,483,000 | 2,533,882 |
7.30%, 4/20/2052 | 344,000 | 295,840 |
11,104,374 | ||
Trinidad And Tobago — 0.4% | ||
Republic of Trinidad and Tobago | ||
4.50%, 8/4/2026 (a) | 200,000 | 193,600 |
4.50%, 8/4/2026 (a) (c) | 801,000 | 775,368 |
968,968 | ||
Tunisia — 0.3% | ||
Banque Centrale de Tunisie 5.75%, 1/30/2025 (a) | 650,000 | 439,685 |
Tunisian Republic 5.75%, 1/30/2025 (a) | 266,000 | 179,932 |
619,617 | ||
Turkey — 8.0% | ||
Hazine Mustesarligi Varlik Kiralama A/S | ||
4.49%, 11/25/2024 (b) | 1,000 | 943 |
4.49%, 11/25/2024 (a) | 220,000 | 207,350 |
5.13%, 6/22/2026 (a) | 832,000 | 741,936 |
7.25%, 2/24/2027 (a) | 1,001,000 | 950,512 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Turkey—continued | ||
Republic of Turkey | ||
5.75%, 3/22/2024 (c) | 939,000 | 914,234 |
7.38%, 2/5/2025 (c) | 432,000 | 423,900 |
4.25%, 3/13/2025 | 741,000 | 677,089 |
4.75%, 1/26/2026 | 2,876,000 | 2,566,830 |
4.25%, 4/14/2026 | 1,012,000 | 882,970 |
4.88%, 10/9/2026 | 1,126,000 | 982,435 |
6.00%, 3/25/2027 | 692,000 | 617,610 |
5.13%, 2/17/2028 | 238,000 | 201,110 |
7.63%, 4/26/2029 | 409,000 | 374,746 |
11.88%, 1/15/2030 | 245,000 | 281,138 |
5.95%, 1/15/2031 | 2,553,000 | 2,067,930 |
5.88%, 6/26/2031 | 2,101,000 | 1,665,042 |
6.50%, 9/20/2033���(c) | 3,251,999 | 2,609,730 |
8.00%, 2/14/2034 (c) | 873,000 | 838,080 |
6.88%, 3/17/2036 | 104,000 | 83,460 |
6.75%, 5/30/2040 (c) | 646,000 | 504,687 |
6.00%, 1/14/2041 | 200,000 | 142,250 |
6.63%, 2/17/2045 | 255,000 | 191,569 |
5.75%, 5/11/2047 | 595,000 | 397,906 |
18,323,457 | ||
United Arab Emirates — 1.8% | ||
Sharjah Sukuk Program Ltd. 2.94%, 6/10/2027 (a) | 200,000 | 179,538 |
United Arab Emirates Government Bond | ||
2.50%, 4/16/2025 (a) | 200,000 | 189,800 |
3.13%, 10/11/2027 (a) | 1,162,000 | 1,094,459 |
1.63%, 6/2/2028 (a) | 406,000 | 353,727 |
1.88%, 9/15/2031 (a) | 474,000 | 387,495 |
5.25%, 1/30/2043 (a) | 200,000 | 181,912 |
3.13%, 9/30/2049 (a) | 946,000 | 681,120 |
3.13%, 9/30/2049 (b) | 265,000 | 190,800 |
3.88%, 4/16/2050 (a) | 200,000 | 164,500 |
4.00%, 7/28/2050 (a) | 200,000 | 126,725 |
3.25%, 10/19/2061 (a) | 668,000 | 484,300 |
4,034,376 | ||
Uruguay — 1.2% | ||
Oriental Republic of Uruguay | ||
4.38%, 10/27/2027 | 444,000 | 441,336 |
4.38%, 1/23/2031 | 273,000 | 265,766 |
7.63%, 3/21/2036 | 100,000 | 124,200 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 103 |
AS OF February 28, 2023 (continued)
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Foreign Government Securities — continued | ||
Uruguay—continued | ||
5.10%, 6/18/2050 (c) | 1,531,000 | 1,498,849 |
4.98%, 4/20/2055 | 482,000 | 461,274 |
2,791,425 | ||
Vietnam — 0.2% | ||
Socialist Republic of Vietnam | ||
4.80%, 11/19/2024 (b) | 200,000 | 195,272 |
4.80%, 11/19/2024 (a) | 200,000 | 195,272 |
390,544 | ||
Total Foreign Government Securities (Cost $207,150,944) | 198,613,176 | |
Corporate Bonds — 10.3% | ||
Azerbaijan — 1.1% | ||
Southern Gas Corridor CJSC | ||
6.88%, 3/24/2026 (a) | 2,010,000 | 2,050,200 |
6.88%, 3/24/2026 (b) | 393,000 | 400,860 |
2,451,060 | ||
Bahrain — 0.3% | ||
Oil and Gas Holding Co. BSCC (The) | ||
7.50%, 10/25/2027 (b) | 203,000 | 208,905 |
7.50%, 10/25/2027 (a) | 362,000 | 372,531 |
581,436 | ||
Chile — 0.7% | ||
Corp. Nacional del Cobre de Chile | ||
3.00%, 9/30/2029 | 945,000 | 819,965 |
4.38%, 2/5/2049 (a) | 200,000 | 164,225 |
3.70%, 1/30/2050 (a) | 320,000 | 232,160 |
3.70%, 1/30/2050 | 200,000 | 145,100 |
Empresa de Transporte de Pasajeros Metro SA 4.70%, 5/7/2050 (a) | 200,000 | 170,100 |
1,531,550 | ||
China — 1.5% | ||
CNAC HK Finbridge Co. Ltd. 4.13%, 7/19/2027 (a) | 200,000 | 187,468 |
Minmetals Bounteous Finance BVI Ltd. (US Treasury Yield Curve Rate T Note Constant Maturity 5 Year + 5.21%), 3.38%, 9/3/2024 (a) (d) (e) (f) | 400,000 | 386,000 |
Sinopec Group Overseas Development 2012 Ltd. 4.88%, 5/17/2042 (a) | 200,000 | 192,300 |
Sinopec Group Overseas Development 2017 Ltd. 3.63%, 4/12/2027 (b) | 200,000 | 190,848 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
China — continued | ||
Sinopec Group Overseas Development 2018 Ltd. | ||
2.15%, 5/13/2025 (a) | 608,000 | 567,604 |
2.95%, 11/12/2029 | 752,000 | 670,506 |
State Grid Overseas Investment BVI Ltd. | ||
3.50%, 5/4/2027 (b) | 2,000 | 1,901 |
3.50%, 5/4/2027 (c) | 954,000 | 906,911 |
1.63%, 8/5/2030 (a) | 200,000 | 162,826 |
1.63%, 8/5/2030 | 200,000 | 162,826 |
3,429,190 | ||
Indonesia — 0.6% | ||
Indonesia Asahan Aluminium Persero PT 5.45%, 5/15/2030 | 378,000 | 372,806 |
Pertamina Persero PT | ||
1.40%, 2/9/2026 (a) | 438,000 | 390,416 |
4.18%, 1/21/2050 (a) (c) | 485,000 | 372,025 |
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara | ||
6.15%, 5/21/2048 (a) | 218,000 | 206,323 |
4.00%, 6/30/2050 (a) | 200,000 | 141,288 |
1,482,858 | ||
Malaysia — 1.3% | ||
Petronas Capital Ltd. | ||
3.50%, 3/18/2025 | 400,000 | 385,846 |
3.50%, 4/21/2030 (a) | 1,498,000 | 1,365,892 |
2.48%, 1/28/2032 (a) | 200,000 | 164,475 |
4.55%, 4/21/2050 (a) | 320,000 | 288,860 |
3.40%, 4/28/2061 (a) | 1,241,000 | 869,708 |
3,074,781 | ||
Mexico — 1.6% | ||
Banco Nacional de Comercio Exterior SNC 4.38%, 10/14/2025 (c) | 512,000 | 495,456 |
Mexico City Airport Trust 5.50%, 7/31/2047 (a) | 209,000 | 155,034 |
Petroleos Mexicanos | ||
4.50%, 1/23/2026 (c) | 654,000 | 601,843 |
6.70%, 2/16/2032 | 851,000 | 673,652 |
6.63%, 6/15/2035 | 270,000 | 198,334 |
6.50%, 6/2/2041 | 474,000 | 317,296 |
6.75%, 9/21/2047 | 1,762,000 | 1,134,904 |
6.95%, 1/28/2060 | 267,000 | 171,087 |
3,747,606 |
104 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
INVESTMENTS | PRINCIPAL AMOUNT($) | VALUE($) |
Corporate Bonds — continued | ||
Panama — 0.3% | ||
Aeropuerto Internacional de Tocumen SA 5.13%, 8/11/2061 (a) | 200,000 | 156,850 |
Banco Nacional de Panama 2.50%, 8/11/2030 (c) | 566,000 | 448,838 |
605,688 | ||
Peru — 0.2% | ||
Petroleos del Peru SA | ||
4.75%, 6/19/2032 | 436,000 | 331,850 |
5.63%, 6/19/2047 (b) | 200,000 | 132,940 |
464,790 | ||
Qatar — 0.6% | ||
QatarEnergy 3.13%, 7/12/2041 (a) | 1,705,000 | 1,288,660 |
South Africa — 1.0% | ||
Eskom Holdings SOC Ltd. | ||
6.75%, 8/6/2023 (b) | 2,000 | 1,979 |
7.13%, 2/11/2025 (b) | 327,000 | 321,146 |
7.13%, 2/11/2025 (a) | 1,828,000 | 1,795,279 |
6.35%, 8/10/2028 (b) | 240,000 | 224,550 |
2,342,954 | ||
United Arab Emirates — 1.1% | ||
Abu Dhabi Crude Oil Pipeline LLC 4.60%, 11/2/2047 (a) | 475,000 | 431,745 |
DP World Ltd. 6.85%, 7/2/2037 (a) | 610,000 | 675,697 |
MDGH GMTN RSC Ltd. | ||
2.88%, 11/7/2029 (a) | 1,213,000 | 1,073,505 |
2.88%, 5/21/2030 (a) | 201,000 | 175,662 |
3.38%, 3/28/2032 (a) | 212,000 | 188,362 |
2,544,971 | ||
Total Corporate Bonds (Cost $24,704,726) | 23,545,544 | |
SHARES | ||
Short-Term Investments — 5.2% | ||
Investment Companies — 0.5% | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h)(Cost $1,134,608) | 1,134,608 | 1,134,608 |
Investment of Cash Collateral from Securities Loaned — 4.7% | ||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (g) (h) | 8,798,781 | 8,802,300 |
INVESTMENTS | SHARES | VALUE($) |
Investment of Cash Collateral from Securities Loaned — continued | ||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (g) (h) | 1,809,720 | 1,809,720 |
Total Investment of Cash Collateral from Securities Loaned (Cost $10,612,220) | 10,612,020 | |
Total Short-Term Investments (Cost $11,746,828) | 11,746,628 | |
Total Investments — 102.8% (Cost $243,602,498) | 233,905,348 | |
Liabilities in Excess of Other Assets — (2.8)% | (6,320,983) | |
NET ASSETS — 100.0% | 227,584,365 |
Percentages indicated are based on net assets. |
Abbreviations | |
CJSC | Closed Joint Stock Company |
GMTN | Global Medium Term Note |
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) | The security or a portion of this security is on loan at February 28, 2023. The total value of securities on loan at February 28, 2023 is $10,236,607. |
(d) | Security is an interest bearing note with preferred security characteristics. |
(e) | 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 28, 2023. |
(f) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown is the current rate as of February 28, 2023. |
(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 28, 2023. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 105 |
AS OF February 28, 2023
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | |
ASSETS: | |||
Investments in non-affiliates, at value | $34,983,724 | $1,299,489,298 | $330,635,906 |
Investments in affiliates, at value | 758,888 | 91,260,954 | 3,094,499 |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | — | 15,781,868 | — |
Cash | — | 297,622 | 18,592 |
Foreign currency, at value | 21 | 1 | — |
Segregated cash balance with Authorized Participant for deposit securities | — | — | 18,544,481 |
Receivables: | |||
Investment securities sold | 1,006,831 | 13,027,924 | 8,872,550 |
Interest from non-affiliates | 147,540 | 6,052,382 | 5,744,329 |
Dividends from affiliates | 92 | 11,088 | 376 |
Tax reclaims | — | 82 | — |
Securities lending income (See Note 2.D.) | 35 | 8,609 | — |
Total Assets | 36,897,131 | 1,425,929,828 | 366,910,733 |
LIABILITIES: | |||
Payables: | |||
Due to custodian | 941 | — | — |
Investment securities purchased | 986,356 | 16,291,795 | 10,850,921 |
Investment securities purchased — delayed delivery securities | 689,804 | 81,733,814 | — |
Collateral received on securities loaned (See Note 2.D.) | — | 15,781,868 | — |
Collateral upon return of deposit securities | — | — | 18,544,481 |
Accrued liabilities: | |||
Management fees (See Note 3.A.) | 1,239 | 21,374 | 36,025 |
Total Liabilities | 1,678,340 | 113,828,851 | 29,431,427 |
Net Assets | $35,218,791 | $1,312,100,977 | $337,479,306 |
NET ASSETS: | |||
Paid-in-Capital | $37,732,177 | $1,482,051,679 | $421,065,847 |
Total distributable earnings (loss) | (2,513,386) | (169,950,702) | (83,586,541) |
Total Net Assets | $35,218,791 | $1,312,100,977 | $337,479,306 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 749,946 | 28,573,203 | 7,600,000 |
Net asset value, per share | $46.96 | $45.92 | $44.41 |
Cost of investments in non-affiliates | $37,151,028 | $1,424,335,886 | $362,014,120 |
Cost of investments in affiliates | 758,888 | 91,260,954 | 3,094,499 |
Cost of foreign currency | 20 | 1 | — |
Investment securities on loan, at value (See Note 2.D.) | — | 15,321,337 | — |
Cost of investment of cash collateral (See Note 2.D.) | — | 15,781,868 | — |
106 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | JPMorgan USD Emerging Markets Sovereign Bond ETF | |
ASSETS: | ||
Investments in non-affiliates, at value | $43,889,754 | $222,158,720 |
Investments in affiliates, at value | 265,119 | 1,134,608 |
Investments of cash collateral received from securities loaned, at value (See Note 2.D.) | — | 10,612,020 |
Cash | 6,270 | 47,390 |
Foreign currency, at value | — | 654 |
Segregated cash balance with Authorized Participant for deposit securities | — | 2,838,979 |
Receivables: | ||
Investment securities sold | 1,637,676 | 3,695,844 |
Interest from non-affiliates | 509,834 | 3,323,884 |
Dividends from affiliates | 32 | 138 |
Securities lending income (See Note 2.D.) | — | 12,653 |
Total Assets | 46,308,685 | 243,824,890 |
LIABILITIES: | ||
Payables: | ||
Investment securities purchased | 1,592,130 | 2,722,203 |
Collateral received on securities loaned (See Note 2.D.) | — | 10,612,020 |
Collateral upon return of deposit securities | — | 2,838,979 |
Accrued liabilities: | ||
Management fees (See Note 3.A.) | 3,000 | 67,323 |
Other | 10,799 | — |
Total Liabilities | 1,605,929 | 16,240,525 |
Net Assets | $44,702,756 | $227,584,365 |
NET ASSETS: | ||
Paid-in-Capital | $51,898,290 | $248,710,732 |
Total distributable earnings (loss) | (7,195,534) | (21,126,367) |
Total Net Assets | $44,702,756 | $227,584,365 |
Outstanding number of shares (unlimited number of shares authorized - par value $0.0001) | 1,000,000 | 5,900,000 |
Net asset value, per share | $44.70 | $38.57 |
Cost of investments in non-affiliates | $48,247,538 | $231,855,670 |
Cost of investments in affiliates | 265,119 | 1,134,608 |
Cost of foreign currency | — | 655 |
Investment securities on loan, at value (See Note 2.D.) | — | 10,236,607 |
Cost of investment of cash collateral (See Note 2.D.) | — | 10,612,220 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 107 |
FOR THE YEAR ENDED February 28, 2023
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | |
INVESTMENT INCOME: | |||
Interest income from non-affiliates | $635,231 | $26,299,571 | $28,300,749 |
Interest income from affiliates | 160 | 55 | 12 |
Dividend income from affiliates | 19,369 | 1,470,241 | 148,431 |
Income from securities lending (net) (See Note 2.D.) | 100 | 36,218 | — |
Total investment income | 654,860 | 27,806,085 | 28,449,192 |
EXPENSES: | |||
Management fees (See Note 3.A.) | 17,168 | 691,855 | 1,286,130 |
Interest expense to affiliates | — | 1 | — |
Proxy fees | 19,253 | 28,618 | — |
Total expenses | 36,421 | 720,474 | 1,286,130 |
Net investment income (loss) | 618,439 | 27,085,611 | 27,163,062 |
REALIZED/UNREALIZED GAINS (LOSSES): | |||
Net realized gain (loss) on transactions from: | |||
Investments in non-affiliates | (375,571) | (44,690,698) | (41,913,794) |
In-kind redemptions of investments in non-affiliates (See Note 4) | (295,945) | (16,128,231) | (68,352,014) |
Foreign currency transactions | — | (5) | — |
Net realized gain (loss) | (671,516) | (60,818,934) | (110,265,808) |
Change in net unrealized appreciation/depreciation on: | |||
Investments in non-affiliates | (1,509,961) | (86,598,604) | 25,674,401 |
Investments in affiliates | — | 899 | — |
Foreign currency translations | 1 | — | — |
Change in net unrealized appreciation/depreciation | (1,509,960) | (86,597,705) | 25,674,401 |
Net realized/unrealized gains (losses) | (2,181,476) | (147,416,639) | (84,591,407) |
Change in net assets resulting from operations | $(1,563,037) | $(120,331,028) | $(57,428,345) |
108 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | JPMorgan USD Emerging Markets Sovereign Bond ETF | |
INVESTMENT INCOME: | ||
Interest income from non-affiliates | $1,488,848 | $5,844,999 |
Interest income from affiliates | — | 1 |
Dividend income from affiliates | 5,928 | 11,094 |
Income from securities lending (net) (See Note 2.D.) | — | 50,079 |
Total investment income | 1,494,776 | 5,906,173 |
EXPENSES: | ||
Management fees (See Note 3.A.) | 57,997 | 382,429 |
Proxy fees | — | 226 |
Total expenses | 57,997 | 382,655 |
Net investment income (loss) | 1,436,779 | 5,523,518 |
REALIZED/UNREALIZED GAINS (LOSSES): | ||
Net realized gain (loss) on transactions from: | ||
Investments in non-affiliates | (2,943,409) | (8,459,955) |
In-kind redemptions of investments in non-affiliates (See Note 4) | (1,261,532) | — |
Futures contracts | (18,457) | — |
Foreign currency transactions | — | (2) |
Net realized gain (loss) | (4,223,398) | (8,459,957) |
Change in net unrealized appreciation/depreciation on: | ||
Investments in non-affiliates | (2,465,677) | (1,837,357) |
Investments in affiliates | — | (200) |
Futures contracts | 110 | — |
Foreign currency translations | — | (1) |
Change in net unrealized appreciation/depreciation | (2,465,567) | (1,837,558) |
Net realized/unrealized gains (losses) | (6,688,965) | (10,297,515) |
Change in net assets resulting from operations | $(5,252,186) | $(4,773,997) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 109 |
FOR THE PERIODS INDICATED
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | |||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $618,439 | $536,337 | $27,085,611 | $13,989,635 |
Net realized gain (loss) | (671,516) | 209,822 | (60,818,934) | (2,350,814) |
Change in net unrealized appreciation/depreciation | (1,509,960) | (1,505,381) | (86,597,705) | (41,110,948) |
Change in net assets resulting from operations | (1,563,037) | (759,222) | (120,331,028) | (29,472,127) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (595,951) | (784,471) | (25,156,927) | (15,219,336) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | 2,484,884 | (23,217,818) | 433,321,856 | 242,169,209 |
NET ASSETS: | ||||
Change in net assets | 325,896 | (24,761,511) | 287,833,901 | 197,477,746 |
Beginning of period | 34,892,895 | 59,654,406 | 1,024,267,076 | 826,789,330 |
End of period | $35,218,791 | $34,892,895 | $1,312,100,977 | $1,024,267,076 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $9,656,173 | $19,211,437 | $874,225,342 | $696,907,792 |
Cost of shares redeemed | (7,171,289) | (42,429,255) | (440,903,486) | (454,738,583) |
Total change in net assets resulting from capital transactions | $2,484,884 | $(23,217,818) | $433,321,856 | $242,169,209 |
SHARE TRANSACTIONS: | ||||
Issued | 200,000 | 375,000(a) | 18,200,000 | 12,925,000(a) |
Redeemed | (150,000) | (825,054)(a) | (9,275,000) | (8,476,797)(a) |
Net increase (decrease) in shares from share transactions | 50,000 | (450,054) | 8,925,000 | 4,448,203 |
110 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | |||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||
Net investment income (loss) | $27,163,062 | $60,400,432 | $1,436,779 | $1,375,203 |
Net realized gain (loss) | (110,265,808) | 5,498,489 | (4,223,398) | 196,620 |
Change in net unrealized appreciation/depreciation | 25,674,401 | (58,608,372) | (2,465,567) | (3,536,948) |
Change in net assets resulting from operations | (57,428,345) | 7,290,549 | (5,252,186) | (1,965,125) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||||
Total distributions to shareholders | (32,446,703) | (67,588,263) | (1,407,883) | (1,888,820) |
CAPITAL TRANSACTIONS: | ||||
Change in net assets resulting from capital transactions | (1,026,204,410) | (45,777,577) | (115,868) | — |
NET ASSETS: | ||||
Change in net assets | (1,116,079,458) | (106,075,291) | (6,775,937) | (3,853,945) |
Beginning of period | 1,453,558,764 | 1,559,634,055 | 51,478,693 | 55,332,638 |
End of period | $337,479,306 | $1,453,558,764 | $44,702,756 | $51,478,693 |
CAPITAL TRANSACTIONS: | ||||
Proceeds from shares issued | $175,355,945 | $195,784,063 | $25,305,039 | $— |
Cost of shares redeemed | (1,201,560,355) | (241,561,640) | (25,420,907) | — |
Total change in net assets resulting from capital transactions | $(1,026,204,410) | $(45,777,577) | $(115,868) | $— |
SHARE TRANSACTIONS: | ||||
Issued | 3,900,000 | 3,800,000 | 550,000 | — |
Redeemed | (25,600,000) | (4,700,000) | (550,000) | — |
Net increase (decrease) in shares from share transactions | (21,700,000) | (900,000) | — | — |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 111 |
FOR THE PERIODS INDICATED (continued)
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||
Year Ended February 28, 2023 | Year Ended February 28, 2022 | |
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||
Net investment income (loss) | $5,523,518 | $3,222,748 |
Net realized gain (loss) | (8,459,957) | 754,185 |
Change in net unrealized appreciation/depreciation | (1,837,558) | (10,014,066) |
Change in net assets resulting from operations | (4,773,997) | (6,037,133) |
DISTRIBUTIONS TO SHAREHOLDERS: | ||
Total distributions to shareholders | (4,644,990) | (3,273,450) |
CAPITAL TRANSACTIONS: | ||
Change in net assets resulting from capital transactions | 167,527,357 | (4,964,085) |
NET ASSETS: | ||
Change in net assets | 158,108,370 | (14,274,668) |
Beginning of period | 69,475,995 | 83,750,663 |
End of period | $227,584,365 | $69,475,995 |
CAPITAL TRANSACTIONS: | ||
Proceeds from shares issued | $167,527,357 | $39,044,798 |
Cost of shares redeemed | — | (44,008,883) |
Total change in net assets resulting from capital transactions | $167,527,357 | $(4,964,085) |
SHARE TRANSACTIONS: | ||
Issued | 4,300,000 | 800,000 |
Redeemed | — | (900,000) |
Net increase (decrease) in shares from share transactions | 4,300,000 | (100,000) |
112 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 1-5 Year U.S. Aggregate Bond ETF | |||||||
Year Ended February 28, 2023 | $49.85 | $0.81 | $(2.92) | $(2.11) | $(0.78) | $— | $(0.78) |
Year Ended February 28, 2022 (f) | 51.87 | 0.53 | (1.72) | (1.19) | (0.57) | (0.26) | (0.83) |
Year Ended February 28, 2021 (f) | 51.72 | 0.85 | 0.34 | 1.19 | (0.83) | (0.21) | (1.04) |
March 12, 2019 (g) through February 29, 2020 (f) | 50.00 | 1.17 | 1.76 | 2.93 | (1.21) | — | (1.21) |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | |||||||
Year Ended February 28, 2023 | 52.13 | 1.13 | (6.27) | (5.14) | (1.07) | — | (1.07) |
Year Ended February 28, 2022 (f) | 54.39 | 0.71 | (2.19) | (1.48) | (0.72) | (0.06) | (0.78) |
Year Ended February 28, 2021 (f) | 54.86 | 0.89 | (0.32) | 0.57 | (0.85) | (0.19) | (1.04) |
Year Ended February 29, 2020 (f) | 50.63 | 1.39 | 4.35 | 5.74 | (1.44) | (0.07) | (1.51) |
December 12, 2018 (g) through February 28, 2019 (f) | 50.00 | 0.36 | 0.58 | 0.94 | (0.31) | — | (0.31) |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | |||||||
Year Ended February 28, 2023 | 49.61 | 2.26 | (4.84) | (2.58) | (2.62) | — | (2.62) |
Year Ended February 28, 2022 | 51.64 | 1.97 | (1.79) | 0.18 | (2.21) | — | (2.21) |
Year Ended February 28, 2021 | 50.31 | 2.12 | 1.31(k) | 3.43 | (2.07) | (0.03) | (2.10) |
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) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(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) | Per share amounts reflects a 1:2 reverse stock split that occurred on April 12, 2021. See Note 1. |
(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 net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
(i) | 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. |
(j) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
(k) | Calculation of the net realized and unrealized gains (losses) per share does 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. |
114 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | Portfolio turnover rate (c) |
$46.96 | $47.00 | (4.24)% | (4.20)% | $35,218,791 | 0.10% | 1.70% | 0.10% | 60% |
49.85 | 49.87 | (2.31) | (2.44) | 34,892,895 | 0.05 | 1.02 | 0.05 | 45 |
51.87 | 51.96 | 2.32 | 2.55 | 59,654,406 | 0.05 | 1.62 | 0.05 | 40 |
51.72 | 51.68 | 5.93 | 5.85(h) | 37,495,084 | 0.05 | 2.38 | 0.05 | 56 |
45.92 | 45.92 | (9.91) | (9.93) | 1,312,100,977 | 0.06 | 2.39 | 0.06 | 107 |
52.13 | 52.14 | (2.76) | (2.69) | 1,024,267,076 | 0.07 | 1.32 | 0.07 | 78 |
54.39 | 54.36 | 1.04 | 0.85 | 826,789,330 | 0.07 | 1.60 | 0.07 | 64 |
54.86 | 54.92 | 11.46 | 11.49 | 543,070,946 | 0.07 | 2.61 | 0.20(i) | 57 |
50.63 | 50.68 | 1.90 | 1.98(h) | 98,730,082 | 0.07(j) | 3.26 | 1.14(i)(j) | 53 |
44.41 | 44.44 | (5.16) | (5.20) | 337,479,306 | 0.23 | 4.93 | 0.23 | 39 |
49.61 | 49.65 | 0.26 | 0.40 | 1,453,558,764 | 0.24 | 3.83 | 0.24 | 46 |
51.64 | 51.61 | 7.16 | 6.43 | 1,559,634,055 | 0.23 | 4.18 | 0.23 | 50 |
50.31 | 50.62 | 6.15 | 6.88 | 171,037,324 | 0.32 | 4.90 | 0.44(i) | 128 |
49.86 | 49.82 | 4.66 | 4.00 | 154,570,385 | 0.40 | 5.01 | 0.57(i) | 23 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 115 |
FOR THE PERIODS INDICATED (continued)
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 USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | |||||||
Year Ended February 28, 2023 | $51.48 | $1.55 | $(6.80) | $(5.25) | $(1.53) | $— | $(1.53) |
Year Ended February 28, 2022 | 55.33 | 1.38 | (3.34) | (1.96) | (1.40) | (0.49) | (1.89) |
Year Ended February 28, 2021 | 56.27 | 1.58 | (0.31) | 1.27 | (1.46) | (0.75) | (2.21) |
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 USD Emerging Markets Sovereign Bond ETF | |||||||
Year Ended February 28, 2023 | 43.42 | 2.20 | (5.07) | (2.87) | (1.98) | — | (1.98) |
Year Ended February 28, 2022 | 49.27 | 2.03 | (5.81) | (3.78) | (2.07) | — | (2.07) |
Year Ended February 28, 2021 | 50.95 | 2.17 | (1.83) | 0.34 | (2.02) | — | (2.02) |
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) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(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) | 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 net asset value is used as a proxy for the secondary market trading price to calculate the market returns. |
(i) | Certain non-recurring expenses incurred by the Portfolio were not annualized for the period indicated. |
116 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | Portfolio turnover rate (c) |
$44.70 | $44.74 | (10.25)% | (10.32)% | $44,702,756 | 0.14% | 3.36% | 0.14% | 35% |
51.48 | 51.56 | (3.70) | (3.83) | 51,478,693 | 0.14 | 2.51 | 0.14 | 36 |
55.33 | 55.48 | 2.24 | 2.09 | 55,332,638 | 0.14 | 2.81 | 0.14 | 41 |
56.27 | 56.50 | 15.74 | 15.95 | 35,170,394 | 0.14 | 3.58 | 0.65(f) | 67 |
51.19 | 51.30 | 3.26 | 3.48(h) | 25,595,493 | 0.14(i) | 3.98 | 2.13(f)(i) | 12 |
38.57 | 38.83 | (6.59) | (7.36) | 227,584,365 | 0.39 | 5.63 | 0.39 | 34 |
43.42 | 44.06 | (8.06) | (6.78) | 69,475,995 | 0.39 | 4.17 | 0.39 | 38 |
49.27 | 49.30 | 0.85 | 0.50 | 83,750,663 | 0.39 | 4.50 | 0.39 | 59 |
50.95 | 51.15 | 12.25 | 12.44 | 91,713,454 | 0.39 | 4.64 | 0.58(f) | 53 |
47.52 | 47.62 | 2.29 | 2.23 | 61,776,747 | 0.39 | 4.96 | 0.87(f) | 28 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 117 |
AS OF February 28, 2023
Diversification Classification | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | Diversified |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF)(1) | Diversified |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF)(2) | Diversified |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF)(3) | Diversified |
JPMorgan USD Emerging Markets Sovereign Bond ETF | Diversified |
(1) | Effective February 1 2023, JPMorgan U.S. Aggregate Bond ETF changed its name to JPMorgan BetaBuilders U.S. Aggregate Bond ETF. |
(2) | Effective February 1 2023, JPMorgan High Yield Research Enhanced ETF changed its name to JPMorgan BetaBuilders USD High Yield Corporate Bond ETF. |
(3) | Effective February 1 2023, JPMorgan Corporate Bond Research Enhanced ETF changed its name to JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF. |
Listing Exchange | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | Cboe BZX Exchange, Inc. |
BetaBuilders U.S. Aggregate Bond ETF | NYSE Arca |
BetaBuilders USD High Yield Corporate Bond ETF | Cboe BZX Exchange, Inc. |
BetaBuilders USD Investment Grade Corporate Bond ETF | NYSE Arca |
USD Emerging Markets Sovereign Bond ETF | NYSE Arca |
118 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 119 |
AS OF February 28, 2023 (continued)
BetaBuilders 1-5 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 | $— | $372,787 | $— | $372,787 |
Commercial Mortgage-Backed Securities | — | 778,639 | — | 778,639 |
Corporate Bonds | — | 9,117,791 | — | 9,117,791 |
Foreign Government Securities | — | 436,284 | — | 436,284 |
Mortgage-Backed Securities | — | 2,590,340 | — | 2,590,340 |
Municipal Bonds | — | 44,661 | — | 44,661 |
Supranational | — | 878,969 | — | 878,969 |
U.S. Government Agency Securities | — | 620,827 | — | 620,827 |
U.S. Treasury Obligations | — | 20,143,426 | — | 20,143,426 |
Short-Term Investments | ||||
Investment Companies | 758,888 | — | — | 758,888 |
Total Investments in Securities | $758,888 | $34,983,724 | $— | $35,742,612 |
BetaBuilders 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 | $— | $4,001,248 | $— | $4,001,248 |
Commercial Mortgage-Backed Securities | — | 20,463,699 | — | 20,463,699 |
Corporate Bonds | — | 323,238,957 | — | 323,238,957 |
Foreign Government Securities | — | 20,190,388 | — | 20,190,388 |
Mortgage-Backed Securities | — | 362,631,667 | — | 362,631,667 |
Municipal Bonds | — | 4,979,767 | — | 4,979,767 |
Supranational | — | 16,184,382 | — | 16,184,382 |
U.S. Government Agency Securities | — | 16,750,851 | — | 16,750,851 |
U.S. Treasury Obligations | — | 531,048,339 | — | 531,048,339 |
Short-Term Investments | ||||
Investment Companies | 91,260,954 | — | — | 91,260,954 |
Investment of Cash Collateral from Securities Loaned | 15,781,868 | — | — | 15,781,868 |
Total Short-Term Investments | 107,042,822 | — | — | 107,042,822 |
Total Investments in Securities | $107,042,822 | $1,299,489,298 | $— | $1,406,532,120 |
BetaBuilders USD High Yield Corporate Bond ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Corporate Bonds | $— | $330,635,906 | $— | $330,635,906 |
120 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
BetaBuilders USD High Yield Corporate Bond ETF (continued) | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Short-Term Investments | ||||
Investment Companies | $3,094,499 | $— | $— | $3,094,499 |
Total Investments in Securities | $3,094,499 | $330,635,906 | $— | $333,730,405 |
BetaBuilders USD Investment Grade Corporate Bond ETF | ||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |
Investments in Securities | ||||
Asset-Backed Securities | $— | $35,628 | $— | $35,628 |
Corporate Bonds | — | 43,854,126 | — | 43,854,126 |
Short-Term Investments | ||||
Investment Companies | 265,119 | — | — | 265,119 |
Total Investments in Securities | $265,119 | $43,889,754 | $— | $44,154,873 |
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 | $— | $23,545,544 | $— | $23,545,544 |
Foreign Government Securities | — | 198,613,176 | — | 198,613,176 |
Short-Term Investments | ||||
Investment Companies | 1,134,608 | — | — | 1,134,608 |
Investment of Cash Collateral from Securities Loaned | 10,612,020 | — | — | 10,612,020 |
Total Short-Term Investments | 11,746,628 | — | — | 11,746,628 |
Total Investments in Securities | $11,746,628 | $222,158,720 | $— | $233,905,348 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 121 |
AS OF February 28, 2023 (continued)
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) | |
BetaBuilders U.S. Aggregate Bond ETF | $15,321,337 | $(15,321,337) | $— |
USD Emerging Markets Sovereign Bond ETF | 10,236,607 | (10,236,607) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $100 |
BetaBuilders U.S. Aggregate Bond ETF | 1,841 |
USD Emerging Markets Sovereign Bond ETF | 1,116 |
122 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $— | $5,726,514 | $5,726,514 | $— | $— | $— | — | $8,181 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 601,648 | 4,125,063 | 3,967,823 | — | — | 758,888 | 758,888 | 19,369 | — |
Total | $601,648 | $9,851,577 | $9,694,337 | $— | $— | $758,888 | $27,550 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
BetaBuilders U.S. Aggregate Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | $6,493,451 | $27,999,999 | $21,500,000 | $294* | $899 | $12,994,643 | 12,989,448 | $97,119 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 680,960 | 67,397,102 | 65,290,837 | — | — | 2,787,225 | 2,787,225 | 48,329* | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 17,328,257 | 231,850,704 | 157,918,007 | — | — | 91,260,954 | 91,260,954 | 1,470,241 | — |
Total | $24,502,668 | $327,247,805 | $244,708,844 | $294 | $899 | $107,042,822 | $1,615,689 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 123 |
AS OF February 28, 2023 (continued)
BetaBuilders USD High Yield Corporate Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $20,697,667 | $255,123,305 | $272,726,473 | $— | $— | $3,094,499 | 3,094,499 | $148,431 | $— |
(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 28, 2023. |
BetaBuilders USD Investment Grade Corporate Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | $159,865 | $5,720,085 | $5,614,831 | $— | $— | $265,119 | 265,119 | $5,928 | $— |
(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 28, 2023. |
USD Emerging Markets Sovereign Bond ETF | |||||||||
For the year ended February 28, 2023 | |||||||||
Security Description | Value at February 28, 2022 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at February 28, 2023 | Shares at February 28, 2023 | Dividend Income | Capital Gain Distributions |
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 4.78% (a) (b) | $— | $22,800,000 | $14,000,000 | $2,500* | $(200) | $8,802,300 | 8,798,781 | $89,978 * | $— |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 786,418 | 49,497,268 | 48,473,966 | — | — | 1,809,720 | 1,809,720 | 49,541* | — |
JPMorgan U.S. Government Money Market Fund Class IM Shares, 4.43% (a) (b) | 177,868 | 15,777,018 | 14,820,278 | — | — | 1,134,608 | 1,134,608 | 11,094 | — |
Total | $964,286 | $88,074,286 | $77,294,244 | $2,500 | $(200) | $11,746,628 | $150,613 | $— |
(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 28, 2023. |
* | Amount is included on the Statement of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
124 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
BetaBuilders USD Investment Grade Corporate Bond ETF | |
Futures Contracts: | |
Average Notional Balance Long | $1,607,531 |
Average Notional Balance Short | (1,150,052) |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 125 |
AS OF February 28, 2023 (continued)
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $(295,945) | $4,537 | $291,408 |
BetaBuilders U.S. Aggregate Bond ETF | (16,315,979) | 141,214 | 16,174,765 |
BetaBuilders USD High Yield Corporate Bond ETF | (69,438,801) | 6,043,562 | 63,395,239 |
BetaBuilders USD Investment Grade Corporate Bond ETF | (1,261,532) | 19,245 | 1,242,287 |
USD Emerging Markets Sovereign Bond ETF | — | 797 | (797) |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | 0.05% |
BetaBuilders U.S. Aggregate Bond ETF | 0.031 |
BetaBuilders USD High Yield Corporate Bond ETF | 0.152 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 0.093 |
USD Emerging Markets Sovereign Bond ETF | 0.39 |
1 | Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.07% of the Fund's average daily net assets. |
2 | Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.24% of the Fund's average daily net assets. |
3 | Prior to February 1, 2023, the investment management fee was accrued daily and paid monthly at an annual rate of 0.14% of the Fund's average daily net assets. |
126 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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 | $18,060,050 | $16,741,384 | $7,198,766 | $4,614,382 |
BetaBuilders U.S. Aggregate Bond ETF | 1,175,655,795 | 1,156,494,923 | 58,969,039 | 54,634,177 |
BetaBuilders USD High Yield Corporate Bond ETF | 230,507,945 | 418,648,006 | — | — |
BetaBuilders USD Investment Grade Corporate Bond ETF | 14,952,837 | 20,162,860 | 215,997 | 213,792 |
USD Emerging Markets Sovereign Bond ETF | 36,273,589 | 34,430,129 | — | — |
In-Kind Purchases | In-Kind Sales | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $5,520,102 | $6,205,978 |
BetaBuilders U.S. Aggregate Bond ETF | 690,016,616 | 284,954,332 |
BetaBuilders USD High Yield Corporate Bond ETF | 134,826,582 | 928,621,101 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 23,929,775 | 18,901,905 |
USD Emerging Markets Sovereign Bond ETF | 161,985,918 | — |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 127 |
AS OF February 28, 2023 (continued)
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $37,925,532 | $4,427 | $2,187,347 | $(2,182,920) |
BetaBuilders U.S. Aggregate Bond ETF | 1,531,813,365 | 317,958 | 125,599,203 | (125,281,245) |
BetaBuilders USD High Yield Corporate Bond ETF | 367,105,246 | 902,015 | 34,276,856 | (33,374,841) |
BetaBuilders USD Investment Grade Corporate Bond ETF | 48,539,781 | 33,208 | 4,418,116 | (4,384,908) |
USD Emerging Markets Sovereign Bond ETF | 243,782,230 | 756,596 | 10,633,478 | (9,876,882) |
Ordinary Income* | Total Distributions Paid | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $595,951 | $595,951 |
BetaBuilders U.S. Aggregate Bond ETF | 25,156,927 | 25,156,927 |
BetaBuilders USD High Yield Corporate Bond ETF | 32,446,703 | 32,446,703 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 1,407,883 | 1,407,883 |
USD Emerging Markets Sovereign Bond ETF | 4,644,990 | 4,644,990 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $592,452 | $192,019 | $784,471 |
BetaBuilders U.S. Aggregate Bond ETF | 13,892,333 | 1,327,003 | 15,219,336 |
BetaBuilders USD High Yield Corporate Bond ETF | 67,588,263 | — | 67,588,263 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 1,395,362 | 493,458 | 1,888,820 |
USD Emerging Markets Sovereign Bond ETF | 3,273,450 | — | 3,273,450 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Tax exempt income | Unrealized Appreciation (Depreciation) | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $69,171 | $(199,515) | $— | $(2,182,920) |
BetaBuilders U.S. Aggregate Bond ETF | 3,404,069 | (28,666,421) | — | (125,281,245) |
BetaBuilders USD High Yield Corporate Bond ETF | 1,959,835 | (40,635,516) | — | (33,374,841) |
BetaBuilders USD Investment Grade Corporate Bond ETF | 170,928 | (1,204,917) | — | (4,384,908) |
USD Emerging Markets Sovereign Bond ETF | 1,155,756 | (11,696,966)* | — | (9,876,882) |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
128 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Capital Loss Carryforward Character | ||
Short-Term | Long-Term | |
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $151,051 | $48,464 |
BetaBuilders U.S. Aggregate Bond ETF | 21,534,095 | 7,132,326 |
BetaBuilders USD High Yield Corporate Bond ETF | 16,746,886 | 23,888,630 |
BetaBuilders USD Investment Grade Corporate Bond ETF | 347,685 | 857,232 |
USD Emerging Markets Sovereign Bond ETF | 6,234,645* | 5,462,321* |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Net Capital Losses (Gains) | Specified Ordinary Losses | ||
Short-Term | Long-Term | ||
BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $9,602 | $181,944 | $— |
BetaBuilders U.S. Aggregate Bond ETF | 5,308,587 | 14,088,928 | — |
BetaBuilders USD High Yield Corporate Bond ETF | (66,904) | 11,593,685 | — |
BetaBuilders USD Investment Grade Corporate Bond ETF | 233,427 | 1,534,655 | — |
USD Emerging Markets Sovereign Bond ETF | 9,870 | 689,791 | 1 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 129 |
AS OF February 28, 2023 (continued)
JPMorgan SmartRetirement Funds | JPMorgan SmartRetirement Blend Funds | |
BetaBuilders USD High Yield Corporate Bond ETF | 25.5% | 12.8% |
% of Ownership | |
BetaBuilders USD Investment Grade Corporate Bond ETF | 49% |
130 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 131 |
132 |
(Unaudited)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Independent Trustees | |||
John F. Finn (1947); Chair since 2020; Trustee since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 178 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). |
Stephen P. Fisher (1959); Trustee since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 178 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). |
Gary L. French (1951); Trustee since 2014. | Real Estate Investor (2011-2020); Investment management industry Consultant and Expert Witness (2011-present); Senior Consultant for The Regulatory Fundamentals Group LLC (2011-2017). | 178 | Independent Trustee, The China Fund, Inc. (2013-2019); Exchange Traded Concepts Trust II (2012-2014); Exchange Traded Concepts Trust I (2011-2014). |
Kathleen M. Gallagher (1958); Trustee since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 178 | Non- Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (U.S. Holdings) (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). |
Robert J. Grassi (1957); Trustee since 2014. | Sole Proprietor, Academy Hills Advisors LLC (2012-present); Pension Director, Corning Incorporated (2002-2012). | 178 | None |
Frankie D. Hughes (1952); Trustee since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 178 | None |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 133 |
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Raymond Kanner (1953); Trustee since 2017. | Retired; Managing Director and Chief Investment Officer, IBM Retirement Funds (2007-2016). | 178 | Advisory Board Member, Penso Advisors, LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Total Portfolio Solutions (2017- present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016- 2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). |
Thomas P. Lemke (1954); Trustee since 2014. | Retired since 2013. | 178 | (1) Independent Trustee of Advisors’ Inner Circle III fund platform, consisting of the following: (i) the Advisors’ Inner Circle Fund III, (ii) the Gallery Trust, (iii) the Schroder Series Trust, (iv) the Delaware Wilshire Private Markets Fund (since 2020), (v) Chiron Capital Allocation Fund Ltd., and (vi) formerly the Winton Diversified Opportunities Fund (2014-2018); and (2) Independent Trustee of the Symmetry Panoramic Trust (since 2018). |
Lawrence R. Maffia (1950); Trustee since 2014. | Retired; Director and President, ICI Mutual Insurance Company (2006-2013). | 178 | Director, ICI Mutual Insurance Company (1999-2013). |
Mary E. Martinez (1960); Vice Chair since 2021; Trustee since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 178 | None |
Marilyn McCoy (1948); Trustee since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 178 | None |
Dr. Robert A. Oden, Jr. (1946); Trustee since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 178 | Trustee, The Coldwater Conservation Fund (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee and Vice Chair, Trout Unlimited (2017-2021); Trustee, Dartmouth- Hitchcock Medical Center (2011-2020). |
134 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years |
Marian U. Pardo* (1946); Trustee since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 178 | Board Chair and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
Emily A. Youssouf (1951); Trustee since 2014. | Adjunct Professor (2011-present) and Clinical Professor (2009-2011), NYU Schack Institute of Real Estate; Board Member and Member of the Audit Committee (2013–present), Chair of Finance Committee (2019-present), Member of Related Parties Committee (2013-2018) and Member of the Enterprise Risk Committee (2015-2018), PennyMac Financial Services, Inc.; 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. | 178 | Trustee, NYC School Construction Authority (2009-present); Board Member, NYS Job Development Authority (2008-present); Trustee and Chair of the Audit Committee of the Transit Center Foundation (2015-2019). |
Interested Trustees | |||
Robert F. Deutsch** (1957); Trustee since 2014. | Retired; Head of ETF Business for JPMorgan Asset Management (2013-2017); Head of Global Liquidity Business for JPMorgan Asset Management (2003-2013). | 178 | Treasurer and Director of the JUST Capital Foundation (2017-present). |
Nina O. Shenker** (1957); Trustee since 2022. | Vice Chair (2017-2021), General Counsel and Managing Director (2008-2016), Associate General Counsel and Managing Director (2004-2008), J.P. Morgan Asset & Wealth Management. | 178 | Director and Member of Legal and Human Resources Subcommittees, American Jewish Joint Distribution Committee (2018-present). |
(1) | The year shown is the first year in which a Trustee became a member of any of the following: the JPMorgan Mutual Fund Board, the JPMorgan ETF Board, the heritage J.P. Morgan Funds or the heritage One Group Mutual Funds. Trustees serve an indefinite term, until resignation, retirement, removal or death. The Board’s current retirement policy sets retirement at the end of the calendar year in which the Trustee attains the age of 75, provided that any Board member who was a member of the JPMorgan Mutual Fund Board prior to January 1, 2022 and was born prior to January 1, 1950 shall retire from the Board at the end of the calendar year in which the Trustee attains the age of 78. | ||
(2) | 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. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes nine registered investment companies (178 J.P. Morgan Funds). | ||
* | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. | ||
** | Designation as an “Interested Trustee” is based on prior employment by the Adviser or an affiliate of the Adviser or interests in a control person of the Adviser. | ||
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172. |
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 135 |
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years |
Brian S. Shlissel (1964), President and Principal Executive Officer (2021) | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. |
Gregory S. Samuels (1980), Secretary (2022) (formerly Assistant Secretary 2014-2022) | Managing Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Samuels has been with JPMorgan Chase & Co. since 2010. |
Stephen M. Ungerman (1953), Chief Compliance Officer (2014) | Managing Director, JPMorgan Chase & Co. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. |
Kiesha Astwood-Smith (1973), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Senior Director and Counsel, Equitable Financial Life Insurance Company (formerly, AXA Equitable Life Insurance Company) from September 2015 through June 2021. |
Matthew Beck (1988), Assistant Secretary (2021)* | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since May 2021; Senior Legal Counsel, Ultimus Fund Solutions from May 2018 through May 2021; General Counsel, The Nottingham Company from April 2014 through May 2018. |
Elizabeth A. Davin (1964), Assistant Secretary (2022) (formerly Secretary 2018-2022)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Davin has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 2004. |
Jessica K. Ditullio (1962), Assistant Secretary (2014)* | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Ms. Ditullio has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1990. |
Anthony Geron (1971), Assistant Secretary (2019) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. 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 & Co. Mr. Lekstutis has been with JPMorgan Chase & Co. since 2011. |
Max Vogel (1990), Assistant Secretary (2021) | Vice President and Assistant General Counsel, JPMorgan Chase & Co. since June 2021; Associate, Proskauer Rose LLP (law firm) from March 2017 to June 2021. |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017) | Executive Director and Assistant General Counsel, JPMorgan Chase & Co. Mr. Vonnegut-Gabovitch has been with JPMorgan Chase & Co. since September 2016. |
Frederick J. Cavaliere (1978), Assistant Treasurer (2015)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Cavaliere has been with JPMorgan Chase & Co. since May 2006. |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2014) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. |
Aleksandr Fleytekh (1972), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Mr. Fleytekh has been with J.P. Morgan Investment Management Inc. since February 2012. |
Shannon Gaines (1977), Assistant Treasurer (2019)* | Executive Director, J.P. Morgan Investment Management Inc. Mr. Gaines has been with J.P. Morgan Investment Management Inc. since January 2014. |
Jeffrey D. House (1972), Assistant Treasurer (2023)* | Vice President, J.P. Morgan Investment Management Inc. since July 2006. |
Michael Mannarino (1985), Assistant Treasurer (2023) | Vice President, J.P. Morgan Investment Management Inc. since 2014. |
136 |
Nektarios E. Manolakakis (1972), Assistant Treasurer (2020) | Executive Director, J.P. Morgan Investment Management Inc. since February 2021, formerly Vice President, J.P. Morgan Investment Management Inc. since 2014; Vice President, J.P. Morgan Corporate & Investment Bank 2010-2014. |
Todd McEwen (1981), Assistant Treasurer (2020)* | Vice President, J.P. Morgan Investment Management Inc. Mr. McEwen has been with J.P. Morgan Investment Management Inc. since 2010. |
Joseph Parascondola (1963), Assistant Treasurer (2023)** | Executive Director, J.P. Morgan Investment Management Inc. Mr. Parascondola has been with J.P. Morgan Investment Management Inc. since 2006. |
Gillian I. Sands (1969), Assistant Treasurer (2023) | Executive Director, J.P. Morgan Investment Management Inc. Ms. Sands has been with J.P. Morgan Investment Management Inc. since 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172. | |
* | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
** | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
137 |
(Unaudited)
Hypothetical $1,000 Investment
Beginning Account Value September 1, 2022 | Ending Account Value February 28, 2023 | Expenses Paid During the Period* | Annualized Expense Ratio | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | ||||
Actual | $1,000.00 | $993.60 | $0.25 | 0.05% |
Hypothetical | 1,000.00 | 1,024.55 | 0.25 | 0.05 |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | ||||
Actual | 1,000.00 | 977.90 | 0.29 | 0.06 |
Hypothetical | 1,000.00 | 1,024.50 | 0.30 | 0.06 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | ||||
Actual | 1,000.00 | 1,027.90 | 1.16 | 0.23 |
Hypothetical | 1,000.00 | 1,023.65 | 1.15 | 0.23 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | ||||
Actual | 1,000.00 | 989.50 | 0.64 | 0.13 |
Hypothetical | 1,000.00 | 1,024.15 | 0.65 | 0.13 |
JPMorgan USD Emerging Markets Sovereign Bond ETF | ||||
Actual | 1,000.00 | 1,020.40 | 1.95 | 0.39 |
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
138 |
(Unaudited)
February 28, 2023 | J.P. Morgan Exchange-Traded Funds | 139 |
(Unaudited)
Qualified Interest Income | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | $531,462 |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | 21,778,705 |
JPMorgan BetaBuilders USD High Yield Corporate Bond ETF (formerly known as JPMorgan High Yield Research Enhanced ETF) | 26,485,060 |
JPMorgan BetaBuilders USD Investment Grade Corporate Bond ETF (formerly known as JPMorgan Corporate Bond Research Enhanced ETF) | 1,185,438 |
Income from U.S. Treasury Obligations | |
JPMorgan BetaBuilders 1-5 Year U.S. Aggregate Bond ETF | 51.7% |
JPMorgan BetaBuilders U.S. Aggregate Bond ETF (formerly known as JPMorgan U.S. Aggregate Bond ETF) | 29.8 |
140 | J.P. Morgan Exchange-Traded Funds | February 28, 2023 |
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, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia, each of whom is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(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
2023 – $769,391
2022 – $657,602
(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
2023 – $85,431
2022 – $74,441
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
2023 – $197,183
2022 – $177,142
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 28, 2023 and 2022, 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
2023 – $0
2022 – $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.
2023 – 0.0%
2022 – 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:
2022 – $31.6 million
2021 – $30.7 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.
(i) A registrant identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form NCSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction must electronically submit to the Commission on a supplemental basis documentation that establishes that the registrant is not owned or controlled by a governmental entity in the foreign jurisdiction. The registrant must submit this documentation on or before the due date for this form. A registrant that is owned or controlled by a foreign governmental entity is not required to submit such documentation.
Not applicable.
(j) A registrant that is a foreign issuer, as defined in 17 CFR 240.3b-4, identified by the Commission pursuant to Section 104(i)(2)(A) of the Sarbanes-Oxley Act of 2002 (15 U.S.C. 7214(i)(2)(A)), as having retained, for the preparation of the audit report on its financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board has determined it is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction, for each year in which the registrant is so identified, must provide the below disclosures. Also, any such identified foreign issuer that uses a variable-interest entity or any similar structure that results in additional foreign entities being consolidated in the financial statements of the registrant is required to provide the below disclosures for itself and its consolidated foreign operating entity or entities. A registrant must disclose:
(1) | That, for the immediately preceding annual financial statement period, a registered public accounting firm that the PCAOB was unable to inspect or investigate completely, because of a position taken by an authority in the foreign jurisdiction, issued an audit report for the registrant; |
(2) | The percentage of shares of the registrant owned by governmental entities in the foreign jurisdiction in which the registrant is incorporated or otherwise organized; |
(3) | Whether governmental entities in the applicable foreign jurisdiction with respect to that registered public accounting firm have a controlling financial interest with respect to the registrant; |
(4) | The name of each official of the Chinese Communist Party who is a member of the board of directors of the registrant or the operating entity with respect to the registrant; and |
(5) | Whether the articles of incorporation of the registrant (or equivalent organizing document) contains any charter of the Chinese Communist Party, including the text of any such charter. |
Not applicable.
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, Kathleen M. Gallagher, Raymond Kanner and Lawrence R. Maffia.
(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 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 reporting period 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 FOR CLOSED-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. |
(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.
(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), exactly as set forth below:
(1) 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.
(2) Change in the registrant’s independent public accountant. Provide the information called for by Item 4 of Form 8-K under the Exchange Act (17 CFR 249.308). Unless otherwise specified by Item 4, or related to and necessary for a complete understanding of information not previously disclosed, the information should relate to events occurring during the reporting period.
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. |
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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer. | ||
May 4, 2023 |
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/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
May 4, 2023 |
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
May 4, 2023 |